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Counterparty credit risk in a multivariate structural model with jumps
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Counterparty credit risk in a multivariate structural model with jumps (2015)Counterparty credit risk in a multivariat…Multivariate time changes for Lévy asset models: Characterization and calibration (2009)Multivariate time changes for…Credit value adjustment for credit default swaps via the structural default model (2009)Credit value adjustment for c…Valuation of credit default swaps (2008)Valuation of credit default s…A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions (2008)A Novel Pricing Method for Eu…A MULTIVARIATE VARIANCE GAMMA MODEL FOR FINANCIAL APPLICATIONS (2008)A MULTIVARIATE VARIANCE GAMMA…A Multivariate Jump-Driven Financial Asset Model (2006)A Multivariate Jump-Driven Fi…Modelling Dependence with Copulas and Applications to Risk Management (2003)Modelling Dependence with Cop…Financial Modelling with Jump Processes (2003)Financial Modelling with Jump…Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling (2003)Common Poisson Shock Models: …Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling (2003)Common Poisson Shock Models: …The term structure of credit spreads with jump risk (2001)The term structure of credit …Option valuation using the fast Fourier transform (1999)Option valuation using the fa…Changes of numéraire, changes of probability measure and option pricing (1995)Changes of numéraire, changes…Limit Theorems for Stochastic Processes (1987)Limit Theorems for Stochastic…VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS (1976)VALUING CORPORATE SECURITIES:…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…The Pricing of Options and Corporate Liabilities (1973)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)The Fine Structure of Asset Returns: An Empirical Investigation (2002)Variance Risk Premiums (2008)Extreme Values, Regular Variation and Point Processes (1987)Modelling of extremal events in insurance and finance (1994)An Introduction to Copulas (1999)Pair-copula constructions of multiple dependence (2007)Tails of multivariate Archimedean copulas (2009)Green bond and financial markets: Co-movement, diversification and price spillover effects (2018)Theory of Rational Option Pricing (1973)The stochastic behavior of common stock variances Value, leverage and interest rate effects (1982)Why Does Stock Market Volatility Change Over Time? (1989)The Determinants of Credit Spread Changes (2001)A Theory of the Term Structure of Interest Rates (1985)Extreme Value Dependence in Financial Markets: Diagnostics, Models, and Financial Implications (2003)Structural Models of Corporate Bond Pricing: An Empirical Analysis (2004)How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk? (2012)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Option pricing when underlying stock returns are discontinuous (1976)The valuation of options for alternative stochastic processes (1976)An equilibrium characterization of the term structure (1977)On the Pricing of Corporate Debt: The Risk Structure of Interest Rates (1974)The structural modeling of operational risk via Bayesian inference: combining loss data with expert opinions (2006)Hierarchical Insurance Claims Modeling (2008)Pricing early-exercise and discrete barrier options by fourier-cosine series expansions (2009)On the Heston Model with Stochastic Interest Rates (2011)“Options, Futures, and Other Derivatives” (2016)Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets (2018)The Relative Contribution of Jumps to Total Price Variance (2005)What's Vol Got to Do with It (2010)Arbitrage Theory in Continuous Time (1998)Arbitrage Theory in Continuous Time (2004)Pricing Derivatives on Financial Securities Subject to Credit Risk (1995)
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References

  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*11,230 cited
  • 2003Financial Modelling with Jump Processes3,261 cited
  • 1976VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS2,422 cited
  • 1999Option valuation using the fast Fourier transform2,155 cited
  • 1987Limit Theorems for Stochastic Processes1,329 cited
  • 2003Modelling Dependence with Copulas and Applications to Risk Management1,060 cited
  • 1995Changes of numéraire, changes of probability measure and option pricing808 cited
  • 2008A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions718 cited
  • 2001The term structure of credit spreads with jump risk511 cited
  • 2003Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling216 cited
  • 2006A Multivariate Jump-Driven Financial Asset Model204 cited
  • 2009Credit value adjustment for credit default swaps via the structural default model151 cited
  • 2008Valuation of credit default swaps110 cited
  • 2008A MULTIVARIATE VARIANCE GAMMA MODEL FOR FINANCIAL APPLICATIONS109 cited
  • 2003Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling

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107 cited
  • 2009Multivariate time changes for Lévy asset models: Characterization and calibration104 cited
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