Phimac Publications

Hurd, T. R., Kuznetsov, A. (2009) On the first passage time for Brownian motion subordinated by a Levy process. Journal of Applied Probability, 46 (1).

Hurd, T. R., Zhou, Zhuowei (2009) A Fourier transform method for spread option pricing.

Hurd, T. R. (2009) Saddlepoint approximations in portfolio credit risk. ??-??.

Ait-Sahalia, Yacine, Cacho-Diaz, Julio, Hurd, Thomas R. (2008) Portfolio Choice with Jumps: a Closed-Form Solution. Annals of Applied Probability.

Hurd, T. R., Kuznetsov, A. (2008) Explicit formulas for Laplace transforms of stochastic integrals. Markov Processes and Related Fields, 14. pp. 277-290.

Hurd, T. R. (2007) Credit risk modelling using time-changed Brownian motion.

Grasselli, M R, Hurd, T R (2007) Indifference pricing and hedging of volatility derivatives. Applied Mathematical Finance, 14 (4). pp. 303-317.

Hurd, T. R., Kuznetsov, A. (2007) Affine Markov chain models of multifirm credit migration. Journal of Credit Risk, 3. pp. 3-29.

Hurd, T. R., Kuznetsov, A. (2006) Fast CDO Computations in the Affine Markov Chain Model.

Yang, Jing-Ping, Hurd, T. R., Zhang, Xuping (2006) Saddlepoint approximation method for pricing CDOs. Journal of Computational Finance, 10. pp. 1-20.

Grasselli, M.R., Hurd, T.R. (2005) Wiener chaos and the Cox-Ingersoll-Ross model. Proceedings of the Royal Society, 461 (2054). pp. 459-479.

Tourin, A., Yan, R. (2005) Numerical calculation of indifference price with application to credit default Swaps. Preprint.

Tourin, A., Yan, R. (2005) Optimal exercise boundary for a portfolio of American options with short selling constraints. Preprint.

Tourin, A. (2004) Numerical solutions for the Cheridito-Soner-Touzi model of super-replication under gamma constraints. International Journal of Theoretical and Applied Finance.

Almgren, R., Tourin, A. (2004) Optimal soaring via Hamilton-Jacobi-Bellman equations. Siam Journal of Control and Optimization.

Hurd, T. R. (2004) A note on log-optimal portfolios in exponential Levy markets. Statistics and Decisions, 22. pp. 225-236.

Choulli, T., Hurd, T.R. (2001) The role of Hellinger processes in mathematical finance. Entropy, 3. pp. 152-163.

Boland, J., Hurd, T.R., Pivato, M., Seco, L. (2000) Measures of dependence for multivariate Levy distributions. Proceedings of the Conference on Disordered and Complex Systems, edited by P. Sollich et al, American Institute of Physics.