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Thomas Hurd
Thomas Hurd
Professor of Mathematics, McMaster University
Verified email at mcmaster.ca - Homepage
Title
Cited by
Cited by
Year
Cubature Kalman filtering for continuous-discrete systems: theory and simulations
I Arasaratnam, S Haykin, TR Hurd
IEEE Transactions on Signal Processing 58 (10), 4977-4993, 2010
6072010
A Fourier transform method for spread option pricing
TR Hurd, Z Zhou
SIAM Journal on Financial Mathematics 1 (1), 142-157, 2010
1822010
Portfolio choice with jumps: A closed-form solution
Y Aït-Sahalia, J Cacho-Diaz, TR Hurd
Annals of Applied Probability 19 (2), 556-584, 2009
1512009
Contagion! Systemic Risk in Financial Networks
TR Hurd
Springer Verlag, Berlin Heidelberg New York, 2016
1242016
Explicit formulas for Laplace transforms of stochastic integrals
TR Hurd, A Kuznetsov
Markov Processes and Related Fields 14 (2), 277-290, 2008
1022008
Portfolio choice in markets with contagion
Y Aït-Sahalia, TR Hurd
Journal of Financial Econometrics 14 (1), 1-28, 2015
732015
The short distance behavior of (φ4)3
D Brydges, J Dimock, TR Hurd
Communications in Mathematical Physics 172 (1), 143-186, 1995
601995
Saddlepoint approximation method for pricing CDOs
J Yang, TR Hurd, X Zhang
Journal of Computational Finance 10 (1), 1-20, 2006
572006
Credit risk modeling using time-changed Brownian motion
TR Hurd
International journal of theoretical and applied finance 12 (08), 1213-1230, 2009
562009
QED: a proof of renormalizability
JS Feldman, TR Hurd, L Rosen, JD Wright
Springer Berlin Heidelberg, 1988
561988
A framework for analyzing contagion in assortative banking networks
TR Hurd, JP Gleeson, S Melnik
54*2016
Systemic Risk in Banking Networks Without Monte Carlo Simulation
JP Gleeson, TR Hurd, S Melnik, A Hackett
Advances in Network Analysis and its Applications, 27-56, 2013
512013
Indifference pricing and hedging for volatility derivatives
MR Grasselli, TR Hurd
Applied Mathematical Finance 14, 303-317, 2007
51*2007
Affine Markov chain models of multifirm credit migration
TR Hurd, A Kuznetsov
Journal of Credit Risk 3, 3-29, 2007
502007
On Watts’ cascade model with random link weights
TR Hurd, JP Gleeson
Journal of Complex Networks 1 (1), 25-43, 2013
482013
A CP5 calculus for space-time fields
LP Hughston, TR Hurd
Physics Reports 100 (5), 273-326, 1983
471983
A Non-gaussian Fixed Point For phi^4 in 4-epsilon Dimensions
D Brydges, J Dimock, T Hurd
Communications in Mathematical Physics 198 (1), 111–156, 1998
431998
Sine-Gordon Revisited
J Dimock, TR Hurd
Annales Henri Poincaré 1 (3), 499–541, 2000
362000
On the first passage time for Brownian motion subordinated by a Levy process
TR Hurd, A Kuznetsov
Journal of Applied Probability 46, 181-198, 2009
352009
A renormalization group analysis of correlation functions for the dipole gas
J Dimock, TR Hurd
Journal of Statistical Physics 66 (5), 1277–1318, 1992
351992
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