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TENOR SPECIFIC PRICING
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TENOR SPECIFIC PRICING (2011)TENOR SPECIFIC PRICINGMARKETS AS A COUNTERPARTY: AN INTRODUCTION TO CONIC FINANCE (2010)MARKETS AS A COUNTERPARTY: AN…Solving the Puzzle in the Interest Rate Market (2009)Solving the Puzzle in the Int…A multi-quality model of interest rates (2009)A multi-quality model of inte…Risk measures via -expectations (2006)Risk measures via -expectatio…Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes (2006)Exact Simulation of Stochasti…Nonlinear Expectations, Nonlinear Evaluations and Risk Measures (2004)Nonlinear Expectations, Nonli…Monte Carlo Methods in Financial Engineering (2003)Monte Carlo Methods in Financ…The Theory of Good-Deal Pricing in Financial Markets (2002)The Theory of Good-Deal Prici…Pricing and hedging in incomplete markets (2001)Pricing and hedging in incomp…Coherent risk measures and good-deal bounds (2001)Coherent risk measures and go…Gain, Loss, and Asset Pricing (2000)Gain, Loss, and Asset PricingBeyond Arbitrage: Good‐Deal Asset Price Bounds in Incomplete Markets (2000)Beyond Arbitrage: Good‐Deal A…Coherent Measures of Risk (1999)Coherent Measures of RiskNon-linear pricing theory and backward stochastic differential equations (1997)Non-linear pricing theory and…Beyond Arbitrage: "Good-Deal" Asset Price Bounds in Incomplete Markets (1996)Beyond Arbitrage: "Good-Deal"…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Prospect theory: An analysis of decision under risk (1988)Does the choice of performance measure influence the evaluation of hedge funds? (2007)No-dynamic-arbitrage and market impact (2010)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Dynamic Monetary Risk Measures for Bounded Discrete-Time Processes (2006)New Measures for Performance Evaluation (2008)RISK MEASURES ON ORLICZ HEARTS (2009)A comparison of biased simulation schemes for stochastic volatility models (2009)Numerical solution of stochastic differential equations (2016)Exploring the sources of default clustering (2018)Deep hedging (2019)Adapted solution of a backward stochastic differential equation (1990)Dynamic exponential utility indifference valuation (2005)Brownian Motion and Stochastic Calculus (2007)DYNAMIC INDIFFERENCE VALUATION VIA CONVEX RISK MEASURES (2007)Survey on normal distributions, central limit theorem, Brownian motion and the related stochastic calculus under sublinear expectations (2009)Stochastic Differential Equations and Diffusion Processes (1983)Rate of convergence of an empirical regression method for solving generalized backward stochastic differential equations (2006)Anticipated backward stochastic differential equations (2009)ANTICIPATED BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS 1 (2012)Common risk factors in the returns on stocks and bonds (1993)Investment under Uncertainty (1994)Empirical option pricing: a retrospection (2003)The Recovery Theorem (2011)Interpreting Factor Models (2018)Optimum consumption and portfolio rules in a continuous-time model (1971)An equilibrium characterization of the term structure (1977)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Dynamic Asset Pricing Theory. (1993)Theory of rational option pricing (2005)Multilevel Monte Carlo Path Simulation (2008)Can Time‐Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility? (2013)Simulation Modeling and Analysis (2016)Conditional value-at-risk for general loss distributions (2002)Modeling and Forecasting Realized Volatility (2003)Theory and Applications of Robust Optimization (2010)Losing Money on Arbitrage: Optimal Dynamic Portfolio Choice in Markets with Arbitrage Opportunities (2003)Price Manipulation and Quasi-Arbitrage (2004)
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References

  • 1999Coherent Measures of Risk8,849 cited
  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 2003Monte Carlo Methods in Financial Engineering3,818 cited
  • 2006Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes493 cited
  • 2000Gain, Loss, and Asset Pricing475 cited
  • 2000Beyond Arbitrage: Good‐Deal Asset Price Bounds in Incomplete Markets419 cited
  • 1996Beyond Arbitrage: "Good-Deal" Asset Price Bounds in Incomplete Markets405 cited
  • 2001Pricing and hedging in incomplete markets300 cited
  • 2006Risk measures via -expectations289 cited
  • 2004Nonlinear Expectations, Nonlinear Evaluations and Risk Measures278 cited
  • 2001Coherent risk measures and good-deal bounds208 cited
  • 2010MARKETS AS A COUNTERPARTY: AN INTRODUCTION TO CONIC FINANCE168 cited
  • 1997Non-linear pricing theory and backward stochastic differential equations150 cited
  • 2002The Theory of Good-Deal Pricing in Financial Markets123 cited
  • 2009A multi-quality model of interest rates105 cited
  • 2009Solving the Puzzle in the Interest Rate Market

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