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Stochastic Calculus for Finance I
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Stochastic Calculus for Finance I (2004)Stochastic Calculus for Finance IStatistical arbitrage in the Black–Scholes framework (2014)Statistical arbitrage in the …REAL OPTIONS WITH COMPETITION AND REGIME SWITCHING (2014)REAL OPTIONS WITH COMPETITION…AN EFFECTIVE APPROXIMATION FOR ZERO-COUPON BONDS AND ARROW–DEBREU PRICES IN THE BLACK–KARASINSKI MODEL (2014)AN EFFECTIVE APPROXIMATION FO…Extension of stochastic volatility equity models with the Hull–White interest rate process (2009)Extension of stochastic volat…Private Equity and Regulatory Capital (2008)Private Equity and Regulatory…Determinants of corporate borrowing (1977)Investment under Uncertainty (1994)Investment Under Uncertainty. (1994)The Pricing of Options and Corporate Liabilities (1973)Market efficiency, long-term returns, and behavioral finance1The comments of Brad Barber, David Hirshleifer, S.P. Kothari, Owen Lamont, Mark Mitchell, Hersh Shefrin, Robert Shiller, Rex Sinquefield, Richard Thaler, Theo Vermaelen, Robert Vishny, Ivo Welch, and a referee have been helpful. Kenneth French and Jay Ritter get special thanks.1 (1998)Stochastic Calculus for Finance II: Continuous-Time Models (2004)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Coherent Measures of Risk (1999)Brownian Motion and Stochastic Calculus (2007)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)Monte Carlo Methods in Financial Engineering (2003)Path integral and asset pricing (2015)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Pricing of foreign exchange options under the Heston stochastic volatility model and CIR interest rates (2013)A closed-form pricing formula for European options under the Heston model with stochastic interest rate (2017)Pricing foreign exchange options under a hybrid Heston-Cox-Ingersoll-Ross model with regime switching (2021)
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  • 2009Extension of stochastic volatility equity models with the Hull–White interest rate process75 cited
  • 2008Private Equity and Regulatory Capital28 cited
  • 2014AN EFFECTIVE APPROXIMATION FOR ZERO-COUPON BONDS AND ARROW–DEBREU PRICES IN THE BLACK–KARASINSKI MODEL26 cited
  • 2014REAL OPTIONS WITH COMPETITION AND REGIME SWITCHING23 cited
  • 2014Statistical arbitrage in the Black–Scholes framework19 cited

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