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Utility Valuation of Credit Derivatives: Single and Two-Name Cases
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Utility Valuation of Credit Derivatives: Single and Two-Name Cases (2007)Utility Valuation of Credit Derivatives: …Credit Risk Modeling: Theory and Applications (2004)Credit Risk Modeling: Theory …Credit Risk Modeling (2004)Credit Risk ModelingCredit Risk (2003)Credit RiskCredit Derivatives Pricing Models (2003)Credit Derivatives Pricing Mo…Exponential Hedging and Entropic Penalties (2002)Exponential Hedging and Entro…Utility maximization in incomplete markets with random endowment (2001)Utility maximization in incom…The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)The asymptotic elasticity of …Pricing the risks of default (1998)Pricing the risks of defaultOn cox processes and credit risky securities (1998)On cox processes and credit r…Methods of Mathematical Finance (1998)Methods of Mathematical Finan…Pricing Derivatives on Financial Securities Subject to Credit Risk (1995)Pricing Derivatives on Financ…Pricing Derivatives on Financial Securities Subject to Credit Risk (1995)Pricing Derivatives on Financ…European Option Pricing with Transaction Costs (1993)European Option Pricing with …Optimal replication of contingent claims under transaction costs (1989)Optimal replication of contin…An introduction to mathematical risk theory (1979)An introduction to mathematic…Mathematical Methods in Risk Theory (1970)Mathematical Methods in Risk …Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Optimum consumption and portfolio rules in a continuous-time model (1971)Arbitrage Theory in Continuous Time (2004)Utility maximization in incomplete markets (2005)Brownian Motion and Stochastic Calculus (2007)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Option pricing when underlying stock returns are discontinuous (1976)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Modeling Term Structures of Defaultable Bonds (1999)The Determinants of Credit Spread Changes (2001)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)The Pricing of Options and Corporate Liabilities (1973)Term Structures of Credit Spreads with Incomplete Accounting Information (2001)Affine processes and applications in finance (2003)Credit Risk: Modeling, Valuation and Hedging (2004)Option Pricing and Replication with Transactions Costs (1985)Portfolio Selection with Transaction Costs (1990)Option pricing with transaction costs and a nonlinear Black-Scholes equation (1998)A solution approach to valuation with unhedgeable risks (2001)Deep hedging (2019)Financial Ratios As Predictors of Failure (1966)FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY (1968)Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk (2006)From failure to failure: The politics of international banking regulation (2011)Transnational regulatory capture? An empirical examination of the transnational lobbying of the Basel Committee on Banking Supervision (2012)Option pricing by Esscher transforms. (1995)Premium Calculation by Transforming the Layer Premium Density (1996)On the Time Value of Ruin (1998)Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)A Jump-Diffusion Model for Option Pricing (2002)Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (2004)Estimates for the probability of ruin with special emphasis on the possibility of large claims (1982)Controlled diffusion models for optimal dividend pay-out (1997)Inf-convolution of risk measures and optimal risk transfer (2005)Option Replication in Discrete Time with Transaction Costs (1992)Optimal Investment and Consumption with Transaction Costs (1994)How Profitable Is Capital Structure Arbitrage? (2006)Measuring Default Risk Premia from Default Swap Rates and EDFs (2007)An Empirical Analysis of the Pricing of Collateralized Debt Obligations (2008)
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References

  • 1998Methods of Mathematical Finance1,939 cited
  • 1995Pricing Derivatives on Financial Securities Subject to Credit Risk1,934 cited
  • 1998On cox processes and credit risky securities1,213 cited
  • 1999The asymptotic elasticity of utility functions and optimal investment in incomplete markets948 cited
  • 1979An introduction to mathematical risk theory914 cited
  • 1970Mathematical Methods in Risk Theory718 cited
  • 1989Optimal replication of contingent claims under transaction costs605 cited
  • 2003Credit Risk560 cited
  • 2004Credit Risk Modeling530 cited
  • 1993European Option Pricing with Transaction Costs474 cited
  • 1998Pricing the risks of default469 cited
  • 1995Pricing Derivatives on Financial Securities Subject to Credit Risk396 cited
  • 2004Credit Risk Modeling: Theory and Applications375 cited
  • 2002Exponential Hedging and Entropic Penalties369 cited
  • 2003Credit Derivatives Pricing Models366 cited
  • 2001Utility maximization in incomplete markets with random endowment229 cited

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