I survey and assess the development of continuous‐time methods in finance during the last
30 years. The subperiod 1969 to 1980 saw a dizzying pace of development with seminal …

In this book, two of America's leading economists provide the first integrated treatment of the
conceptual, practical, and empirical foundations for credit risk pricing and risk measurement …

This is a thoroughly updated edition of Dynamic Asset Pricing Theory, the standard text for
doctoral students and researchers on the theory of asset pricing and portfolio selection in …

This article provides a new methodology for pricing and hedging derivative securities
involving credit risk. Two types of credit risks are considered. The first is where the asset …

During the seven years that elapsed between the first and second editions of the present
book, considerable progress was achieved in the area of financial modelling and pricing of …

We develop a framework for analyzing the capital allocation and capital structure decisions
facing financial institutions. Our model incorporates two key features:(i) value-maximizing …

The chapter gives a broad outline of the central themes of credit risk modeling starting with
the modeling of default probabilities, ratings and recovery. We present the two main …

This article develops a multi‐factor econometric model of the term structure of interest‐rate
swap yields. The model accommodates the possibility of counterparty default, and any …

A practical guide to counterparty risk management and credit value adjustment from a
leading credit practitioner Please note that this second edition of Counterparty Credit Risk …

Sir Walter Scott's first novel, Waverley enjoyed tremendous popularity upon its first
publication. The novel is set during the Jacobite Rebellion of 1745, which sought to restore …