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OpenAlex Citation Counts

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OpenAlex is a bibliographic catalogue of scientific papers, authors and institutions accessible in open access mode, named after the Library of Alexandria. It's citation coverage is excellent and I hope you will find utility in this listing of citing articles!

If you click the article title, you'll navigate to the article, as listed in CrossRef. If you click the Open Access links, you'll navigate to the "best Open Access location". Clicking the citation count will open this listing for that article. Lastly at the bottom of the page, you'll find basic pagination options.

Requested Article:

Structural credit risk modelling with Hawkes jump diffusion processes
Yong Ma, Weidong Xu
Journal of Computational and Applied Mathematics (2016) Vol. 303, pp. 69-80
Closed Access | Times Cited: 23

Showing 23 citing articles:

Hawkes processes and their applications to finance: a review
Alan G. Hawkes
Quantitative Finance (2017) Vol. 18, Iss. 2, pp. 193-198
Closed Access | Times Cited: 181
Research on China's financial systemic risk contagion under jump and heavy-tailed risk
Xiao-Li Gong, Xi-Hua Liu, Xiong Xiong, et al.
International Review of Financial Analysis (2020) Vol. 72, pp. 101584-101584
Closed Access | Times Cited: 37
Pricing variance swaps under the Hawkes jump‐diffusion process
Weiyi Liu, Song‐Ping Zhu
Journal of Futures Markets (2019) Vol. 39, Iss. 6, pp. 635-655
Closed Access | Times Cited: 27
An expansion formula for Hawkes processes and application to cyber-insurance derivatives
Caroline Hillairet, Anthony Réveillac, Mathieu Rosenbaum
Stochastic Processes and their Applications (2023) Vol. 160, pp. 89-119
Open Access | Times Cited: 7
Pricing a Defaultable Zero-Coupon Bond under Imperfect Information and Regime Switching
Ashwaq Ali Zarban, David B. Colwell, Donna Mary Salopek
Mathematics (2024) Vol. 12, Iss. 17, pp. 2740-2740
Open Access | Times Cited: 2
Exchange options under clustered jump dynamics
Yong Ma, Dongtao Pan, Tianyang Wang
Quantitative Finance (2020) Vol. 20, Iss. 6, pp. 949-967
Open Access | Times Cited: 17
A recursive method for fractional Hawkes intensities and the potential approach of credit risk
John-John Ketelbuters, Donatien Hainaut
Journal of Computational and Applied Mathematics (2024) Vol. 448, pp. 115895-115895
Closed Access | Times Cited: 1
Credit default swap pricing with counterparty risk in a reduced form model with Hawkes process
Yu Xing, Wei Wang, Xiaonan Su
Communication in Statistics- Theory and Methods (2024), pp. 1
Closed Access | Times Cited: 1
Structural credit risk models with stochastic default barriers and jump clustering using Hawkes jump-diffusion processes
Puneet Pasricha, Dharmaraja Selvamuthu, Paola Tardelli
OPSEARCH (2024)
Open Access | Times Cited: 1
Pricing and hedging foreign equity options under Hawkes jump–diffusion processes
Yong Ma, Dongtao Pan, Keshab Shrestha, et al.
Physica A Statistical Mechanics and its Applications (2019) Vol. 537, pp. 122645-122645
Closed Access | Times Cited: 9
A Structural Approach to Default Modelling with Pure Jump Processes
Jean-Philippe Aguilar, Nicolas Pesci, Victor James
Applied Mathematical Finance (2021) Vol. 28, Iss. 1, pp. 48-78
Open Access | Times Cited: 8
A note on the calculation of default probabilities in “Structural credit risk modeling with Hawkes jump–diffusion processes”
Puneet Pasricha, Xiaoping Lu, Song‐Ping Zhu
Journal of Computational and Applied Mathematics (2020) Vol. 381, pp. 113037-113037
Closed Access | Times Cited: 6
Valuation of equity-indexed annuities under correlated jump–diffusion processes
Nitu Sharma, Puneet Pasricha, Dharmaraja Selvamuthu
Journal of Computational and Applied Mathematics (2021) Vol. 395, pp. 113575-113575
Closed Access | Times Cited: 6
Clustering Effects via Hawkes Processes
Guillaume Bernis, Simone Scotti
Mathematical lectures from Peking University (2020), pp. 145-181
Closed Access | Times Cited: 5
An analysis of simultaneous company defaults using a shot noise process
Masahiko Egami, Rusudan Kevkhishvili
Journal of Banking & Finance (2017) Vol. 80, pp. 135-161
Open Access | Times Cited: 4
Time-consistent evaluation of credit risk with contagion
John-John Ketelbuters, Donatien Hainaut
Journal of Computational and Applied Mathematics (2021) Vol. 403, pp. 113848-113848
Open Access | Times Cited: 4
Partial hedging in credit markets with structured derivatives: a quantitative approach using put options
Constantin Siggelkow
Journal of Derivatives and Quantitative Studies 선물연구 (2024)
Open Access
Estimating LGD Considering Firm's Debt Structure and Collateral Liquidity, a Monte Carlo Simulation Approach
Somayeh Mohammadi, Mahmoud Botshekan, Ali Foroush Bastani
SSRN Electronic Journal (2024)
Closed Access
Default Risk With Imperfect Information Under Regime-Switching Model
Ashwaq Ali Zarban, David B. Colwell, Donna Mary Salopek
(2024)
Open Access
Equity-linked annuity valuation under fractional jump-diffusion financial and mortality models
Haoran Jiang, Zhehao Zhang
Scandinavian Actuarial Journal (2024), pp. 1-40
Closed Access
Multi-kernel property in high-frequency price dynamics under Hawkes model
Kyung-Sub Lee
Studies in Nonlinear Dynamics and Econometrics (2023)
Open Access | Times Cited: 1
Pricing defaultable bonds under Hawkes jump-diffusion processes
Li Chen, Yong Ma, Weilin Xiao
Finance research letters (2022) Vol. 47, pp. 102738-102738
Closed Access | Times Cited: 1
Finding Default Barrier and Optimal Cutoff Rate in KMV Structural Model based on the best Ranking of Companies
Meysam Hasanzadeh, Ahmad Reza Yazdanian
International Journal of Finance & Managerial Accounting (2018) Vol. 2, Iss. 8, pp. 35-45
Closed Access
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