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Risk-Minimization for Life Insurance Liabilities
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Risk-Minimization for Life Insurance Liabilities (2013)Risk-Minimization for Life Insurance Liab…A Guided Tour through Quadratic Hedging Approaches (2010)A Guided Tour through Quadrat…Term-Structure Models (2009)Term-Structure ModelsPricing Death: Frameworks for the Valuation and Securitization of Mortality Risk (2006)Pricing Death: Frameworks for…Living with Mortality: Longevity Bonds and Other Mortality-Linked Securities (2006)Living with Mortality: Longev…A Benchmark Approach to Quantitative Finance (2006)A Benchmark Approach to Quant…Stochastic Integration and Differential Equations (2005)Stochastic Integration and Di…Affine processes for dynamic mortality and actuarial valuations (2005)Affine processes for dynamic …Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts (2004)Stochastic mortality in life …Stochastic Calculus for Finance II (2004)Stochastic Calculus for Finan…Credit Risk: Modeling, Valuation and Hedging (2004)Credit Risk: Modeling, Valuat…Credit Risk Modeling (2004)Credit Risk ModelingFinancial Modelling with Jump Processes (2003)Financial Modelling with Jump…Affine processes and applications in finance (2003)Affine processes and applicat…Mortality derivatives and the option to annuitise (2001)Mortality derivatives and the…Hedging of non-redundant contingent claims (1985)Hedging of non-redundant cont…Semi-Martingales et Grossissement d’une Filtration (1980)Semi-Martingales et Grossisse…The Pricing of Options and Corporate Liabilities (1973)Martingales and stochastic integrals in the theory of continuous trading (1981)Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis (2001)Arbitrage Theory in Continuous Time (2004)Theory of rational option pricing (2005)Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives (2011)VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS (1976)Corporate Debt Value, Bond Covenants, and Optimal Capital Structure (1994)Modeling Term Structures of Defaultable Bonds (1999)Quantitative models for operational risk: Extremes, dependence and aggregation (2006)Forecasting: theory and practice (2022)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)Hawkes Processes in Finance (2015)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Correlation structure and dynamics in volatile markets (2010)THE 4/2 STOCHASTIC VOLATILITY MODEL: A UNIFIED APPROACH FOR THE HESTON AND THE 3/2 MODEL (2016)Financial Ratios As Predictors of Failure (1966)FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY (1968)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)The Risk-Adjusted Cost of Financial Distress (2005)From failure to failure: The politics of international banking regulation (2011)The Relative Contribution of Jumps to Total Price Variance (2005)A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions (2008)What's Vol Got to Do with It (2010)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The distribution of realized stock return volatility (2001)Hedging of contingent claims under incomplete information (1990)Backward Stochastic Differential Equations in Finance (1997)Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework (2000)Affine processes on positive semidefinite matrices (2011)The Term Structure of Interbank Risk (2012)Numerical Solution of Stochastic Differential Equations (2016)A Liquidity-Based Theory of Closed-End Funds (2008)ASSET PRICE BUBBLES IN INCOMPLETE MARKETS (2010)
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References

  • 2005Stochastic Integration and Differential Equations4,700 cited
  • 2003Financial Modelling with Jump Processes3,261 cited
  • 2004Stochastic Calculus for Finance II1,675 cited
  • 2004Credit Risk: Modeling, Valuation and Hedging1,064 cited
  • 2003Affine processes and applications in finance1,044 cited
  • 2004Credit Risk Modeling530 cited
  • 2010A Guided Tour through Quadratic Hedging Approaches490 cited
  • 1985Hedging of non-redundant contingent claims460 cited
  • 2009Term-Structure Models403 cited
  • 2006A Benchmark Approach to Quantitative Finance374 cited
  • 2005Affine processes for dynamic mortality and actuarial valuations354 cited
  • 2004Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts344 cited
  • 2006Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk344 cited
  • 1980Semi-Martingales et Grossissement d’une Filtration330 cited
  • 2001Mortality derivatives and the option to annuitise322 cited
  • 2006Living with Mortality: Longevity Bonds and Other Mortality-Linked Securities

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