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PRICING AND SEMIMARTINGALE REPRESENTATIONS OF VULNERABLE CONTINGENT CLAIMS IN REGIME‐SWITCHING MARKETS
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PRICING AND SEMIMARTINGALE REPRESENTATIONS OF VULNERABLE CONTINGENT CLAIMS IN REGIME‐SWITCHING MARKETS (2012)PRICING AND SEMIMARTINGALE REPRESENTATION…Quantitative Risk Management (2011)Quantitative Risk ManagementCorporate bond default risk: A 150-year perspective (2011)Corporate bond default risk: …Regime Shifts in a Dynamic Term Structure Model of U.S. Treasury Bond Yields (2007)Regime Shifts in a Dynamic Te…Quantitative Risk Management: Concepts, Techniques, and Tools (2006)Quantitative Risk Management:…Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Quantitative Risk Management:…Option pricing and Esscher transform under regime switching (2005)Option pricing and Esscher tr…Closed-Form Solutions for Perpetual American Put Options with Regime Switching (2004)Closed-Form Solutions for Per…Short rate nonlinearities and regime switches (2002)Short rate nonlinearities and…Regime Switches in Interest Rates (2002)Regime Switches in Interest R…International Asset Allocation With Regime Shifts (2002)International Asset Allocatio…Information and option pricings (2001)Information and option pricin…Modeling Term Structures of Defaultable Bonds (1999)Modeling Term Structures of D…Mathematics of Financial Markets (1999)Mathematics of Financial Mark…Swap Rates and Credit Quality (1996)Swap Rates and Credit QualityPricing Black-Scholes options with correlated credit risk (1996)Pricing Black-Scholes options…Changes of filtrations and of probability measures (1978)Changes of filtrations and of…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)Multivariate Archimax copulas (2014)Optimum consumption and portfolio rules in a continuous-time model (1971)A Theory of the Term Structure of Interest Rates (1985)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Market Integration and Contagion (2005)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)How Sovereign Is Sovereign Credit Risk? (2011)The Pricing of Options and Corporate Liabilities (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The Determinants of Credit Spread Changes (2001)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Theory of Rational Option Pricing (1973)Theory of rational option pricing (2005)Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching (2007)Markowitz’s mean-variance asset-liability management with regime switching: A continuous-time model (2008)Real option valuation in renewable energy literature: Research focus, trends and design (2017)Backward Stochastic Differential Equations in Finance (1997)Systemic Risk in Financial Systems (2001)Stochastic Integration and Differential Equations (2005)FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY (1968)Common risk factors in the returns on stocks and bonds (1993)How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk? (2012)Systemic sovereign credit risk: Lessons from the U.S. and Europe (2013)Environmental, social and governance disclosure and default risk (2021)An equilibrium characterization of the term structure (1977)A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables (2003)Stock Return Predictability: Is it There? (2006)Modelling Extremal Events (1997)An Introduction to Statistical Modeling of Extreme Values (2001)Goodness-of-fit tests for copulas: A review and a power study (2007)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach (2012)Basel Committee On Banking Supervision (2010)A critical review on supply chain risk – Definition, measure and modeling (2014)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)AMERICAN OPTIONS WITH REGIME SWITCHING (2002)
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References

  • 1999Modeling Term Structures of Defaultable Bonds2,547 cited
  • 2005Quantitative Risk Management: Concepts, Techniques, and Tools2,208 cited
  • 2006Quantitative Risk Management: Concepts, Techniques, and Tools2,014 cited
  • 2002International Asset Allocation With Regime Shifts1,779 cited
  • 2011Quantitative Risk Management998 cited
  • 2002Regime Switches in Interest Rates874 cited
  • 1996Swap Rates and Credit Quality480 cited
  • 2005Option pricing and Esscher transform under regime switching419 cited
  • 1999Mathematics of Financial Markets340 cited
  • 2011Corporate bond default risk: A 150-year perspective311 cited
  • 2007Regime Shifts in a Dynamic Term Structure Model of U.S. Treasury Bond Yields288 cited
  • 2001Information and option pricings274 cited
  • 1996Pricing Black-Scholes options with correlated credit risk270 cited
  • 2004Closed-Form Solutions for Perpetual American Put Options with Regime Switching228 cited
  • 1978Changes of filtrations and of probability measures207 cited
  • 2002Short rate nonlinearities and regime switches

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