| 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 | 734 | 2010 |
| A Fourier transform method for spread option pricing TR Hurd, Z Zhou SIAM Journal on Financial Mathematics 1 (1), 142-157, 2010 | 226 | 2010 |
| 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 | 180 | 2009 |
| Contagion! Systemic Risk in Financial Networks TR Hurd Springer Verlag, Berlin Heidelberg New York, 2016 | 164 | 2016 |
| Explicit formulas for Laplace transforms of stochastic integrals TR Hurd, A Kuznetsov Markov Processes and Related Fields 14 (2), 277-290, 2008 | 120 | 2008 |
| Portfolio choice in markets with contagion Y Aït-Sahalia, TR Hurd Journal of Financial Econometrics 14 (1), 1-28, 2015 | 109 | 2015 |
| A framework for analyzing contagion in assortative banking networks TR Hurd, JP Gleeson, S Melnik | 70* | 2016 |
| The short distance behavior of (φ4)3 D Brydges, J Dimock, TR Hurd Communications in Mathematical Physics 172 (1), 143-186, 1995 | 68 | 1995 |
| QED: a proof of renormalizability JS Feldman, TR Hurd, L Rosen, JD Wright Springer Berlin Heidelberg, 1988 | 66 | 1988 |
| Saddlepoint approximation method for pricing CDOs J Yang, TR Hurd, X Zhang Journal of Computational Finance 10 (1), 1-20, 2006 | 63 | 2006 |
| On Watts’ cascade model with random link weights TR Hurd, JP Gleeson Journal of Complex Networks 1 (1), 25-43, 2013 | 59 | 2013 |
| Credit risk modeling using time-changed Brownian motion TR Hurd International journal of theoretical and applied finance 12 (08), 1213-1230, 2009 | 58 | 2009 |
| Affine Markov chain models of multifirm credit migration TR Hurd, A Kuznetsov Journal of Credit Risk 3, 3-29, 2007 | 57 | 2007 |
| Indifference pricing and hedging for volatility derivatives MR Grasselli, TR Hurd Applied Mathematical Finance 14, 303-317, 2007 | 55* | 2007 |
| 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 | 53 | 1998 |
| A CP5 calculus for space-time fields LP Hughston, TR Hurd Physics Reports 100 (5), 273-326, 1983 | 52 | 1983 |
| Sine-Gordon Revisited J Dimock, TR Hurd Annales Henri Poincaré 1 (3), 499–541, 2000 | 49 | 2000 |
| 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 | 45 | 2013 |
| 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 | 37 | 2009 |
| A renormalization group analysis of correlation functions for the dipole gas J Dimock, TR Hurd Journal of Statistical Physics 66 (5), 1277–1318, 1992 | 37 | 1992 |
