Efficient Pricing of Contingent Convertibles Under Smile Conform Models

Wiener–Hopf factorization and distribution of extrema for a family of Lévy processes

Alexey Kuznetsov · The Annals of Applied Probability · 2010 · 139 citations · Full text

Engineering, Mathematics, Dynamical Systems +14

Meromorphic Lévy processes and their fluctuation identities

Alexey Kuznetsov, Andreas E. Kyprianou, Juan Carlos Pardo · The Annals of Applied Probability · 2012 · 94 citations · Full text

Engineering, Mathematics, Financial Economics +7

A Wiener–Hopf Monte Carlo simulation technique for Lévy processes

The Annals of Applied Probability · 2011 · 69 citations · Full text

Business, Insurance, Mathematics +10

Contingent Capital with a Capital-Ratio Trigger

Paul Glasserman, Behzad Nouri · SSRN Electronic Journal · 2010 · 53 citations · Full text

Business, Finance, Banking +12

Pricing Contingent Convertibles: A Derivatives Approach

Jan De Spiegeleer, Wim Schoutens · SSRN Electronic Journal · 2011 · 42 citations · Full text

Business, Economics, Finance +17