45
H index
74
i10 index
10723
Citations
Stanford University | 45 H index 74 i10 index 10723 Citations RESEARCH PRODUCTION: 77 Articles 61 Papers 4 Books 15 Chapters RESEARCH ACTIVITY:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Darrell Duffie. | Is cited by: | Cites to: |
Year | Title of citing document | |
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2021 | The incremental information in the yield curve about future interest rate risk. (2021). Veliyev, Bezirgen ; Kjar, Mads Markvart ; Christensen, Bent Jesper. In: CREATES Research Papers. RePEc:aah:create:2021-11. Full description at Econpapers || Download paper | |
2022 | A Tutorial on the Generalized Method of Moments (GMM) in Finance. (2022). Astorino, Paula ; de Genaro, Alan. In: RAC - Revista de Administração Contemporânea (Journal of Contemporary Administration). RePEc:abg:anprac:v:26:y:2022:i:sup2022:1527. Full description at Econpapers || Download paper | |
2022 | . Full description at Econpapers || Download paper | |
2021 | Time-Consistent Evaluation of Credit Risk with Contagion. (2021). Hainaut, Donatien ; Ketelbuters, John John. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2021004. Full description at Econpapers || Download paper | |
2022 | A general firm value model under partial information. (2022). Vrins, Frederic ; Sagna, Abass ; Mbaye, Cheikh. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2022009. Full description at Econpapers || Download paper | |
2021 | Loss Sharing in Central Clearinghouses: Winners and Losers. (2021). Sherman, Mila Getmansky ; Pelizzon, Loriana ; Kubitza, Christian. In: ECONtribute Discussion Papers Series. RePEc:ajk:ajkdps:066. Full description at Econpapers || Download paper | |
2022 | Investor-Driven Corporate Finance: Evidence from Insurance Markets. (2022). Kubitza, Christian. In: ECONtribute Discussion Papers Series. RePEc:ajk:ajkdps:144. Full description at Econpapers || Download paper | |
2022 | Imperfect Competition in Derivatives Markets. (2022). Brinkmann, Christina. In: ECONtribute Discussion Papers Series. RePEc:ajk:ajkdps:153. Full description at Econpapers || Download paper | |
2021 | MEMORY, MULTIPLE EQUILIBRIA AND EMERGING MARKET CRISES. (2021). Pierri, Damian. In: Documentos de trabajo del Instituto Interdisciplinario de Economía Política (IIEP-BAIRES). RePEc:ake:iiepdt:202162. Full description at Econpapers || Download paper | |
2021 | . Full description at Econpapers || Download paper | |
2022 | . Full description at Econpapers || Download paper | |
2022 | Out of Sync: Dispersed Short Selling and the Correction of Mispricing. (2022). Verwijmeren, Patrick ; Sotes-Paladino, Juan ; Gargano, Antonio. In: Working Papers. RePEc:aoz:wpaper:108. Full description at Econpapers || Download paper | |
2022 | Network Structure and Fragmentation of the Argentinean Interbank Markets. (2022). Montes-Rojas, Gabriel ; Forte, Federico ; Elosegui, Pedro. In: Working Papers. RePEc:aoz:wpaper:129. Full description at Econpapers || Download paper | |
2022 | Scrambling for Dollars: International Liquidity, Banks and Exchange Rates. (2022). Engel, Charles ; Bigio, Saki ; Bianchi, Javier. In: Working Papers. RePEc:apc:wpaper:182. Full description at Econpapers || Download paper | |
2022 | Optimal investment with time-varying stochastic endowments. (2014). Chen, AN ; Stelzer, Robert ; Mereu, Carla . In: Papers. RePEc:arx:papers:1406.6245. Full description at Econpapers || Download paper | |
2022 | A Fourier interpolation method for numerical solution of FBSDEs: Global convergence, stability, and higher order discretizations. (2016). Hyndman, Cody Blaine ; Ngou, Polynice Oyono . In: Papers. RePEc:arx:papers:1410.8595. Full description at Econpapers || Download paper | |
2022 | Securities Lending Strategies: Valuation of Term Loans using Option Theory. (2018). Kashyap, Ravi. In: Papers. RePEc:arx:papers:1609.01274. Full description at Econpapers || Download paper | |
2021 | Viability and Arbitrage under Knightian Uncertainty. (2019). Riedel, Frank ; Soner, Mete H ; Burzoni, Matteo. In: Papers. RePEc:arx:papers:1707.03335. Full description at Econpapers || Download paper | |
2022 | A Sieve-SMM Estimator for Dynamic Models. (2019). Forneron, Jean-Jacques. In: Papers. RePEc:arx:papers:1902.01456. Full description at Econpapers || Download paper | |
2021 | Epstein-Zin Utility Maximization on Random Horizons. (2019). Huang, Yu-Jui ; Aurand, Joshua. In: Papers. RePEc:arx:papers:1903.08782. Full description at Econpapers || Download paper | |
2021 | A class of recursive optimal stopping problems with applications to stock trading. (2019). de Angelis, Tiziano ; Colaneri, Katia. In: Papers. RePEc:arx:papers:1905.02650. Full description at Econpapers || Download paper | |
2021 | Improving Information from Manipulable Data. (2019). Kartik, Navin ; Frankel, Alex. In: Papers. RePEc:arx:papers:1908.10330. Full description at Econpapers || Download paper | |
2021 | Mortality and Healthcare: a Stochastic Control Analysis under Epstein-Zin Preferences. (2020). Huang, Yu-Jui ; Aurand, Joshua. In: Papers. RePEc:arx:papers:2003.01783. Full description at Econpapers || Download paper | |
2021 | Decomposition of Optimal Dynamic Portfolio Choice with Wealth-Dependent Utilities in Incomplete Markets. (2020). Scaillet, Olivier ; Shen, Yiwen. In: Papers. RePEc:arx:papers:2004.10096. Full description at Econpapers || Download paper | |
2021 | Identification in Economies with Frictions. (2020). Tryphonides, Andreas. In: Papers. RePEc:arx:papers:2005.02010. Full description at Econpapers || Download paper | |
2021 | Deep xVA solver -- A neural network based counterparty credit risk management framework. (2020). Gnoatto, Alessandro ; Reisinger, Christoph ; Picarelli, Athena. In: Papers. RePEc:arx:papers:2005.02633. Full description at Econpapers || Download paper | |
2021 | Robust Multiple Stopping -- A Pathwise Duality Approach. (2020). Laeven, Roger ; Stadje, Mitja ; John , . In: Papers. RePEc:arx:papers:2006.01802. Full description at Econpapers || Download paper | |
2022 | A Theory of Equivalent Expectation Measures for Expected Prices of Contingent Claims. (2020). Zhuo, Xiaoyang ; Nawalkha, Sanjay K. In: Papers. RePEc:arx:papers:2006.15312. Full description at Econpapers || Download paper | |
2022 | Optimal Network Compression. (2020). Feinstein, Zachary ; Amini, Hamed. In: Papers. RePEc:arx:papers:2008.08733. Full description at Econpapers || Download paper | |
2021 | Rough Heston: the SINC way. (2020). Rossi, Pietro ; Romagnoli, Silvia ; Bormetti, Giacomo ; Baschetti, Fabio. In: Papers. RePEc:arx:papers:2009.00557. Full description at Econpapers || Download paper | |
2022 | Roughness in spot variance? A GMM approach for estimation of fractional log-normal stochastic volatility models using realized measures. (2020). Veliyev, Bezirgen ; Pakkanen, Mikko S ; Christensen, Kim ; Bolko, Anine E. In: Papers. RePEc:arx:papers:2010.04610. Full description at Econpapers || Download paper | |
2021 | Duality and deep learning for optimal consumption with randomly terminating income. (2020). Monoyios, Michael ; Davey, Ashley ; Zheng, Harry. In: Papers. RePEc:arx:papers:2011.00732. Full description at Econpapers || Download paper | |
2021 | Pattern recognition in trading behaviors before stock price jumps: new method based on multivariate time series classification. (2020). Azencott, Robert ; Kong, AO ; Zhu, Hongliang. In: Papers. RePEc:arx:papers:2011.04939. Full description at Econpapers || Download paper | |
2022 | Forward utility and market adjustments in relative investment-consumption games of many players. (2020). Platonov, Vadim ; Reis, Goncalo Dos . In: Papers. RePEc:arx:papers:2012.01235. Full description at Econpapers || Download paper | |
2021 | Valuation of electricity storage contracts using the COS method. (2021). Oosterlee, Cornelis W ; Boonstra, Boris C. In: Papers. RePEc:arx:papers:2101.02917. Full description at Econpapers || Download paper | |
2021 | The Golden Age of the Mathematical Finance. (2021). Jos'e Manuel Corcuera, . In: Papers. RePEc:arx:papers:2102.06693. Full description at Econpapers || Download paper | |
2021 | Deep Structural Estimation: With an Application to Option Pricing. (2021). Scheidegger, Simon ; Didisheim, Antoine ; Chen, Hui. In: Papers. RePEc:arx:papers:2102.09209. Full description at Econpapers || Download paper | |
2021 | Defaultable term structures driven by semimartingales. (2021). Schmidt, Thorsten ; Gumbel, Sandrine. In: Papers. RePEc:arx:papers:2103.01577. Full description at Econpapers || Download paper | |
2021 | How good is good? Probabilistic benchmarks and nanofinance+. (2021). Martinez, Rolando Gonzales. In: Papers. RePEc:arx:papers:2103.01669. Full description at Econpapers || Download paper | |
2021 | The Physics of Financial Networks. (2021). Garlaschelli, Diego ; Cimini, Giulio ; Caccioli, Fabio ; Battiston, Stefano ; Barucca, Paolo ; Bardoscia, Marco ; Caldarelli, Guido ; Squartini, Tiziano ; Saracco, Fabio. In: Papers. RePEc:arx:papers:2103.05623. Full description at Econpapers || Download paper | |
2022 | Rodeo or Ascot: which hat to wear at the crypto race?. (2021). Hardle, Wolfgang Karl ; Hausler, Konstantin. In: Papers. RePEc:arx:papers:2103.12461. Full description at Econpapers || Download paper | |
2021 | A note on a PDE approach to option pricing under xVA. (2021). Baustian, Falko ; Vsv, Vladim'Ir ; Posp, Jan ; Fencl, Martin. In: Papers. RePEc:arx:papers:2105.00051. Full description at Econpapers || Download paper | |
2022 | Tax Progressivity and Wealth Inequality: Evidence from Forbes 400. (2021). Toda, Alexis Akira ; Sasaki, Yuya ; Lee, Ji Hyung ; Wang, Yulong. In: Papers. RePEc:arx:papers:2105.10007. Full description at Econpapers || Download paper | |
2021 | Assessing asset-liability risk with neural networks. (2021). Wuthrich, Mario V ; Ery, John ; Cheridito, Patrick. In: Papers. RePEc:arx:papers:2105.12432. Full description at Econpapers || Download paper | |
2021 | Three Remarks On Asset Pricing. (2021). Olkhov, Victor. In: Papers. RePEc:arx:papers:2105.13903. Full description at Econpapers || Download paper | |
2021 | Exact and Asymptotic Analysis of General Multivariate Hawkes Processes and Induced Population Processes. (2021). Mandjes, Michel ; Karim, Raviar. In: Papers. RePEc:arx:papers:2106.03560. Full description at Econpapers || Download paper | |
2021 | Debt Swapping for Risk Mitigation in Financial Networks. (2021). Wattenhofer, Roger ; Papp, P'Al Andr'As. In: Papers. RePEc:arx:papers:2107.05359. Full description at Econpapers || Download paper | |
2021 | The Infinite Horizon Investment-Consumption Problem for Epstein-Zin Stochastic Differential Utility. (2021). Jerome, Joseph ; Herdegen, Martin ; Hobson, David. In: Papers. RePEc:arx:papers:2107.06593. Full description at Econpapers || Download paper | |
2021 | Multi-agent Bayesian Learning with Best Response Dynamics: Convergence and Stability. (2021). Ozdaglar, Asuman ; Amin, Saurabh ; Wu, Manxi. In: Papers. RePEc:arx:papers:2109.00719. Full description at Econpapers || Download paper | |
2021 | Behavioral Bias Benefits: Beating Benchmarks By Bundling Bouncy Baskets. (2021). Kashyap, Ravi. In: Papers. RePEc:arx:papers:2109.03740. Full description at Econpapers || Download paper | |
2021 | SINH-acceleration for B-spline projection with Option Pricing Applications. (2021). Levendorskiui, Sergei ; Boyarchenko, Svetlana ; Cui, Zhenyu ; Kirkby, Lars J. In: Papers. RePEc:arx:papers:2109.08738. Full description at Econpapers || Download paper | |
2021 | Composite Likelihood for Stochastic Migration Model with Unobserved Factor. (2021). Djogbenou, Antoine ; Gouri, Christian ; Bandehali, Maygol ; Jasiak, Joann. In: Papers. RePEc:arx:papers:2109.09043. Full description at Econpapers || Download paper | |
2022 | Rating transitions forecasting: a filtering approach. (2021). Lelong, J'Erome ; Cousin, Areski ; Picard, Tom ; Norberg, Ragnar. In: Papers. RePEc:arx:papers:2109.10567. Full description at Econpapers || Download paper | |
2021 | Evolutionary Foundation for Heterogeneity in Risk Aversion. (2021). Nehama, Ilan ; Heller, Yuval. In: Papers. RePEc:arx:papers:2110.11245. Full description at Econpapers || Download paper | |
2022 | Solution to the Equity Premium Puzzle Using the Sufficiency Factor of the Model. (2021). Aras, Atilla. In: Papers. RePEc:arx:papers:2110.14405. Full description at Econpapers || Download paper | |
2021 | Moral Hazard, Dynamic Incentives, and Ambiguous Perceptions. (2021). Dumav, Martin. In: Papers. RePEc:arx:papers:2110.15229. Full description at Econpapers || Download paper | |
2022 | Correlation Estimation in Hybrid Systems. (2021). Law, Baron . In: Papers. RePEc:arx:papers:2111.06042. Full description at Econpapers || Download paper | |
2022 | Optimal consumption and portfolio selection with Epstein-Zin utility under general constraints. (2021). Tian, Dejian ; Feng, Zixin. In: Papers. RePEc:arx:papers:2111.09032. Full description at Econpapers || Download paper | |
2022 | A transformer-based model for default prediction in mid-cap corporate markets. (2021). Bravo, Cristi'An ; Mues, Christophe ; Korangi, Kamesh. In: Papers. RePEc:arx:papers:2111.09902. Full description at Econpapers || Download paper | |
2021 | Pricing S&P 500 Index Options with L\evy Jumps. (2021). Liang, Nan ; Xie, Bin. In: Papers. RePEc:arx:papers:2111.10033. Full description at Econpapers || Download paper | |
2021 | Securities Lending Haircuts and Indemnification Pricing. (2021). Lou, Wujiang. In: Papers. RePEc:arx:papers:2111.13228. Full description at Econpapers || Download paper | |
2021 | Proper solutions for Epstein-Zin Stochastic Differential Utility. (2021). Jerome, Joseph ; Hobson, David ; Herdegen, Martin. In: Papers. RePEc:arx:papers:2112.06708. Full description at Econpapers || Download paper | |
2022 | Hedging Cryptocurrency Options. (2021). Hardle, Wolfgang Karl ; Packham, Natalie ; Matic, Jovanka Lili. In: Papers. RePEc:arx:papers:2112.06807. Full description at Econpapers || Download paper | |
2021 | Optimal Portfolio Choice and Stock Centrality for Tail Risk Events. (2021). Katsouris, Christis. In: Papers. RePEc:arx:papers:2112.12031. Full description at Econpapers || Download paper | |
2021 | Pricing and Hedging of SOFR Derivatives under Differential Funding Costs and Collateralization. (2021). Bickersteth, Matthew ; Rutkowski, Marek. In: Papers. RePEc:arx:papers:2112.14033. Full description at Econpapers || Download paper | |
2022 | A Survey of Quantum Computing for Finance. (2022). Liu, Xiao Yuan ; Googin, Cody ; Herman, Dylan ; Alexeev, Yuri ; Pistoia, Marco ; Sun, Yue ; Safro, Ilya ; Galda, Alexey. In: Papers. RePEc:arx:papers:2201.02773. Full description at Econpapers || Download paper | |
2022 | Decomposing LIBOR in Transition: Evidence from the Futures Markets. (2022). Skov, Jacob Bjerre ; Skovmand, David. In: Papers. RePEc:arx:papers:2201.06930. Full description at Econpapers || Download paper | |
2022 | Credit Valuation Adjustment with Replacement Closeout: Theory and Algorithms. (2022). Wei, Wei ; Tan, Ken Seng ; Sun, Chaofan. In: Papers. RePEc:arx:papers:2201.09105. Full description at Econpapers || Download paper | |
2022 | The Impact of Connectivity on the Production and Diffusion of Knowledge. (2022). Pourbabaee, Farzad ; Manso, Gustavo. In: Papers. RePEc:arx:papers:2202.00729. Full description at Econpapers || Download paper | |
2022 | Option Pricing and CVA Calculations using the Monte Carlo-Tree (MC-Tree) Method. (2022). Hanzon, Bernard ; Trinh, Yen Thuan. In: Papers. RePEc:arx:papers:2202.00785. Full description at Econpapers || Download paper | |
2022 | Measuring Systemic Risk: Common Factor Exposures and Tail Dependence Effects. (2022). Chiu, Wan-Chien ; Wang, Chih-Wei ; Pena, Juan Ignacio. In: Papers. RePEc:arx:papers:2202.02276. Full description at Econpapers || Download paper | |
2022 | Universal approximation of credit portfolio losses using Restricted Boltzmann Machines. (2022). Genovese, Giuseppe ; Visentin, Gabriele ; Serra, Nicola ; Nikeghbali, Ashkan. In: Papers. RePEc:arx:papers:2202.11060. Full description at Econpapers || Download paper | |
2022 | A contagion process with self-exciting jumps in credit risk applications. (2022). Pasricha, Puneet ; Natarajan, Selvaraju ; Selvamuthu, Dharmaraja. In: Papers. RePEc:arx:papers:2202.12946. Full description at Econpapers || Download paper | |
2022 | Solution of integrals with fractional Brownian motion for different Hurst indices. (2022). Gao, Fei ; Temme, Nico M ; Oosterlee, Cornelis W ; Liu, Shuaiqiang. In: Papers. RePEc:arx:papers:2203.02323. Full description at Econpapers || Download paper | |
2022 | Fast Simulation-Based Bayesian Estimation of Heterogeneous and Representative Agent Models using Normalizing Flow Neural Networks. (2022). Fen, Cameron. In: Papers. RePEc:arx:papers:2203.06537. Full description at Econpapers || Download paper | |
2022 | Optimal Damping with Hierarchical Adaptive Quadrature for Efficient Fourier Pricing of Multi-Asset Options in L\evy Models. (2022). Bayer, Christian ; Tempone, Ra'Ul ; Samet, Michael ; Papapantoleon, Antonis ; ben Hammouda, Chiheb. In: Papers. RePEc:arx:papers:2203.08196. Full description at Econpapers || Download paper | |
2022 | Indirect Inference for Nonlinear Panel Models with Fixed Effects. (2022). Chen, Shuowen. In: Papers. RePEc:arx:papers:2203.10683. Full description at Econpapers || Download paper | |
2022 | Network structure and fragmentation of the Argentinean interbank markets. (2022). Montes-Rojas, Gabriel ; Elosegui, Pedro ; Forte, Federico. In: Papers. RePEc:arx:papers:2203.14488. Full description at Econpapers || Download paper | |
2022 | CVA in fractional and rough volatility models. (2022). Scarlatti, Sergio ; Ramponi, Alessandro ; Antonelli, Fabio ; Alos, Elisa. In: Papers. RePEc:arx:papers:2204.11554. Full description at Econpapers || Download paper | |
2022 | Sequential Choices, Option Values, and the Returns to Education. (2022). Bhuller, Manudeep ; Mendel, Moritz ; Eisenhauer, Philipp. In: Papers. RePEc:arx:papers:2205.05444. Full description at Econpapers || Download paper | |
2022 | A new self-exciting jump-diffusion process for option pricing. (2022). Oosterlee, Cornelis ; Cirillo, Pasquale ; Souto, Luis A. In: Papers. RePEc:arx:papers:2205.13321. Full description at Econpapers || Download paper | |
2022 | Asset Trading in Continuous Time: A Cautionary Tale. (2022). Zame, William R. In: Papers. RePEc:arx:papers:2207.03397. Full description at Econpapers || Download paper | |
2022 | Before and after default: information and optimal portfolio via anticipating calculus. (2022). D'Auria, Bernardo ; di Nunno, Giulia ; Jos'e A. Salmer'on, . In: Papers. RePEc:arx:papers:2208.07163. Full description at Econpapers || Download paper | |
2022 | Stability of the Epstein-Zin problem. (2022). Mostovyi, Oleksii ; Monoyios, Michael. In: Papers. RePEc:arx:papers:2208.09895. Full description at Econpapers || Download paper | |
2022 | On Randomization of Affine Diffusion Processes with Application to Pricing of Options on VIX and S&P 500. (2022). Grzelak, Lech A. In: Papers. RePEc:arx:papers:2208.12518. Full description at Econpapers || Download paper | |
2022 | Regime-based Implied Stochastic Volatility Model for Crypto Option Pricing. (2022). Aste, Tomaso ; Wang, Yuanrong ; Saef, Danial. In: Papers. RePEc:arx:papers:2208.12614. Full description at Econpapers || Download paper | |
2022 | Chaotic Hedging with Iterated Integrals and Neural Networks. (2022). Schmocker, Philipp ; Neufeld, Ariel. In: Papers. RePEc:arx:papers:2209.10166. Full description at Econpapers || Download paper | |
2022 | Boundary-safe PINNs extension: Application to non-linear parabolic PDEs in counterparty credit risk. (2022). Jos'e A. Garc'ia-Rodr'iguez, ; 'Alvaro Leitao, ; Villarino, Joel P. In: Papers. RePEc:arx:papers:2210.02175. Full description at Econpapers || Download paper | |
2022 | Classification based credit risk analysis: The case of Lending Club. (2022). Chakrabarty, Siddhartha P ; Gulati, Priya ; Gupta, Aadi. In: Papers. RePEc:arx:papers:2210.05136. Full description at Econpapers || Download paper | |
2022 | Estimating Option Pricing Models Using a Characteristic Function-Based Linear State Space Representation. (2022). Vladimirov, Evgenii ; Boswijk, Peter H. In: Papers. RePEc:arx:papers:2210.06217. Full description at Econpapers || Download paper | |
2022 | Fast Estimation of Bayesian State Space Models Using Amortized Simulation-Based Inference. (2022). Seleznev, Sergei ; Khabibullin, Ramis. In: Papers. RePEc:arx:papers:2210.07154. Full description at Econpapers || Download paper | |
2022 | The rough Hawkes Heston stochastic volatility model. (2022). Scotti, Simone ; Pulido, Sergio ; Bondi, Alessandro. In: Papers. RePEc:arx:papers:2210.12393. Full description at Econpapers || Download paper | |
2022 | Liquidity based modeling of asset price bubbles via random matching. (2022). Oberpriller, Katharina ; Meyer-Brandis, Thilo ; Mazzon, Andrea ; Biagini, Francesca. In: Papers. RePEc:arx:papers:2210.13804. Full description at Econpapers || Download paper | |
2022 | The Economys Potential: Duality and Equilibrium. (2022). Goeree, Jacob K. In: Papers. RePEc:arx:papers:2210.14437. Full description at Econpapers || Download paper | |
2022 | Mod-Poisson approximation schemes: Applications to credit risk. (2022). Visentin, Gabriele ; Nikeghbali, Ashkan. In: Papers. RePEc:arx:papers:2211.04436. Full description at Econpapers || Download paper | |
2022 | Randomization of Short-Rate Models, Analytic Pricing and Flexibility in Controlling Implied Volatilities. (2022). Grzelak, Lech A. In: Papers. RePEc:arx:papers:2211.05014. Full description at Econpapers || Download paper | |
2022 | A Comprehensive Survey on Enterprise Financial Risk Analysis: Problems, Methods, Spotlights and Applications. (2022). Du, Huaming ; Zhao, YU. In: Papers. RePEc:arx:papers:2211.14997. Full description at Econpapers || Download paper | |
2021 | Constructing the Yield Curve for Sri Lankas Government Bond Market. (2021). Pathirannehelage, Kangara ; Liyanage, Dewundara. In: International Journal of Business and Economic Affairs (IJBEA). RePEc:aya:ijbeaa:2021:p:56-69. Full description at Econpapers || Download paper | |
2021 | Yield curve modelling and forecasting in an undeveloped financial market: The case of Bulgaria. (2021). Makarieva, Martina. In: Economic Thought journal. RePEc:bas:econth:y:2021:i:2:p:61-83,84-104. Full description at Econpapers || Download paper | |
2021 | Four Decades of Canadian Earnings Inequality and Dynamics Across Workers and Firms. (2021). Park, Youngmin ; Lochner, Lance ; Liu, Huju ; Bowlus, Audra ; Gouin-Bonenfant, Emilien. In: Staff Working Papers. RePEc:bca:bocawp:21-20. Full description at Econpapers || Download paper | |
2021 | Centralizing Over-the-Counter Markets?. (2021). Allen, Jason ; Wittwer, Milena. In: Staff Working Papers. RePEc:bca:bocawp:21-39. Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
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2008 | Frailty Correlated Default.(2008) In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 202 | paper | |
2010 | Presidential Address: Asset Price Dynamics with Slow?Moving Capital In: Journal of Finance. [Full Text][Citation analysis] | article | 218 |
2017 | Benchmarks in Search Markets In: Journal of Finance. [Full Text][Citation analysis] | article | 49 |
2014 | Benchmarks in Search Markets.(2014) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 49 | paper | |
2015 | Benchmarks in Search Markets.(2015) In: 2015 Meeting Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 49 | paper | |
1992 | From Discrete? to Continuous?Time Finance: Weak Convergence of the Financial Gain Process1 In: Mathematical Finance. [Full Text][Citation analysis] | article | 28 |
1993 | Optimal Investment With Undiversifiable Income Risk In: Mathematical Finance. [Full Text][Citation analysis] | article | 30 |
1996 | A YIELD?FACTOR MODEL OF INTEREST RATES In: Mathematical Finance. [Full Text][Citation analysis] | article | 720 |
2005 | Multi-Period Corporate Default Prediction With Stochastic Covariates In: CARF F-Series. [Full Text][Citation analysis] | paper | 314 |
2007 | Multi-period corporate default prediction with stochastic covariates.(2007) In: Journal of Financial Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 314 | article | |
2006 | Multi-Period Corporate Default Prediction With Stochastic Covariates.(2006) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 314 | paper | |
2005 | Multi-Period Corporate Default Prediction With Stochastic Covariates.(2005) In: CIRJE F-Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 314 | paper | |
2009 | Information Percolation with Equilibrium Search Dynamics In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 75 |
2009 | Information Percolation With Equilibrium Search Dynamics.(2009) In: Econometrica. [Full Text][Citation analysis] This paper has another version. Agregated cites: 75 | article | |
2009 | The Relative Contributions of Private Information Sharing and Public Information Releases to Information Aggregation In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 7 |
2009 | The Relative Contributions of Private Information Sharing and Public Information Releases to Information Aggregation.(2009) In: Research Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | paper | |
2010 | The relative contributions of private information sharing and public information releases to information aggregation.(2010) In: Journal of Economic Theory. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | article | |
2010 | Information Percolation in Segmented Markets In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 42 |
2014 | Information percolation in segmented markets.(2014) In: Journal of Economic Theory. [Full Text][Citation analysis] This paper has another version. Agregated cites: 42 | article | |
2011 | Information Percolation in Segmented Markets.(2011) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 42 | paper | |
2006 | Valuation in Over-the-Counter Markets In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 186 |
2006 | Valuation in Over-the-Counter Markets.(2006) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 186 | paper | |
2007 | Valuation in Over-the-Counter Markets.(2007) In: Review of Financial Studies. [Full Text][Citation analysis] This paper has another version. Agregated cites: 186 | article | |
2007 | Report on “The Committee on Yen Risk-free-rate Model Estimation†In: Finance Working Papers. [Full Text][Citation analysis] | paper | 0 |
2014 | Central clearing and collateral demand In: Working Paper Series. [Full Text][Citation analysis] | paper | 134 |
2015 | Central clearing and collateral demand.(2015) In: Journal of Financial Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 134 | article | |
2014 | Central Clearing and Collateral Demand.(2014) In: Economics Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 134 | paper | |
2014 | Central Clearing and Collateral Demand.(2014) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 134 | paper | |
2010 | Policy Perspectives on OTC Derivatives Market Infrastructure In: Research Papers. [Full Text][Citation analysis] | paper | 36 |
2010 | Policy perspectives on OTC derivatives market infrastructure.(2010) In: Staff Reports. [Full Text][Citation analysis] This paper has another version. Agregated cites: 36 | paper | |
2016 | Size Discovery In: Research Papers. [Full Text][Citation analysis] | paper | 3 |
2015 | Size Discovery.(2015) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | paper | |
2017 | Size Discovery.(2017) In: Review of Financial Studies. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | article | |
2016 | Financial Regulatory Reform after the Crisis: An Assessment In: Research Papers. [Full Text][Citation analysis] | paper | 19 |
2017 | Dynamic Directed Random Matching In: Research Papers. [Full Text][Citation analysis] | paper | 3 |
2018 | Dynamic directed random matching.(2018) In: Journal of Economic Theory. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | article | |
2015 | Dynamic Directed Random Matching.(2015) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | paper | |
2017 | Corporate Credit Risk Premia In: Research Papers. [Full Text][Citation analysis] | paper | 25 |
2018 | Corporate Credit Risk Premia.(2018) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 25 | paper | |
2017 | Augmenting Markets with Mechanisms In: Research Papers. [Full Text][Citation analysis] | paper | 0 |
2017 | Augmenting Markets with Mechanisms.(2017) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
1985 | Implementing Arrow-Debreu Equilibria by Continuous Trading of Few Long-lived Securities. In: Econometrica. [Full Text][Citation analysis] | article | 125 |
2005 | IMPLEMENTING ARROW-DEBREU EQUILIBRIA BY CONTINUOUS TRADING OF FEW LONG-LIVED SECURITIES.(2005) In: World Scientific Book Chapters. [Full Text][Citation analysis] This paper has another version. Agregated cites: 125 | chapter | |
1986 | Stochastic Equilibria: Existence, Spanning Number, and the No Expected Financial Gain from Trade Hypothesis. In: Econometrica. [Full Text][Citation analysis] | article | 21 |
1989 | The Consumption-Based Capital Asset Pricing Model. In: Econometrica. [Full Text][Citation analysis] | article | 75 |
1988 | The Consumption-Based Capital Asset Pricing Model.(1988) In: Discussion Papers. [Citation analysis] This paper has another version. Agregated cites: 75 | paper | |
1992 | Stochastic Differential Utility. In: Econometrica. [Full Text][Citation analysis] | article | 353 |
1993 | Simulated Moments Estimation of Markov Models of Asset Prices. In: Econometrica. [Full Text][Citation analysis] | article | 460 |
1990 | Simulated Moments Estimation of Markov Models of Asset Prices.(1990) In: NBER Technical Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 460 | paper | |
1994 | Stationary Markov Equilibria. In: Econometrica. [Full Text][Citation analysis] | article | 122 |
1999 | A Liquidity-Based Model of Security Design In: Econometrica. [Citation analysis] | article | 268 |
2000 | Transform Analysis and Asset Pricing for Affine Jump-Diffusions In: Econometrica. [Citation analysis] | article | 1008 |
1999 | Transform Analysis and Asset Pricing for Affine Jump-Diffusions.(1999) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1008 | paper | |
2001 | Term Structures of Credit Spreads with Incomplete Accounting Information. In: Econometrica. [Citation analysis] | article | 368 |
2004 | Estimation of Continuous-Time Markov Processes Sampled at Random Time Intervals In: Econometrica. [Full Text][Citation analysis] | article | 27 |
2005 | Over-the-Counter Markets In: Econometrica. [Full Text][Citation analysis] | article | 320 |
2004 | Over-the-Counter Markets.(2004) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 320 | paper | |
2012 | Over-The-Counter Markets.(2012) In: Introductory Chapters. [Full Text][Citation analysis] This paper has another version. Agregated cites: 320 | chapter | |
2012 | Capital Mobility and Asset Pricing In: Econometrica. [Full Text][Citation analysis] | article | 49 |
2011 | Capital Mobility and Asset Pricing.(2011) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 49 | paper | |
2009 | Capital Mobility and Asset Pricing.(2009) In: Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 49 | paper | |
2009 | Capital Mobility and Asset Pricing.(2009) In: 2009 Meeting Papers. [Citation analysis] This paper has another version. Agregated cites: 49 | paper | |
2004 | Multi-Period Corporate Failure Prediction With Stochastic Covariates In: Econometric Society 2004 Far Eastern Meetings. [Citation analysis] | paper | 21 |
2004 | Multi-Period Corporate Failure Prediction With Stochastic Covariates.(2004) In: Econometric Society 2004 Far Eastern Meetings. [Citation analysis] This paper has another version. Agregated cites: 21 | paper | |
2004 | Multi-Period Corporate Failure Prediction with Stochastic Covariates.(2004) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 21 | paper | |
2004 | Valuation in Dynamic Bargaining Markets In: Econometric Society 2004 North American Winter Meetings. [Citation analysis] | paper | 6 |
2004 | Valuation in Dynamic Bargaining Markets.(2004) In: Econometric Society 2004 North American Winter Meetings. [Citation analysis] This paper has another version. Agregated cites: 6 | paper | |
2004 | Liquidity Premia in Dynamic Bargaining Markets In: Econometric Society 2004 North American Winter Meetings. [Citation analysis] | paper | 0 |
1990 | Optimal hedging and equilibrium in a dynamic futures market In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 30 |
1990 | Transactions costs and portfolio choice in a discrete-continuous-time setting In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 60 |
1992 | Pricing continuously resettled contingent claims In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 18 |
1997 | Hedging in incomplete markets with HARA utility In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 83 |
2003 | Intertemporal asset pricing theory In: Handbook of the Economics of Finance. [Full Text][Citation analysis] | chapter | 2 |
2005 | Credit risk modeling with affine processes In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 24 |
2012 | The exact law of large numbers for independent random matching In: Journal of Economic Theory. [Full Text][Citation analysis] | article | 33 |
2011 | The Exact Law of Large Numbers for Independent Random Matching.(2011) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 33 | paper | |
2015 | Reprint of: Information percolation in segmented markets In: Journal of Economic Theory. [Full Text][Citation analysis] | article | 8 |
1987 | Stochastic equilibria with incomplete financial markets In: Journal of Economic Theory. [Full Text][Citation analysis] | article | 29 |
1988 | An extension of the Black-Scholes model of security valuation In: Journal of Economic Theory. [Full Text][Citation analysis] | article | 7 |
1991 | Corporate financial hedging with proprietary information In: Journal of Economic Theory. [Full Text][Citation analysis] | article | 74 |
1995 | Financial Market Innovation and Security Design: An Introduction In: Journal of Economic Theory. [Full Text][Citation analysis] | article | 117 |
2002 | Securities lending, shorting, and pricing In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 229 |
1991 | The theory of value in security markets In: Handbook of Mathematical Economics. [Full Text][Citation analysis] | chapter | 5 |
1985 | Equilibrium in incomplete markets: I : A basic model of generic existence In: Journal of Mathematical Economics. [Full Text][Citation analysis] | article | 200 |
1986 | Competitive equilibria in general choice spaces In: Journal of Mathematical Economics. [Full Text][Citation analysis] | article | 3 |
1986 | Equilibrium in incomplete markets: II : Generic existence in stochastic economies In: Journal of Mathematical Economics. [Full Text][Citation analysis] | article | 73 |
1986 | Multiperiod security markets with differential information : Martingales and resolution times In: Journal of Mathematical Economics. [Full Text][Citation analysis] | article | 29 |
1992 | PDE solutions of stochastic differential utility In: Journal of Mathematical Economics. [Full Text][Citation analysis] | article | 228 |
1994 | Continuous-time security pricing : A utility gradient approach In: Journal of Mathematical Economics. [Full Text][Citation analysis] | article | 79 |
1994 | Efficient and equilibrium allocations with stochastic differential utility In: Journal of Mathematical Economics. [Full Text][Citation analysis] | article | 12 |
1996 | Incomplete security markets with infinitely many states: An introduction In: Journal of Mathematical Economics. [Full Text][Citation analysis] | article | 4 |
2002 | Universal state prices and asymmetric information In: Journal of Mathematical Economics. [Full Text][Citation analysis] | article | 0 |
1990 | Money in general equilibrium theory In: Handbook of Monetary Economics. [Full Text][Citation analysis] | chapter | 5 |
1990 | The New Palgrave: Finance : A book review In: Journal of Monetary Economics. [Full Text][Citation analysis] | article | 0 |
2001 | Liquidation Risk In: FAME Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
2012 | Explaining the U.S. tri-party repo market In: Economic Policy Review. [Full Text][Citation analysis] | article | 1 |
2013 | A sampling-window approach to transactions-based Libor fixing In: Staff Reports. [Full Text][Citation analysis] | paper | 6 |
2016 | National and International Monetary Reform In: Book Chapters. [Full Text][Citation analysis] | chapter | 4 |
2009 | Policy Issues Facing the Market for Credit Derivatives In: Book Chapters. [Full Text][Citation analysis] | chapter | 2 |
2012 | A Dialogue on the Costs and Benefits of Automatic Stays for Derivatives and Repurchase Agreements In: Book Chapters. [Full Text][Citation analysis] | chapter | 12 |
2014 | Financial Market Infrastructure: Too Important to Fail In: Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
2014 | Financial Market Infrastructure: Too Important to Fail.(2014) In: Economics Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
2015 | Resolution of Failing Central Counterparties In: Book Chapters. [Citation analysis] | chapter | 12 |
2014 | Challenges to a Policy Treatment of Speculative Trading Motivated by Differences in Beliefs In: Economics Working Papers. [Full Text][Citation analysis] | paper | 13 |
2014 | Challenges to a Policy Treatment of Speculative Trading Motivated by Differences in Beliefs.(2014) In: The Journal of Legal Studies. [Full Text][Citation analysis] This paper has another version. Agregated cites: 13 | article | |
2013 | Replumbing Our Financial System: Uneven Progress In: International Journal of Central Banking. [Full Text][Citation analysis] | article | 9 |
2016 | Preface to the Special Issue on Systemic Risk: Models and Mechanisms In: Operations Research. [Full Text][Citation analysis] | article | 0 |
2003 | Market Pricing of Deposit Insurance In: Journal of Financial Services Research. [Full Text][Citation analysis] | article | 30 |
2008 | Market Pricing of Deposit Insurance.(2008) In: World Scientific Book Chapters. [Full Text][Citation analysis] This paper has another version. Agregated cites: 30 | chapter | |
2011 | Comment on Risk Topography In: NBER Chapters. [Full Text][Citation analysis] | chapter | 0 |
2013 | Systemic Risk Exposures: A 10-by-10-by-10 Approach In: NBER Chapters. [Full Text][Citation analysis] | chapter | 13 |
2011 | Systemic Risk Exposures: A 10-by-10-by-10 Approach.(2011) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 13 | paper | |
2002 | Affine Processes and Application in Finance In: NBER Technical Working Papers. [Full Text][Citation analysis] | paper | 9 |
2014 | Robust Benchmark Design In: NBER Working Papers. [Full Text][Citation analysis] | paper | 15 |
2017 | Funding Value Adjustments In: NBER Working Papers. [Full Text][Citation analysis] | paper | 8 |
2020 | Market Fragmentation In: NBER Working Papers. [Full Text][Citation analysis] | paper | 1 |
2021 | Reserves Were Not So Ample After All In: NBER Working Papers. [Full Text][Citation analysis] | paper | 8 |
2022 | How Abundant Are Reserves? Evidence from the Wholesale Payment System In: NBER Working Papers. [Full Text][Citation analysis] | paper | 0 |
2002 | Large Portfolio Losses In: NBER Working Papers. [Full Text][Citation analysis] | paper | 30 |
2004 | Large portfolio losses.(2004) In: Finance and Stochastics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 30 | article | |
2011 | Does a Central Clearing Counterparty Reduce Counterparty Risk? In: The Review of Asset Pricing Studies. [Full Text][Citation analysis] | article | 74 |
1999 | Modeling Term Structures of Defaultable Bonds. In: Review of Financial Studies. [Citation analysis] | article | 773 |
1992 | Asset Pricing with Stochastic Differential Utility. In: Review of Financial Studies. [Full Text][Citation analysis] | article | 314 |
1995 | Corporate Incentives for Hedging and Hedge Accounting. In: Review of Financial Studies. [Full Text][Citation analysis] | article | 194 |
2011 | Measuring Corporate Default Risk In: OUP Catalogue. [Citation analysis] | book | 16 |
2010 | Introduction In: Introductory Chapters. [Full Text][Citation analysis] | chapter | 0 |
2011 | Introduction In: Introductory Chapters. [Full Text][Citation analysis] | chapter | 0 |
2011 | How Big Banks Fail and What to Do about It In: Economics Books. [Citation analysis] | book | 17 |
2012 | Dark Markets: Asset Pricing and Information Transmission in Over-the-Counter Markets In: Economics Books. [Citation analysis] | book | 73 |
2007 | Over the Counter Search Frictions: A Case Study of the Federal Funds Market In: 2007 Meeting Papers. [Full Text][Citation analysis] | paper | 2 |
2001 | Analytical value-at-risk with jumps and credit risk In: Finance and Stochastics. [Full Text][Citation analysis] | article | 50 |
1996 | A term structure model with preferences for the timing of resolution of uncertainty (*) In: Economic Theory. [Citation analysis] | article | 0 |
1996 | Asset Pricing with Heterogeneous Consumers. In: Journal of Political Economy. [Full Text][Citation analysis] | article | 651 |
2012 | Comment In: NBER Macroeconomics Annual. [Full Text][Citation analysis] | article | 0 |
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