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Pricing derivatives with counterparty risk and collateralization: A fixed point approach
16 references·0 citing·44 second hop
Pricing derivatives with counterparty risk and collateralization: A fixed point approach (2015)Pricing derivatives with counterparty ris…CVA and Wrong-Way Risk (2012)CVA and Wrong-Way RiskARBITRAGE‐FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS (2012)ARBITRAGE‐FREE BILATERAL COUN…Market structures and systemic risks of exchange-traded funds (2011)Market structures and systemi…Partial Differential Equation Representations of Derivatives with Bilateral Counterparty Risk and Funding Costs (2010)Partial Differential Equation…Optimal investment with counterparty risk: a default-density model approach (2010)Optimal investment with count…Counterparty Risk in Financial Contracts: Should the Insured Worry about the Insurer?* (2010)Counterparty Risk in Financia…COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION (2009)COUNTERPARTY RISK FOR CREDIT …ACCOUNTING FOR RISK AVERSION, VESTING, JOB TERMINATION RISK AND MULTIPLE EXERCISES IN VALUATION OF EMPLOYEE STOCK OPTIONS (2009)ACCOUNTING FOR RISK AVERSION,…PRICING EQUITY DERIVATIVES SUBJECT TO BANKRUPTCY (2006)PRICING EQUITY DERIVATIVES SU…A jump to default extended CEV model: an application of Bessel processes (2006)A jump to default extended CE…Classical solutions to reaction–diffusion systems for hedging problems with interacting Itô and point processes (2005)Classical solutions to reacti…Credit Derivatives Pricing Models (2003)Credit Derivatives Pricing Mo…Martingales versus PDEs in finance: an equivalence result with examples (2000)Martingales versus PDEs in fi…Pricing the risks of default (1998)Pricing the risks of defaultThe Mathematics of Financial Derivatives (1995)The Mathematics of Financial …Option pricing when underlying stock returns are discontinuous (1976)Option pricing when underlyin…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Continuous Martingales and Brownian Motion (1999)CREDIT SPREADS, OPTIMAL CAPITAL STRUCTURE, AND IMPLIED VOLATILITY WITH ENDOGENOUS DEFAULT AND JUMP RISK (2009)Stock Options and Credit Default Swaps: A Joint Framework for Valuation and Estimation (2009)The Pricing of Options and Corporate Liabilities (1973)A Theory of the Term Structure of Interest Rates (1985)Modeling Term Structures of Defaultable Bonds (1999)Prospect Theory and Asset Prices (2001)Default Risk in Equity Returns (2004)Stochastic Differential Equations and Diffusion Processes (1983)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis (2001)A Jump-Diffusion Model for Option Pricing (2002)“Options, Futures, and Other Derivatives” (2016)Brownian Motion and Stochastic Calculus (2007)TIME-CHANGED MARKOV PROCESSES IN UNIFIED CREDIT-EQUITY MODELING (2010)Time-changed CIR default intensities with two-sided mean-reverting jumps (2014)Positive Eigenfunctions of Markovian Pricing Operators: Hansen-Scheinkman Factorization, Ross Recovery, and Long-Term Pricing (2016)Credit Risk: Modeling, Valuation and Hedging (2004)Stochastic Integration and Differential Equations (2005)Funding Valuation Adjustment: A Consistent Framework Including CVA, DVA, Collateral, Netting Rules and Re-Hypothecation (2011)Funding, Collateral and Hedging: Uncovering the Mechanics and the Subtleties of Funding Valuation Adjustments (2012)Pricing vulnerable options with stochastic volatility (2017)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Option pricing: A simplified approach (1979)The Value of Waiting to Invest (1982)The Pricing of Options on Assets with Stochastic Volatilities (1987)Pricing Swap Default Risk (1994)Interest Rate Models Theory and Practice (2001)Interest rate models : theory and practice : with smile, inflation and credit (2006)Bilateral Counterparty Risk Valuation with Stochastic Dynamical Models and Application to Credit Default Swaps (2008)Credit value adjustment for credit default swaps via the structural default model (2009)BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART II: CVA (2012)Pricing Derivatives on Financial Securities Subject to Credit Risk (1995)Counterparty Risk and the Pricing of Defaultable Securities (2001)BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART I: PRICING (2012)On Multilevel Picard Numerical Approximations for High-Dimensional Nonlinear Parabolic Partial Differential Equations and High-Dimensional Nonlinear Backward Stochastic Differential Equations (2019)Survival Analysis Methods for Personal Loan Data (2002)Fractional Diffusion Models of Option Prices in Markets With Jumps (2006)Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis and Computation (2007)Arbitrage Theory in Continuous Time (2004)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Forecasting: theory and practice (2022)
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References

  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 1995The Mathematics of Financial Derivatives1,037 cited
  • 2003Credit Derivatives Pricing Models706 cited
  • 1998Pricing the risks of default469 cited
  • 2006A jump to default extended CEV model: an application of Bessel processes227 cited
  • 2010Partial Differential Equation Representations of Derivatives with Bilateral Counterparty Risk and Funding Costs179 cited
  • 2009COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION175 cited
  • 2012ARBITRAGE‐FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS158 cited
  • 2006PRICING EQUITY DERIVATIVES SUBJECT TO BANKRUPTCY152 cited
  • 2000Martingales versus PDEs in finance: an equivalence result with examples125 cited
  • 2012CVA and Wrong-Way Risk108 cited
  • 2009ACCOUNTING FOR RISK AVERSION, VESTING, JOB TERMINATION RISK AND MULTIPLE EXERCISES IN VALUATION OF EMPLOYEE STOCK OPTIONS99 cited
  • 2010Optimal investment with counterparty risk: a default-density model approach69 cited
  • 2010Counterparty Risk in Financial Contracts: Should the Insured Worry about the Insurer?*61 cited
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Classical solutions to reaction–diffusion systems for hedging problems with interacting Itô and point processes
60 cited
  • 2011Market structures and systemic risks of exchange-traded funds51 cited
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