References

• 2007Brownian Motion and Stochastic Calculus7,421 cited
• 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions2,789 cited
• 2004Credit Risk: Modeling, Valuation and Hedging1,064 cited
• 2001Risk and Valuation of Collateralized Debt Obligations599 cited
• 2004Credit Risk Modeling530 cited
• 2004Credit Risk Modeling: Theory and Applications375 cited
• 2000Volatility skews and extensions of the Libor market model277 cited
• 2012BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART II: CVA163 cited
• 2004Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model163 cited
• 2012ARBITRAGE‐FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS158 cited
• 2009Credit value adjustment for credit default swaps via the structural default model151 cited
• 2012BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART I: PRICING130 cited
• 2004A GENERAL FRAMEWORK FOR PRICING CREDIT RISK84 cited
• 2009Modelling, Pricing, and Hedging Counterparty Credit Exposure80 cited
• 2013Default clustering in large portfolios: Typical events77 cited