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DYNAMIC CDO TERM STRUCTURE MODELING
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DYNAMIC CDO TERM STRUCTURE MODELING (2010)DYNAMIC CDO TERM STRUCTURE MODELINGTerm-Structure Models: A Graduate Course (2009)Term-Structure Models: A Grad…Term-Structure Models (2009)Term-Structure ModelsCommon Failings: How Corporate Defaults Are Correlated (2007)Common Failings: How Corporat…Quantitative Risk Management: Concepts, Techniques, and Tools (2006)Quantitative Risk Management:…Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Quantitative Risk Management:…Equivalent and Absolutely Continuous Measure Changes for Jump-Diffusion Processes (2005)Equivalent and Absolutely Con…Equivalent and absolutely continuous measure changes for jump-diffusion processes (2005)Equivalent and absolutely con…Basket default swaps, CDOs and factor copulas (2005)Basket default swaps, CDOs an…A Top-Down Approach to Multi-Name Credit (2005)A Top-Down Approach to Multi-…Affine processes and applications in finance (2003)Affine processes and applicat…PRICING COUPON‐BOND OPTIONS AND SWAPTIONS IN AFFINE TERM STRUCTURE MODELS (2002)PRICING COUPON‐BOND OPTIONS A…Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Bond Pricing and the Term Str…Limit Theorems for Stochastic Processes (1987)Limit Theorems for Stochastic…Point Processes and Queues: Martingale Dynamics. (1983)Point Processes and Queues: M…Point Processes and Queues (1981)Point Processes and QueuesChanges of filtrations and of probability measures (1978)Changes of filtrations and of…DYNAMIC DEFAULTABLE TERM STRUCTURE MODELING BEYOND THE INTENSITY PARADIGM (2016)DYNAMIC DEFAULTABLE TERM STRU…Forward equations for option prices in semimartingale models (2015)Forward equations for option …A General HJM Framework for Multiple Yield Curve Modeling (2014)A General HJM Framework for M…The Law of Large Numbers for self-exciting correlated defaults (2012)The Law of Large Numbers for …Affine Processes on Positive Semidefinite Matrices (2009)Affine Processes on Positive …An Introduction to Copulas (1999)Coherent Measures of Risk (1999)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Pair-copula constructions of multiple dependence (2007)Quantitative Risk Management (2011)Selecting and estimating regular vine copulae and application to financial returns (2012)The Pricing of Options and Corporate Liabilities (1973)A Theory of the Term Structure of Interest Rates (1985)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Arbitrage Theory in Continuous Time (2004)A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions (2008)Hawkes Processes in Finance (2015)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Credit Risk Modeling (2004)Stochastic Integration and Differential Equations (2005)Good and bad credit contagion: Evidence from credit default swaps☆ (2007)Frailty Correlated Default (2009)Martingales and stochastic integrals in the theory of continuous trading (1981)Stochastic Differential Equations and Diffusion Processes (1983)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Basel Committee On Banking Supervision (2010)A review of copula models for economic time series (2012)Modeling Term Structures of Defaultable Bonds (1999)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The jump-risk premia implicit in options: evidence from an integrated time-series study (2002)Credit Risk Modeling and Valuation: An Introduction (2003)The Normal Inverse Gaussian Distribution for Synthetic CDO Pricing (2007)Modeling Dependence in High Dimensions With Factor Copulas (2015)Affine processes on positive semidefinite matrices (2011)The Term Structure of Interbank Risk (2012)Numerical Solution of Stochastic Differential Equations (2016)Arbitrage Theory in Continuous Time (1998)Variance Risk Premiums (2008)
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References

  • 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation3,170 cited
  • 2005Quantitative Risk Management: Concepts, Techniques, and Tools2,201 cited
  • 2006Quantitative Risk Management: Concepts, Techniques, and Tools1,932 cited
  • 1981Point Processes and Queues1,652 cited
  • 1987Limit Theorems for Stochastic Processes1,319 cited
  • 1983Point Processes and Queues: Martingale Dynamics.1,065 cited
  • 2003Affine processes and applications in finance1,044 cited
  • 2007Common Failings: How Corporate Defaults Are Correlated583 cited
  • 2009Term-Structure Models300 cited
  • 2005Basket default swaps, CDOs and factor copulas260 cited
  • 2009Term-Structure Models: A Graduate Course221 cited
  • 1978Changes of filtrations and of probability measures207 cited
  • 2005A Top-Down Approach to Multi-Name Credit139 cited
  • 2002PRICING COUPON‐BOND OPTIONS AND SWAPTIONS IN AFFINE TERM STRUCTURE MODELS108 cited
  • 2005Equivalent and Absolutely Continuous Measure Changes for Jump-Diffusion Processes97 cited
  • 2005Equivalent and absolutely continuous measure changes for jump-diffusion processes

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Cited by

  • 2012The Law of Large Numbers for self-exciting correlated defaults43 cited
  • 2014A General HJM Framework for Multiple Yield Curve Modeling40 cited
  • 2015Forward equations for option prices in semimartingale models29 cited
  • 2009Affine Processes on Positive Semidefinite Matrices29 cited
  • 2016DYNAMIC DEFAULTABLE TERM STRUCTURE MODELING BEYOND THE INTENSITY PARADIGM27 cited