Alan White : Citation Profile


Are you Alan White?

7

H index

7

i10 index

922

Citations

RESEARCH PRODUCTION:

18

Articles

4

Papers

1

Chapters

RESEARCH ACTIVITY:

   30 years (1987 - 2017). See details.
   Cites by year: 30
   Journals where Alan White has often published
   Relations with other researchers
   Recent citing documents: 84.    Total self citations: 1 (0.11 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pwh61
   Updated: 2018-11-10    RAS profile: 2018-03-28    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Alan White.

Is cited by:

Chiarella, Carl (15)

Schlogl, Erik (8)

Nikitopoulos-Sklibosios, Christina (8)

LINTON, OLIVER (8)

Platen, Eckhard (7)

Bjork, Tomas (6)

Pelsser, Antoon (6)

Kristensen, Dennis (5)

Afonso, Antonio (5)

Bannier, Christina (5)

santos, joao (5)

Cites to:

Chen, Zhiwu (4)

White, Alan (4)

Cao, Charles (4)

Alexander, Carol (3)

Vorst, Ton (2)

Houweling, Patrick (2)

Bardsley, Peter (2)

Campbell, John (2)

merton, robert (2)

Richardson, James (2)

Scholes, Myron (2)

Main data


Where Alan White has published?


Journals with more than one article published# docs
Journal of Banking & Finance3
Journal of Financial and Quantitative Analysis3
American Journal of Public Health3
AFBM Journal2

Working Papers Series with more than one paper published# docs
EB Series / Cornell University, Department of Applied Economics and Management2

Recent works citing Alan White (2018 and 2017)


YearTitle of citing document
2017The TIPS Liquidity Premium. (2017). Andreasen, Martin M ; Riddell, Simon . In: CREATES Research Papers. RePEc:aah:create:2017-27.

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2017A unified framework for pricing credit and equity derivatives. (2017). de Martino, Andrea ; Stagni, Roberto ; Ruiz, Edward Manuel. In: Working Papers. RePEc:apc:wpaper:2017-116.

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2017Modeling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps. (2017). Itkin, Andrey. In: Papers. RePEc:arx:papers:1701.02821.

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2017Estimating the Counterparty Risk Exposure by using the Brownian Motion Local Time. (2017). Bonollo, Michele ; Oliva, Immacolata ; Mammi, Luca ; di Persio, Luca. In: Papers. RePEc:arx:papers:1704.03244.

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2017Model Uncertainty, Recalibration, and the Emergence of Delta-Vega Hedging. (2017). Herrmann, Sebastian ; Muhle-Karbe, Johannes. In: Papers. RePEc:arx:papers:1704.04524.

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2018Pricing Derivatives under Multiple Stochastic Factors by Localized Radial Basis Function Methods. (2018). Milovanovi, Slobodan ; Shcherbakov, Victor. In: Papers. RePEc:arx:papers:1711.09852.

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2017Back-of-the-envelope swaptions in a very parsimonious multicurve interest rate model. (2017). Baviera, Roberto. In: Papers. RePEc:arx:papers:1712.06466.

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2018Rational Models for Inflation-Linked Derivatives. (2018). Dam, Henrik ; Sloth, David ; Skovmand, David ; Macrina, Andrea. In: Papers. RePEc:arx:papers:1801.08804.

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2018The Samuelson Effect and Seasonal Stochastic Volatility in Agricultural Futures Markets. (2018). Schneider, Lorenz ; Tavin, Bertrand. In: Papers. RePEc:arx:papers:1802.01393.

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2018Calibration of Local Volatility Model with Stochastic Interest Rates by Efficient Numerical PDE Method. (2018). Hok, Julien ; Tan, Shih-Hau . In: Papers. RePEc:arx:papers:1803.03941.

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2018Valuation of contingent convertible catastrophe bonds - the case for equity conversion. (2018). Burnecki, Krzysztof ; Palmowski, Zbigniew ; Nicol, Mario. In: Papers. RePEc:arx:papers:1804.07997.

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2018A Feynman-Kac type formula for a fixed delay CIR model. (2018). Flore, Federico ; Nappo, Giovanna . In: Papers. RePEc:arx:papers:1806.00997.

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2018On The Calibration of Short-Term Interest Rates Through a CIR Model. (2018). Orlando, Giuseppe ; Bufalo, Michele ; Mininni, Rosa Maria. In: Papers. RePEc:arx:papers:1806.03683.

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2018On smile properties of volatility derivatives and exotic products: understanding the VIX skew. (2018). Alos, Elisa ; Muguruza, Aitor ; Garc, David. In: Papers. RePEc:arx:papers:1808.03610.

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2018Geometric Local Variance Gamma model. (2018). Carr, Peter ; Itkin, Andrey. In: Papers. RePEc:arx:papers:1809.07727.

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2018Deep calibration of rough stochastic volatility models. (2018). Bayer, Christian ; Stemper, Benjamin. In: Papers. RePEc:arx:papers:1810.03399.

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2018Optimal hedging under fast-varying stochastic volatility. (2018). Garnier, Josselin ; Solna, Knut. In: Papers. RePEc:arx:papers:1810.08337.

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2018Are credit rating agencies discredited? Measuring market price effects from agency sovereign debt announcements. (2018). Miao, Evan Weicheng ; Binici, Mahir ; Hutchison, Michael M. In: BIS Working Papers. RePEc:bis:biswps:704.

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2017The role of managerial risk-taking in the ‘rise and fall’ of the CDS market. (2017). Dias, Roshanthi . In: Accounting and Finance. RePEc:bla:acctfi:v:57:y:2017:i::p:117-145.

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2017Single- and Cross-Generation Natural Hedging of Longevity and Financial Risk. (2017). luciano, elisa ; Vigna, Elena ; Regis, Luca. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:84:y:2017:i:3:p:961-986.

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2018Term Structure Models During the Global Financial Crisis: A Parsimonious Text Mining Approach. (2018). Nishimura, Kiyohiko G ; Takahashi, Akihiko ; Sato, Seisho. In: CARF F-Series. RePEc:cfi:fseres:cf446.

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2017Credit Ratings and Market Information. (2017). Piccolo, Alessio ; Shapiro, Joel. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11961.

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2017Pricing Vulnerable Options with Constant Elasticity of Variance versus Stochastic Elasticity of Variance. (2017). Lee, Min-Ku ; Kim, Jeong-Hoon ; Yang, Phd Sung-Jin . In: ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH. RePEc:cys:ecocyb:v:50:y:2017:i:1:p:.

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2018The Term Structure of Redenomination Risk. (2018). Kim, Chi Hyun ; Bayer, Christian ; Kriwoluzky, Alexander. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1740.

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2018Discretionary fiscal policy and sovereign risk. (2018). Montes, Gabriel Caldas ; Valpassos, Iven Silva. In: Economics Bulletin. RePEc:ebl:ecbull:eb-18-00081.

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2017Pricing and simulating catastrophe risk bonds in a Markov-dependent environment. (2017). Shao, Jia ; Pantelous, Athanasios A ; Papaioannou, Apostolos D. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:309:y:2017:i:c:p:68-84.

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2018Numerical solution of generalized Black–Scholes model. (2018). Sekhara, Chandra S ; Manisha, . In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:321:y:2018:i:c:p:401-421.

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2017A unified approach to Bermudan and barrier options under stochastic volatility models with jumps. (2017). Kirkby, Lars J ; Cui, Zhenyu ; Nguyen, Duy. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:80:y:2017:i:c:p:75-100.

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2018Evaluation of counterparty risk for derivatives with early-exercise features. (2018). BRETON, Michel E ; Marzouk, Oussama. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:88:y:2018:i:c:p:1-20.

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2018A term structure model under cyclical fluctuations in interest rates. (2018). Novales, Alfonso ; Platania, Federico ; Moreno, Manuel . In: Economic Modelling. RePEc:eee:ecmode:v:72:y:2018:i:c:p:140-150.

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2017Pricing Range Accrual Interest Rate Swap employing LIBOR market models with jump risks. (2017). Lin, Shih-Kuei ; Xu, Lian-Wen ; Chen, Carl R ; Wang, Shin-Yun . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:359-373.

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2017Scenario generation for long run interest rate risk assessment. (2017). Roussellet, Guillaume ; Engle, Robert ; Siriwardane, Emil. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:333-347.

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2017How credit ratings affect sovereign credit risk: Cross-border evidence in Latin American emerging markets. (2017). Ballester, Laura ; Gonzalez-Urteaga, Ana . In: Emerging Markets Review. RePEc:eee:ememar:v:30:y:2017:i:c:p:200-214.

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2017Information asymmetry and investor trading behavior around bond rating change announcements. (2017). Yang, Hee Jin ; Ahn, Hee-Joon ; Kim, Maria H ; Ryu, Doojin. In: Emerging Markets Review. RePEc:eee:ememar:v:32:y:2017:i:c:p:38-51.

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2017Gaussian estimation and forecasting of the U.K. yield curve with multi-factor continuous-time models. (2017). Tunaru, Diana . In: International Review of Financial Analysis. RePEc:eee:finana:v:52:y:2017:i:c:p:119-129.

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2018The reputational effects of analysts stock recommendations and credit ratings: Evidence from operational risk announcements in the financial industry. (2018). Barakat, Ahmed ; Fenn, Paul ; Ashby, Simon. In: International Review of Financial Analysis. RePEc:eee:finana:v:55:y:2018:i:c:p:1-22.

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2017What determines bank CDS spreads? Evidence from European and US banks. (2017). Thornton, John ; di Tommaso, Caterina ; Drago, Danilo. In: Finance Research Letters. RePEc:eee:finlet:v:22:y:2017:i:c:p:140-145.

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2018Using the right implied volatility quotes in times of low interest rates: An empirical analysis across different currencies. (2018). Patel, Jinal ; Fabozzi, Frank J ; Russo, Vincenzo. In: Finance Research Letters. RePEc:eee:finlet:v:25:y:2018:i:c:p:196-201.

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2017Institutional investment horizon, the information environment, and firm credit risk. (2017). Switzer, Lorne ; Wang, Jun. In: Journal of Financial Stability. RePEc:eee:finsta:v:29:y:2017:i:c:p:57-71.

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2017An international forensic perspective of the determinants of bank CDS spreads. (2017). Sousa, Ricardo ; Mallick, Sushanta ; Benbouzid, Nadia. In: Journal of Financial Stability. RePEc:eee:finsta:v:33:y:2017:i:c:p:60-70.

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2018Pension risk management with funding and buyout options. (2018). Cox, Samuel H ; Shi, Tianxiang ; Lin, Yijia. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:78:y:2018:i:c:p:183-200.

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2018Optimal surrender of guaranteed minimum maturity benefits under stochastic volatility and interest rates. (2018). Kang, Boda ; Ziveyi, Jonathan. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:79:y:2018:i:c:p:43-56.

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2017Do country-level financial structures explain bank-level CDS spreads?. (2017). Sousa, Ricardo ; Mallick, Sushanta ; Benbouzid, Nadia. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:48:y:2017:i:c:p:135-145.

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2017Is default risk priced equally fast in the credit default swap and the stock markets? AN empirical investigation. (2017). Tolikas, Konstantinos ; Topaloglou, Nikolas. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:51:y:2017:i:c:p:39-57.

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2017Information in CDS spreads. (2017). Norden, Lars . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:75:y:2017:i:c:p:118-135.

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2017The impact of sovereign rating changes on the activity of European banks. (2017). Gallo, Raffaele ; Drago, Danilo. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:85:y:2017:i:c:p:99-112.

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2018Detecting abnormal changes in credit default swap spreads using matching-portfolio models. (2018). Lugo, Stefano ; Bertoni, Fabio. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:90:y:2018:i:c:p:146-158.

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2018The impact of the Volcker rule on targeted banks, systemic risk, liquidity, and financial reporting quality. (2018). Elayan, Fayez A ; Pacharn, Parunchana ; Brown, Kareen ; Aktas, Rafet . In: Journal of Economics and Business. RePEc:eee:jebusi:v:96:y:2018:i:c:p:69-89.

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2017Large shareholders and credit ratings. (2017). Kedia, Simi ; Zhou, Xing ; Rajgopal, Shivaram. In: Journal of Financial Economics. RePEc:eee:jfinec:v:124:y:2017:i:3:p:632-653.

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2017The impact of sovereign rating changes on European syndicated loan spreads: The role of the rating-based regulation. (2017). Gallo, Raffaele ; Drago, Danilo. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:73:y:2017:i:pa:p:213-231.

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2018Do credit rating agencies provide valuable information in market evaluation of sovereign default Risk?. (2018). Binici, Mahir ; Hutchison, Michael . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:85:y:2018:i:c:p:58-75.

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2017Examining the efficiency and interdependence of US credit and stock markets through MF-DFA and MF-DXA approaches. (2017). Shahzad, Syed Jawad Hussain ; Mensi, walid ; Kumar, Ronald ; Nor, Safwan Mohd ; Hussain, Syed Jawad. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:471:y:2017:i:c:p:351-363.

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2017Pricing real estate index options under stochastic interest rates. (2017). Gong, PU ; Dai, Jun. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:479:y:2017:i:c:p:309-323.

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2018Pricing and simulation for real estate index options: Radial basis point interpolation. (2018). Gong, PU ; Wang, Jiayue ; Zou, Dong . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:500:y:2018:i:c:p:177-188.

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2018A simple analytics framework for evaluating mean escape time in different term structures with stochastic volatility. (2018). Ko, Bonggyun ; Song, Jae Wook. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:505:y:2018:i:c:p:398-412.

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2017Quantitative easing and the pricing of EMU sovereign debt. (2017). Wagner, Niklas ; Kinateder, Harald. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:66:y:2017:i:c:p:1-12.

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2018R&D investment and patent renewal decisions. (2018). Jou, Jyh-Bang. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:69:y:2018:i:c:p:144-154.

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2018The housing market and the credit default swap premium in the UK banking sector: A VAR approach. (2018). Benbouzid, Nadia ; Pilbeam, Keith ; Mallick, Sushanta. In: Research in International Business and Finance. RePEc:eee:riibaf:v:44:y:2018:i:c:p:1-15.

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2017New challenges for verbal autopsy: Considering the ethical and social implications of verbal autopsy methods in routine health information systems. (2017). Gouda, Hebe N ; Lopez, Alan D ; Rampatige, Rasika ; Firth, Sonja ; Abouzahr, Carla ; Riley, Ian D ; Joshi, Rohina ; Brolan, Claire E ; Flaxman, Abraham D. In: Social Science & Medicine. RePEc:eee:socmed:v:184:y:2017:i:c:p:65-74.

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2018On the distribution of extended CIR model. (2018). Peng, Qidi ; Schellhorn, Henry. In: Statistics & Probability Letters. RePEc:eee:stapro:v:142:y:2018:i:c:p:23-29.

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2017A Dynamic Programming Approach for Pricing Weather Derivatives under Issuer Default Risk. (2017). Härdle, Wolfgang ; Osipenko, Maria ; Hardle, Wolfgang Karl. In: International Journal of Financial Studies. RePEc:gam:jijfss:v:5:y:2017:i:4:p:23-:d:115840.

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2017International risk spillover in the sovereign credit markets: An empirical analysis. (2017). de Peretti, Christian ; Hmaied, Dorra ; Sabkha, Saker. In: Working Papers. RePEc:hal:wpaper:hal-01652526.

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2017Dynamic Valuation of Weather Derivatives under Default Risk. (2017). Härdle, Wolfgang ; Osipenko, Cmaria ; Hardle, Wolfgang Karl. In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2017-005.

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2018Examining the Efficiency of American Put Option Pricing by Monte Carlo Methods with Variance Reduction. (2018). Chang, George . In: International Journal of Economics and Finance. RePEc:ibn:ijefaa:v:10:y:2018:i:2:p:10-13.

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2018American Option Valuation Methods. (2018). Zhao, Jinsha . In: International Journal of Economics and Finance. RePEc:ibn:ijefaa:v:10:y:2018:i:5:p:1-13.

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2018On the Effect of Bank of Japan’s Outright Purchase on the JGB Yield Curve. (2018). Nakano, Masafumi ; Tokioka, Takami ; Takahashi, Soichiro. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:25:y:2018:i:1:d:10.1007_s10690-018-9238-5.

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2018Pricing Credit Default Swaps Under Multifactor Reduced-Form Models: A Differential Quadrature Approach. (2018). Andreoli, Alessandro ; Pacelli, Graziella ; Ballestra, Luca Vincenzo. In: Computational Economics. RePEc:kap:compec:v:51:y:2018:i:3:d:10.1007_s10614-016-9608-x.

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2017A Lattice Framework with Smooth Convergence for Pricing Real Estate Derivatives with Stochastic Interest Rate. (2017). Zou, Dong ; Gong, PU. In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:55:y:2017:i:2:d:10.1007_s11146-016-9576-x.

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2018The volatility target effect in structured investment products with capital protection. (2018). Albeverio, Sergio ; Wallbaum, Kai ; Steblovskaya, Victoria. In: Review of Derivatives Research. RePEc:kap:revdev:v:21:y:2018:i:2:d:10.1007_s11147-017-9138-2.

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2017Funding Value Adjustments. (2017). Duffie, Darrell ; Song, Yang ; Andersen, Leif. In: NBER Working Papers. RePEc:nbr:nberwo:23680.

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2017Bail-in and asset encumbrance - Implications for banks’ asset liability management. (2017). Erhardt, Joachim ; Posch, Peter N ; Lubbers, Johannes . In: Journal of Banking Regulation. RePEc:pal:jbkreg:v:18:y:2017:i:2:d:10.1057_jbr.2016.4.

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2018Cash flow matching with risks controlled by buffered probability of exceedance and conditional value-at-risk. (2018). Shang, Danjue ; Uryasev, Stan ; Kuzmenko, Victor. In: Annals of Operations Research. RePEc:spr:annopr:v:260:y:2018:i:1:d:10.1007_s10479-016-2354-6.

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2018Individual optimal pension allocation under stochastic dominance constraints. (2018). Kopa, Milo ; Vitali, Sebastiano ; Moriggia, Vittorio. In: Annals of Operations Research. RePEc:spr:annopr:v:260:y:2018:i:1:d:10.1007_s10479-016-2387-x.

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2018Are financial ratios relevant for trading credit risk? Evidence from the CDS market. (2018). Chalamandaris, George ; Vlachogiannakis, Nikos E. In: Annals of Operations Research. RePEc:spr:annopr:v:266:y:2018:i:1:d:10.1007_s10479-016-2373-3.

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2018Interdependencies between CDS spreads in the European Union: Is Greece the black sheep or black swan?. (2018). Koutmos, Dimitrios. In: Annals of Operations Research. RePEc:spr:annopr:v:266:y:2018:i:1:d:10.1007_s10479-018-2788-0.

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2017Model uncertainty, recalibration, and the emergence of delta–vega hedging. (2017). Herrmann, Sebastian ; Muhle-Karbe, Johannes. In: Finance and Stochastics. RePEc:spr:finsto:v:21:y:2017:i:4:d:10.1007_s00780-017-0342-6.

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2017Hedging efficiently under correlation. (2017). Daluiso, Roberto ; Morini, Massimo. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:10:p:1535-1547.

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2017Linkages Between Credit Spreads and Credit Ratings. (2017). Küçüksaraç, Doruk ; Duran, Murat ; Kucuksarac, Doruk. In: CBT Research Notes in Economics. RePEc:tcb:econot:1701.

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2017ASYMPTOTICS OF BOND YIELDS AND VOLATILITIES FOR EXTENDED VASICEK MODELS UNDER THE REAL-WORLD MEASURE. (2017). Fergusson, K. In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:12:y:2017:i:01:n:s2010495217500051.

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2017Contingent conversion convertible bond: New avenue to raise bank capital. (2017). Campolongo, Francesca ; Schoutens, Wim ; de Spiegeleer, Jan ; di Girolamo, Francesca Erica. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:04:y:2017:i:01:n:s2424786317500013.

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2017A new S.D.E. and instantaneous mean reversion rate formula (presented via a numerical empirical model comparison). (2017). Rabinovitz, Yedidya. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:04:y:2017:i:02n03:n:s2424786317500293.

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2017ON CASH SETTLED IRR-SWAPTIONS AND MARKOV FUNCTIONAL MODELING. (2017). Bermin, Hans-Peter ; Williams, Gareth. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:02:n:s0219024917500091.

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2017ANALYTIC PRICING OF CoCo BONDS. (2017). Turfus, Colin ; Shubert, Alexander. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:05:n:s0219024917500340.

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2018DETERMINISTIC CRITERIA FOR THE ABSENCE AND EXISTENCE OF ARBITRAGE IN MULTI-DIMENSIONAL DIFFUSION MARKETS. (2018). Criens, David. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:21:y:2018:i:01:n:s0219024918500024.

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Works by Alan White:


YearTitleTypeCited
2010Sheep enterprises—what are the differences? In: AFBM Journal.
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article0
2013Whole farm analysis versus activity gross margin analysis: a sheep farm example In: AFBM Journal.
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article1
1989Managing with Finance In: EB Series.
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paper0
1990Employee Recruitment and Selection: Teaching Manual In: EB Series.
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paper1
2012Ethical justification for conducting public health surveillance without patient consent In: American Journal of Public Health.
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article1
2014Breast cancer mortality among American Indian and Alaska native women, 1990û2009 In: American Journal of Public Health.
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article0
2014Erratum: Breast cancer mortality among American Indian and Alaska Native women, 1990-2009 (Am J Public Health (2014) 104 (S432-S438) DOI: 10.2105/AJPH.2013.301720) In: American Journal of Public Health.
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article0
2009Office markets and space usage - Charting the future for workplaces In: ERES.
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paper0
1988The Use of the Control Variate Technique in Option Pricing In: Journal of Financial and Quantitative Analysis.
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article27
1990Valuing Derivative Securities Using the Explicit Finite Difference Method In: Journal of Financial and Quantitative Analysis.
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article63
1993One-Factor Interest-Rate Models and the Valuation of Interest-Rate Derivative Securities In: Journal of Financial and Quantitative Analysis.
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article105
2013Credit Derivatives In: Handbook of the Economics of Finance.
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chapter2
1995The impact of default risk on the prices of options and other derivative securities In: Journal of Banking & Finance.
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article60
2004The relationship between credit default swap spreads, bond yields, and credit rating announcements In: Journal of Banking & Finance.
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1987Hedging the risks from writing foreign currency options In: Journal of International Money and Finance.
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2004The impact of e-marketplaces on buyer–supplier relationships: a cross industry perspective of the "move to the middle" hypothesis In: International Journal of Information Technology and Management.
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2009Development of a budget-impact model to quantify potential cost savings from prescription opioids designed to deter abuse or ease of extraction In: Applied Health Economics and Health Policy.
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2011Guest Editors introduction In: Housing Policy Debate.
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2015A generalized procedure for building trees for the short rate and its application to determining market implied volatility functions In: Quantitative Finance.
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