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A stochastic McKean–Vlasov equation for absorbing diffusions on the half-line
16 references·0 citing·41 second hop
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References

  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 1976VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS2,383 cited
  • 2004Copula Methods in Finance2,013 cited
  • 2002Stochastic-process limits : an introduction to stochastic-process limits and their application to queues468 cited
  • 2013Probabilistic Analysis of Mean-Field Games435 cited
  • 2010Affine Point Processes and Portfolio Credit Risk373 cited
  • 2003Credit Derivatives Pricing Models: Models, Pricing and Implementation355 cited
  • 2001Valuing Credit Default Swaps II341 cited
  • 2005Extensions to the Gaussian copula: random recovery and random factor loadings336 cited
  • 2001An Analysis of Default Correlations and Multiple Defaults313 cited
  • 2003Dependent defaults in models of portfolio credit risk303 cited
  • 2003Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling216 cited
  • 2005Credit contagion and aggregate losses172 cited
  • 2022A Probabilistic Approach to Classical Solutions of the Master Equation for Large Population Equilibria147 cited

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  • 2011The stochastic Fubini theorem revisited145 cited
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