Francis A. Longstaff : Citation Profile

Are you Francis A. Longstaff?

University of California-Los Angeles (UCLA)

25

H index

37

i10 index

3972

Citations

RESEARCH PRODUCTION:

37

Articles

29

Papers

RESEARCH ACTIVITY:

   29 years (1989 - 2018). See details.
   Cites by year: 136
   Journals where Francis A. Longstaff has often published
   Relations with other researchers
   Recent citing documents: 845.    Total self citations: 28 (0.7 %)

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   Permalink: http://citec.repec.org/plo283
   Updated: 2020-05-23    RAS profile:    
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Relations with other researchers

Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Francis A. Longstaff.

Is cited by:

Guidolin, Massimo (20)

Xiao, Tim (17)

Chernov, Mikhail (16)

Augustin, Patrick (16)

Batten, Jonathan (15)

cotter, john (15)

Lo, Andrew (15)

Pelizzon, Loriana (15)

Mayordomo, Sergio (14)

Scheule, Harald (14)

Monfort, Alain (14)

Cites to:

Vayanos, Dimitri (27)

Duffie, Darrell (26)

Pedersen, Lasse (23)

Singleton, Kenneth (19)

Rogoff, Kenneth (16)

Reinhart, Carmen (16)

Campbell, John (13)

merton, robert (12)

Brunnermeier, Markus (11)

Amihud, Yakov (11)

Strebulaev, Ilya (9)

Main data

Where Francis A. Longstaff has published?

Journals with more than one article published# docs
Journal of Finance13
Journal of Financial Economics8
Review of Financial Studies4
The Journal of Business3
Journal of Financial and Quantitative Analysis2
Journal of Banking & Finance2

Recent works citing Francis A. Longstaff (2018 and 2017)

YearTitle of citing document
2017The Walking Debt Crisis. (2017). Wegener, Christoph ; Kruse, Robinson ; Basse, Tobias. In: CREATES Research Papers. RePEc:aah:create:2017-06.

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2018A multilevel factor approach for the analysis of CDS commonality and risk contribution. (2018). Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Caporin, Massimiliano ; Rodriguez-Caballero, Carlos Vladimir . In: CREATES Research Papers. RePEc:aah:create:2018-33.

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2017The Costs of Sovereign Default: Evidence from Argentina. (2017). Schreger, Jesse ; Hebert, Benjamin. In: American Economic Review. RePEc:aea:aecrev:v:107:y:2017:i:10:p:3119-45.

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2017The Great Escape? A Quantitative Evaluation of the Feds Liquidity Facilities. (2017). Ferrero, Andrea ; Eggertsson, Gauti ; Del Negro, Marco ; Kiyotaki, Nobuhiro. In: American Economic Review. RePEc:aea:aecrev:v:107:y:2017:i:3:p:824-57.

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2019Vulnerable Growth. (2019). Giannone, Domenico ; Boyarchenko, Nina ; Adrian, Tobias. In: American Economic Review. RePEc:aea:aecrev:v:109:y:2019:i:4:p:1263-89.

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2017A hybrid approach for the implementation of the Heston model. (2017). Zanette, Antonino ; Briani, Maya ; Caramellino, Lucia . In: Papers. RePEc:arx:papers:1307.7178.

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2017A hybrid tree/finite-difference approach for Heston-Hull-White type models. (2017). Zanette, A. ; Briani, M. ; Caramellino, L.. In: Papers. RePEc:arx:papers:1503.03705.

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2017Valuation of capital protection options. (2017). Luo, Xiaolin ; Shevchenko, Pavel V. In: Papers. RePEc:arx:papers:1508.00668.

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2019Optimal measure transformation problems. (2015). Hyndman, Cody Blaine ; Wang, Renjie . In: Papers. RePEc:arx:papers:1511.06032.

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2017Valuation of Variable Annuities with Guaranteed Minimum Withdrawal Benefit under Stochastic Interest Rate. (2017). Luo, Xiaolin ; Shevchenko, Pavel V. In: Papers. RePEc:arx:papers:1602.03238.

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2019On a hybrid method using trees and finite-differences for pricing options in complex models. (2017). Briani, Maya ; Zanette, Antonino ; Caramellino, Lucia . In: Papers. RePEc:arx:papers:1603.07225.

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2017Concurrent Credit Portfolio Losses. (2017). Sicking, Joachim ; Schafer, Rudi ; Guhr, Thomas. In: Papers. RePEc:arx:papers:1604.06917.

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2018The Jacobi Stochastic Volatility Model. (2018). Ackerer, Damien ; Pulido, Sergio ; Filipovi, Damir. In: Papers. RePEc:arx:papers:1605.07099.

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2017On American VIX options under the generalized 3/2 and 1/2 models. (2017). De Temple, Jerome ; Kitapbayev, Yerkin ; Detemple, Jerome. In: Papers. RePEc:arx:papers:1606.00530.

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2018Deep Learning for Mortgage Risk. (2018). Sadhwani, Apaar ; Giesecke, Kay ; Sirignano, Justin. In: Papers. RePEc:arx:papers:1607.02470.

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2018Efficient exposure computation by risk factor decomposition. (2018). , Cornelis ; Reisinger, Christoph ; Kandhai, Drona. In: Papers. RePEc:arx:papers:1608.01197.

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2018Explicit Heston Solutions and Stochastic Approximation for Path-dependent Option Pricing. (2018). Kouritzin, Michael A. In: Papers. RePEc:arx:papers:1608.02028.

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2019Securities Lending Strategies: Valuation of Term Loans using Option Theory. (2018). Kashyap, Ravi. In: Papers. RePEc:arx:papers:1609.01274.

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2019Dynamic Portfolio Optimization with Liquidity Cost and Market Impact: A Simulation-and-Regression Approach. (2017). Zhang, Rongju ; Hamza, Kais ; Klebaner, Fima ; Zhu, Zili ; Tian, YU ; Langren, Nicolas. In: Papers. RePEc:arx:papers:1610.07694.

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2020Pricing variance swaps with stochastic volatility and stochastic interest rate under full correlation structure. (2016). Cao, Jiling ; Nazirah, Teh Raihana ; Zhang, Wenjun. In: Papers. RePEc:arx:papers:1610.09714.

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2018Multinomial method for option pricing under Variance Gamma. (2018). Cantarutti, Nicola ; Guerra, Joao . In: Papers. RePEc:arx:papers:1701.00112.

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2017Analytic properties of American option prices under a modified Black-Scholes equation with spatial fractional derivatives. (2017). Qiu, Xinzi ; Du, Kai ; Chen, Wenting. In: Papers. RePEc:arx:papers:1701.01515.

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2017A Spatial Interpolation Framework for Efficient Valuation of Large Portfolios of Variable Annuities. (2017). Hejazi, Seyed Amir ; Gan, Guojun ; Jackson, Kenneth R. In: Papers. RePEc:arx:papers:1701.04134.

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2017Mini-symposium on automatic differentiation and its applications in the financial industry. (2017). LEHALLE, Charles-Albert ; Reghai, Adil ; Pironneau, Olivier ; Pearlmutter, Barak ; Geeraert, S'Ebastien . In: Papers. RePEc:arx:papers:1703.02311.

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2017Pricing VIX Derivatives With Free Stochastic Volatility Model. (2017). Lin, Wei ; Chern, Shane . In: Papers. RePEc:arx:papers:1703.06020.

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2019Skewed target range strategy for multiperiod portfolio optimization using a two-stage least squares Monte Carlo method. (2019). Hamza, Kais ; Klebaner, Fima ; Zhu, Zili ; Tian, YU ; Langren, Nicolas ; Zhang, Rongju. In: Papers. RePEc:arx:papers:1704.00416.

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2017Implied Stopping Rules for American Basket Options from Markovian Projection. (2017). Tempone, Ra'ul ; Happola, Juho ; Bayer, Christian. In: Papers. RePEc:arx:papers:1705.00558.

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2018Local risk-minimization with multiple assets under illiquidity with applications in energy markets. (2018). Meyer-Brandis, Thilo ; Detering, Nils ; Christodoulou, Panagiotis . In: Papers. RePEc:arx:papers:1705.06918.

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2017Dynamic Index Tracking and Risk Exposure Control Using Derivatives. (2017). Leung, Tim ; Ward, Brian. In: Papers. RePEc:arx:papers:1705.10454.

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2019Discrete-type approximations for non-Markovian optimal stopping problems: Part II. (2019). Russo, Francesco ; Ohashi, Alberto ; Bezerra, S'Ergio C. In: Papers. RePEc:arx:papers:1707.05250.

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2019Markov cubature rules for polynomial processes. (2019). Pulido, Sergio ; Larsson, Martin ; Filipovi, Damir. In: Papers. RePEc:arx:papers:1707.06849.

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2017Optimum thresholding using mean and conditional mean square error. (2017). Mancini, Cecilia . In: Papers. RePEc:arx:papers:1708.04339.

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2017Pricing compound and extendible options under mixed fractional Brownian motion with jumps. (2017). Shokrollahi, Foad. In: Papers. RePEc:arx:papers:1708.04829.

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2018DGM: A deep learning algorithm for solving partial differential equations. (2018). Spiliopoulos, Konstantinos ; Sirignano, Justin. In: Papers. RePEc:arx:papers:1708.07469.

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2018Numerical analysis for a unified 2 factor model of structural and reduced form types for corporate bonds with fixed discrete coupon. (2018). Jon, Il-Gwang ; Kim, Jong-Chol . In: Papers. RePEc:arx:papers:1709.06517.

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2017Optimal Purchasing Policy For Mean-Reverting Items in a Finite Horizon. (2017). Yedidsion, Liron ; Dourban, Alon. In: Papers. RePEc:arx:papers:1711.03188.

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2018Variance swaps under L\{e}vy process with stochastic volatility and stochastic interest rate in incomplete markets. (2018). Huang, Nan-Jing ; Yue, Jia ; Yang, Ben-Zhang. In: Papers. RePEc:arx:papers:1712.10105.

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2018Credit Risk Meets Random Matrices: Coping with Non-Stationary Asset Correlations. (2018). Guhr, Thomas ; Muhlbacher, Andreas. In: Papers. RePEc:arx:papers:1803.00261.

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2018Matching distributions: Recovery of implied physical densities from option prices. (2018). Talponen, Jarno . In: Papers. RePEc:arx:papers:1803.03996.

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2019Mixing LSMC and PDE Methods to Price Bermudan Options. (2019). Jaimungal, Sebastian ; Jackson, Kenneth ; Farahany, David. In: Papers. RePEc:arx:papers:1803.07216.

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2018Pricing Credit Default Swap Subject to Counterparty Risk and Collateralization. (2018). White, Alan. In: Papers. RePEc:arx:papers:1803.07843.

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2018Local Control Regression: Improving the Least Squares Monte Carlo Method for Portfolio Optimization. (2018). Hamza, Kais ; Klebaner, Fima ; Zhu, Zili ; Tian, YU ; Langren, Nicolas ; Zhang, Rongju. In: Papers. RePEc:arx:papers:1803.11467.

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2018Pricing sovereign contingent convertible debt. (2018). Consiglio, Andrea ; Zenios, Stavros ; Tumminello, Michele. In: Papers. RePEc:arx:papers:1804.01475.

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2018Valuation of contingent convertible catastrophe bonds - the case for equity conversion. (2018). Burnecki, Krzysztof ; Palmowski, Zbigniew ; Nicol, Mario. In: Papers. RePEc:arx:papers:1804.07997.

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2018Are multi-factor Gaussian term structure models still useful? An empirical analysis on Italian BTPs. (2018). Bianchi, Michele Leonardo. In: Papers. RePEc:arx:papers:1805.09996.

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2018A New Model for Pricing Collateralized Financial Derivatives. (2018). Xiao, Tim. In: Papers. RePEc:arx:papers:1805.11981.

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2018A new approach for American option pricing: The Dynamic Chebyshev method. (2018). Potz, Christian ; Mahlstedt, Mirco ; Glau, Kathrin. In: Papers. RePEc:arx:papers:1806.05579.

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2018Deep Learning-Based BSDE Solver for Libor Market Model with Application to Bermudan Swaption Pricing and Hedging. (2018). Shen, QI ; Liu, Richard ; Sudjianto, Agus ; Chen, Han ; Wang, Haojie . In: Papers. RePEc:arx:papers:1807.06622.

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2018American Put Option pricing using Least squares Monte Carlo method under Bakshi, Cao and Chen Model Framework (1997) and comparison to alternative regression techniques in Monte Carlo. (2018). Sodhi, Anurag. In: Papers. RePEc:arx:papers:1808.02791.

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2019Dynamic programming for optimal stopping via pseudo-regression. (2019). Schoenmakers, John ; Redmann, Martin ; Bayer, Christian. In: Papers. RePEc:arx:papers:1808.04725.

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2019Pricing American Options by Exercise Rate Optimization. (2019). Wolfers, Soren ; Tempone, Ra'ul ; Bayer, Christian. In: Papers. RePEc:arx:papers:1809.07300.

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2018An extension of Hestons SV model to Stochastic Interest Rates. (2018). Gaton, Victor ; de Frutos, Javier. In: Papers. RePEc:arx:papers:1809.09069.

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2018Neural Network for CVA: Learning Future Values. (2018). Grecu, Dan ; She, Jian-Huang. In: Papers. RePEc:arx:papers:1811.08726.

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2020Deep Learning for Ranking Response Surfaces with Applications to Optimal Stopping Problems. (2019). Hu, Ruimeng. In: Papers. RePEc:arx:papers:1901.03478.

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2019Pricing path-dependent Bermudan options using Wiener chaos expansion: an embarrassingly parallel approach. (2019). Lelong, J'Erome. In: Papers. RePEc:arx:papers:1901.05672.

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2019A Backward Simulation Method for Stochastic Optimal Control Problems. (2019). Weng, Chengguo ; Shen, Zhiyi. In: Papers. RePEc:arx:papers:1901.06715.

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2020A 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.

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2019A fast method for pricing American options under the variance gamma model. (2019). Hirsa, Ali ; Fu, Weilong. In: Papers. RePEc:arx:papers:1903.07519.

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2019Machine Learning for Pricing American Options in High Dimension. (2019). Zanette, Antonino ; Molent, Andrea ; Goudenege, Ludovic. In: Papers. RePEc:arx:papers:1903.11275.

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2019Statistical Learning for Probability-Constrained Stochastic Optimal Control. (2019). Palczewski, Jan ; Maheshwari, Aditya ; Ludkovski, Michael ; Balata, Alessandro. In: Papers. RePEc:arx:papers:1905.00107.

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2019Fast Calculation of Credit Exposures for Barrier and Bermudan options using Chebyshev interpolation. (2019). Potz, Christian ; Pachon, Ricardo ; Glau, Kathrin. In: Papers. RePEc:arx:papers:1905.00238.

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2019Efficient Computation of Various Valuation Adjustments Under Local L\evy Models. (2019). Pascucci, Andrea ; Oosterlee, Cornelis W ; Borovykh, Anastasia. In: Papers. RePEc:arx:papers:1905.01706.

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2019Semi-tractability of optimal stopping problems via a weighted stochastic mesh algorithm. (2019). Schoenmakers, J ; Kaledin, M ; Belomestny, D. In: Papers. RePEc:arx:papers:1906.09431.

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2019Branching Particle Pricers with Heston Examples. (2019). MacKay, Anne ; Kouritzin, Michael A. In: Papers. RePEc:arx:papers:1907.00219.

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2019Tracking VIX with VIX Futures: Portfolio Construction and Performance. (2019). Leung, Tim ; Ward, Brian. In: Papers. RePEc:arx:papers:1907.00293.

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2019Neural network regression for Bermudan option pricing. (2019). Lelong, J'Erome ; Lapeyre, Bernard. In: Papers. RePEc:arx:papers:1907.06474.

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2019Solving high-dimensional optimal stopping problems using deep learning. (2019). Welti, Timo ; Jentzen, Arnulf ; Cheridito, Patrick ; Becker, Sebastian. In: Papers. RePEc:arx:papers:1908.01602.

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2020Fast Pricing of Energy Derivatives with Mean-reverting Jump Processes. (2019). Sabino, Piergiacomo ; Petroni, Nicola Cufaro . In: Papers. RePEc:arx:papers:1908.03137.

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2019`Regression Anytime with Brute-Force SVD Truncation. (2019). Schweizer, Nikolaus ; Bender, Christian. In: Papers. RePEc:arx:papers:1908.08264.

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2019Deep Neural Network Framework Based on Backward Stochastic Differential Equations for Pricing and Hedging American Options in High Dimensions. (2019). , Justin ; Chen, Yangang. In: Papers. RePEc:arx:papers:1909.11532.

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2019Quantifying Life Insurance Risk using Least-Squares Monte Carlo. (2019). Pfaffel, Oliver ; Lempertseder, Robert ; Krebs, Johannes ; Baumgart, Claus. In: Papers. RePEc:arx:papers:1910.03951.

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2019Weighted Monte Carlo with least squares and randomized extended Kaczmarz for option pricing. (2019). Glau, Kathrin ; Nakatsukasa, Yuji ; Filipovi, Damir ; Statti, Francesco. In: Papers. RePEc:arx:papers:1910.07241.

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2019Multi-Stage Compound Real Options Valuation in Residential PV-Battery Investment. (2019). Verbic, Gregor ; Chapman, Archie ; Swandi, Kevin. In: Papers. RePEc:arx:papers:1910.09132.

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2019Calibration of Local-Stochastic and Path-Dependent Volatility Models to Vanilla and No-Touch Options. (2019). Reisinger, Christoph ; Mariapragassam, Matthieu ; Bain, Alan. In: Papers. RePEc:arx:papers:1911.00877.

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2019Change-point Analysis in Financial Networks. (2019). Guhathakurta, Kousik ; Banerjee, Sayantan. In: Papers. RePEc:arx:papers:1911.05952.

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2019Neural network for pricing and universal static hedging of contingent claims. (2019). Jain, Shashi ; Bhardawaj, Vikram ; Lokeshwar, Vikranth. In: Papers. RePEc:arx:papers:1911.11362.

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2020Valuing Tradeability in Exponential L\evy Models. (2019). Mathys, Ludovic. In: Papers. RePEc:arx:papers:1912.00469.

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2020Rational Kernel on Pricing Models of Inflation Derivatives. (2020). Zhou, Yue. In: Papers. RePEc:arx:papers:2001.05124.

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2020How Safe are European Safe Bonds? An Analysis from the Perspective of Modern Portfolio Credit Risk Models. (2020). Damian, Camilla ; Kurt, Kevin ; Frey, Rudiger. In: Papers. RePEc:arx:papers:2001.11249.

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2020Randomized optimal stopping algorithms and their convergence analysis. (2020). Schoenmakers, John ; Pigato, Paolo ; Hager, Paul ; Belomestny, Denis ; Bayer, Christian. In: Papers. RePEc:arx:papers:2002.00816.

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2020The Fair Basis: Funding and capital in the reduced form framework. (2020). Lou, Wujiang . In: Papers. RePEc:arx:papers:2002.08531.

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2020Fast 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.

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2020A weighted finite difference method for American and Barrier options in subdiffusive Black-Scholes Model. (2020). Magdziarz, Marcin ; Zanowski, Grzegorz Krzy. In: Papers. RePEc:arx:papers:2003.05358.

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2020A wavelet analysis of inter-dependence, contagion and long memory among global equity markets. (2020). Bhandari, Avishek. In: Papers. RePEc:arx:papers:2003.14110.

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2020Exact Simulation of Variance Gamma related OU processes: Application to the Pricing of Energy Derivatives. (2020). Sabino, Piergiacomo. In: Papers. RePEc:arx:papers:2004.06786.

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2020Decomposition of Optimal Dynamic Portfolio Choice with Wealth-Dependent Utilities in Incomplete Markets. (2020). Scaillet, Olivier ; Shen, Yiwen. In: Papers. RePEc:arx:papers:2004.10096.

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2020A machine learning approach to portfolio pricing and risk management for high-dimensional problems. (2020). Fernandez-Arjona, Lucio ; Filipovi, Damir. In: Papers. RePEc:arx:papers:2004.14149.

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2020Differential Machine Learning. (2020). Huge, Brian ; Savine, Antoine. In: Papers. RePEc:arx:papers:2005.02347.

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2020Deep 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.

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2019Does the Cost of Private Debt Respond to Monetary Policy? Heteroskedasticity-Based Identification in a Model with Regimes. (2019). Guidolin, Massimo ; Pedio, Manuela. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp19118.

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2017The MacroFinancial Risk Assessment Framework (MFRAF), Version 2.0. (2017). Fique, José. In: Technical Reports. RePEc:bca:bocatr:111.

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2017Measuring Limits of Arbitrage in Fixed-Income Markets. (2017). Fontaine, Jean-Sebastien ; Nolin, Guillaume. In: Staff Working Papers. RePEc:bca:bocawp:17-44.

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2018Multivariate Jump Diffusion Model with Markovian Contagion. (2018). de Carvalho, Pablo ; Gupta, Aparna ; Campos, Pablo Jose. In: Working Papers Series. RePEc:bcb:wpaper:482.

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2019International Reserves Management in a Model of Partial Sovereign Default. (2019). Sabbadini, Ricardo. In: Working Papers Series. RePEc:bcb:wpaper:496.

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2019Loss Aversion and Search for Yield in Emerging Markets Sovereign Debt. (2019). Sabbadini, Ricardo. In: Working Papers Series. RePEc:bcb:wpaper:500.

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2017Systemic Financial Sector and Sovereign Risks. (2017). Nadal De Simone, Francisco ; Jin, Xisong. In: BCL working papers. RePEc:bcl:bclwop:bclwp109.

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2018Missing Investors in the Italian Corporate Bond Market. (2018). Nigro, Valentina ; Guazzarotti, Giovanni ; Russo, Paolo Finaldi ; Accornero, Matteo. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_450_18.

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2017A quantitative analysis of risk premia in the corporate bond market. (2017). Cecchetti, Sara. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1141_17.

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2020An analysis of sovereign credit risk premia in the euro area: are they explained by local or global factors?. (2020). Cecchetti, Sara. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1271_20.

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2018Fiscal Policy and Inflation: Understanding the Role of Expectations in Mexico. (2018). Samano, Daniel ; Lopez-Martin, Bernabe ; Daniel, Samano ; de Aguilar, Ramirez ; Bernabe, Lopez-Martin. In: Working Papers. RePEc:bdm:wpaper:2018-18.

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2017Sovereign default risk in OECD countries: do global factors matter?. (2017). Ordoñez-Callamand, Daniel ; Melo-Velandia, Luis ; Gomez-Gonzalez, Jose ; Ordoez-Callamand, Daniel. In: Borradores de Economia. RePEc:bdr:borrec:996.

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More than 100 citations found, this list is not complete...

Works by Francis A. Longstaff:

YearTitleTypeCited
2009Portfolio Claustrophobia: Asset Pricing in Markets with Illiquid Assets In: American Economic Review.
[Full Text][Citation analysis]		article21
2011How Sovereign Is Sovereign Credit Risk? In: American Economic Journal: Macroeconomics.
[Full Text][Citation analysis]		article395
2007How Sovereign is Sovereign Credit Risk?.(2007) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 395		paper
1990 Pricing Options with Extendible Maturities: Analysis and Applications. In: Journal of Finance.
[Full Text][Citation analysis]		article21
1990 Time Varying Term Premia and Traditional Hypotheses about the Term Structure. In: Journal of Finance.
[Full Text][Citation analysis]		article9
1992 Dual Trading in Futures Markets. In: Journal of Finance.
[Full Text][Citation analysis]		article50
1992 Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model. In: Journal of Finance.
[Full Text][Citation analysis]		article168
1995 A Simple Approach to Valuing Risky Fixed and Floating Rate Debt. In: Journal of Finance.
[Full Text][Citation analysis]		article589
1995 How Much Can Marketability Affect Security Values? In: Journal of Finance.
[Full Text][Citation analysis]		article51
2000Arbitrage and the Expectations Hypothesis In: Journal of Finance.
[Full Text][Citation analysis]		article19
2000Financial Innovation and the Role of Derivative Securities: An Empirical Analysis of the Treasury STRIPS Program In: Journal of Finance.
[Full Text][Citation analysis]		article25
2001The Relative Valuation of Caps and Swaptions: Theory and Empirical Evidence In: Journal of Finance.
[Full Text][Citation analysis]		article30
2003Dynamic Asset Allocation with Event Risk In: Journal of Finance.
[Full Text][Citation analysis]		article138
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