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Stochastic Evolution Equations in Portfolio Credit Modelling
16 references·9 citing·42 second hop
Stochastic Evolution Equations in Portfolio Credit Modelling (2011)Stochastic Evolution Equations in Portfol…The valuation of correlation-dependent credit derivatives using a structural model (2010)The valuation of correlation-…Affine Point Processes and Portfolio Credit Risk (2010)Affine Point Processes and Po…Modelling Single-name and Multi-name Credit Derivatives (2008)Modelling Single-name and Mul…Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…Convergence remedies for non-smooth payoffs in option pricing (2003)Convergence remedies for non-…Optimal capital structure and endogenous default (2002)Optimal capital structure and…Valuing Credit Default Swaps II (2001)Valuing Credit Default Swaps …The term structure of credit spreads with jump risk (2001)The term structure of credit …Term Structures of Credit Spreads with Incomplete Accounting Information (2001)Term Structures of Credit Spr…Solution of stochastic partial differential equations using Galerkin finite element techniques (2001)Solution of stochastic partia…An Analysis of Default Correlations and Multiple Defaults (2001)An Analysis of Default Correl…Pricing Financial Instruments: The Finite Difference Method (2000)Pricing Financial Instruments…Continuous Martingales and Brownian Motion (1999)Continuous Martingales and Br…A Jump-Diffusion Approach to Modeling Credit Risk and Valuing Defaultable Securities (1997)A Jump-Diffusion Approach to …VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS (1976)VALUING CORPORATE SECURITIES:…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…An SPDE model for systemic risk with endogenous contagion (2019)An SPDE model for systemic ri…Risk Analysis for Large Pools of Loans (2018)Risk Analysis for Large Pools…Inference for Large Financial Systems (2017)Inference for Large Financial…Analysis of variance based instruments for Ornstein–Uhlenbeck type models: swap and price index (2017)Analysis of variance based in…A stochastic McKean–Vlasov equation for absorbing diffusions on the half-line (2017)A stochastic McKean–Vlasov eq…Optimal Liquidation of an Asset under Drift Uncertainty (2016)Optimal Liquidation of an Ass…A cubature based algorithm to solve decoupled McKean–Vlasov forward–backward stochastic differential equations (2015)A cubature based algorithm to…Fluctuation analysis for the loss from default (2014)Fluctuation analysis for the …Multilevel Simulation of Functionals of Bernoulli Random Variables with Application to Basket Credit Derivatives (2013)Multilevel Simulation of Func…The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)The stochastic behavior of common stock variances Value, leverage and interest rate effects (1982)A Simple Approach to Valuing Risky Fixed and Floating Rate Debt (1995)The Determinants of Credit Spread Changes (2001)The stochastic finite-element method (1980)Stochastic Differential Equations: An Introduction with Applications. (1987)Stochastic Finite Elements: A Spectral Approach (1991)Uncertainty propagation using Wiener–Haar expansions (2004)Sparse grid collocation schemes for stochastic natural convection problems (2007)A non-adapted sparse approximation of PDEs with stochastic inputs (2011)A Theory of the Term Structure of Interest Rates (1985)Term Structure Dynamics in Theory and Reality (2003)Accounting transparency and the term structure of credit spreads (2004)The Same Bond at Different Prices: Identifying Search Frictions and Selling Pressures (2010)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Option pricing when underlying stock returns are discontinuous (1976)The valuation of options for alternative stochastic processes (1976)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)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Stochastic Integration and Differential Equations (2005)Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives (2011)Credit Default Swaps: A Survey (2014)Exploring the sources of default clustering (2018)On the Pricing of Corporate Debt: The Risk Structure of Interest Rates (1974)An equilibrium characterization of the term structure (1977)Copula-Dependent Defaults in Intensity Models (2002)Counterparty credit risk and the credit default swap market (2011)The multi-layer network nature of systemic risk and its implications for the costs of financial crises (2015)Backward Stochastic Differential Equations in Finance (1997)The Variance Gamma Process and Option Pricing (1998)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Controlled Markov Processes and Viscosity Solutions (2005)Robust numerical methods for contingent claims under jump diffusion processes (2004)A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models (2005)Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis and Computation (2007)
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References

  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 1999Continuous Martingales and Brownian Motion6,200 cited
  • 1976VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS2,383 cited
  • 2001Term Structures of Credit Spreads with Incomplete Accounting Information1,321 cited
  • 2001The term structure of credit spreads with jump risk511 cited
  • 2000Pricing Financial Instruments: The Finite Difference Method478 cited
  • 2001Solution of stochastic partial differential equations using Galerkin finite element techniques414 cited
  • 2010Affine Point Processes and Portfolio Credit Risk373 cited
  • 2001Valuing Credit Default Swaps II341 cited
  • 2001An Analysis of Default Correlations and Multiple Defaults313 cited
  • 2002Optimal capital structure and endogenous default214 cited
  • 1997A Jump-Diffusion Approach to Modeling Credit Risk and Valuing Defaultable Securities203 cited
  • 2003Convergence remedies for non-smooth payoffs in option pricing155 cited
  • 2008Modelling Single-name and Multi-name Credit Derivatives138 cited

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  • 2010The valuation of correlation-dependent credit derivatives using a structural model126 cited
  • Cited by

    • 2017Analysis of variance based instruments for Ornstein–Uhlenbeck type models: swap and price index49 cited
    • 2018Risk Analysis for Large Pools of Loans47 cited
    • 2019An SPDE model for systemic risk with endogenous contagion38 cited
    • 2014Fluctuation analysis for the loss from default37 cited
    • 2013Multilevel Simulation of Functionals of Bernoulli Random Variables with Application to Basket Credit Derivatives34 cited
    • 2016Optimal Liquidation of an Asset under Drift Uncertainty33 cited
    • 2015A cubature based algorithm to solve decoupled McKean–Vlasov forward–backward stochastic differential equations33 cited
    • 2017Inference for Large Financial Systems32 cited
    • 2017A stochastic McKean–Vlasov equation for absorbing diffusions on the half-line28 cited