30
H index
59
i10 index
4910
Citations
Cornell University (95% share) | 30 H index 59 i10 index 4910 Citations RESEARCH PRODUCTION: 134 Articles 20 Papers 2 Books 45 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Robert Jarrow. | Is cited by: | Cites to: |
Working Papers Series with more than one paper published | # docs |
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Papers / arXiv.org | 9 |
Working Papers / University of Sydney, School of Economics | 2 |
Year | Title of citing document | |
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2021 | Review on Behavioral Finance with Empirical Evidence. (2021). Woo, Kai-Yin ; Moslehpour, Massoud ; Hon, Tai-Yuen . In: Advances in Decision Sciences. RePEc:aag:wpaper:v:25:y:2021:i:4:p:15-41. Full description at Econpapers || Download paper | |
2021 | Lévy interest rate models with a long memory. (2021). Hainaut, Donatien. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2021020. Full description at Econpapers || Download paper | |
2022 | The Zero-Coupon Rate Model for Derivatives Pricing. (2016). Lin, Xiao. In: Papers. RePEc:arx:papers:1606.01343. 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 | Counterparty credit limits: An effective tool for mitigating counterparty risk?. (2017). Hautsch, Nikolaus ; Porter, Mason A ; Howison, Sam D ; Gould, Martin D. In: Papers. RePEc:arx:papers:1709.08238. Full description at Econpapers || Download paper | |
2022 | A default system with overspilling contagion. (2017). Coculescu, Delia. In: Papers. RePEc:arx:papers:1709.09255. Full description at Econpapers || Download paper | |
2020 | Rational Models for Inflation-Linked Derivatives. (2018). Sloth, David ; Skovmand, David ; Macrina, Andrea ; Dam, Henrik. In: Papers. RePEc:arx:papers:1801.08804. Full description at Econpapers || Download paper | |
2020 | A Term Structure Model for Dividends and Interest Rates. (2019). Willems, Sander ; Filipovi, Damir. In: Papers. RePEc:arx:papers:1803.02249. Full description at Econpapers || Download paper | |
2021 | Liquidity in Competitive Dealer Markets. (2018). Muhle-Karbe, Johannes ; Ekren, Ibrahim ; Bank, Peter. In: Papers. RePEc:arx:papers:1807.08278. Full description at Econpapers || Download paper | |
2020 | Fast calibration of two-factor models for energy option pricing. (2018). de Nicolao, Giuseppe ; Marziali, Andrea ; Fabbiani, Emanuele. In: Papers. RePEc:arx:papers:1809.03941. Full description at Econpapers || Download paper | |
2022 | Consistent Inter-Model Specification for Time-Homogeneous SPX Stochastic Volatility and VIX Market Models. (2018). Papanicolaou, Andrew. In: Papers. RePEc:arx:papers:1812.05859. Full description at Econpapers || Download paper | |
2020 | A closed formula for illiquid corporate bonds and an application to the European market. (2019). Nastasi, Emanuele ; Nassigh, Aldo ; Baviera, Roberto. In: Papers. RePEc:arx:papers:1901.06855. Full description at Econpapers || Download paper | |
2021 | Term Structure Modeling under Volatility Uncertainty: A Forward Rate Model driven by G-Brownian Motion. (2019). Lin, Qian ; Holzermann, Julian. In: Papers. RePEc:arx:papers:1904.02930. Full description at Econpapers || Download paper | |
2020 | No-Arbitrage Commodity Option Pricing with Market Manipulation. (2019). Campi, Luciano ; Callegaro, Giorgia ; Ren'e A"id, . In: Papers. RePEc:arx:papers:1909.07896. Full description at Econpapers || Download paper | |
2020 | A financial market with delay driven by reflected Brownian motion. (2019). Oksendal, Bernt ; Agram, Nacira. In: Papers. RePEc:arx:papers:1909.12578. Full description at Econpapers || Download paper | |
2020 | The Value of Insider Information for Super--Replication with Quadratic Transaction Costs. (2019). Zouari, Jonathan ; Dolinsky, Yan. In: Papers. RePEc:arx:papers:1910.09855. Full description at Econpapers || Download paper | |
2020 | Quantization-based Bermudan option pricing in the $FX$ world. (2019). Pages, Gilles ; Montes, Thibaut ; Lemaire, Vincent ; Fayolle, Jean-Michel. In: Papers. RePEc:arx:papers:1911.05462. Full description at Econpapers || Download paper | |
2020 | Asset Price Bubbles in market models with proportional transaction costs. (2019). Reitsam, Thomas ; Biagini, Francesca. In: Papers. RePEc:arx:papers:1911.10149. Full description at Econpapers || Download paper | |
2020 | Valuing Tradeability in Exponential L\evy Models. (2019). Mathys, Ludovic. In: Papers. RePEc:arx:papers:1912.00469. Full description at Econpapers || Download paper | |
2020 | Understanding the dual formulation for the hedging of path-dependent options with price impact. (2019). Tan, Xiaolu ; Bouchard, Bruno. In: Papers. RePEc:arx:papers:1912.03946. Full description at Econpapers || Download paper | |
2021 | Closed form optimal exercise boundary of the American put option. (2019). Kitapbayev, Yerkin. In: Papers. RePEc:arx:papers:1912.05438. Full description at Econpapers || Download paper | |
2020 | Brexit Risk Implied by the SABR Martingale Defect in the EUR-GBP Smile. (2019). Simon, Martin ; Roininen, Lassi ; Piiroinen, Petteri. In: Papers. RePEc:arx:papers:1912.05773. Full description at Econpapers || Download paper | |
2020 | Trading on the Floor after Sweeping the Book. (2020). POLIMENIS, VASSILIS. In: Papers. RePEc:arx:papers:2001.06445. Full description at Econpapers || Download paper | |
2020 | On Calibration Neural Networks for extracting implied information from American options. (2020). Oosterlee, Cornelis W ; Borovykh, Anastasia ; 'Alvaro Leitao, ; Liu, Shuaiqiang. In: Papers. RePEc:arx:papers:2001.11786. Full description at Econpapers || Download paper | |
2020 | Deep Learning for Asset Bubbles Detection. (2020). Marchal, Alexis ; Bashchenko, Oksana. In: Papers. RePEc:arx:papers:2002.06405. Full description at Econpapers || Download paper | |
2020 | Fast Lower and Upper Estimates for the Price of Constrained Multiple Exercise American Options by Single Pass Lookahead Search and Nearest-Neighbor Martingale. (2020). Gaillardetz, Patrice ; Essis-Breton, Nicolas. In: Papers. RePEc:arx:papers:2002.11258. Full description at Econpapers || Download paper | |
2021 | Pricing Interest Rate Derivatives under Volatility Uncertainty. (2020). Holzermann, Julian. In: Papers. RePEc:arx:papers:2003.04606. Full description at Econpapers || Download paper | |
2020 | Optional projection under equivalent local martingale measures. (2020). Perkkio, Ari-Pekka ; Mazzon, Andrea ; Biagini, Francesca. In: Papers. RePEc:arx:papers:2003.09940. Full description at Econpapers || Download paper | |
2020 | Fixed income portfolio optimisation: Interest rates, credit, and the efficient frontier. (2020). Martin, Richard J. In: Papers. RePEc:arx:papers:2004.02312. Full description at Econpapers || Download paper | |
2020 | Is the variance swap rate affine in the spot variance? Evidence from S&P500 data. (2020). Mancino, Maria Elvira ; Toscano, Giacomo ; Scotti, Simone. In: Papers. RePEc:arx:papers:2004.04015. Full description at Econpapers || Download paper | |
2020 | Correlating L\evy processes with Self-Decomposability: Applications to Energy Markets. (2020). Sasso, Emanuela ; Sabino, Piergiacomo ; Gardini, Matteo. In: Papers. RePEc:arx:papers:2004.04048. Full description at Econpapers || Download paper | |
2020 | The Jarrow & Turnbull setting revisited. (2020). Teichmann, Josef ; Krabichler, Thomas. In: Papers. RePEc:arx:papers:2004.12392. Full description at Econpapers || Download paper | |
2020 | A constraint-based notion of illiquidity. (2020). Teichmann, Josef ; Krabichler, Thomas. In: Papers. RePEc:arx:papers:2004.12394. Full description at Econpapers || Download paper | |
2020 | Regret Theory And Asset Pricing Anomalies In Incomplete Markets With Dynamic Un-Aggregated Preferences. (2020). Nwogugu, Michael. In: Papers. RePEc:arx:papers:2005.01709. Full description at Econpapers || Download paper | |
2020 | Recipes for hedging exotics with illiquid vanillas. (2020). Gu, Olivier ; Fernandez-Tapia, Joaquin . In: Papers. RePEc:arx:papers:2005.10064. Full description at Econpapers || Download paper | |
2020 | A moment matching method for option pricing under stochastic interest rates. (2020). Scarlatti, Sergio ; Ramponi, Alessandro ; Antonelli, Fabio. In: Papers. RePEc:arx:papers:2005.14063. Full description at Econpapers || Download paper | |
2021 | Accuracy of Deep Learning in Calibrating HJM Forward Curves. (2020). Lavagnini, Silvia ; Detering, Nils ; Benth, Fred Espen. In: Papers. RePEc:arx:papers:2006.01911. Full description at Econpapers || Download paper | |
2020 | Quant Bust 2020. (2020). Kakushadze, Zura. In: Papers. RePEc:arx:papers:2006.05632. Full description at Econpapers || Download paper | |
2020 | Optimal Group Size in Microlending. (2020). Quintos, Alejandra ; Protter, Philip. In: Papers. RePEc:arx:papers:2006.06035. Full description at Econpapers || Download paper | |
2020 | The Gauss2++ Model -- A Comparison of Different Measure Change Specifications for a Consistent Risk Neutral and Real World Calibration. (2020). Pfeiffer, Julian ; Berninger, Christoph. In: Papers. RePEc:arx:papers:2006.08004. Full description at Econpapers || Download paper | |
2021 | Consistent Recalibration Models and Deep Calibration. (2020). Teichmann, Josef ; Gambara, Matteo. In: Papers. RePEc:arx:papers:2006.09455. Full description at Econpapers || Download paper | |
2021 | Credit migration: Generating generators. (2020). Martin, Richard J. In: Papers. RePEc:arx:papers:2006.11146. Full description at Econpapers || Download paper | |
2020 | Valuing the quality option in agricultural commodity futures: a Monte Carlo simulation based approach. (2020). Yaganti, Hussain C ; Mansabdar, Sanjay. In: Papers. RePEc:arx:papers:2006.11222. Full description at Econpapers || Download paper | |
2020 | A pure-jump mean-reverting short rate model. (2020). Hess, Markus. In: Papers. RePEc:arx:papers:2006.14814. Full description at Econpapers || Download paper | |
2021 | 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 | |
2020 | Evidence of Predicting Early Signs of Corporate Bankruptcy Using Financial Ratios in the Indian Landscape. (2020). Wadhwa, Aryaman ; Bansal, Abhi ; Chopra, Adit. In: Papers. RePEc:arx:papers:2008.04782. Full description at Econpapers || Download paper | |
2021 | Pseudo-Hermiticity, and Removing the Brownian Motion from Finance. (2020). Hicks, Will. In: Papers. RePEc:arx:papers:2009.00360. Full description at Econpapers || Download paper | |
2020 | Copula-Based Factor Model for Credit Risk Analysis. (2020). Hardle, Wolfgang Karl ; Chen, Cathy Yi-Hsuan ; Lu, Meng-Jou. In: Papers. RePEc:arx:papers:2009.12092. Full description at Econpapers || Download paper | |
2020 | On Detecting Spoofing Strategies in High Frequency Trading. (2020). Drapeau, Samuel ; Ling, Lan ; Day, Andrew ; Tao, Xuan. In: Papers. RePEc:arx:papers:2009.14818. Full description at Econpapers || Download paper | |
2020 | Inflation, ECB and short-term interest rates: A new model, with calibration to market data. (2020). Papi, M ; D'Ippoliti, F ; Costantini, C ; Antonacci, F. In: Papers. RePEc:arx:papers:2010.05462. Full description at Econpapers || Download paper | |
2020 | The loss optimisation of loan recovery decision times using forecast cash flows. (2020). de Villiers, Pieter ; Beyers, Conrad ; Botha, Arno. In: Papers. RePEc:arx:papers:2010.05601. Full description at Econpapers || Download paper | |
2020 | Measures of Model Risk in Continuous-time Finance Models. (2020). Qi, Shuyuan ; Lazar, Emese ; Tunaru, Radu. In: Papers. RePEc:arx:papers:2010.08113. Full description at Econpapers || Download paper | |
2021 | A Finite Agent Equilibrium in an Incomplete Market and its Strong Convergence to the Mean-Field Limit. (2020). Takahashi, Akihiko ; Fujii, Masaaki. In: Papers. RePEc:arx:papers:2010.09186. Full description at Econpapers || Download paper | |
2021 | The investor problem based on the HJM model. (2020). Zawisza, Dariusz ; Peszat, Szymon. In: Papers. RePEc:arx:papers:2010.13915. Full description at Econpapers || Download paper | |
2021 | Dynamic Default Contagion in Interbank Systems. (2020). Sojmark, Andreas ; Feinstein, Zachary. In: Papers. RePEc:arx:papers:2010.15254. Full description at Econpapers || Download paper | |
2020 | Excursion Risk. (2020). Cont, Rama ; Ananova, Anna ; Xu, Renyuan. In: Papers. RePEc:arx:papers:2011.02870. Full description at Econpapers || Download paper | |
2020 | Unifying the theory of storage and the risk premium by an unobservable intrinsic electricity price. (2020). Korn, Ralf ; Hinderks, Wieger ; Wagner, Andreas. In: Papers. RePEc:arx:papers:2011.03987. 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 | |
2020 | Affine Pricing and Hedging of Collateralized Debt Obligations. (2020). Filipovi, Damir ; Eksi, Zehra. In: Papers. RePEc:arx:papers:2011.10101. Full description at Econpapers || Download paper | |
2021 | Price Impact on Term Structure. (2020). Neuman, Eyal ; Graceffa, Federico ; Brigo, Damiano. In: Papers. RePEc:arx:papers:2011.10113. Full description at Econpapers || Download paper | |
2021 | Short Rate Dynamics: A Fed Funds and SOFR perspective. (2021). Schlogl, Erik ; Gellert, Karol. In: Papers. RePEc:arx:papers:2101.04308. Full description at Econpapers || Download paper | |
2021 | Group Quantization of Quadratic Hamiltonians in Finance. (2021). Garcia, Santiago . In: Papers. RePEc:arx:papers:2102.05338. 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 | Climate Change Valuation Adjustment (CCVA) using parameterized climate change impacts. (2021). Berrahoui, Mourad ; Kenyon, Chris. In: Papers. RePEc:arx:papers:2102.10691. Full description at Econpapers || Download paper | |
2022 | Equilibrium Price Formation with a Major Player and its Mean Field Limit. (2021). Takahashi, Akihiko ; Fujii, Masaaki. In: Papers. RePEc:arx:papers:2102.10756. Full description at Econpapers || Download paper | |
2021 | Analytic formula for option margin with liquidity costs under dynamic delta hedging. (2021). Ki, Byoung ; Lee, Kyungsub. In: Papers. RePEc:arx:papers:2103.15302. Full description at Econpapers || Download paper | |
2021 | Research on Portfolio Liquidation Strategy under Discrete Times. (2021). Li, Handong ; Shi, YU ; Luo, Qixuan. In: Papers. RePEc:arx:papers:2103.15400. Full description at Econpapers || Download paper | |
2021 | A survey of electricity spot and futures price models for risk management applications. (2021). Gruet, Pierre ; Deschatre, Thomas. In: Papers. RePEc:arx:papers:2103.16918. Full description at Econpapers || Download paper | |
2021 | The American put with finite-time maturity and stochastic interest rate. (2021). Cai, Cheng ; Palczewski, Jan ; de Angelis, Tiziano. In: Papers. RePEc:arx:papers:2104.08502. 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 | |
2021 | Arbitrage-free neural-SDE market models. (2021). Wang, Sheng ; Reisinger, Christoph ; Cohen, Samuel N. In: Papers. RePEc:arx:papers:2105.11053. Full description at Econpapers || Download paper | |
2021 | A News-based Machine Learning Model for Adaptive Asset Pricing. (2021). Wells, Martin T ; Wu, Haoxuan ; Zhu, Liao. In: Papers. RePEc:arx:papers:2106.07103. Full description at Econpapers || Download paper | |
2021 | CeFi vs. DeFi -- Comparing Centralized to Decentralized Finance. (2021). Gervais, Arthur ; Lazzaretti, Ludovico ; Afonin, Yaroslav ; Zhou, Liyi ; Qin, Kaihua. In: Papers. RePEc:arx:papers:2106.08157. Full description at Econpapers || Download paper | |
2021 | The Variance Gamma++ Process and Applications to Energy Markets. (2021). E, ; P., ; M., . In: Papers. RePEc:arx:papers:2106.15452. Full description at Econpapers || Download paper | |
2021 | Clustering Structure of Microstructure Measures. (2021). Wells, Martin T ; Sun, Ningning ; Zhu, Liao. In: Papers. RePEc:arx:papers:2107.02283. Full description at Econpapers || Download paper | |
2021 | A new class of conditional Markov jump processes with regime switching and path dependence: properties and maximum likelihood estimation. (2021). Surya, Budhi. In: Papers. RePEc:arx:papers:2107.07026. Full description at Econpapers || Download paper | |
2021 | The Adaptive Multi-Factor Model and the Financial Market. (2021). Zhu, Liao. In: Papers. RePEc:arx:papers:2107.14410. Full description at Econpapers || Download paper | |
2021 | From bid-ask credit default swap quotes to risk-neutral default probabilities using distorted expectations. (2021). Spreij, Peter ; Khedher, Asma ; Michielon, Matteo. In: Papers. RePEc:arx:papers:2108.06578. Full description at Econpapers || Download paper | |
2021 | Crypto Wash Trading. (2021). Yang, Yang ; Tang, KE ; Li, XI ; Cong, Lin William. In: Papers. RePEc:arx:papers:2108.10984. Full description at Econpapers || Download paper | |
2021 | Moment Matching Method for Pricing Spread Options with Mean-Variance Mixture L\evy Motions. (2021). Rachev, Svetlozar T ; Sayit, Hasanjan ; Hu, Dongdong. In: Papers. RePEc:arx:papers:2109.02872. Full description at Econpapers || Download paper | |
2021 | Risk-Adjusted Valuation for Real Option Decisions. (2021). Ward, Charles ; Chen, XI ; Alexander, Carol. In: Papers. RePEc:arx:papers:2109.04793. 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 | |
2022 | Cash-subadditive risk measures without quasi-convexity. (2021). Wang, Ruodu ; Han, Xia ; Xia, Jianming. In: Papers. RePEc:arx:papers:2110.12198. Full description at Econpapers || Download paper | |
2021 | Correlation Estimation in Hybrid Systems. (2021). Law, Baron . In: Papers. RePEc:arx:papers:2111.06042. Full description at Econpapers || Download paper | |
2021 | 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 | A Bayesian take on option pricing with Gaussian processes. (2021). Roberts, Stephen ; Tegner, Martin. In: Papers. RePEc:arx:papers:2112.03718. Full description at Econpapers || Download paper | |
2022 | Option Pricing with State-dependent Pricing Kernel. (2021). Huang, Zhuo ; Hansen, Peter Reinhard ; Tong, Chen. In: Papers. RePEc:arx:papers:2112.05308. 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 | |
2021 | Measure-valued affine and polynomial diffusions. (2021). di Persio, Luca ; Guida, Francesco ; Cuchiero, Christa ; Svaluto-Ferro, Sara. In: Papers. RePEc:arx:papers:2112.15129. 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 | Metric Hypertransformers are Universal Adapted Maps. (2022). Pammer, Gudmund ; Kratsios, Anastasis ; Acciaio, Beatrice. In: Papers. RePEc:arx:papers:2201.13094. Full description at Econpapers || Download paper | |
2022 | Estimating risks of option books using neural-SDE market models. (2022). Cohen, Samuel N ; Wang, Sheng ; Reisinger, Christoph. In: Papers. RePEc:arx:papers:2202.07148. 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 | |
2020 | Regulatory Banking Leverage: what do you know?. (2020). Kimura, Herbert ; da Rosa, Douglas. In: Working Papers Series. RePEc:bcb:wpaper:540. Full description at Econpapers || Download paper | |
2021 | Exploring the sources of loan default clustering using survival analysis with frailty. (2021). Sanchez-Cajal, Fatima ; Mohamed, Abdulkadir ; Enrique, Enrique Batiz-Zuk. In: Working Papers. RePEc:bdm:wpaper:2021-14. Full description at Econpapers || Download paper | |
2020 | Pricing Interest Rate Derivatives under Volatility Uncertainty. (2020). Holzermann, Julian. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:633. Full description at Econpapers || Download paper | |
2020 | The seasonality of gold prices in China does the riskâ€aversion level matter?. (2020). Xiao, Bing ; Zhu, Zhenzhen ; van Hoang, Thi Hong ; Wong, Wing Keung. In: Accounting and Finance. RePEc:bla:acctfi:v:60:y:2020:i:3:p:2617-2664. Full description at Econpapers || Download paper | |
2020 | Environmental, social, and governance practices and perceived tail risk. (2020). Szado, Edward ; Shafer, Michael. In: Accounting and Finance. RePEc:bla:acctfi:v:60:y:2020:i:4:p:4195-4224. Full description at Econpapers || Download paper | |
2020 | Determinants and consequences of financial distress: review of the empirical literature. (2020). Sun, LI ; Uddin, Md Borhan ; Huang, Hedy Jiaying ; D'Costa, Mabel ; Habib, Ahsan. In: Accounting and Finance. RePEc:bla:acctfi:v:60:y:2020:i:s1:p:1023-1075. Full description at Econpapers || Download paper | |
2021 | Modelling of Chinese corporate bond default – A machine learning approach. (2021). Zhuo, Zhuyao ; Lu, Zhou. In: Accounting and Finance. RePEc:bla:acctfi:v:61:y:2021:i:5:p:6147-6191. Full description at Econpapers || Download paper | |
2020 | Portfolio optimization in the catastrophe space. (2020). Yu, Min-Teh ; Zhao, Yang ; Chang, Carolyn W. In: European Financial Management. RePEc:bla:eufman:v:26:y:2020:i:5:p:1414-1448. Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
Year | Title | Type | Cited |
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1999 | In Honor of the Nobel Laureates Robert C. Merton and Myron S. Scholes: A Partial Differential Equation That Changed the World In: Journal of Economic Perspectives. [Full Text][Citation analysis] | article | 2 |
2021 | The Economics of Insurance: A Derivatives-Based Approach In: Annual Review of Financial Economics. [Full Text][Citation analysis] | article | 0 |
2009 | Credit Risk Models In: Annual Review of Financial Economics. [Full Text][Citation analysis] | article | 30 |
2009 | The Term Structure of Interest Rates In: Annual Review of Financial Economics. [Full Text][Citation analysis] | article | 74 |
2011 | The Economics of Credit Default Swaps In: Annual Review of Financial Economics. [Full Text][Citation analysis] | article | 17 |
2014 | Forward Rate Curve Smoothing In: Annual Review of Financial Economics. [Full Text][Citation analysis] | article | 3 |
2015 | Asset Price Bubbles In: Annual Review of Financial Economics. [Full Text][Citation analysis] | article | 24 |
2009 | Housing Market Microstructure In: Papers. [Full Text][Citation analysis] | paper | 0 |
2011 | The economic default time and the Arcsine law In: Papers. [Full Text][Citation analysis] | paper | 0 |
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2021 | High-Dimensional Estimation, Basis Assets, and the Adaptive Multi-Factor Model In: Papers. [Full Text][Citation analysis] | paper | 4 |
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2012 | A DYSFUNCTIONAL ROLE OF HIGH FREQUENCY TRADING IN ELECTRONIC MARKETS In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 20 |
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2017 | A CAPM WITH TRADING CONSTRAINTS AND PRICE BUBBLES In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 0 |
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2015 | The Impact of a Central Banks Bond Market Intervention on Foreign Exchange Rates In: Quarterly Journal of Finance (QJF). [Full Text][Citation analysis] | article | 0 |
2018 | An Equilibrium Capital Asset Pricing Model in Markets with Price Jumps and Price Bubbles In: Quarterly Journal of Finance (QJF). [Full Text][Citation analysis] | article | 1 |
2020 | The Effects of Yield Control Monetary Policy: A Helicopter Money Drop to Financial Institutions In: Quarterly Journal of Finance (QJF). [Full Text][Citation analysis] | article | 1 |
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2008 | LIQUIDITY PREMIUMS AND THE EXPECTATIONS HYPOTHESIS In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 1 |
2008 | THE PRICING OF COMMODITY OPTIONS WITH STOCHASTIC INTEREST RATES In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
2008 | PRICING OPTIONS ON RISKY ASSETS IN A STOCHASTIC INTEREST RATE ECONOMY In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
2017 | Introduction In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
2017 | Primary Assets In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
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2017 | Market Risk (Interest Rates) In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
2017 | Credit Risk In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 16 |
2017 | Liquidity Risk In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 15 |
2017 | Trading Constraints In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
2017 | Individuals In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
2017 | Firms In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
2017 | Banks In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
2017 | Diversification In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
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2017 | Dynamic Hedging In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
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2017 | Metallgesellschaft (1993) In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
2017 | Orange County (1994) In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
2017 | Barings Bank (1995) In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
2017 | Long Term Capital Management (1998) In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
2017 | The Credit Crisis (2007) In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
2017 | Washington Mutual (2008) In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
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