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Commercial Mortgage‐Backed Securities (CMBS) and Market Efficiency with Respect to Costly Information
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Commercial Mortgage‐Backed Securities (CMBS) and Market Efficiency with Respect to Costly Information (2008)Commercial Mortgage‐Backed Securities (CM…Stochastic Integration and Differential Equations : A New Approach (2014)Stochastic Integration and Di…Liquidity risk and arbitrage pricing theory (2004)Liquidity risk and arbitrage …Credit Risk Modeling (2004)Credit Risk ModelingBankruptcy Prediction with Industry Effects (2004)Bankruptcy Prediction with In…Monte Carlo Methods in Financial Engineering (2003)Monte Carlo Methods in Financ…Term Structures of Credit Spreads with Incomplete Accounting Information (2001)Term Structures of Credit Spr…Mortgage Terminations, Heterogeneity and the Exercise of Mortgage Options (2000)Mortgage Terminations, Hetero…Estimating the Price of Default Risk (1999)Estimating the Price of Defau…On cox processes and credit risky securities (1998)On cox processes and credit r…Rational Prepayment and the Valuation of Mortgage-Backed Securities (1995)Rational Prepayment and the V…Pricing Derivatives on Financial Securities Subject to Credit Risk (1995)Pricing Derivatives on Financ…Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Bond Pricing and the Term Str…Continuous-Time Finance. (1991)Continuous-Time Finance.Stochastic Integration and Differential Equations (1990)Stochastic Integration and Di…Prepayment and the Valuation of Mortgage-Backed Securities (1989)Prepayment and the Valuation …Bond Markets, Analysis and Strategies. (1989)Bond Markets, Analysis and St…Credit Risk and the Term Structure of Lease Rates: A Reduced Form Approach (2008)Credit Risk and the Term Stru…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Option pricing when underlying stock returns are discontinuous (1976)Modeling Term Structures of Defaultable Bonds (1999)The Determinants of Credit Spread Changes (2001)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)The Pricing of Options and Corporate Liabilities (1973)Affine processes and applications in finance (2003)Credit Risk: Modeling, Valuation and Hedging (2004)Brownian Motion and Stochastic Calculus (2007)FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY (1968)Structural Models of Corporate Bond Pricing: An Empirical Analysis (2004)Corporate bond liquidity before and after the onset of the subprime crisis (2011)How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk? (2012)On the Pricing of Corporate Debt: The Risk Structure of Interest Rates (1974)Dynamic Asset Pricing Theory. (1993)Counterparty Risk and the Pricing of Defaultable Securities (2001)Measuring Abnormal Bond Performance (2008)The Determinants of Credit Default Swap Premia (2009)Martingales and stochastic integrals in the theory of continuous trading (1981)Stochastic Differential Equations and Diffusion Processes (1983)A Theory of the Term Structure of Interest Rates (1985)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Methodological Issues Related to the Estimation of Financial Distress Prediction Models (1984)Liquidation Values and Debt Capacity: A Market Equilibrium Approach (1992)Forecasting Default with the Merton Distance to Default Model (2008)Environmental Externalities and Cost of Capital (2014)Financial Distress Prediction in an International Context: A Review and Empirical Analysis of Altman's Z‐ Score Model (2016)Theory of Rational Option Pricing (1973)Negative equity and foreclosure: Theory and evidence (2008)What moves housing markets: A variance decomposition of the rent–price ratio (2009)A Model of Mortgage Default (2011)Multilevel Monte Carlo Path Simulation (2008)Can Time‐Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility? (2013)Simulation Modeling and Analysis (2016)Optimal consumption and portfolio policies when asset prices follow a diffusion process (1989)Backward Stochastic Differential Equations in Finance (1997)An Engine, Not a Camera (2006)Arbitrage Theory in Continuous Time (1998)Over-the-Counter Markets (2004)
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References

  • 2003Monte Carlo Methods in Financial Engineering3,818 cited
  • 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation3,170 cited
  • 1995Pricing Derivatives on Financial Securities Subject to Credit Risk1,934 cited
  • 1991Continuous-Time Finance.1,788 cited
  • 2001Term Structures of Credit Spreads with Incomplete Accounting Information1,321 cited
  • 1998On cox processes and credit risky securities1,213 cited
  • 1990Stochastic Integration and Differential Equations1,195 cited
  • 2004Bankruptcy Prediction with Industry Effects810 cited
  • 2000Mortgage Terminations, Heterogeneity and the Exercise of Mortgage Options794 cited
  • 1999Estimating the Price of Default Risk724 cited
  • 2014Stochastic Integration and Differential Equations : A New Approach686 cited
  • 2004Credit Risk Modeling530 cited
  • 1989Prepayment and the Valuation of Mortgage-Backed Securities441 cited
  • 1995Rational Prepayment and the Valuation of Mortgage-Backed Securities406 cited
  • 1989Bond Markets, Analysis and Strategies.357 cited
  • 2004Liquidity risk and arbitrage pricing theory

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  • 2008Credit Risk and the Term Structure of Lease Rates: A Reduced Form Approach24 cited