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Time-inhomogeneous Levy processes in interest rate and credit risk models
16 references·5 citing·28 second hop
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 2005Stochastic Integration and Differential Equations4,594 cited
  • 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation3,170 cited
  • 1999Modeling Term Structures of Defaultable Bonds2,547 cited
  • 1976VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS2,383 cited
  • 1999Option valuation using the fast Fourier transform2,155 cited
  • 1995A Simple Approach to Valuing Risky Fixed and Floating Rate Debt2,090 cited
  • 2004Lévy Processes and Stochastic Calculus2,040 cited
  • 1995Pricing Derivatives on Financial Securities Subject to Credit Risk1,934 cited
  • 2002The Fine Structure of Asset Returns: An Empirical Investigation1,725 cited
  • 1990The Variance Gamma (V.G.) Model for Share Market Returns1,470 cited
  • 1997Processes of normal inverse Gaussian type1,224 cited
  • 1997The Market Model of Interest Rate Dynamics

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1,175 cited
  • 2001Interest Rate Models Theory and Practice1,148 cited
  • Cited by

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    • 2012THE AFFINE LIBOR MODELS39 cited
    • 2013Fourier-Based Valuation Methods in Mathematical Finance36 cited
    • 2007Calibration of Lévy Term Structure Models32 cited
    • 2013Variance optimal hedging for continuous time additive processes and applications25 cited