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Interest Rate Models — Theory and Practice
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Interest Rate Models — Theory and Practice (2006)Interest Rate Models — Theory and PracticeSOCIAL DISCOUNTING AND THE LONG RATE OF INTEREST (2016)SOCIAL DISCOUNTING AND THE LO…Pricing and hedging GLWB in the Heston and in the Black–Scholes with stochastic interest rate models (2016)Pricing and hedging GLWB in t…THE MULTI-CURVE POTENTIAL MODEL (2015)THE MULTI-CURVE POTENTIAL MOD…More Mathematical Finance (2012)More Mathematical FinanceA mean-reverting SDE on correlation matrices (2012)A mean-reverting SDE on corre…THE DOTHAN PRICING MODEL REVISITED (2010)THE DOTHAN PRICING MODEL REVI…Multiscale Intensity Models and Name Grouping for Valuation of Multi-Name Credit Derivatives (2009)Multiscale Intensity Models a…Affine diffusion processes: theory and applications (2009)Affine diffusion processes: t…A Market Model of Interest Rates with Dynamic Basis Spreads in the Presence of Collateral and Multiple Currencies (2009)A Market Model of Interest Ra…The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Theory of rational option pricing (2005)Brownian motion and stochastic calculus (1991)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Brownian Motion and Stochastic Calculus (2007)The Jacobi stochastic volatility model (2018)Infinite-dimensional polynomial processes (2021)Handbook of Brownian Motion — Facts and Formulae (1996)The Market Model of Interest Rate Dynamics (1997)Interest Rate Models Theory and Practice (2001)LIBOR and swap market models and measures (1997)A LIBOR Market Model with Stochastic Basis (2010)Derivative pricing under asymmetric and imperfect collateralization and CVA (2013)A General HJM Framework for Multiple Yield Curve Modeling (2014)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Affine Processes on Positive Semidefinite Matrices (2009)Construction of a class of forward performance processes in stochastic factor models, and an extension of Widder’s theorem (2020)Nonlinear price impact and portfolio choice (2020)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Gaussian Process Regression for Pricing Variable Annuities with Stochastic Volatility and Interest Rate (2019)Hybrid Equity Swap, Cap, and Floor Pricing Under Stochastic Interest by Markov Chain Approximation (2022)Golden Eggs and Hyperbolic Discounting (1997)The Economics of Climate Change (2007)The Economics of Climate Change: The Stern Review (2007)Long Term Risk: A Martingale Approach (2014)Option valuation using the fast Fourier transform (1999)On Default Correlation (2000)Copula Methods in Finance (2004)Utility valuation of multi-name credit derivatives and application to CDOs (2009)PARTICLE METHODS FOR THE ESTIMATION OF CREDIT PORTFOLIO LOSS DISTRIBUTIONS (2010)Risk Analysis of Collateralized Debt Obligations (2010)Martingale Methods in Financial Modelling (1997)Arbitrage Theory in Continuous Time (2004)Stochastic Integration and Differential Equations (2005)Rational multi-curve models with counterparty-risk valuation adjustments (2015)Multiple Yield Curve Modelling With CBI Processes (2019)
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Cited by

  • 2009Multiscale Intensity Models and Name Grouping for Valuation of Multi-Name Credit Derivatives48 cited
  • 2009A Market Model of Interest Rates with Dynamic Basis Spreads in the Presence of Collateral and Multiple Currencies44 cited
  • 2009Affine diffusion processes: theory and applications33 cited
  • 2015THE MULTI-CURVE POTENTIAL MODEL23 cited
  • 2012A mean-reverting SDE on correlation matrices21 cited
  • 2010THE DOTHAN PRICING MODEL REVISITED20 cited
  • 2016Pricing and hedging GLWB in the Heston and in the Black–Scholes with stochastic interest rate models18 cited
  • 2016SOCIAL DISCOUNTING AND THE LONG RATE OF INTEREST17 cited
  • 2012More Mathematical Finance16 cited

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