26
H index
40
i10 index
5254
Citations
University of California-Los Angeles (UCLA) | 26 H index 40 i10 index 5254 Citations RESEARCH PRODUCTION: 37 Articles 32 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Francis A. Longstaff. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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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 |
Year | Title of citing document | |
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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 | |
2020 | On the Dependence between Default Risk and Recovery Rates in Structural Models. (2020). Fermanian, Jean-David. In: Annals of Economics and Statistics. RePEc:adr:anecst:y:2020:i:140:p:45-82. 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 | |
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 | |
2020 | Polynomial term structure models. (2016). Tehranchi, Michael R. ; Cheng, SI. In: Papers. RePEc:arx:papers:1504.03238. 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 | |
2020 | Pricing variance swaps with stochastic volatility and stochastic interest rate under full correlation structure. (2016). Cao, Jiling ; Nazirah, Teh Raihana ; Zhang, Wenjun. In: Papers. RePEc:arx:papers:1610.09714. Full description at Econpapers || Download paper | |
2020 | Mixing LSMC and PDE Methods to Price Bermudan Options. (2019). Jaimungal, Sebastian ; Jackson, Kenneth ; Farahany, David. In: Papers. RePEc:arx:papers:1803.07216. Full description at Econpapers || Download paper | |
2020 | Deep Learning for Ranking Response Surfaces with Applications to Optimal Stopping Problems. (2019). Hu, Ruimeng. In: Papers. RePEc:arx:papers:1901.03478. Full description at Econpapers || Download paper | |
2020 | Pricing path-dependent Bermudan options using Wiener chaos expansion: an embarrassingly parallel approach. (2019). Lelong, J'Erome. In: Papers. RePEc:arx:papers:1901.05672. Full description at Econpapers || Download paper | |
2020 | A closed formula for illiquid corporate bonds and an application to the European market. (2019). Nastasi, Emanuele ; Nassigh, Aldo ; Baviera, Roberto. In: Papers. RePEc:arx:papers:1901.06855. Full description at Econpapers || Download paper | |
2020 | Statistical Learning for Probability-Constrained Stochastic Optimal Control. (2019). Palczewski, Jan ; Maheshwari, Aditya ; Ludkovski, Michael ; Balata, Alessandro. In: Papers. RePEc:arx:papers:1905.00107. Full description at Econpapers || Download paper | |
2020 | Neural network regression for Bermudan option pricing. (2019). Lelong, J'Erome ; Lapeyre, Bernard. In: Papers. RePEc:arx:papers:1907.06474. 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 | |
2020 | Fast Pricing of Energy Derivatives with Mean-reverting Jump Processes. (2019). Sabino, Piergiacomo ; Petroni, Nicola Cufaro . In: Papers. RePEc:arx:papers:1908.03137. Full description at Econpapers || Download paper | |
2020 | `Regression Anytime with Brute-Force SVD Truncation. (2019). Schweizer, Nikolaus ; Bender, Christian. In: Papers. RePEc:arx:papers:1908.08264. Full description at Econpapers || Download paper | |
2020 | Valuing Tradeability in Exponential L\evy Models. (2019). Mathys, Ludovic. In: Papers. RePEc:arx:papers:1912.00469. Full description at Econpapers || Download paper | |
2020 | Rational Kernel on Pricing Models of Inflation Derivatives. (2020). Zhou, Yue. In: Papers. RePEc:arx:papers:2001.05124. Full description at Econpapers || Download paper | |
2020 | How Safe are European Safe Bonds? An Analysis from the Perspective of Modern Portfolio Credit Risk Models. (2020). Damian, Camilla ; Kurt, Kevin ; Frey, Rudiger. In: Papers. RePEc:arx:papers:2001.11249. Full description at Econpapers || Download paper | |
2020 | Randomized optimal stopping algorithms and their convergence analysis. (2020). Schoenmakers, John ; Pigato, Paolo ; Hager, Paul ; Belomestny, Denis ; Bayer, Christian. In: Papers. RePEc:arx:papers:2002.00816. Full description at Econpapers || Download paper | |
2020 | Inventory effects on the price dynamics of VSTOXX futures quantified via machine learning. (2020). Guterding, Daniel. In: Papers. RePEc:arx:papers:2002.08207. Full description at Econpapers || Download paper | |
2020 | The Fair Basis: Funding and capital in the reduced form framework. (2020). Lou, Wujiang . In: Papers. RePEc:arx:papers:2002.08531. Full description at Econpapers || Download paper | |
2020 | Fast Lower and Upper Estimates for the Price of Constrained Multiple Exercise American Options by Single Pass Lookahead Search and Nearest-Neighbor Martingale. (2020). Gaillardetz, Patrice ; Essis-Breton, Nicolas. In: Papers. RePEc:arx:papers:2002.11258. Full description at Econpapers || Download paper | |
2020 | A weighted finite difference method for American and Barrier options in subdiffusive Black-Scholes Model. (2020). Magdziarz, Marcin ; Zanowski, Grzegorz Krzy. In: Papers. RePEc:arx:papers:2003.05358. Full description at Econpapers || Download paper | |
2020 | A wavelet analysis of inter-dependence, contagion and long memory among global equity markets. (2020). Bhandari, Avishek. In: Papers. RePEc:arx:papers:2003.14110. Full description at Econpapers || Download paper | |
2020 | Exact Simulation of Variance Gamma related OU processes: Application to the Pricing of Energy Derivatives. (2020). Sabino, Piergiacomo. In: Papers. RePEc:arx:papers:2004.06786. 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 | |
2021 | 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 | |
2020 | Differential Machine Learning. (2020). Savine, Antoine ; Huge, Brian . In: Papers. RePEc:arx:papers:2005.02347. Full description at Econpapers || Download paper | |
2021 | 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 | |
2020 | Deep learning Profit & Loss. (2020). Bormetti, Giacomo ; Cocco, Flavio ; Rossi, Pietro. In: Papers. RePEc:arx:papers:2006.09955. Full description at Econpapers || Download paper | |
2020 | Option Pricing Under a Discrete-Time Markov Switching Stochastic Volatility with Co-Jump Model. (2020). Li, Bingqing ; Fu, Michael C ; Zhang, Tianqi ; Wu, Rongwen . In: Papers. RePEc:arx:papers:2006.15054. Full description at Econpapers || Download paper | |
2020 | Analysis on the Pricing model for a Discrete Coupon Bond with Early redemption provision by the Structural Approach. (2020). Kim, Tae Song ; Chol, Hyong. In: Papers. RePEc:arx:papers:2007.01511. Full description at Econpapers || Download paper | |
2020 | Note on simulation pricing of $\pi$-options. (2020). Serafin, Tomasz ; Palmowski, Zbigniew. In: Papers. RePEc:arx:papers:2007.02076. 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 | |
2020 | XVA Analysis From the Balance Sheet. (2020). Saadeddine, Bouazza ; Hoskinson, Rodney ; Crepey, Stephane ; Albanese, Claudio. In: Papers. RePEc:arx:papers:2009.00368. Full description at Econpapers || Download paper | |
2020 | Deep Replication of a Runoff Portfolio. (2020). Teichmann, Josef ; Krabichler, Thomas. In: Papers. RePEc:arx:papers:2009.05034. Full description at Econpapers || Download paper | |
2020 | Deep learning for CVA computations of large portfolios of financial derivatives. (2020). Oosterlee, Cornelis ; Andersson, Kristoffer. In: Papers. RePEc:arx:papers:2010.13843. 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 | |
2020 | 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 | |
2021 | 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 | |
2021 | 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 | |
2022 | 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 | |
2021 | 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 | |
2021 | 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 | |
2021 | 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 | |
2021 | 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 | |
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 | |
2020 | An analysis of sovereign credit risk premia in the euro area: are they explained by local or global factors?. (2020). Cecchetti, Sara. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1271_20. 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 | |
2020 | Treasury Inconvenience Yields during the COVID-19 Crisis. (2020). He, Zhiguo ; Nagel, Stefan ; Song, Zhaogang. In: Working Papers. RePEc:bfi:wpaper:2020-79. 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 | |
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 | |
2020 | The pricing of accruals quality in credit default swap spreads. (2020). Lin, Hai ; Alam, Pervaiz ; Pu, Xiaoling ; Hettler, Barry. In: Accounting and Finance. RePEc:bla:acctfi:v:60:y:2020:i:3:p:1943-1977. 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 | |
2020 | Moving markets? Government bond investors and microeconomic policy changes. (2020). Wibbels, Erik ; Paniagua, Victoria ; Mosley, Layna. In: Economics and Politics. RePEc:bla:ecopol:v:32:y:2020:i:2:p:197-249. Full description at Econpapers || Download paper | |
2020 | Modelling Financial Contagion Using High Frequency Data. (2020). Yao, Wenying ; Alexeev, Vitali ; Dungey, Mardi. In: The Economic Record. RePEc:bla:ecorec:v:96:y:2020:i:314:p:314-330. 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 | |
2020 | Investment and asset securitization with an optionâ€forâ€guarantee swap. (2020). Yang, Zhaojun. In: European Financial Management. RePEc:bla:eufman:v:26:y:2020:i:4:p:1006-1030. Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
Year | Title | Type | Cited |
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2009 | Portfolio Claustrophobia: Asset Pricing in Markets with Illiquid Assets In: American Economic Review. [Full Text][Citation analysis] | article | 34 |
2011 | How Sovereign Is Sovereign Credit Risk? In: American Economic Journal: Macroeconomics. [Full Text][Citation analysis] | article | 541 |
2007 | How Sovereign is Sovereign Credit Risk?.(2007) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 541 | paper | |
1990 | Pricing Options with Extendible Maturities: Analysis and Applications. In: Journal of Finance. [Full Text][Citation analysis] | article | 26 |
1990 | Time Varying Term Premia and Traditional Hypotheses about the Term Structure. In: Journal of Finance. [Full Text][Citation analysis] | article | 9 |
1992 | Dual Trading in Futures Markets. In: Journal of Finance. [Full Text][Citation analysis] | article | 56 |
1992 | Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model. In: Journal of Finance. [Full Text][Citation analysis] | article | 273 |
1995 | A Simple Approach to Valuing Risky Fixed and Floating Rate Debt. In: Journal of Finance. [Full Text][Citation analysis] | article | 689 |
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 | 30 |
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 | 166 |
2002 | Dynamic Asset Allocation With Event Risk.(2002) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 166 | 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 | 773 |
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: 773 | 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 | 110 |
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: 110 | 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 | 25 |
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 | 27 |
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 | 83 |
1989 | A nonlinear general equilibrium model of the term structure of interest rates In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 57 |
1990 | The valuation of options on yields In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 21 |
1992 | Multiple equilibria and term structure models In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 14 |
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 | 66 |
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 | 21 |
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 | 68 |
2003 | Corporate Earnings and the Equity Premium.(2003) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 68 | paper | |
2010 | The subprime credit crisis and contagion in financial markets In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 231 |
1994 | Electronic Screen Trading and the Transmission of Information: An Empirical Examination In: Journal of Financial Intermediation. [Full Text][Citation analysis] | article | 47 |
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 | 214 |
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 | 7 |
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 | 202 |
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: 202 | article | |
2001 | Valuing American Options by Simulation: A Simple Least-Squares Approach. In: Review of Financial Studies. [Citation analysis] | article | 771 |
2001 | Optimal Portfolio Choice and the Valuation of Illiquid Securities. In: Review of Financial Studies. [Citation analysis] | article | 78 |
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 | 90 |
1992 | Are Negative Option Prices Possible? The Callable U.S. Treasury-Bond Puzzle. In: The Journal of Business. [Full Text][Citation analysis] | article | 19 |
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 | 96 |
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