27
H index
41
i10 index
5512
Citations
University of California-Los Angeles (UCLA) | 27 H index 41 i10 index 5512 Citations RESEARCH PRODUCTION: 37 Articles 32 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
|
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: | Cites to: |
Journals with more than one article published | # docs |
---|---|
Journal of Finance | 13 |
Journal of Financial Economics | 8 |
Review of Financial Studies | 4 |
The Journal of Business | 3 |
Journal of Financial and Quantitative Analysis | 2 |
Journal of Banking & Finance | 2 |
Working Papers Series with more than one paper published | # docs |
---|---|
NBER Working Papers / National Bureau of Economic Research, Inc | 30 |
Year | Title of citing document | |
---|---|---|
2022 | Betting on mean reversion in the VIX? Evidence from ETP flows. (2022). Posselt, Anders Merrild ; Nielsen, Ole Linnemann. In: CREATES Research Papers. RePEc:aah:create:2022-06. 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 | |
2021 | Asymmetric short-rate model without lower bound. (2021). Wang, Linqi ; Vrins, Frederic. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2021006. Full description at Econpapers || Download paper | |
2021 | Why Are Fiscal Multipliers Moderate Even Under Monetary Accommodation?. (2021). Schabert, Andreas ; Juessen, Falko ; Bredemeier, Christian. In: ECONtribute Discussion Papers Series. RePEc:ajk:ajkdps:074. Full description at Econpapers || Download paper | |
2022 | Sovereign Debt. (2022). Zettelmeyer, Jeromin ; Roldan, Francisco ; Roch, Francisco ; Martinez, Leonardo. In: Working Papers. RePEc:aoz:wpaper:167. Full description at Econpapers || Download paper | |
2021 | Does It Matter How Central Banks Accumulate Reserves? Evidence from Sovereign Spreads. (2021). Sturzenegger, Federico ; Sosa-Padilla, Cesar. In: Working Papers. RePEc:aoz:wpaper:79. 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 | Solving high-dimensional optimal stopping problems using deep learning. (2019). Welti, Timo ; Jentzen, Arnulf ; Cheridito, Patrick ; Becker, Sebastian. In: Papers. RePEc:arx:papers:1908.01602. 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 | |
2022 | A machine learning approach to portfolio pricing and risk management for high-dimensional problems. (2020). Filipovi, Damir ; Fernandez-Arjona, Lucio. In: Papers. RePEc:arx:papers:2004.14149. Full description at Econpapers || Download paper | |
2022 | 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 | |
2021 | Theoretical Guarantees for Learning Conditional Expectation using Controlled ODE-RNN. (2020). Teichmann, Josef ; Krach, Florian ; Herrera, Calypso. In: Papers. RePEc:arx:papers:2006.04727. Full description at Econpapers || Download paper | |
2021 | Optimal Nested Simulation Experiment Design via Likelihood Ratio Method. (2020). Song, Eunhye ; ben Feng, Mingbin. In: Papers. RePEc:arx:papers:2008.13087. Full description at Econpapers || Download paper | |
2021 | Sentiment Diffusion in Financial News Networks and Associated Market Movements. (2020). Yang, Jie ; Wan, Xingchen ; Dong, Xiaowen ; Zohren, Stefan ; Calliess, Jan-Peter ; Marinov, Slavi. In: Papers. RePEc:arx:papers:2011.06430. Full description at Econpapers || Download paper | |
2022 | mlOSP: Towards a Unified Implementation of Regression Monte Carlo Algorithms. (2020). Ludkovski, Mike. In: Papers. RePEc:arx:papers:2012.00729. 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 | Solving optimal stopping problems with Deep Q-Learning. (2021). Ery, John ; Michel, Loris. In: Papers. RePEc:arx:papers:2101.09682. Full description at Econpapers || Download paper | |
2021 | Least Squares Monte Carlo applied to Dynamic Monetary Utility Functions. (2021). Engsner, Hampus. In: Papers. RePEc:arx:papers:2101.10947. Full description at Econpapers || Download paper | |
2021 | Sample path generation of the stochastic volatility CGMY process and its application to path-dependent option pricing. (2021). Kim, Young Shin. In: Papers. RePEc:arx:papers:2101.11001. Full description at Econpapers || Download paper | |
2021 | From optimal martingales to randomized dual optimal stopping. (2021). Schoenmakers, John ; Belomestny, Denis. In: Papers. RePEc:arx:papers:2102.01533. Full description at Econpapers || Download paper | |
2021 | Black-box model risk in finance. (2021). Snow, Derek ; Szpruch, Lukasz ; Cohen, Samuel N. In: Papers. RePEc:arx:papers:2102.04757. Full description at Econpapers || Download paper | |
2021 | Pricing high-dimensional Bermudan options with hierarchical tensor formats. (2021). Trunschke, Philipp ; Sallandt, Leon ; Eigel, Martin ; Bayer, Christian. In: Papers. RePEc:arx:papers:2103.01934. Full description at Econpapers || Download paper | |
2022 | A nonparametric algorithm for optimal stopping based on robust optimization. (2021). Sturt, Bradley. In: Papers. RePEc:arx:papers:2103.03300. Full description at Econpapers || Download paper | |
2022 | American options in the Volterra Heston model. (2021). , Elizabeth ; Pulido, Sergio ; Chevalier, Etienne. In: Papers. RePEc:arx:papers:2103.11734. Full description at Econpapers || Download paper | |
2021 | Pricing Energy Derivatives in Markets Driven by Tempered Stable and CGMY Processes of Ornstein-Uhlenbeck Type. (2021). Sabino, Piergiacomo. In: Papers. RePEc:arx:papers:2103.13252. Full description at Econpapers || Download paper | |
2021 | Perpetual callable American volatility options in a mean-reverting volatility model. (2021). Liu, Hsuan-Ku. In: Papers. RePEc:arx:papers:2104.01127. Full description at Econpapers || Download paper | |
2021 | On the Investment Strategies in Occupational Pension Plans. (2021). Bosserhoff, Frank ; Stadje, Mitja ; Sorensen, Nils ; Chen, AN. In: Papers. RePEc:arx:papers:2104.08956. Full description at Econpapers || Download paper | |
2023 | Optimal Stopping via Randomized Neural Networks. (2021). Herrera, Calypso ; Teichmann, Josef ; Ruyssen, Pierre ; Krach, Florian. In: Papers. RePEc:arx:papers:2104.13669. Full description at Econpapers || Download paper | |
2021 | Normal Tempered Stable Processes and the Pricing of Energy Derivatives. (2021). Sabino, Piergiacomo. In: Papers. RePEc:arx:papers:2105.03071. Full description at Econpapers || Download paper | |
2021 | Least squares Monte Carlo methods in stochastic Volterra rough volatility models. (2021). Guerreiro, Henrique ; Guerra, Joao . In: Papers. RePEc:arx:papers:2105.04511. Full description at Econpapers || Download paper | |
2022 | An efficient Monte Carlo method for utility-based pricing. (2021). Ferhoune, Massinissa ; Carassus, Laurence. In: Papers. RePEc:arx:papers:2105.08804. Full description at Econpapers || Download paper | |
2021 | A Fully Quantization-based Scheme for FBSDEs. (2021). Grasselli, Martino ; Gnoatto, Alessandro ; Callegaro, Giorgia. In: Papers. RePEc:arx:papers:2105.09276. 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 | |
2022 | Unbiased Optimal Stopping via the MUSE. (2021). Blanchet, Jose ; Wang, Guanyang ; Zhou, Zhengqing ; Glynn, Peter W. In: Papers. RePEc:arx:papers:2106.02263. 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 | Decision making with dynamic probabilistic forecasts. (2021). Tinsi, Laura ; Tankov, Peter. In: Papers. RePEc:arx:papers:2106.16047. Full description at Econpapers || Download paper | |
2022 | Markov-modulated Affine Processes. (2021). Frey, Rudiger ; Kurt, Kevin. In: Papers. RePEc:arx:papers:2106.16240. 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 | |
2021 | Method of lines for valuation and sensitivities of Bermudan options. (2021). Jain, Shashi ; Murthy, Vasudeva ; Banerjee, Purba. In: Papers. RePEc:arx:papers:2112.01287. Full description at Econpapers || Download paper | |
2021 | Reinforcement learning for options on target volatility funds. (2021). Polo, Stefano ; Pallavicini, Andrea ; Nastasi, Emanuele ; Daluiso, Roberto. In: Papers. RePEc:arx:papers:2112.01841. Full description at Econpapers || Download paper | |
2022 | Recent Advances in Reinforcement Learning in Finance. (2021). Yang, Huining ; Xu, Renyuan ; Hambly, Ben. In: Papers. RePEc:arx:papers:2112.04553. Full description at Econpapers || Download paper | |
2021 | Pricing Bermudan options using regression trees/random forests. (2021). Lelong, J'Erome ; Henry-Labordere, Pierre ; el Filali, Zineb. In: Papers. RePEc:arx:papers:2201.02587. 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 | 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 | Are all Credit Default Swap Databases equal?. (2022). Mayordomo, Sergio ; Schwartz, Eduardo S ; Pena, Juan Ignacio. In: Papers. RePEc:arx:papers:2202.02273. Full description at Econpapers || Download paper | |
2022 | Regression Monte Carlo for Impulse Control. (2022). Ludkovski, Mike. In: Papers. RePEc:arx:papers:2203.06539. Full description at Econpapers || Download paper | |
2022 | Calibration of Derivative Pricing Models: a Multi-Agent Reinforcement Learning Perspective. (2022). Vadori, Nelson. In: Papers. RePEc:arx:papers:2203.06865. Full description at Econpapers || Download paper | |
2022 | Sample Recycling for Nested Simulation with Application in Portfolio Risk Measurement. (2022). Wang, Shiyu ; Liu, Guangwu ; Feng, Ben Mingbin ; Zhang, Kun. In: Papers. RePEc:arx:papers:2203.15929. Full description at Econpapers || Download paper | |
2022 | Relevance of Wrong-Way Risk in Funding Valuation Adjustments. (2022). Oosterlee, C W ; Grzelak, L A ; van der Zwaard, T. In: Papers. RePEc:arx:papers:2204.02680. Full description at Econpapers || Download paper | |
2022 | Ensemble learning for portfolio valuation and risk management. (2022). Filipovi, Damir ; Boudabsa, Lotfi. In: Papers. RePEc:arx:papers:2204.05926. Full description at Econpapers || Download paper | |
2022 | Neural Optimal Stopping Boundary. (2022). Tissot-Daguette, Valentin ; Soner, Mete H ; Reppen, Max A. In: Papers. RePEc:arx:papers:2205.04595. Full description at Econpapers || Download paper | |
2022 | Deep Stochastic Optimization in Finance. (2022). Tissot-Daguette, Valentin ; Soner, Mete H ; Reppen, Max A. In: Papers. RePEc:arx:papers:2205.04604. Full description at Econpapers || Download paper | |
2022 | Differential learning methods for solving fully nonlinear PDEs. (2022). Pham, Huyen ; Loeper, Gr'Egoire ; Lefebvre, William. In: Papers. RePEc:arx:papers:2205.09815. Full description at Econpapers || Download paper | |
2022 | Solving the optimal stopping problem with reinforcement learning: an application in financial option exercise. (2022). Del-Moral, Emilio ; Matsumoto, Elia ; Felizardo, Leonardo Kanashiro. In: Papers. RePEc:arx:papers:2208.00765. Full description at Econpapers || Download paper | |
2022 | The Impact of Retail Investors Sentiment on Conditional Volatility of Stocks and Bonds. (2022). Kedar-Levy, Haim ; Hadad, Elroi. In: Papers. RePEc:arx:papers:2208.01538. Full description at Econpapers || Download paper | |
2022 | Randomized Optimal Stopping Problem in Continuous time and Reinforcement Learning Algorithm. (2022). Dong, Yuchao. In: Papers. RePEc:arx:papers:2208.02409. Full description at Econpapers || Download paper | |
2022 | Valuation of general GMWB annuities in a low interest rate environment. (2022). Rotondi, Francesco ; Fontana, Claudio. In: Papers. RePEc:arx:papers:2208.10183. Full description at Econpapers || Download paper | |
2022 | Systemic Risk of Optioned Portfolios: Controllability and Optimization. (2022). Ma, Jiali ; Cui, Xueting ; Zhu, Shushang ; Pang, Xiaochuan. In: Papers. RePEc:arx:papers:2209.04685. Full description at Econpapers || Download paper | |
2022 | Sandwiched Volterra Volatility model: Markovian approximations and hedging. (2022). Yurchenko-Tytarenko, Anton ; di Nunno, Giulia. In: Papers. RePEc:arx:papers:2209.13054. Full description at Econpapers || Download paper | |
2022 | Deep neural network expressivity for optimal stopping problems. (2022). Gonon, Lukas. In: Papers. RePEc:arx:papers:2210.10443. Full description at Econpapers || Download paper | |
2022 | Deep Signature Algorithm for Path-Dependent American option pricing. (2022). Bayraktar, Erhan ; Zhang, Zhaoyu ; Feng, QI. In: Papers. RePEc:arx:papers:2211.11691. Full description at Econpapers || Download paper | |
2022 | Deep learning and American options via free boundary framework. (2022). Dai, Weizhong ; Ware, Tony ; Umeorah, Nneka ; Nwankwo, Chinonso. In: Papers. RePEc:arx:papers:2211.11803. Full description at Econpapers || Download paper | |
2023 | 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 | |
2022 | Pathwise CVA Regressions With Oversimulated Defaults. (2022). Saadeddine, Bouazza ; Cr, St'Ephane ; Abbas-Turki, Lokman . In: Papers. RePEc:arx:papers:2211.17005. Full description at Econpapers || Download paper | |
2022 | Accelerated Computations of Sensitivities for xVA. (2022). Wolf, Felix ; Grzelak, Lech A ; Deelstra, Griselda. In: Papers. RePEc:arx:papers:2211.17026. Full description at Econpapers || Download paper | |
2022 | Pricing Bermudan Swaption under Two Factor Hull-White Model with Fast Gauss Transform. (2022). Takeuchi, Yuki ; Yamakami, Tomohisa. In: Papers. RePEc:arx:papers:2212.08250. Full description at Econpapers || Download paper | |
2022 | Quantum-Inspired Tensor Neural Networks for Option Pricing. (2022). Tziritas, Kris ; Dominguez, Tomas ; Sharma, Shivam ; Jahromi, Saeed S ; Orus, Roman ; Palmer, Samuel ; Mugel, Samuel ; Sahin, Serkan ; Castellani, Pierre ; Hsing, Chia-Wei ; Aubert, Stephane ; Patel, Raj G ; Abid, Mustafa ; Porte, Vincent ; Michel, Christophe . In: Papers. RePEc:arx:papers:2212.14076. Full description at Econpapers || Download paper | |
2023 | Double free boundary problem for defaultable corporate bond with credit rating migration risks and their asymptotic behaviors. (2023). Brauner, Claude-Michel ; Liang, Jin ; Dong, Yuchao. In: Papers. RePEc:arx:papers:2301.10898. Full description at Econpapers || Download paper | |
2021 | The Australian corporate bond market before credit ratings, 1915-83. (2021). Merrett, David ; Liu, Frank ; Fleming, Grant ; Ville, Simon. In: CEH Discussion Papers. RePEc:auu:hpaper:096. Full description at Econpapers || Download paper | |
2021 | A composite indicator of sovereign bond market liquidity in the euro area. (2021). Taboga, Marco ; Poli, Riccardo. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_663_21. Full description at Econpapers || Download paper | |
2021 | Pricing the exotic: Path-dependent American options with stochastic barriers. (2021). Villamizar-Villegas, mauricio ; Rojas-Bernal, Alejandro. In: Borradores de Economia. RePEc:bdr:borrec:1156. Full description at Econpapers || Download paper | |
2021 | Indicador Combinado de Liquidez para la Deuda Pública Local Colombiana. (2021). Martinez-Cruz, Diego Alejandro. In: Borradores de Economia. RePEc:bdr:borrec:1167. Full description at Econpapers || Download paper | |
2021 | SISTEMSKA KOMPONENTA KREDITNOG RIZIKA: METOD KOPULA (SYSTEMIC COMPONENT OF CREDIT RISK: A COPULA-BASED METHOD). (2021). Boovi, Milo. In: Ekonomske ideje i praksa. RePEc:beo:ekidpr:y:2021:i:41:p:1-13. Full description at Econpapers || Download paper | |
2021 | Structural Estimation of Time-Varying Spillovers: An Application to International Credit Risk Transmission. (2021). Arthur, Stalla-Bourdillon ; Lukas, Boeckelmann. In: Working papers. RePEc:bfr:banfra:798. Full description at Econpapers || Download paper | |
2022 | Sovereign Debt and International Trade. (2022). Serfaty, Charles. In: Working papers. RePEc:bfr:banfra:901. Full description at Econpapers || Download paper | |
2022 | The Covid-19 shock and the monetary policy response in Colombia. (2022). Romero, Jose Vicente ; Ospina, Juan Jose ; Vargas-Herrera, Hernando. In: BIS Papers chapters. RePEc:bis:bisbpc:122-06. Full description at Econpapers || Download paper | |
2021 | Sovereign credit and exchange rate risks: evidence from Asia-Pacific local currency bonds. (2021). Hördahl, Peter ; Creal, Drew ; Chernov, Mikhail ; Hordahl, Peter. In: BIS Working Papers. RePEc:bis:biswps:918. Full description at Econpapers || Download paper | |
2021 | Firm-specific risk-neutral distributions with options and CDS. (2021). Jahan-Parvar, Mohammad ; Aramonte, Sirio ; Schindler, John W ; Rosen, Samuel. In: BIS Working Papers. RePEc:bis:biswps:921. Full description at Econpapers || Download paper | |
2022 | Bank opacity - patterns and implications. (2022). Avdjiev, Stefan ; Jager, Maximilian. In: BIS Working Papers. RePEc:bis:biswps:992. Full description at Econpapers || Download paper | |
2022 | Monetary policy expectation errors. (2022). Schrimpf, Andreas ; Schmeling, Maik. In: BIS Working Papers. RePEc:bis:biswps:996. Full description at Econpapers || Download paper | |
2021 | Determinants of Russia’s Sovereign Risk. (2021). Grigoryeva, Evgenia. In: Russian Journal of Money and Finance. RePEc:bkr:journl:v:80:y:2021:i:4:p:74-97. Full description at Econpapers || Download paper | |
2021 | Estimation of a term structure model of carbon prices through state space methods: The European Union emissions trading scheme. (2021). Harris, Geoff ; Gepp, Adrian ; Aspinall, Thomas ; Vanstone, Bruce ; Southam, Colette ; Kelly, Simone. In: Accounting and Finance. RePEc:bla:acctfi:v:61:y:2021:i:2:p:3797-3819. Full description at Econpapers || Download paper | |
2021 | Does compliance with Green Bond Principles bring any benefit to make G20’s ‘Green economy plan’ a reality?. (2021). Colombage, Sisira ; Madurika, Kariyawasam Galoluwage. In: Accounting and Finance. RePEc:bla:acctfi:v:61:y:2021:i:3:p:4257-4285. 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 | |
2021 | On the International Spillover Effects of Country?Specific Financial Sector Bailouts and Sovereign Risk Shocks*. (2021). Wu, Eliza ; Nguyen, Viet Hoang ; GREENWOODNIMMO, MATTHEW . In: The Economic Record. RePEc:bla:ecorec:v:97:y:2021:i:317:p:285-309. Full description at Econpapers || Download paper | |
2021 | Disentangling types of liquidity and testing limits?to?arbitrage theories in the CDS–bond basis. (2021). Schnitzler, Jan ; Augustin, Patrick. In: European Financial Management. RePEc:bla:eufman:v:27:y:2021:i:1:p:120-146. Full description at Econpapers || Download paper | |
2022 | Dealers incentives to reveal their names. (2022). Karam, Arze. In: The Financial Review. RePEc:bla:finrev:v:57:y:2022:i:1:p:27-44. Full description at Econpapers || Download paper | |
2021 | Public debt, sovereign spreads and the unpleasant arithmetic of fiscal consolidations. (2021). Minetti, Raoul ; Marattin, Luigi ; di Pietro, Marco. In: International Finance. RePEc:bla:intfin:v:24:y:2021:i:2:p:155-178. Full description at Econpapers || Download paper | |
2021 | The risk?taking channel of currency appreciation: A structural VAR investigation of Asian emerging market economies. (2021). Kim, David ; Huh, Hyeonseung . In: International Finance. RePEc:bla:intfin:v:24:y:2021:i:3:p:313-331. Full description at Econpapers || Download paper | |
2021 | Investment and financing for cash flow discounted with group diversity. (2021). Yang, Zhaojun ; Luo, Pengfei. In: International Review of Finance. RePEc:bla:irvfin:v:21:y:2021:i:3:p:769-785. Full description at Econpapers || Download paper | |
2021 | The sovereign yield curve and credit ratings in GIIPS. (2021). Umar, Zaghum ; Shehzad, Choudhry T ; Riaz, Yasir. In: International Review of Finance. RePEc:bla:irvfin:v:21:y:2021:i:3:p:895-916. Full description at Econpapers || Download paper | |
2021 | Liquidity risk and corporate bond yield spread: Evidence from China. (2021). Jiang, Lunan ; Chen, Yinghui. In: International Review of Finance. RePEc:bla:irvfin:v:21:y:2021:i:4:p:1117-1151. Full description at Econpapers || Download paper | |
2022 | Government economic policy uncertainty and corporate debt contracting. (2022). Phan, Hieu V. In: International Review of Finance. RePEc:bla:irvfin:v:22:y:2022:i:1:p:169-199. Full description at Econpapers || Download paper | |
2022 | Enhanced disclosure of credit derivatives, information asymmetry and credit risk. (2022). Zhao, Qiuhong. In: Journal of Business Finance & Accounting. RePEc:bla:jbfnac:v:49:y:2022:i:5-6:p:717-751. Full description at Econpapers || Download paper | |
2021 | Mutual Fund Holdings of Credit Default Swaps: Liquidity, Yield, and Risk. (2021). Zhu, Zhongyan ; Ou, Jitao ; Jiang, Wei. In: Journal of Finance. RePEc:bla:jfinan:v:76:y:2021:i:2:p:537-586. Full description at Econpapers || Download paper | |
2021 | The Cross Section of MBS Returns. (2021). Richardson, Scott ; Eisfeldt, Andrea L ; Diep, Peter . In: Journal of Finance. RePEc:bla:jfinan:v:76:y:2021:i:5:p:2093-2151. Full description at Econpapers || Download paper | |
2022 | A New Test of Risk Factor Relevance. (2022). Sussman, Abigail B ; Hartzmark, Samuel M ; Chinco, Alex. In: Journal of Finance. RePEc:bla:jfinan:v:77:y:2022:i:4:p:2183-2238. Full description at Econpapers || Download paper | |
2021 | Efficient valuation of variable annuity portfolios with dynamic programming. (2021). Moenig, Thorsten. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:88:y:2021:i:4:p:1023-1055. Full description at Econpapers || Download paper | |
2022 | Debt Intolerance: Threshold Level and Composition. (2022). Matsuoka, Hideaki. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:84:y:2022:i:4:p:894-932. Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
Year | Title | Type | Cited |
---|---|---|---|
2009 | Portfolio Claustrophobia: Asset Pricing in Markets with Illiquid Assets In: American Economic Review. [Full Text][Citation analysis] | article | 32 |
2011 | How Sovereign Is Sovereign Credit Risk? In: American Economic Journal: Macroeconomics. [Full Text][Citation analysis] | article | 567 |
2007 | How Sovereign is Sovereign Credit Risk?.(2007) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 567 | paper | |
1990 | Pricing Options with Extendible Maturities: Analysis and Applications. In: Journal of Finance. [Full Text][Citation analysis] | article | 27 |
1990 | Time Varying Term Premia and Traditional Hypotheses about the Term Structure. In: Journal of Finance. [Full Text][Citation analysis] | article | 10 |
1992 | Dual Trading in Futures Markets. In: Journal of Finance. [Full Text][Citation analysis] | article | 57 |
1992 | Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model. In: Journal of Finance. [Full Text][Citation analysis] | article | 282 |
1995 | A Simple Approach to Valuing Risky Fixed and Floating Rate Debt. In: Journal of Finance. [Full Text][Citation analysis] | article | 712 |
1995 | How Much Can Marketability Affect Security Values? In: Journal of Finance. [Full Text][Citation analysis] | article | 65 |
2000 | Arbitrage and the Expectations Hypothesis In: Journal of Finance. [Full Text][Citation analysis] | article | 20 |
2000 | Financial Innovation and the Role of Derivative Securities: An Empirical Analysis of the Treasury STRIPS Program In: Journal of Finance. [Full Text][Citation analysis] | article | 31 |
2001 | The Relative Valuation of Caps and Swaptions: Theory and Empirical Evidence In: Journal of Finance. [Full Text][Citation analysis] | article | 37 |
2003 | Dynamic Asset Allocation with Event Risk In: Journal of Finance. [Full Text][Citation analysis] | article | 176 |
2002 | Dynamic Asset Allocation With Event Risk.(2002) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 176 | paper | |
2005 | Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market In: Journal of Finance. [Full Text][Citation analysis] | article | 807 |
2004 | Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit-Default Swap Market.(2004) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 807 | paper | |
2007 | The U.S. Treasury Buyback Auctions: The Cost of Retiring Illiquid Bonds In: Journal of Finance. [Full Text][Citation analysis] | article | 8 |
2008 | An Empirical Analysis of the Pricing of Collateralized Debt Obligations In: Journal of Finance. [Full Text][Citation analysis] | article | 111 |
2006 | An Empirical Analysis of the Pricing of Collateralized Debt Obligations.(2006) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 111 | paper | |
1996 | Throwing Good Money After Bad? Cash Infusions and Distressed Real Estate In: Real Estate Economics. [Full Text][Citation analysis] | article | 4 |
1991 | General Equilibrium Stock Index Futures Prices: Theory and Empirical Evidence In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 26 |
1993 | Bid-Ask Spreads and Trading Activity in the S&P 100 Index Options Market In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 47 |
2005 | The Cherry-Picking Option in the U.S. Treasury Buyback Auctions In: Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
1993 | The valuation of options on coupon bonds In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 13 |
1996 | Valuing futures and options on volatility In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 90 |
1989 | A nonlinear general equilibrium model of the term structure of interest rates In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 61 |
1990 | The valuation of options on yields In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 19 |
1992 | Multiple equilibria and term structure models In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 17 |
2000 | The term structure of very short-term rates: New evidence for the expectations hypothesis In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 71 |
2001 | Throwing away a billion dollars: the cost of suboptimal exercise strategies in the swaptions market In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 22 |
2003 | Paper millionaires: how valuable is stock to a stockholder who is restricted from selling it? In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 83 |
2002 | Paper millionaires: How valuable is stock to a stockholder who is restricted from selling it?.(2002) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 83 | paper | |
2004 | Corporate earnings and the equity premium In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 70 |
2003 | Corporate Earnings and the Equity Premium.(2003) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 70 | paper | |
2010 | The subprime credit crisis and contagion in financial markets In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 246 |
1994 | Electronic Screen Trading and the Transmission of Information: An Empirical Examination In: Journal of Financial Intermediation. [Full Text][Citation analysis] | article | 50 |
1994 | Calling Nonconvertible Debt and the Problem of Related Wealth Transfer Effect In: Financial Management. [Citation analysis] | article | 10 |
2003 | Two Trees: Asset Price Dynamics Induced by Market Clearing In: NBER Working Papers. [Full Text][Citation analysis] | paper | 3 |
2004 | Two Trees: Asset Price Dynamics Induced by Market Clearing.(2004) In: 2004 Meeting Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | paper | |
2004 | Financial Claustrophobia: Asset Pricing in Illiquid Markets In: NBER Working Papers. [Full Text][Citation analysis] | paper | 5 |
2004 | Optimal Recursive Refinancing and the Valuation of Mortgage-Backed Securities In: NBER Working Papers. [Full Text][Citation analysis] | paper | 8 |
2009 | Municipal Debt and Marginal Tax Rates: Is there a Tax Premium in Asset Prices? In: NBER Working Papers. [Full Text][Citation analysis] | paper | 1 |
2009 | Valuing Toxic Assets: An Analysis of CDO Equity In: NBER Working Papers. [Full Text][Citation analysis] | paper | 9 |
2010 | Corporate Bond Default Risk: A 150-Year Perspective In: NBER Working Papers. [Full Text][Citation analysis] | paper | 12 |
2010 | Why Does the Treasury Issue Tips? The Tips-Treasury Bond Puzzle In: NBER Working Papers. [Full Text][Citation analysis] | paper | 24 |
2011 | Systemic Sovereign Credit Risk: Lessons from the U.S. and Europe In: NBER Working Papers. [Full Text][Citation analysis] | paper | 235 |
2012 | Macroeconomic Effects of Corporate Default Crises: A Long-Term Perspective In: NBER Working Papers. [Full Text][Citation analysis] | paper | 4 |
2012 | Inflation Tracking Portfolios In: NBER Working Papers. [Full Text][Citation analysis] | paper | 2 |
2012 | Disagreement and Asset Prices In: NBER Working Papers. [Full Text][Citation analysis] | paper | 1 |
2013 | Deflation Risk In: NBER Working Papers. [Full Text][Citation analysis] | paper | 6 |
2014 | Corporate Taxes and Capital Structure: A Long-Term Historical Perspective In: NBER Working Papers. [Full Text][Citation analysis] | paper | 5 |
2014 | Valuing Thinly-Traded Assets In: NBER Working Papers. [Full Text][Citation analysis] | paper | 3 |
2015 | The U.S. Debt Restructuring of 1933: Consequences and Lessons In: NBER Working Papers. [Full Text][Citation analysis] | paper | 0 |
2016 | Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities In: NBER Working Papers. [Full Text][Citation analysis] | paper | 14 |
2017 | Asset Mispricing In: NBER Working Papers. [Full Text][Citation analysis] | paper | 21 |
2018 | Shadow Funding Costs: Measuring the Cost of Balance Sheet Constraints In: NBER Working Papers. [Full Text][Citation analysis] | paper | 8 |
2018 | Floating Rate Money? The Stability Premium in Treasury Floating Rate Notes In: NBER Working Papers. [Full Text][Citation analysis] | paper | 3 |
2020 | The Market Risk Premium for Unsecured Consumer Credit Risk In: NBER Working Papers. [Full Text][Citation analysis] | paper | 0 |
2020 | Private Equity Returns: Empirical Evidence from the Business Credit Card Securitization Market In: NBER Working Papers. [Full Text][Citation analysis] | paper | 0 |
2021 | Treasury Richness In: NBER Working Papers. [Full Text][Citation analysis] | paper | 0 |
2002 | The Market Price of Credit Risk: An Empirical Analysis of Interest Rate Swap Spreads In: NBER Working Papers. [Full Text][Citation analysis] | paper | 30 |
2002 | The Flight-to-Liquidity Premium in U.S. Treasury Bond Prices In: NBER Working Papers. [Full Text][Citation analysis] | paper | 214 |
2004 | The Flight-to-Liquidity Premium in U.S. Treasury Bond Prices.(2004) In: The Journal of Business. [Full Text][Citation analysis] This paper has another version. Agregated cites: 214 | article | |
2001 | Valuing American Options by Simulation: A Simple Least-Squares Approach. In: Review of Financial Studies. [Citation analysis] | article | 825 |
2001 | Optimal Portfolio Choice and the Valuation of Illiquid Securities. In: Review of Financial Studies. [Citation analysis] | article | 80 |
2008 | Two Trees In: Review of Financial Studies. [Full Text][Citation analysis] | article | 19 |
1995 | Option Pricing and the Martingale Restriction. In: Review of Financial Studies. [Full Text][Citation analysis] | article | 93 |
1992 | Are Negative Option Prices Possible? The Callable U.S. Treasury-Bond Puzzle. In: The Journal of Business. [Full Text][Citation analysis] | article | 16 |
2006 | The Market Price of Risk in Interest Rate Swaps: The Roles of Default and Liquidity Risks In: The Journal of Business. [Full Text][Citation analysis] | article | 100 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated January, 6 2023. Contact: CitEc Team