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Hedging of Defaultable Claims
16 references·16 citing·39 second hopsampled
Hedging of Defaultable Claims (2004)Hedging of Defaultable ClaimsForward-Backward Stochastic Differential Equations and their Applications (2007)Forward-Backward Stochastic D…Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…Stochastic Integration and Differential Equations (2005)Stochastic Integration and Di…Credit Risk : Pricing, Measurement, and Management (2003)Credit Risk : Pricing, Measur…Counterparty Risk and the Pricing of Defaultable Securities (2001)Counterparty Risk and the Pri…Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework (2000)Continuous-Time Mean-Variance…Backward stochastic differential equations and partial differential equations with quadratic growth (2000)Backward stochastic different…Stochastic controls : Hamiltonian systems and HJB equations (1999)Stochastic controls : Hamilto…On cox processes and credit risky securities (1998)On cox processes and credit r…Martingale Methods in Financial Modelling (1997)Martingale Methods in Financi…Backward Stochastic Differential Equations in Finance (1997)Backward Stochastic Different…Backward stochastic differential equations and integral-partial differential equations (1997)Backward stochastic different…Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market (1995)Dynamic Programming and Prici…Dynamic Asset Pricing Theory. 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this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 2005Stochastic Integration and Differential Equations4,594 cited
  • 1993Dynamic Asset Pricing Theory.2,891 cited
  • 1976VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS2,383 cited
  • 1997Backward Stochastic Differential Equations in Finance2,339 cited
  • 1999Stochastic controls : Hamiltonian systems and HJB equations1,780 cited
  • 1998On cox processes and credit risky securities1,213 cited
  • 1997Martingale Methods in Financial Modelling1,085 cited
  • 2000Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework1,009 cited
  • 2000Backward stochastic differential equations and partial differential equations with quadratic growth763 cited
  • 2007Forward-Backward Stochastic Differential Equations and their Applications675 cited
  • 2001Counterparty Risk and the Pricing of Defaultable Securities662 cited
  • 1995Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market649 cited
  • 2003Credit Risk : Pricing, Measurement, and Management587 cited

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  • 1997Backward stochastic differential equations and integral-partial differential equations538 cited
  • Cited by

    • 2009Dynamic hedging of synthetic CDO tranches with spread risk and default contagion54 cited
    • 2008Pricing and trading credit default swaps in a hazard process model52 cited
    • 2011Exponential Utility Maximization in an Incomplete Market with Defaults52 cited
    • 2010Up and down credit risk48 cited
    • 2010CREDIT RISK PREMIA AND QUADRATIC BSDEs WITH A SINGLE JUMP47 cited
    • 2005PRICING AND TRADING CREDIT DEFAULT SWAPS IN A HAZARD PROCESS MODEL47 cited
    • 2012Dynamic Hedging in Incomplete Markets: A Simple Solution47 cited
    • 2008Systematic equity-based credit risk: A CEV model with jump to default42 cited
    • 2007Mean–variance optimization problems for an accumulation phase in a defined benefit plan41 cited
    • 2009Utility valuation of multi-name credit derivatives and application to CDOs41 cited
    • 2005PDE approach to valuation and hedging of credit derivatives40 cited
    • 2017Game Options in an Imperfect Market with Default40 cited
    • 2014Optimal investment and contingent claim valuation in illiquid markets36 cited
    • 2009LOCAL RISK MINIMIZATION FOR DEFAULTABLE MARKETS34 cited
    • 2007Quadratic Hedging Methods for Defaultable Claims32 cited
    • 2006Multiscale Intensity Models for Single Name Credit Derivatives32 cited