Randomization in the first hitting time problem

Term Structures of Credit Spreads with Incomplete Accounting Information

Darrell Duffie, David Lando · Econometrica · 2001 · 1.4K citations

Business, Accounting, Finance +15

Valuing Credit Default Swaps I

John C. Hull, Alan White · The Journal of Derivatives · 2000 · 441 citations · Full text

Business, Finance, Asset Pricing +15

Valuing Credit Default Swaps II

John C. Hull, Alan White · The Journal of Derivatives · 2001 · 349 citations · Full text

Business, Economics, Finance +17

Boundary-crossing probabilities for the Brownian motion and Poisson processes and techniques for computing the power of the Kolmogorov-Smirnov test

J. Durbin · Journal of Applied Probability · 1971 · 227 citations

Engineering, Mathematics, Probability Theory +16

The first-passage density of the Brownian motion process to a curved boundary

J. Durbin, David Williams · Journal of Applied Probability · 1992 · 105 citations

Engineering, Computer Science, Probability Theory +13