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A Libor Market Model with Default Risk
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A Libor Market Model with Default Risk (2000)A Libor Market Model with Default RiskApplications of Gram–Charlier expansion and bond moments for pricing of interest rates and credit risk (2010)Applications of Gram–Charlier…Modeling and Valuation of Credit Risk (2004)Modeling and Valuation of Cre…Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Modeling Term Structures of Defaultable Bonds (1999)The Pricing of Options and Corporate Liabilities (1973)Continuous Martingales and Brownian Motion (1999)PDE approach to valuation and hedging of credit derivatives (2005)Stochastic Integration and Differential Equations (2005)Quadratic Hedging Methods for Defaultable Claims (2007)A cubature based algorithm to solve decoupled McKean–Vlasov forward–backward stochastic differential equations (2015)
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  • 2004Modeling and Valuation of Credit Risk43 cited
  • 2010Applications of Gram–Charlier expansion and bond moments for pricing of interest rates and credit risk23 cited

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