Francis A. Longstaff : Citation Profile

Are you Francis A. Longstaff?

University of California-Los Angeles (UCLA)

27

H index

42

i10 index

5847

Citations

RESEARCH PRODUCTION:

37

Articles

33

Papers

RESEARCH ACTIVITY:

   34 years (1989 - 2023). See details.
   Cites by year: 171
   Journals where Francis A. Longstaff has often published
   Relations with other researchers
   Recent citing documents: 162.    Total self citations: 28 (0.48 %)

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   Permalink: http://citec.repec.org/plo283
   Updated: 2024-01-16    RAS profile: 2023-02-24    
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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:

Xiao, Tim (37)

Chernov, Mikhail (32)

Pelizzon, Loriana (26)

Guidolin, Massimo (22)

Lo, Andrew (21)

Stentoft, Lars (21)

Monfort, Alain (20)

Augustin, Patrick (19)

Batten, Jonathan (19)

Zhou, Hao (18)

Lafuente, Juan Angel (17)

Cites to:

Pedersen, Lasse (34)

Vayanos, Dimitri (32)

Duffie, Darrell (30)

Singleton, Kenneth (23)

Campbell, John (18)

Reinhart, Carmen (17)

Rogoff, Kenneth (17)

merton, robert (14)

Amihud, Yakov (13)

Brunnermeier, Markus (12)

Ang, Andrew (10)

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 Banking & Finance2
Journal of Financial and Quantitative Analysis2

Working Papers Series with more than one paper published# docs
NBER Working Papers / National Bureau of Economic Research, Inc31

Recent works citing Francis A. Longstaff (2024 and 2023)

YearTitle of citing document
2023Exchange rate risk and sovereign debt risk in South Africa: A Regime Dependent Approach. (2023). Biyase, Mduduzi ; Manguzvane, Mathias. In: Economics Working Papers. RePEc:ady:wpaper:edwrg-04-2023.

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2023Risk management with Local Least Squares Monte-Carlo. (2023). Akbaraly, Adnane ; Hainaut, Donatien. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2023003.

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2023Analysis of Dynamic Connectedness among Sovereign CDS Premia. (2023). Ceylan, Ozcan. In: World Journal of Applied Economics. RePEc:ana:journl:v:9:y:2023:i:1:p:33-47.

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2023A nonparametric algorithm for optimal stopping based on robust optimization. (2021). Sturt, Bradley. In: Papers. RePEc:arx:papers:2103.03300.

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2023Optimal Stopping via Randomized Neural Networks. (2021). Herrera, Calypso ; Teichmann, Josef ; Ruyssen, Pierre ; Krach, Florian. In: Papers. RePEc:arx:papers:2104.13669.

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2023Recent Advances in Reinforcement Learning in Finance. (2021). Yang, Huining ; Xu, Renyuan ; Hambly, Ben. In: Papers. RePEc:arx:papers:2112.04553.

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2023Pricing Bermudan options using regression trees/random forests. (2021). Lelong, J'Erome ; Henry-Labordere, Pierre ; el Filali, Zineb. In: Papers. RePEc:arx:papers:2201.02587.

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2023Calibration of Derivative Pricing Models: a Multi-Agent Reinforcement Learning Perspective. (2022). Vadori, Nelson. In: Papers. RePEc:arx:papers:2203.06865.

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2023Neural Optimal Stopping Boundary. (2022). Tissot-Daguette, Valentin ; Soner, Mete H ; Reppen, Max A. In: Papers. RePEc:arx:papers:2205.04595.

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2023Randomized Optimal Stopping Problem in Continuous time and Reinforcement Learning Algorithm. (2022). Dong, Yuchao. In: Papers. RePEc:arx:papers:2208.02409.

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2023Valuation of general GMWB annuities in a low interest rate environment. (2022). Rotondi, Francesco ; Fontana, Claudio. In: Papers. RePEc:arx:papers:2208.10183.

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2023Deep Signature Algorithm for Path-Dependent American option pricing. (2022). Bayraktar, Erhan ; Zhang, Zhaoyu ; Feng, QI. In: Papers. RePEc:arx:papers:2211.11691.

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2023A Comprehensive Survey on Enterprise Financial Risk Analysis: Problems, Methods, Spotlights and Applications. (2022). Du, Huaming ; Zhao, YU. In: Papers. RePEc:arx:papers:2211.14997.

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2023Double 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.

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2023Simultaneous upper and lower bounds of American option prices with hedging via neural networks. (2023). Wu, Jia Hao ; Langren, Nicolas ; Guo, Ivan. In: Papers. RePEc:arx:papers:2302.12439.

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2023Fast Option Pricing using Nonlinear Stencils. (2023). Zhu, Yimin ; Huang, Yushen ; Das, Rathish ; Chowdhury, Rezaul ; Ahmad, Zafar. In: Papers. RePEc:arx:papers:2303.02317.

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2023Application of Tensor Neural Networks to Pricing Bermudan Swaptions. (2023). Casanova, Francisco Gomez ; Ratnani, Abdelkader ; de Lope, Fernando ; Cadarso, Andrea ; Palmer, Samuel ; Orus, Roman ; Dib, Mohammad ; Mugel, Samuel ; Dominguez, Tomas ; Patel, Raj G ; Luis-Hita, Jorge ; Andr, Eva ; Hern, Senaida. In: Papers. RePEc:arx:papers:2304.09750.

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2023Random neural networks for rough volatility. (2023). Zuric, Zan ; Jacquier, Antoine. In: Papers. RePEc:arx:papers:2305.01035.

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2023Finite Difference Solution Ansatz approach in Least-Squares Monte Carlo. (2023). Huo, Jiawei. In: Papers. RePEc:arx:papers:2305.09166.

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2023Efficient Learning of Nested Deep Hedging using Multiple Options. (2023). Shimada, Takuya ; Minami, Kentaro ; Imajo, Kentaro ; Hirano, Masanori. In: Papers. RePEc:arx:papers:2305.12264.

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2023Swing Contract Pricing: A Parametric Approach with Adjoint Automatic Differentiation and Neural Networks. (2023). Yeo, Christian ; Pages, Gilles ; Lemaire, Vincent. In: Papers. RePEc:arx:papers:2306.03822.

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2023An analysis of least squares regression and neural networks approximation for the pricing of swing options. (2023). Yeo, Christian. In: Papers. RePEc:arx:papers:2307.04510.

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2023A Common Shock Model for multidimensional electricity intraday price modelling with application to battery valuation. (2023). Warin, Xavier ; Deschatre, Thomas. In: Papers. RePEc:arx:papers:2307.16619.

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2023Regret-Optimal Federated Transfer Learning for Kernel Regression with Applications in American Option Pricing. (2023). Lucchi, Aurelien ; Grasselli, Matheus ; Krach, Florian ; Kratsios, Anastasis ; Yang, Xuwei. In: Papers. RePEc:arx:papers:2309.04557.

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2023Portfolio Choice In Dynamic Thin Markets: Merton Meets Cournot. (2023). Jacka, Saul D ; Gupta, Puru. In: Papers. RePEc:arx:papers:2309.16047.

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2023Applying Reinforcement Learning to Option Pricing and Hedging. (2023). Stoiljkovic, Zoran. In: Papers. RePEc:arx:papers:2310.04336.

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2023American Option Pricing using Self-Attention GRU and Shapley Value Interpretation. (2023). Shen, Yanhui. In: Papers. RePEc:arx:papers:2310.12500.

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2023On an Optimal Stopping Problem with a Discontinuous Reward. (2023). Vachon, Marie-Claude ; MacKay, Anne. In: Papers. RePEc:arx:papers:2311.03538.

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2023Occupied Processes: Going with the Flow. (2023). Tissot-Daguette, Valentin. In: Papers. RePEc:arx:papers:2311.07936.

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2023Towards Sobolev Pruning. (2023). Afghan, Sher ; Kichler, Neil ; Naumann, Uwe. In: Papers. RePEc:arx:papers:2312.03510.

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2023Assessing the liquidity premium in the Italian bond market. (2023). Venturi, Giulio Carlo ; Drudi, Maria Ludovica. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_795_23.

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2023Money market funds and the pricing of near-money assets. (2023). Doerr, Sebastian ; Malamud, Semyon ; Eren, Sebastian Egemen. In: BIS Working Papers. RePEc:bis:biswps:1096.

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2023The cumulant risk premium. (2023). Todorov, Karamfil. In: BIS Working Papers. RePEc:bis:biswps:1128.

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2023Dealer capacity and US Treasury market functionality. (2023). Van Tassel, Peter ; Fleming, Michael ; Shachar, OR ; Nelson, Claire ; Keane, Frank ; Duffie, Darrell. In: BIS Working Papers. RePEc:bis:biswps:1138.

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2023Longitudinal accounting comparability and bond credit spreads: Evidence from China. (2023). Wang, Jianqiong ; Cao, Shijiao. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:2:p:1953-1981.

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2023Transmission of the 2007–2008 financial crisis in advanced countries of the European Union. (2023). Tomczak, Kamila. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:75:y:2023:i:1:p:40-64.

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2023Bondholder representatives on bank boards: A device for market discipline. (2023). Hieu, Phan Huy ; Strobel, Frank ; Lepetit, Laetitia ; Distinguin, Isabelle. In: Economic Inquiry. RePEc:bla:ecinqu:v:61:y:2023:i:3:p:738-765.

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2023How Risky Are U.S. Corporate Assets?. (2023). Yaron, Amir ; Shaliastovich, Ivan ; Richard, Scott ; Davydiuk, Tetiana. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:1:p:141-208.

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2023Trading and liquidity in the catastrophe bond market. (2023). Hibbeln, Martin ; Herrmann, Markus. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:90:y:2023:i:2:p:283-328.

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2023Cheaper by the bundle: The interaction of frictions and option exercise in variable annuities. (2023). Moenig, Thorsten ; Bauer, Daniel. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:90:y:2023:i:2:p:459-486.

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2023Pathwise CVA regressions with oversimulated defaults. (2023). Saadeddine, Bouazza ; Crepey, Stephane ; Abbasturki, Lokman A. In: Mathematical Finance. RePEc:bla:mathfi:v:33:y:2023:i:2:p:274-307.

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2023Recent advances in reinforcement learning in finance. (2023). Yang, Huining ; Xu, Renyuan ; Hambly, Ben. In: Mathematical Finance. RePEc:bla:mathfi:v:33:y:2023:i:3:p:437-503.

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2023.

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2023.

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2023A fully quantization-based scheme for FBSDEs. (2023). Grasselli, Martino ; Gnoatto, Alessandro ; Callegaro, Giorgia. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:441:y:2023:i:c:s0096300322007251.

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2023Foreign Exchange Options on Heston-CIR Model Under Lévy Process Framework. (2023). Orlando, Giuseppe ; Samimi, Oldouz ; Mehrdoust, Farshid ; Ascione, Giacomo. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:446:y:2023:i:c:s0096300323000206.

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2023A revisit to sovereign risk contagion in eurozone with mutual exciting regime-switching model. (2023). Ge, Shuyi. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:146:y:2023:i:c:s0165188922002688.

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2023Systemic risk of optioned portfolio: Controllability and optimization. (2023). Ma, Jiali ; Cui, Xueting ; Zhu, Shushang ; Pang, Xiaochuan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:153:y:2023:i:c:s0165188923001070.

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2023How does the bond market price corporate ESG engagement? Evidence from China. (2023). Tao, Chunhua ; Tang, Ziling ; Fang, Mei ; Xu, Yue ; Jiang, Zhiqian. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:78:y:2023:i:c:p:1406-1423.

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2023Portfolio optimization in the presence of tail correlation. (2023). Chibane, Messaoud ; ben Abdelaziz, Fouad. In: Economic Modelling. RePEc:eee:ecmode:v:122:y:2023:i:c:s0264999323000470.

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2023Cross-border Italian sovereign risk transmission in EMU countries. (2023). Napolitano, Oreste ; Fiorelli, Cristiana ; D'Uva, Marcella ; Capasso, Salvatore. In: Economic Modelling. RePEc:eee:ecmode:v:126:y:2023:i:c:s0264999323002365.

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2023Identifying the true nature of price discovery and cross-market informational flow in the investment grade CDS and equity markets. (2023). Yin, Anwen ; Procasky, William J. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822002121.

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2023A simple joint model for returns, volatility and volatility of volatility. (2023). Ding, Yashuang. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:521-543.

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2023On illiquidity of an emerging sovereign bond market. (2023). Soykok, Emre ; Karahan, Cenk C. In: Economic Systems. RePEc:eee:ecosys:v:47:y:2023:i:2:s093936252300002x.

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2023Robust consumption and portfolio choice with derivatives trading. (2023). Zhuang, YI ; Yang, Charles ; Wei, Pengyu. In: European Journal of Operational Research. RePEc:eee:ejores:v:304:y:2023:i:2:p:832-850.

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2023Pandemic portfolio choice. (2023). Weiss, Farina ; Kraft, Holger. In: European Journal of Operational Research. RePEc:eee:ejores:v:305:y:2023:i:1:p:451-462.

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2023Surrender contagion in life insurance. (2023). Schaefer, Mick ; Lavasani, Aidin Miri ; Hilpert, Christian ; Cheng, Chunli. In: European Journal of Operational Research. RePEc:eee:ejores:v:305:y:2023:i:3:p:1465-1479.

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2023A global monetary policy factor in sovereign bond yields. (2023). Migiakis, Petros ; Malliaropulos, Dimitris. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:445-465.

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2023Green investment and asset stranding under transition scenario uncertainty. (2023). Tankov, Peter ; Flora, Maria. In: Energy Economics. RePEc:eee:eneeco:v:124:y:2023:i:c:s0140988323002712.

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2023From dusk till dawn (and vice versa): Overnight-versus-daytime reversals and feedback trading. (2023). Karaa, Rabaa ; Kallinterakis, Vasileios. In: International Review of Financial Analysis. RePEc:eee:finana:v:85:y:2023:i:c:s1057521922003933.

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2023Sustainability and sovereign credit risk. (2023). Lonarski, Igor ; Vanpee, Rosanne ; Anand, Arsh. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000108.

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2023State transformation of information spillover in asset markets and effective dynamic hedging strategies. (2023). Tsai, I-Chun ; Lin, Che-Chun ; Wang, Yu-Min. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002880.

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2023Bond liquidity, debt maturity and bond risk premium. (2023). Wei, XU ; Zhou, Yimin. In: Finance Research Letters. RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323000909.

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2023Responses of US equity market sectors to the Silicon Valley Bank implosion. (2023). Yousaf, Imran ; Goodell, John W. In: Finance Research Letters. RePEc:eee:finlet:v:55:y:2023:i:pb:s1544612323003069.

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2023Options market ambiguity and its information content. (2023). Han, YU ; Chen, Qiang. In: Journal of Financial Markets. RePEc:eee:finmar:v:64:y:2023:i:c:s1386418122000799.

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2023Spillover effects between liquidity risks through endogenous debt maturity. (2023). Zhou, Yi ; Xiao, Xiao ; Wei, XU. In: Journal of Financial Markets. RePEc:eee:finmar:v:64:y:2023:i:c:s1386418123000125.

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2023What is mine is yours: Sovereign risk transmission during the European debt crisis. (2023). Shin, Yongcheol ; Nguyen, Viet Hoang ; Greenwood-Nimmo, Matthew. In: Journal of Financial Stability. RePEc:eee:finsta:v:65:y:2023:i:c:s1572308923000037.

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2023Deferring real options with solar renewable energy certificates. (2023). Byrne, Julie ; Assereto, Martina ; Zhang, Hanyu. In: Global Finance Journal. RePEc:eee:glofin:v:55:y:2023:i:c:s1044028322000977.

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2023Sovereign credit and exchange rate risks: Evidence from Asia-Pacific local currency bonds. (2023). Chernov, Mikhail ; Hordahl, Peter ; Creal, Drew. In: Journal of International Economics. RePEc:eee:inecon:v:140:y:2023:i:c:s0022199622001246.

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2023Does it matter how central banks accumulate reserves? Evidence from sovereign spreads. (2023). Sosa-Padilla, Cesar ; Sturzenegger, Federico. In: Journal of International Economics. RePEc:eee:inecon:v:140:y:2023:i:c:s002219962200143x.

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2023Portfolio choice with illiquid asset for a loss-averse pension fund investor. (2023). Zeng, Yan ; Li, Zhongfei ; Chen, Zheng. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:108:y:2023:i:c:p:60-83.

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2023Valuation of general GMWB annuities in a low interest rate environment. (2023). Rotondi, Francesco ; Fontana, Claudio. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:112:y:2023:i:c:p:142-167.

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2023Deviations from covered interest parity in the emerging markets after the global financial crisis. (2023). Geyikçi, Utku ; Ozyildirim, Suheyla ; Geyiki, Utku Bora. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:85:y:2023:i:c:s1042443123000331.

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2023Fixed income conference calls. (2023). Zhu, Zhiwei ; Xu, DA ; Shohfi, Thomas ; de Franco, Gus. In: Journal of Accounting and Economics. RePEc:eee:jaecon:v:75:y:2023:i:1:s0165410122000416.

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2023Detecting political event risk in the option market. (2023). KOSTAKIS, ALEXANDROS ; Otsubo, Yoichi ; Mu, Liangyi. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:146:y:2023:i:c:s0378426622002047.

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2023Strategic repurchases and equity sales: Evidence from equity vesting schedules. (2023). Moore, David. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:146:y:2023:i:c:s0378426622002977.

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2023Reprint of: COVID-19, lockdowns, and the municipal bond market. (2023). Uzmanoglu, Cihan ; Tran, Nhu. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:147:y:2023:i:c:s037842662300002x.

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2023Information acquisition costs and credit spreads. (2023). Rettl, Daniel A ; Jaskowski, Marcin. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:149:y:2023:i:c:s037842662300016x.

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2023News indices on country fundamentals. (2023). Kocsis, Zalan ; Fulop, Andras. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:154:y:2023:i:c:s0378426623001565.

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2023Sovereign risk premia and global macroeconomic conditions. (2023). Jeanneret, Alexandre ; Ekponon, Adelphe ; Andrade, Sandro C. In: Journal of Financial Economics. RePEc:eee:jfinec:v:147:y:2023:i:1:p:172-197.

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2023A credit-based theory of the currency risk premium. (2023). , Ella ; Jeanneret, Alexandre ; della Corte, Pasquale. In: Journal of Financial Economics. RePEc:eee:jfinec:v:149:y:2023:i:3:p:473-496.

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2023Debt dynamics and credit risk. (2023). Schaefer, Stephen ; Feldhutter, Peter. In: Journal of Financial Economics. RePEc:eee:jfinec:v:149:y:2023:i:3:p:497-535.

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2023Reserves and risk: Evidence from China. (2023). Yamamoto, Yohei ; Hattori, Takahiro ; Fatum, Rasmus. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:134:y:2023:i:c:s0261560623000451.

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2023Sovereign bond and CDS market contagion: A story from the Eurozone crisis. (2023). Panagiotidis, Theodore ; Politsidis, Panagiotis N ; Bampinas, Georgios. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:137:y:2023:i:c:s0261560623001031.

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2023Systemwide directional connectedness from Crude Oil to sovereign credit risk. (2023). Singh, Vipul Kumar ; Kumar, Pawan ; Bajaj, Vimmy. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:30:y:2023:i:c:s2405851322000290.

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2023Oil price bubbles: The role of network centrality on idiosyncratic sovereign risk. (2023). Yang, Lu. In: Resources Policy. RePEc:eee:jrpoli:v:82:y:2023:i:c:s0301420723002015.

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2023Two-factor Heston model equipped with regime-switching: American option pricing and model calibration by Levenberg–Marquardt optimization algorithm. (2023). Hamdi, Abdelouahed ; Noorani, Idin ; Mehrdoust, Farshid. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:204:y:2023:i:c:p:660-678.

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2023Level-k predatory trading. (2023). Teeple, Keisuke. In: Journal of Mathematical Economics. RePEc:eee:mateco:v:106:y:2023:i:c:s030440682300040x.

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2023Diminishing treasury convenience premiums: Effects of dealers’ excess demand and balance sheet constraints. (2023). Sundaresan, Suresh ; Klingler, Sven. In: Journal of Monetary Economics. RePEc:eee:moneco:v:135:y:2023:i:c:p:55-69.

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2023Russia-Ukraine conflict: The effect on European banks’ stock market returns. (2023). Gouveia, Ricardo ; Correia, Pedro ; Martins, Antonio Miguel. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:67:y:2023:i:c:s1042444x23000051.

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2023Dynamic connectedness between credit and liquidity risks in euro area sovereign debt markets. (2023). Sosvilla-Rivero, Simon ; Pieterse-Bloem, Mary ; Gomez-Puig, Marta. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:68:y:2023:i:c:s1042444x23000191.

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2023Is controlling shareholders credit risk contagious to firms? — Evidence from China. (2023). Sun, Xuchu ; Li, Tangrong. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:77:y:2023:i:c:s0927538x22002074.

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2023Hedging demand and near-zero swap spreads: Evidence from the Chinese interest rate swap market. (2023). Shang, Yuhuang ; Zhu, Chunhui ; Li, Shaoyu. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:91:y:2023:i:c:p:170-185.

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2023Return–volume nexus in financial markets: A survey of research. (2023). Yamani, Ehab. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923000363.

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2023European systemic credit risk transmission using Bayesian networks. (2023). Pavia, Jose M ; Lopez, Jesua ; Ballester, Laura. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923000405.

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2023Corporate bond liquidity and yield spreads: A review. (2023). Namin, Elmira Shekari ; Goldstein, Michael A. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s027553192300051x.

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2023Carbon default swap – disentangling the exposure to carbon risk through CDS. (2023). Taschini, Luca ; Kiesel, Rudiger ; Blasberg, Alexander. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:118092.

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2023Carbon default swap – disentangling the exposure to carbon risk through CDS. (2023). Taschini, Luca ; Kiesel, Rudiger ; Blasberg, Alexander. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:118096.

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2023Options on Interbank Rates and Implied Disaster Risk. (2023). Seo, Sang Byung ; Kim, Hyung Joo ; Doshi, Hitesh. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2023-54.

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2023The Missing Tail Risk in Option Prices. (2023). Sattiraju, Sai ; Matschke, Johannes ; Melek, Nida Akir ; Brown, Jason. In: Research Working Paper. RePEc:fip:fedkrw:96072.

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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]		article36
2011How Sovereign Is Sovereign Credit Risk? In: American Economic Journal: Macroeconomics.
[Full Text][Citation analysis]		article606
2007How Sovereign is Sovereign Credit Risk?.(2007) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 606		paper
1990 Pricing Options with Extendible Maturities: Analysis and Applications. In: Journal of Finance.
[Full Text][Citation analysis]		article27
1990 Time Varying Term Premia and Traditional Hypotheses about the Term Structure. In: Journal of Finance.
[Full Text][Citation analysis]		article11
1992 Dual Trading in Futures Markets. In: Journal of Finance.
[Full Text][Citation analysis]		article58
1992 Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model. In: Journal of Finance.
[Full Text][Citation analysis]		article299
1995 A Simple Approach to Valuing Risky Fixed and Floating Rate Debt. In: Journal of Finance.
[Full Text][Citation analysis]		article757
1995 How Much Can Marketability Affect Security Values? In: Journal of Finance.
[Full Text][Citation analysis]		article68
2000Arbitrage and the Expectations Hypothesis In: Journal of Finance.
[Full Text][Citation analysis]		article20
2000Financial Innovation and the Role of Derivative Securities: An Empirical Analysis of the Treasury STRIPS Program In: Journal of Finance.
[Full Text][Citation analysis]		article33
2001The Relative Valuation of Caps and Swaptions: Theory and Empirical Evidence In: Journal of Finance.
[Full Text][Citation analysis]		article38
2003Dynamic Asset Allocation with Event Risk In: Journal of Finance.
[Full Text][Citation analysis]		article186
2002Dynamic Asset Allocation With Event Risk.(2002) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 186		paper
2005Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market In: Journal of Finance.
[Full Text][Citation analysis]		article845
2004Corporate 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 nother version. Agregated cites: 845		paper
2007The U.S. Treasury Buyback Auctions: The Cost of Retiring Illiquid Bonds In: Journal of Finance.
[Full Text][Citation analysis]		article8
2008An Empirical Analysis of the Pricing of Collateralized Debt Obligations In: Journal of Finance.
[Full Text][Citation analysis]		article114
2006An Empirical Analysis of the Pricing of Collateralized Debt Obligations.(2006) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 114		paper
1996Throwing Good Money After Bad? Cash Infusions and Distressed Real Estate In: Real Estate Economics.
[Full Text][Citation analysis]		article4
1991General Equilibrium Stock Index Futures Prices: Theory and Empirical Evidence In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article26
1993Bid-Ask Spreads and Trading Activity in the S&P 100 Index Options Market In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article47
2005The Cherry-Picking Option in the U.S. Treasury Buyback Auctions In: Working Paper Series.
[Full Text][Citation analysis]		paper0
1993The valuation of options on coupon bonds In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article13
1996Valuing futures and options on volatility In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article91
1989A nonlinear general equilibrium model of the term structure of interest rates In: Journal of Financial Economics.
[Full Text][Citation analysis]		article62
1990The valuation of options on yields In: Journal of Financial Economics.
[Full Text][Citation analysis]		article19
1992Multiple equilibria and term structure models In: Journal of Financial Economics.
[Full Text][Citation analysis]		article17
2000The term structure of very short-term rates: New evidence for the expectations hypothesis In: Journal of Financial Economics.
[Full Text][Citation analysis]		article76
2001Throwing away a billion dollars: the cost of suboptimal exercise strategies in the swaptions market In: Journal of Financial Economics.
[Full Text][Citation analysis]		article26
2003Paper millionaires: how valuable is stock to a stockholder who is restricted from selling it? In: Journal of Financial Economics.
[Full Text][Citation analysis]		article87
2002Paper 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 nother version. Agregated cites: 87		paper
2004Corporate earnings and the equity premium In: Journal of Financial Economics.
[Full Text][Citation analysis]		article74
2003Corporate Earnings and the Equity Premium.(2003) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 74		paper
2010The subprime credit crisis and contagion in financial markets In: Journal of Financial Economics.
[Full Text][Citation analysis]		article254
1994Electronic Screen Trading and the Transmission of Information: An Empirical Examination In: Journal of Financial Intermediation.
[Full Text][Citation analysis]		article51
1994Calling Nonconvertible Debt and the Problem of Related Wealth Transfer Effect In: Financial Management.
[Citation analysis]		article10
2003Two Trees: Asset Price Dynamics Induced by Market Clearing In: NBER Working Papers.
[Full Text][Citation analysis]		paper3
2004Two Trees: Asset Price Dynamics Induced by Market Clearing.(2004) In: 2004 Meeting Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		paper
2004Financial Claustrophobia: Asset Pricing in Illiquid Markets In: NBER Working Papers.
[Full Text][Citation analysis]		paper5
2004Optimal Recursive Refinancing and the Valuation of Mortgage-Backed Securities In: NBER Working Papers.
[Full Text][Citation analysis]		paper8
2009Municipal Debt and Marginal Tax Rates: Is there a Tax Premium in Asset Prices? In: NBER Working Papers.
[Full Text][Citation analysis]		paper1
2009Valuing Toxic Assets: An Analysis of CDO Equity In: NBER Working Papers.
[Full Text][Citation analysis]		paper10
2010Corporate Bond Default Risk: A 150-Year Perspective In: NBER Working Papers.
[Full Text][Citation analysis]		paper12
2010Why Does the Treasury Issue Tips? The Tips-Treasury Bond Puzzle In: NBER Working Papers.
[Full Text][Citation analysis]		paper25
2011Systemic Sovereign Credit Risk: Lessons from the U.S. and Europe In: NBER Working Papers.
[Full Text][Citation analysis]		paper264
2012Macroeconomic Effects of Corporate Default Crises: A Long-Term Perspective In: NBER Working Papers.
[Full Text][Citation analysis]		paper4
2012Inflation Tracking Portfolios In: NBER Working Papers.
[Full Text][Citation analysis]		paper2
2012Disagreement and Asset Prices In: NBER Working Papers.
[Full Text][Citation analysis]		paper1
2013Deflation Risk In: NBER Working Papers.
[Full Text][Citation analysis]		paper6
2014Corporate Taxes and Capital Structure: A Long-Term Historical Perspective In: NBER Working Papers.
[Full Text][Citation analysis]		paper5
2014Valuing Thinly-Traded Assets In: NBER Working Papers.
[Full Text][Citation analysis]		paper4
2015The U.S. Debt Restructuring of 1933: Consequences and Lessons In: NBER Working Papers.
[Full Text][Citation analysis]		paper0
2016Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities In: NBER Working Papers.
[Full Text][Citation analysis]		paper14
2017Asset Mispricing In: NBER Working Papers.
[Full Text][Citation analysis]		paper21
2018Shadow Funding Costs: Measuring the Cost of Balance Sheet Constraints In: NBER Working Papers.
[Full Text][Citation analysis]		paper9
2018Floating Rate Money? The Stability Premium in Treasury Floating Rate Notes In: NBER Working Papers.
[Full Text][Citation analysis]		paper3
2020The Market Risk Premium for Unsecured Consumer Credit Risk In: NBER Working Papers.
[Full Text][Citation analysis]		paper0
2020Private Equity Returns: Empirical Evidence from the Business Credit Card Securitization Market In: NBER Working Papers.
[Full Text][Citation analysis]		paper0
2021Treasury Richness In: NBER Working Papers.
[Full Text][Citation analysis]		paper0
2023Do Municipal Bond Investors Pay a Convenience Premium to Avoid Taxes? In: NBER Working Papers.
[Full Text][Citation analysis]		paper0
2002The Market Price of Credit Risk: An Empirical Analysis of Interest Rate Swap Spreads In: NBER Working Papers.
[Full Text][Citation analysis]		paper30
2002The Flight-to-Liquidity Premium in U.S. Treasury Bond Prices In: NBER Working Papers.
[Full Text][Citation analysis]		paper228
2004The Flight-to-Liquidity Premium in U.S. Treasury Bond Prices.(2004) In: The Journal of Business.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 228		article
2001Valuing American Options by Simulation: A Simple Least-Squares Approach. In: Review of Financial Studies.
[Citation analysis]		article914
2001Optimal Portfolio Choice and the Valuation of Illiquid Securities. In: Review of Financial Studies.
[Citation analysis]		article83
2008Two Trees In: Review of Financial Studies.
[Full Text][Citation analysis]		article19
1995Option Pricing and the Martingale Restriction. In: Review of Financial Studies.
[Full Text][Citation analysis]		article94
1992Are Negative Option Prices Possible? The Callable U.S. Treasury-Bond Puzzle. In: The Journal of Business.
[Full Text][Citation analysis]		article17
2006The Market Price of Risk in Interest Rate Swaps: The Roles of Default and Liquidity Risks In: The Journal of Business.
[Full Text][Citation analysis]		article102

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated December, 10 2023. Contact: CitEc Team