Concepedia

T. R. Hurd

TR

27

Publications

1.5K

Citations

20

H-Index

1989

Active since

Affiliations

McMaster University(Current)

University at Buffalo, State University of New York

University of Limerick

University of Virginia

Princeton University

T. R. Hurd is an author at McMaster University specializing in engineering, finance, and business.

Top concepts

EngineeringFinanceBusinessQuantum Field TheoryAsset PricingFinancial EngineeringManagementPhysicsEconomicsFinancial Modeling

Publications per year

1989–2022

27

Publications

27

Cubature Kalman Filtering for Continuous-Discrete Systems: Theory and Simulations

Ienkaran Arasaratnam, S. Haykin, T. R. Hurd · IEEE Transactions on Signal Processing · 2010 · 564 citations

State Estimation, Statistical Signal Processing, Nonlinear Filtering +13

A Fourier Transform Method for Spread Option Pricing

T. R. Hurd, Zhuowei Zhou · SIAM Journal on Financial Mathematics · 2010 · 187 citations

Option Pricing, Computational Finance, Asset Pricing +9

Portfolio Choice in Markets with Contagion

Yacine Aı̈t-Sahalia, T. R. Hurd · Journal of Financial Econometrics · 2015 · 92 citations

Economics, Portfolio Optimization, Financial Economics +15

CREDIT RISK MODELING USING TIME-CHANGED BROWNIAN MOTION

T. R. Hurd · International Journal of Theoretical and Applied Finance · 2009 · 49 citations

Portfolio Credit Derivatives, Computational Finance, Engineering +14

On Watts' cascade model with random link weights

T. R. Hurd, James P. Gleeson · Journal of Complex Networks · 2013 · 47 citations · Full text

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