64 citations · 410 across the 142 of their papers we have counts for
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A Unified Framework for Pricing Credit and Equity Derivatives
Erhan Bayraktar, Bo Yang
We propose a model which can be jointly calibrated to the corporate bond term structure and equity option volatility surface of the same company. Our purpose is to obtain explicit…
Pricing Asian Options for Jump Diffusions
Erhan Bayraktar, Hao Xing
We construct a sequence of functions that uniformly converge (on compact sets) to the price of Asian option, which is written on a stock whose dynamics follows a jump diffusion, ex…
Pricing American Options for Jump Diffusions by Iterating Optimal Stopping Problems for Diffusions
Erhan Bayraktar, Hao Xing
We approximate the price of the American put for jump diffusions by a sequence of functions, which are computed iteratively. This sequence converges to the price function uniformly…
Projecting the Forward Rate Flow onto a Finite Dimensional Manifold
Erhan Bayraktar, Li Chen, H. Vincent Poor
Given a Heath-Jarrow-Morton (HJM) interest rate model and a parametrized family of finite dimensional forward rate curves , this paper provides a techniq…
Quickest detection of a minimum of disorder times
Erhan Bayraktar, H. Vincent Poor
A multi-source quickest detection problem is considered. Assume there are two independent Poisson processes and with disorder times and , respectivel…