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Stochastic Calculus and Applications.
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Stochastic Calculus and Applications. (1986)Stochastic Calculus and Applications.The Levered Equity Risk Premium and Credit Spreads: A Unified Framework (2009)The Levered Equity Risk Premi…Robust control and model misspecification (2006)Robust control and model miss…Backward stochastic differential equations with jumps and related non-linear expectations (2006)Backward stochastic different…An Equilibrium Model of Rare-Event Premia and Its Implication for Option Smirks (2004)An Equilibrium Model of Rare-…The Term Structure of Simple Forward Rates with Jump Risk (2003)The Term Structure of Simple …An explicit solution to an optimal stopping problem with regime switching (2001)An explicit solution to an op…Optimal risk and dividend distribution control models for an insurance company (2000)Optimal risk and dividend dis…A Two-Factor Hazard Rate Model for Pricing Risky Debt and the Term Structure of Credit Spreads (2000)A Two-Factor Hazard Rate Mode…Pricing the risks of default (1998)Pricing the risks of defaultOptional decompositions under constraints (1997)Optional decompositions under…Bond Market Structure in the Presence of Marked Point Processes (1997)Bond Market Structure in the …Linearity with Project Selection and Controllable Diffusion Rate in Continuous-Time Principal-Agent Problems (1995)Linearity with Project Select…The Interaction Between Time-Nonseparable Preferences and Time Aggregation (1993)The Interaction Between Time-…Pricing foreign currency options under stochastic interest rates (1991)Pricing foreign currency opti…General Equilibrium Pricing of Options on the Market Portfolio with Discontinuous Returns (1990)General Equilibrium Pricing o…A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios (1986)A Stochastic Calculus Model o…Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)A Theory of Rational Addiction (1988)Nonparametric estimation of structural models for high-frequency currency market data (1995)On the Mechanics of Forming and Estimating Dynamic Linear Economies (1995)Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis (1996)How Do House Prices Affect Consumption? Evidence from Micro Data (2005)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Optimum consumption and portfolio rules in a continuous-time model (1971)An Intertemporal Capital Asset Pricing Model (1973)Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case (1991)Portfolio and Consumption Decisions under Mean-Reverting Returns: An Exact Solution for Complete Markets (2002)Optimal Portfolio Choice under Loss Aversion (2004)The Pricing of Options and Corporate Liabilities (1973)Option pricing when underlying stock returns are discontinuous (1976)Asset Prices in an Exchange Economy (1978)O/S: The relative trading activity in options and stock (2009)Can Time-Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility? (2010)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Theory of the Term Structure of Interest Rates (1985)Swap Rates and Credit Quality (1996)Term Structure Dynamics in Theory and Reality (2003)Macroeconomic Dynamics and Credit Risk: A Global Perspective (2006)Adapted solution of a backward stochastic differential equation (1990)Backward Stochastic Differential Equations in Finance (1997)Limit Theorems for Stochastic Processes (2003)Reflected and doubly reflected BSDEs with jumps: A priori estimates and comparison (2008)BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART II: CVA (2012)BSDEs with jumps, optimization and applications to dynamic risk measures (2013)Theory of Rational Option Pricing (1973)Stochastic Differential Equations and Diffusion Processes (1983)20 Testing option pricing models (1995)Arbitrage, Cointegration, and Testing the Unbiasedness Hypothesis in Financial Markets (1995)The intersection of market and credit risk (2000)Theory of rational option pricing (2005)Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Continuous Martingales and Brownian Motion (1999)Beliefs, Doubts and Learning: Valuing Macroeconomic Risk (2007)Brownian Motion and Stochastic Calculus (2007)Fragile beliefs and the price of uncertainty (2010)Pricing Uncertainty Induced by Climate Change (2019)Risk, Uncertainty and Profit (1921)Risk, Ambiguity, and the Savage Axioms (1961)Model Uncertainty, Limited Market Participation, and Asset Prices (2005)Understanding Index Option Returns (2009)An equilibrium characterization of the term structure (1977)Towards a general theory of bond markets (1997)Interest Rate Dynamics and Consistent Forward Rate Curves (1999)Stochastic Integration and Differential Equations (2005)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Common risk factors in the returns on stocks and bonds (1993)Credit Default Swaps: A Survey (2014)Endogenous Liquidity and Defaultable Bonds (2014)Credit Ratings and Credit Risk: Is One Measure Enough? (2016)
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  • 1986A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios540 cited
  • 1998Pricing the risks of default469 cited
  • 1990General Equilibrium Pricing of Options on the Market Portfolio with Discontinuous Returns393 cited
  • 2004An Equilibrium Model of Rare-Event Premia and Its Implication for Option Smirks391 cited
  • 2006Robust control and model misspecification389 cited
  • 1997Bond Market Structure in the Presence of Marked Point Processes385 cited
  • 1991Pricing foreign currency options under stochastic interest rates349 cited
  • 2009The Levered Equity Risk Premium and Credit Spreads: A Unified Framework273 cited
  • 2006Backward stochastic differential equations with jumps and related non-linear expectations259 cited
  • 1993The Interaction Between Time-Nonseparable Preferences and Time Aggregation228 cited
  • 1997Optional decompositions under constraints220 cited
  • 2000Optimal risk and dividend distribution control models for an insurance company176 cited
  • 2003The Term Structure of Simple Forward Rates with Jump Risk175 cited
  • 2001An explicit solution to an optimal stopping problem with regime switching173 cited

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  • 1995Linearity with Project Selection and Controllable Diffusion Rate in Continuous-Time Principal-Agent Problems173 cited
  • 2000A Two-Factor Hazard Rate Model for Pricing Risky Debt and the Term Structure of Credit Spreads172 cited