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The valuation of contingent capital with catastrophe risks
15 references·0 citing·36 second hop
The valuation of contingent capital with catastrophe risks (2009)The valuation of contingent capital with …Catastrophe options with stochastic interest rates and compound Poisson losses (2006)Catastrophe options with stoc…The Term Structure of Simple Forward Rates with Jump Risk (2003)The Term Structure of Simple …Pricing Default‐Risky CAT Bonds With Moral Hazard and Basis Risk (2002)Pricing Default‐Risky CAT Bon…The Financing of Catastrophe Risk (1999)The Financing of Catastrophe …Bond Market Structure in the Presence of Marked Point Processes (1997)Bond Market Structure in the …Pricing Catastrophe Insurance Futures and Call Spreads (1995)Pricing Catastrophe Insurance…Option pricing by Esscher transforms. (1995)Option pricing by Esscher tra…The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…The Capital Structure Puzzle (1984)The Capital Structure PuzzleThe Capital Structure Puzzle (1984)The Capital Structure PuzzleCorporate financing and investment decisions when firms have information that investors do not have (1984)Corporate financing and inves…Informational Asymmetries, Financial Structure, and Financial Intermediation (1977)Informational Asymmetries, Fi…INFORMATIONAL ASYMMETRIES, FINANCIAL STRUCTURE, AND FINANCIAL INTERMEDIATION (1977)INFORMATIONAL ASYMMETRIES, FI…Option pricing when underlying stock returns are discontinuous (1976)Option pricing when underlyin…The Cost of Capital, Corporation Finance and the Theory of Investment (1958)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)The Determinants of Capital Structure Choice (1988)What Do We Know about Capital Structure? Some Evidence from International Data (1995)The theory and practice of corporate finance: evidence from the field (2001)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Measuring and Testing the Impact of News on Volatility (1993)Theory of rational option pricing (2005)Introductory Econometrics for Finance (2008)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Value of Waiting to Invest (1982)The Market for "Lemons": Quality Uncertainty and the Market Mechanism (1970)Job Market Signaling (1973)Financial Intermediation and Delegated Monitoring (1984)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)Towards a general theory of bond markets (1997)Interest Rate Dynamics and Consistent Forward Rate Curves (1999)Stochastic Integration and Differential Equations (2005)Option pricing: A simplified approach (1979)On the Time Value of Ruin (1998)The Generalized Hyperbolic Model: Estimation, Financial Derivatives, and Risk Measures (1999)Actuarial Theory for Dependent Risks: Measures, Orders and Models (2005)Determinants of corporate borrowing (1977)A Survey of Corporate Governance (1997)Information asymmetry, corporate disclosure, and the capital markets: A review of the empirical disclosure literature (2001)The Theory of Capital Structure (1991)Initial Public Offerings and Underwriter Reputation (1990)The Benefits of Lending Relationships: Evidence from Small Business Data (1994)The Economic Consequences of Legal Origins (2008)An Overview of Value at Risk (1997)A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)Variance Risk Premiums (2008)
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References

  • 1984Corporate financing and investment decisions when firms have information that investors do not have18,936 cited
  • 1984The Capital Structure Puzzle7,520 cited
  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 1977INFORMATIONAL ASYMMETRIES, FINANCIAL STRUCTURE, AND FINANCIAL INTERMEDIATION4,056 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities3,864 cited
  • 1977Informational Asymmetries, Financial Structure, and Financial Intermediation3,772 cited
  • 1984The Capital Structure Puzzle3,151 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities1,179 cited
  • 1995Option pricing by Esscher transforms.651 cited
  • 1997Bond Market Structure in the Presence of Marked Point Processes385 cited
  • 1999The Financing of Catastrophe Risk284 cited
  • 2003The Term Structure of Simple Forward Rates with Jump Risk175 cited
  • 2002Pricing Default‐Risky CAT Bonds With Moral Hazard and Basis Risk175 cited
  • 1995Pricing Catastrophe Insurance Futures and Call Spreads120 cited
  • 2006Catastrophe options with stochastic interest rates and compound Poisson losses113 cited

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