Francis A. Longstaff : Citation Profile


University of California-Los Angeles (UCLA)

27

H index

43

i10 index

6130

Citations

RESEARCH PRODUCTION:

37

Articles

35

Papers

RESEARCH ACTIVITY:

   35 years (1989 - 2024). See details.
   Cites by year: 175
   Journals where Francis A. Longstaff has often published
   Relations with other researchers
   Recent citing documents: 391.    Total self citations: 28 (0.45 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/plo283
   Updated: 2025-01-10    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 (33)

Pelizzon, Loriana (26)

Guidolin, Massimo (23)

Stentoft, Lars (22)

Lo, Andrew (21)

Monfort, Alain (20)

Augustin, Patrick (19)

Batten, Jonathan (19)

Shahzad, Syed Jawad Hussain (18)

Zhou, Hao (18)

Cites to:

Pedersen, Lasse (34)

Vayanos, Dimitri (32)

Duffie, Darrell (32)

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


Production by document typearticlepaper19891990199119921993199419951996199719981999200020012002200320042005200620072008200920102011201220132014201520162017201820192020202120222023202402.557.5Documents Highcharts.comExport to raster or vector imagePrint the chart
Cumulative documents published1989199019911992199319941995199619971998199920002001200220032004200520062007200820092010201120122013201420152016201720182019202020212022202320240255075100Documents Highcharts.comExport to raster or vector imagePrint the chart

Citations received19911992199319941995199619971998199920002001200220032004200520062007200820092010201120122013201420152016201720182019202020212022202320240200400600Citations Highcharts.comExport to raster or vector imagePrint the chart
Citations by production year19891990199119921993199419951996199719981999200020012002200320042005200620072008200920102011201220132014201520162017201820192020202120222023202405001,0001,500Citations Highcharts.comExport to raster or vector imagePrint the chart

H-Index: 27Most cited documents123456789101112131415161718192021222324252627282905001,0001,500Number of citations Highcharts.comExport to raster or vector imagePrint the chart
H-Index evolution2013082013092013102013112013122014012014022014032014042014052014062014072014082014092014102014112014122015012015022015032015042015052015062015072015082015092015102015112015122016012016022016032016042016052016062016072016082016092016102016112016122017012017022017032017042017052017062017072017082017092017102017112017122018012018022018032018042018052018062018072018082018092018102018112018122019012019022019032019042019052019062019072019082019092019102019112019122020012020022020032020042020052020062020072020082020092020102020112020122021012021022021032021042021052021062021072021082021092021102021112021122022012022022022032022042022052022062022072022082022092022102022112022122023012023022023032023042023052023062023072023082023092023102023112023122024012024022024032024042024052024062024072024082024092024102024112024122025010102030h-index Highcharts.comExport to raster or vector imagePrint the chart

Where Francis A. Longstaff has published?


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

Working Papers Series with more than one paper published# docs
NBER Working Papers / National Bureau of Economic Research, Inc33

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


Year  ↓Title 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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2023What Drives Credit Spreads of Oil Companies? Evidence from the Upstream, Integrated and Downstream Industries. (2023). Ha, Quan Tran ; Yihong, Simon Cottrell. In: The Energy Journal. RePEc:aen:journl:ej44-5-delpachitra.

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2024Financial Market Development and the Microstructure of Corporate Bond Markets in Africa: A Survey. (2024). Ojah, Kalu ; Oluoch, Wycliffe. In: The African Finance Journal. RePEc:afj:journl:v:26:y:2024:i:1:p:1-33.

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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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2024Beating the curse of dimensionality in options pricing and optimal stopping. (2018). Chen, Yilun ; Goldberg, David A. In: Papers. RePEc:arx:papers:1807.02227.

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2024Optimal Nested Simulation Experiment Design via Likelihood Ratio Method. (2020). Song, Eunhye ; ben Feng, Mingbin. In: Papers. RePEc:arx:papers:2008.13087.

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2024Solving optimal stopping problems with Deep Q-Learning. (2021). Ery, John ; Michel, Loris. In: Papers. RePEc:arx:papers:2101.09682.

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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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2024An efficient Monte Carlo method for utility-based pricing. (2021). Ferhoune, Massinissa ; Carassus, Laurence. In: Papers. RePEc:arx:papers:2105.08804.

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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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2024Sandwiched Volterra Volatility model: Markovian approximations and hedging. (2022). Yurchenko-Tytarenko, Anton ; di Nunno, Giulia. In: Papers. RePEc:arx:papers:2209.13054.

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2024Deep 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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2024Accelerated Computations of Sensitivities for xVA. (2022). Wolf, Felix ; Grzelak, Lech A ; Deelstra, Griselda. In: Papers. RePEc:arx:papers:2211.17026.

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2024Quantum-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.

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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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2024Simultaneous 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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2024Application 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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2024Finite 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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2024Swing 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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2023On the Impact of Feeding Cost Risk in Aquaculture Valuation and Decision Making. (2023). Kamm, Kevin ; Ewald, Christian Oliver. In: Papers. RePEc:arx:papers:2309.02970.

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2024Regret-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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2023On Sparse Grid Interpolation for American Option Pricing with Multiple Underlying Assets. (2023). Li, Guanglian ; Yang, Jiefei. In: Papers. RePEc:arx:papers:2309.08287.

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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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2023Efficient option pricing in the rough Heston model using weak simulation schemes. (2023). Breneis, Simon ; Bayer, Christian. In: Papers. RePEc:arx:papers:2310.04146.

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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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2023Multi-stage Euler-Maruyama methods for backward stochastic differential equations driven by continuous-time Markov chains. (2023). Kaneko, Akihiro. In: Papers. RePEc:arx:papers:2311.08826.

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2023Primal and dual optimal stopping with signatures. (2023). Pelizzari, Luca ; Bayer, Christian ; Schoenmakers, John. In: Papers. RePEc:arx:papers:2312.03444.

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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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2024Optimizing Neural Networks for Bermudan Option Pricing: Convergence Acceleration, Future Exposure Evaluation and Interpolation in Counterparty Credit Risk. (2024). Jain, Shashi ; Dhandapani, Vikranth Lokeshwar. In: Papers. RePEc:arx:papers:2402.15936.

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2024Quasi-Monte Carlo for Efficient Fourier Pricing of Multi-Asset Options. (2024). Tempone, Ra'Ul ; Samet, Michael ; Papapantoleon, Antonis ; ben Hammouda, Chiheb ; Bayer, Christian. In: Papers. RePEc:arx:papers:2403.02832.

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2024On the Hull-White model with volatility smile for Valuation Adjustments. (2024). Oosterlee, C W ; Grzelak, L A ; van der Zwaard, T. In: Papers. RePEc:arx:papers:2403.14841.

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2024Enhancing Valuation of Variable Annuities in L\evy Models with Stochastic Interest Rate. (2024). Zanette, Antonino ; Wei, Xiao ; Molent, Andrea ; Goudenege, Ludovic. In: Papers. RePEc:arx:papers:2404.07658.

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2024Deep Joint Learning valuation of Bermudan Swaptions. (2024). 'Alvaro Leitao, ; Casanova, Francisco G'Omez ; de Lope, Fernando. In: Papers. RePEc:arx:papers:2404.11257.

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2024Piercing the Veil of TVL: DeFi Reappraised. (2024). Feng, Yebo ; Luo, Yichen ; Tasca, Paolo ; Xu, Jiahua. In: Papers. RePEc:arx:papers:2404.11745.

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2024A pure dual approach for hedging Bermudan options. (2024). Lelong, J'Erome ; Kebaier, Ahmed ; Alfonsi, Aur'Elien. In: Papers. RePEc:arx:papers:2404.18761.

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2024Mathematics of Differential Machine Learning in Derivative Pricing and Hedging. (2024). Gomes, Pedro Duarte. In: Papers. RePEc:arx:papers:2405.01233.

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2024Gradient-enhanced sparse Hermite polynomial expansions for pricing and hedging high-dimensional American options. (2024). Li, Guanglian ; Yang, Jiefei. In: Papers. RePEc:arx:papers:2405.02570.

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2024Modelling Opaque Bilateral Market Dynamics in Financial Trading: Insights from a Multi-Agent Simulation Study. (2024). Walsh, Toby ; Vidler, Alicia. In: Papers. RePEc:arx:papers:2405.02849.

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2024Hedging American Put Options with Deep Reinforcement Learning. (2024). Lawryshyn, Yuri ; Schlener, Mario ; Dejesus, Julio ; Wredenhagen, Finn ; Pickard, Reilly. In: Papers. RePEc:arx:papers:2405.06774.

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2024Optimizing Deep Reinforcement Learning for American Put Option Hedging. (2024). Lawryshyn, Y ; Wredenhagen, F ; Pickard, Reilly. In: Papers. RePEc:arx:papers:2405.08602.

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2024Who should buy structured investment products and why?. (2024). Pedio, Manuela ; Leonetti, Giacomo ; Guidolin, Massimo. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp24222.

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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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2023Default risk and earnings expectations: The role of contract maturity in the credit default swap market. (2023). Taylor, Gary K ; Hill, Mary S. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:4:p:4275-4298.

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2024Risk contagion in financial markets: A systematic review using bibliometric methods. (2024). Zhou, Yunyan ; Zhai, Lili ; Su, Fei ; Wang, Feifan ; Zhuang, Zixi. In: Australian Economic Papers. RePEc:bla:ausecp:v:63:y:2024:i:1:p:163-199.

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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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2023Disentangling 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.

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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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2024The Term Structure of Covered Interest Rate Parity Violations. (2024). Song, Dongho ; Chernov, Mikhail ; Schmid, Lukas ; Augustin, Patrick. In: Journal of Finance. RePEc:bla:jfinan:v:79:y:2024:i:3:p:2077-2114.

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2024Treasury Richness. (2024). Longstaff, Francis A ; Fleckenstein, Matthias. In: Journal of Finance. RePEc:bla:jfinan:v:79:y:2024:i:4:p:2797-2844.

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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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2024THE FACTORS AFFECTING CORPORATE BOND SPREADS. (2024). Michelson, Noam ; Vieder, Haim ; Graham-Rozen, Meital. In: Israel Economic Review. RePEc:boi:isrerv:v:22:y:2024:i:1:p:1-46.

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2024Exchange Rates and Sovereign Risk: A Nonlinear Approach Based on Local Gaussian Correlations. (2024). Legrenzi, Gabriella Deborah ; Heinlein, Reinhold. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11019.

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2023.

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2024Mutual funds and safe government bonds: do returns matter?. (2024). Graziano, Marco ; Habib, Maurizio Michael. In: Working Paper Series. RePEc:ecb:ecbwps:20242931.

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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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2023Credit default swaps and corporate debt structure. (2023). Shan, Chenyu ; Saffar, Walid ; Chen, Yangyang ; Wang, Sarah Qian. In: Journal of Corporate Finance. RePEc:eee:corfin:v:83:y:2023:i:c:s0929119923001438.

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2024Partisan conflict and corporate credit spreads: The role of political connection. (2024). Wang, Liyao. In: Journal of Corporate Finance. RePEc:eee:corfin:v:84:y:2024:i:c:s092911992300175x.

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2024How does currency risk impact firms? New evidence from bank loan contracts. (2024). Hunter, Delroy M ; Francis, Bill B ; Bergbrant, Mikael C. In: Journal of Corporate Finance. RePEc:eee:corfin:v:84:y:2024:i:c:s092911992400004x.

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

Works by Francis A. Longstaff:


Year  ↓Title  ↓Type  ↓Cited  ↓
2009Portfolio Claustrophobia: Asset Pricing in Markets with Illiquid Assets In: American Economic Review.
[Full Text][Citation analysis]
article38
2011How Sovereign Is Sovereign Credit Risk? In: American Economic Journal: Macroeconomics.
[Full Text][Citation analysis]
article652
2007How Sovereign is Sovereign Credit Risk?.(2007) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 652
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]
article60
1992 Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model. In: Journal of Finance.
[Full Text][Citation analysis]
article305
1995 A Simple Approach to Valuing Risky Fixed and Floating Rate Debt. In: Journal of Finance.
[Full Text][Citation analysis]
article774
1995 How Much Can Marketability Affect Security Values? In: Journal of Finance.
[Full Text][Citation analysis]
article69
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]
article36
2001The Relative Valuation of Caps and Swaptions: Theory and Empirical Evidence In: Journal of Finance.
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2003Dynamic Asset Allocation with Event Risk In: Journal of Finance.
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2002Dynamic Asset Allocation With Event Risk.(2002) In: NBER Working Papers.
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2005Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market In: Journal of Finance.
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2004Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit-Default Swap Market.(2004) In: NBER Working Papers.
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2007The U.S. Treasury Buyback Auctions: The Cost of Retiring Illiquid Bonds In: Journal of Finance.
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2008An Empirical Analysis of the Pricing of Collateralized Debt Obligations In: Journal of Finance.
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2006An Empirical Analysis of the Pricing of Collateralized Debt Obligations.(2006) In: NBER Working Papers.
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1996Throwing Good Money After Bad? Cash Infusions and Distressed Real Estate In: Real Estate Economics.
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2000The term structure of very short-term rates: New evidence for the expectations hypothesis In: Journal of Financial Economics.
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2001Throwing away a billion dollars: the cost of suboptimal exercise strategies in the swaptions market In: Journal of Financial Economics.
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2003Paper millionaires: how valuable is stock to a stockholder who is restricted from selling it? In: Journal of Financial Economics.
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2002Paper millionaires: How valuable is stock to a stockholder who is restricted from selling it?.(2002) In: NBER Working Papers.
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2004Corporate earnings and the equity premium In: Journal of Financial Economics.
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2003Corporate Earnings and the Equity Premium.(2003) In: NBER Working Papers.
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2010The subprime credit crisis and contagion in financial markets In: Journal of Financial Economics.
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1994Electronic Screen Trading and the Transmission of Information: An Empirical Examination In: Journal of Financial Intermediation.
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1994Calling Nonconvertible Debt and the Problem of Related Wealth Transfer Effect In: Financial Management.
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2003Two Trees: Asset Price Dynamics Induced by Market Clearing In: NBER Working Papers.
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2004Two Trees: Asset Price Dynamics Induced by Market Clearing.(2004) In: 2004 Meeting Papers.
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2004Financial Claustrophobia: Asset Pricing in Illiquid Markets In: NBER Working Papers.
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2004Optimal Recursive Refinancing and the Valuation of Mortgage-Backed Securities In: NBER Working Papers.
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2009Municipal Debt and Marginal Tax Rates: Is there a Tax Premium in Asset Prices? In: NBER Working Papers.
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2009Valuing Toxic Assets: An Analysis of CDO Equity In: NBER Working Papers.
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2010Corporate Bond Default Risk: A 150-Year Perspective In: NBER Working Papers.
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2010Why Does the Treasury Issue Tips? The Tips-Treasury Bond Puzzle In: NBER Working Papers.
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2011Systemic Sovereign Credit Risk: Lessons from the U.S. and Europe In: NBER Working Papers.
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2012Macroeconomic Effects of Corporate Default Crises: A Long-Term Perspective In: NBER Working Papers.
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2012Inflation Tracking Portfolios In: NBER Working Papers.
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2012Disagreement and Asset Prices In: NBER Working Papers.
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2013Deflation Risk In: NBER Working Papers.
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2014Corporate Taxes and Capital Structure: A Long-Term Historical Perspective In: NBER Working Papers.
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2014Valuing Thinly-Traded Assets In: NBER Working Papers.
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2015The U.S. Debt Restructuring of 1933: Consequences and Lessons In: NBER Working Papers.
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2016Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities In: NBER Working Papers.
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2017Asset Mispricing In: NBER Working Papers.
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2018Shadow Funding Costs: Measuring the Cost of Balance Sheet Constraints In: NBER Working Papers.
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2018Floating Rate Money? The Stability Premium in Treasury Floating Rate Notes In: NBER Working Papers.
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2020The Market Risk Premium for Unsecured Consumer Credit Risk In: NBER Working Papers.
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2020Private Equity Returns: Empirical Evidence from the Business Credit Card Securitization Market In: NBER Working Papers.
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2023Do Municipal Bond Investors Pay a Convenience Premium to Avoid Taxes? In: NBER Working Papers.
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2024Is Maturity-Transformation Risk Priced into Bank Deposit Rates? In: NBER Working Papers.
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2024Financial Sophistication and Bank Market Power In: NBER Working Papers.
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2002The Market Price of Credit Risk: An Empirical Analysis of Interest Rate Swap Spreads In: NBER Working Papers.
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2002The Flight-to-Liquidity Premium in U.S. Treasury Bond Prices In: NBER Working Papers.
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2004The Flight-to-Liquidity Premium in U.S. Treasury Bond Prices.(2004) In: The Journal of Business.
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2001Valuing American Options by Simulation: A Simple Least-Squares Approach. In: The Review of Financial Studies.
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2001Optimal Portfolio Choice and the Valuation of Illiquid Securities. In: The Review of Financial Studies.
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2008Two Trees In: The Review of Financial Studies.
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1995Option Pricing and the Martingale Restriction. In: The Review of Financial Studies.
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1992Are Negative Option Prices Possible? The Callable U.S. Treasury-Bond Puzzle. In: The Journal of Business.
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2006The Market Price of Risk in Interest Rate Swaps: The Roles of Default and Liquidity Risks In: The Journal of Business.
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