Credit Swap Valuation

Stochastic Integration and Differential Equations

2005 • 4,762 citations

Pricing Derivatives on Financial Securities Subject to Credit Risk

1995 • 1,972 citations

On cox processes and credit risky securities

1998 • 1,291 citations

Stochastic Integration and Differential Equations

1990 • 1,167 citations

Special Repo Rates

1996 • 459 citations

Using Default Rates to Model the Term Structure of Credit Risk

1994 • 329 citations

Corporate bond valuation and the term structure of credit spreads

1991 • 260 citations

Credit Risk in Private Debt Portfolios

1998 • 256 citations

Modeling term structures of defaultable bonds

1999 • 225 citations

Floating–Fixed Credit Spreads

2001 • 99 citations

Defaulted Bonds: Demand, Supply and Performance, 1987–1992

1993 • 12 citations