31
H index
45
i10 index
17208
Citations
Massachusetts Institute of Technology (MIT) | 31 H index 45 i10 index 17208 Citations RESEARCH PRODUCTION: 51 Articles 37 Papers 1 Books 10 Chapters RESEARCH ACTIVITY:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with robert c. merton. | Is cited by: | Cites to: |
Year | Title of citing document | |
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2020 | Reforming Islamic Finance Industry: Where from? .. Where to? ????? ????? ??????? ????????: ?? ???? .. ???? ????. (2020). Belouafi, Ahmed. In: Journal of King Abdulaziz University: Islamic Economics. RePEc:abd:kauiea:v:33:y:2020:i:2:no:9:p:121-136. 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 | Prediction: The Long and the Short of It. (2021). Heyen, Daniel ; Millner, Antony. In: American Economic Journal: Microeconomics. RePEc:aea:aejmic:v:13:y:2021:i:1:p:374-98. Full description at Econpapers || Download paper | |
2021 | . Full description at Econpapers || Download paper | |
2020 | Option pricing in illiquid markets: a fractional jump-diffusion approach. (2020). Leonenko, Nikolai ; Hainaut, Donatien. In: IBSA Discussion Papers (ISBA - Institute of Statistics, Biostatistics and Actuarial Sciences). RePEc:aiz:louvad:2020003. 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 | |
2022 | Long memory self-exciting jump diffusion for asset prices modeling. (2022). Hainaut, Donatien ; Njike, Charles G. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2022003. Full description at Econpapers || Download paper | |
2020 | Robust portfolio selection using sparse estimation of comoment tensors. (2020). Vrins, Frédéric ; Lassance, Nathan. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2020003. Full description at Econpapers || Download paper | |
2020 | Googlization and retail investors trading activity. (2020). D'Hondt, Catherine ; Desagre, Christophe. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2020004. Full description at Econpapers || Download paper | |
2020 | Toward a macroprudential regulatory framework for mutual funds. (2020). Hasse, Jean-Baptiste ; Candelon, Bertrand ; Panopoulou, Ekaterini ; Argyropoulos, Christos. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2020008. Full description at Econpapers || Download paper | |
2021 | Loss Sharing in Central Clearinghouses: Winners and Losers. (2021). Sherman, Mila Getmansky ; Pelizzon, Loriana ; Kubitza, Christian. In: ECONtribute Discussion Papers Series. RePEc:ajk:ajkdps:066. Full description at Econpapers || Download paper | |
2021 | Superstar Returns. (2021). Kohl, Sebastian ; Schularick, Moritz ; Dohmen, Martin ; Amaral, Francisco. In: ECONtribute Discussion Papers Series. RePEc:ajk:ajkdps:131. Full description at Econpapers || Download paper | |
2020 | ARE SMALL STOCKS ILLIQUID? AN EXAMINATION OF LIQUIDITY-IMPROVING EVENTS. (2020). Al-Haji, Ahmad. In: Review of Socio - Economic Perspectives. RePEc:aly:journl:202068. Full description at Econpapers || Download paper | |
2021 | . Full description at Econpapers || Download paper | |
2022 | Reconciling TEV and VaR in Active Portfolio Management: A New Frontier. (2022). Riccetti, Luca ; Palomba, Giulio ; Nicolau, Mihaela ; Lucchetti, Riccardo (Jack). In: Working Papers. RePEc:anc:wpaper:461. Full description at Econpapers || Download paper | |
2021 | An Investigation of Market Timing Ability of Mutual Fund Managers in Pakistan. (2021). Khan, Salleh ; Noor, Amna ; Ullah, Sana. In: iRASD Journal of Management. RePEc:ani:irdjom:v:3:y:2021:i:1:p:56-68. Full description at Econpapers || Download paper | |
2022 | Optimal investment with time-varying stochastic endowments. (2014). Chen, AN ; Stelzer, Robert ; Mereu, Carla . In: Papers. RePEc:arx:papers:1406.6245. Full description at Econpapers || Download paper | |
2022 | Robust replication of barrier-style claims on price and volatility. (2017). Carr, Peter ; Lorig, Matthew. In: Papers. RePEc:arx:papers:1508.00632. 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 | Gated Neural Networks for Option Pricing: Rationality by Design. (2016). Yang, Yongxin ; Hospedales, Timothy M ; Zheng, YU. In: Papers. RePEc:arx:papers:1609.07472. Full description at Econpapers || Download paper | |
2021 | Optimal shrinkage-based portfolio selection in high dimensions. (2018). Parolya, Nestor ; Bodnar, Taras ; Okhrin, Yarema. In: Papers. RePEc:arx:papers:1611.01958. Full description at Econpapers || Download paper | |
2020 | Hilbert transform, spectral filtering and option pricing. (2017). Germano, Guido ; Fusai, Gianluca ; Marazzina, Daniele ; Phelan, Carolyn E. In: Papers. RePEc:arx:papers:1706.09755. Full description at Econpapers || Download paper | |
2020 | Modulated Information Flows on Random Point Fields. (2018). Menguturk, Levent A ; Macrina, Andrea ; Hoyle, Edward . In: Papers. RePEc:arx:papers:1708.06948. Full description at Econpapers || Download paper | |
2020 | Dynamic Price Jumps: the Performance of High Frequency Tests and Measures, and the Robustness of Inference. (2018). Forbes, Catherine S ; Martin, Gael M ; Maneesoonthorn, Worapree. In: Papers. RePEc:arx:papers:1708.09520. Full description at Econpapers || Download paper | |
2020 | Option Pricing with Greed and Fear Factor: The Rational Finance Approach. (2017). Fabozzi, Frank ; Racheva-Iotova, Boryana. In: Papers. RePEc:arx:papers:1709.08134. Full description at Econpapers || Download paper | |
2020 | Market Impact in a Latent Order Book. (2018). Lemhadri, Ismael. In: Papers. RePEc:arx:papers:1802.06101. Full description at Econpapers || Download paper | |
2020 | A Term Structure Model for Dividends and Interest Rates. (2019). Willems, Sander ; Filipovi, Damir. In: Papers. RePEc:arx:papers:1803.02249. Full description at Econpapers || Download paper | |
2021 | Explicit description of all deflators for markets under random horizon. (2018). Yansori, Sina ; Choulli, Tahir. In: Papers. RePEc:arx:papers:1803.10128. Full description at Econpapers || Download paper | |
2021 | High Dimensional Estimation and Multi-Factor Models. (2019). Jarrow, Robert ; Wells, Martin T ; Basu, Sumanta ; Zhu, Liao. In: Papers. RePEc:arx:papers:1804.08472. Full description at Econpapers || Download paper | |
2020 | A Generalized Framework for Simultaneous Long-Short Feedback Trading. (2018). Burke, Kevin ; O'Brien, Joseph D. In: Papers. RePEc:arx:papers:1806.05561. Full description at Econpapers || Download paper | |
2021 | Pricing of debt and equity in a financial network with comonotonic endowments. (2018). Feinstein, Zachary ; Banerjee, Tathagata. In: Papers. RePEc:arx:papers:1810.01372. Full description at Econpapers || Download paper | |
2020 | Classifying Markets up to Isomorphism. (2019). Armstrong, John. In: Papers. RePEc:arx:papers:1810.03546. Full description at Econpapers || Download paper | |
2020 | Log-optimal portfolio and num\eraire portfolio under random horizon. (2018). Yansori, Sina ; Choulli, Tahir. In: Papers. RePEc:arx:papers:1810.12762. Full description at Econpapers || Download paper | |
2020 | Continuity of Utility Maximization under Weak Convergence. (2019). Bayraktar, Erhan ; Guo, Jia ; Dolinsky, Yan. In: Papers. RePEc:arx:papers:1811.01420. Full description at Econpapers || Download paper | |
2021 | Epstein-Zin Utility Maximization on Random Horizons. (2019). Huang, Yu-Jui ; Aurand, Joshua. In: Papers. RePEc:arx:papers:1903.08782. Full description at Econpapers || Download paper | |
2020 | Portfolio optimization with two coherent risk measures. (2019). Ararat, Ccaugin ; Akturk, Tahsin Deniz. In: Papers. RePEc:arx:papers:1903.10454. Full description at Econpapers || Download paper | |
2021 | Probability-free models in option pricing: statistically indistinguishable dynamics and historical vs implied volatility. (2019). Brigo, Damiano. In: Papers. RePEc:arx:papers:1904.01889. Full description at Econpapers || Download paper | |
2020 | The Leland-Toft optimal capital structure model under Poisson observations. (2019). Yamazaki, Kazutoshi ; Surya, Budhi Arta ; Jos'e Luis P'erez, ; Palmowski, Zbigniew. In: Papers. RePEc:arx:papers:1904.03356. Full description at Econpapers || Download paper | |
2020 | A weighted finite difference method for subdiffusive Black Scholes Model. (2019). Plociniczak, Lukasz ; Magdziarz, Marcin ; Zanowski, Grzegorz Krzy. In: Papers. RePEc:arx:papers:1907.00297. Full description at Econpapers || Download paper | |
2020 | Optimal Investment with Correlated Stochastic Volatility Factors. (2019). Fouque, Jean-Pierre ; Bichuch, Maxim. In: Papers. RePEc:arx:papers:1908.07626. Full description at Econpapers || Download paper | |
2021 | Robust Utility Maximizing Strategies under Model Uncertainty and their Convergence. (2019). Westphal, Dorothee ; Sass, Jorn. In: Papers. RePEc:arx:papers:1909.01830. Full description at Econpapers || Download paper | |
2020 | Arbitrage-free modeling under Knightian Uncertainty. (2019). Maggis, Marco ; Burzoni, Matteo. In: Papers. RePEc:arx:papers:1909.04602. Full description at Econpapers || Download paper | |
2020 | A varying terminal time mean-variance model. (2019). Yang, Shuzhen. In: Papers. RePEc:arx:papers:1909.13102. Full description at Econpapers || Download paper | |
2020 | Mixed Levy Subordinated Market Model and Implied Probability Weighting Function. (2019). Fabozzi, Frank J ; Rachev, Svetlozar T ; Hu, Yuan ; Shirvani, Abootaleb. In: Papers. RePEc:arx:papers:1910.05902. Full description at Econpapers || Download paper | |
2020 | Portfolio optimization in the case of an exponential utility function and in the presence of an illiquid asset. (2019). Bordag, Ljudmila A. In: Papers. RePEc:arx:papers:1910.07417. Full description at Econpapers || Download paper | |
2021 | The value of power-related options under spectrally negative L\evy processes. (2019). Aguilar, Jean-Philippe. In: Papers. RePEc:arx:papers:1910.07971. Full description at Econpapers || Download paper | |
2022 | Inference of Binary Regime Models with Jump Discontinuities. (2019). Rajani, Sharan ; Goswami, Anindya ; Das, Milan Kumar. In: Papers. RePEc:arx:papers:1910.10606. Full description at Econpapers || Download paper | |
2020 | Data-driven covariance estimators for high-dimensional minimum-variance portfolios. (2019). Steinert, Rick ; Shivarova, Antoniya ; Husmann, Sven . In: Papers. RePEc:arx:papers:1910.13960. Full description at Econpapers || Download paper | |
2020 | Bayesian Filtering for Multi-period Mean-Variance Portfolio Selection. (2019). Upadhye, Neelesh S ; Sen, Rituparna ; Sikaria, Shubhangi. In: Papers. RePEc:arx:papers:1911.07526. Full description at Econpapers || Download paper | |
2021 | Speculative Trading, Prospect Theory and Transaction Costs. (2019). Zheng, Harry ; Lex, A ; Alex, . In: Papers. RePEc:arx:papers:1911.10106. Full description at Econpapers || Download paper | |
2020 | Closed Quantum Black-Scholes: Quantum Drift and the Heisenberg Equation of Motion. (2019). Hicks, Will. In: Papers. RePEc:arx:papers:1911.11475. 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 | |
2022 | Applications of the Deep Galerkin Method to Solving Partial Integro-Differential and Hamilton-Jacobi-Bellman Equations. (2019). Saporito, Yuri ; Jardim, Gabriel ; de Frietas, Danilo ; Correia, Adolfo ; Al-Aradi, Ali. In: Papers. RePEc:arx:papers:1912.01455. Full description at Econpapers || Download paper | |
2021 | Finance Without Brownian Motions: An Introduction To Simplified Stochastic Calculus. (2019). Ruf, Johannes ; Vcern, Alevs . In: Papers. RePEc:arx:papers:1912.03651. Full description at Econpapers || Download paper | |
2020 | Option Pricing in an Investment Risk-Return Setting. (2020). Stoyanov, Stoyan V ; Fabozzi, Frank J ; Shirvani, Abootaleb. In: Papers. RePEc:arx:papers:2001.00737. Full description at Econpapers || Download paper | |
2020 | Hedging problems for Asian options with transactions costs. (2020). Shishkova, Alena ; Pergamenchtchikov, Serguei. In: Papers. RePEc:arx:papers:2001.01443. Full description at Econpapers || Download paper | |
2020 | Change of measure under the hard-to-borrow model. (2020). Liu, Peng. In: Papers. RePEc:arx:papers:2001.10384. Full description at Econpapers || Download paper | |
2020 | Structured climate financing: valuation of CDOs on inhomogeneous asset pools. (2020). Packham, N. In: Papers. RePEc:arx:papers:2001.11891. Full description at Econpapers || Download paper | |
2020 | Optimal portfolio choice with path dependent labor income: the infinite horizon case. (2020). Gozzi, Fausto ; Prosdocimi, Cecilia ; Biffis, Enrico. In: Papers. RePEc:arx:papers:2002.00201. Full description at Econpapers || Download paper | |
2020 | Pricing Bitcoin Derivatives under Jump-Diffusion Models. (2020). Olivares, Pablo. In: Papers. RePEc:arx:papers:2002.07117. Full description at Econpapers || Download paper | |
2020 | Equal risk option pricing with deep reinforcement learning. (2020). Fr'ed'eric Godin, ; Carbonneau, Alexandre. In: Papers. RePEc:arx:papers:2002.08492. 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 | Representation of Exchange Option Prices under Stochastic Volatility Jump-Diffusion Dynamics. (2020). Dominic, Len Patrick. In: Papers. RePEc:arx:papers:2002.10202. Full description at Econpapers || Download paper | |
2020 | G-Learner and GIRL: Goal Based Wealth Management with Reinforcement Learning. (2020). Halperin, Igor ; Dixon, Matthew. In: Papers. RePEc:arx:papers:2002.10990. Full description at Econpapers || Download paper | |
2020 | Large-Maturity Smiles for an Affine Jump-Diffusion Model. (2020). Lin, Junfeng ; Ling, Zhichao ; Yao, Nian. In: Papers. RePEc:arx:papers:2003.00334. Full description at Econpapers || Download paper | |
2021 | Machine Learning Portfolio Allocation. (2020). Ruppert, David ; Pinelis, Michael. In: Papers. RePEc:arx:papers:2003.00656. Full description at Econpapers || Download paper | |
2020 | Convex Optimization Over Risk-Neutral Probabilities. (2020). Boyd, Stephen ; Tuck, Jonathan ; Barratt, Shane. In: Papers. RePEc:arx:papers:2003.02878. Full description at Econpapers || Download paper | |
2020 | On solutions of a partial integro-differential equation in Bessel potential spaces with applications in option pricing models. (2020). Sevcovic, Daniel ; Cruz, Jose. In: Papers. RePEc:arx:papers:2003.03851. 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 | Deep Deterministic Portfolio Optimization. (2020). de Lataillade, Joachim ; Emmanuel, ; Schmidt, Christian ; Hardiman, Stephen ; Chaouki, Ayman. In: Papers. RePEc:arx:papers:2003.06497. Full description at Econpapers || Download paper | |
2020 | Old Problems, Classical Methods, New Solutions. (2020). Lipton, Alexander. In: Papers. RePEc:arx:papers:2003.06903. Full description at Econpapers || Download paper | |
2021 | Low-volatility Anomaly and the Adaptive Multi-Factor Model. (2020). Jarrow, Robert ; Zhu, Liao ; Wells, Martin T ; Murataj, Rinald. In: Papers. RePEc:arx:papers:2003.08302. Full description at Econpapers || Download paper | |
2020 | An iterative splitting method for pricing European options under the Heston model. (2020). Huang, Zhongyi ; Li, Hongshan. In: Papers. RePEc:arx:papers:2003.12934. Full description at Econpapers || Download paper | |
2020 | Asymptotically Optimal Management of Heterogeneous Collectivised Investment Funds. (2020). Buescu, Cristin ; Armstrong, John. In: Papers. RePEc:arx:papers:2004.01506. Full description at Econpapers || Download paper | |
2020 | Double continuation regions for American options under Poisson exercise opportunities. (2020). Yamazaki, Kazutoshi ; Jos'e Luis P'erez, ; Palmowski, Zbigniew. In: Papers. RePEc:arx:papers:2004.03330. Full description at Econpapers || Download paper | |
2021 | Quantification of Risk in Classical Models of Finance. (2020). Schlotter, Ruben ; Pichler, Alois. In: Papers. RePEc:arx:papers:2004.04397. Full description at Econpapers || Download paper | |
2020 | Awareness of crash risk improves Kelly strategies in simulated financial time series. (2020). Sornette, Didier ; Kreuser, Jerome ; Gerlach, Jan-Christian. In: Papers. RePEc:arx:papers:2004.09368. 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 | |
2020 | On the multiplicity of the martingale condition: Spontaneous symmetry breaking in Quantum Finance. (2020). Tse, Alan Ching-Biu ; Au, Alan ; Arraut, Ivan. In: Papers. RePEc:arx:papers:2004.11270. Full description at Econpapers || Download paper | |
2021 | Closed-form Solutions for an Explicit Modern Ideal Tontine with Bequest Motive. (2020). Dagpunar, John. In: Papers. RePEc:arx:papers:2005.00715. Full description at Econpapers || Download paper | |
2020 | Regret Theory And Asset Pricing Anomalies In Incomplete Markets With Dynamic Un-Aggregated Preferences. (2020). Nwogugu, Michael. In: Papers. RePEc:arx:papers:2005.01709. Full description at Econpapers || Download paper | |
2020 | Bellman type strategy for the continuous time mean-variance model. (2020). Yang, Shuzhen. In: Papers. RePEc:arx:papers:2005.01904. Full description at Econpapers || Download paper | |
2020 | Short-Term Investments and Indices of Risk. (2020). Schreiber, Amnon ; Heller, Yuval. In: Papers. RePEc:arx:papers:2005.06576. Full description at Econpapers || Download paper | |
2020 | A Computational Approach to Hedging Credit Valuation Adjustment in a Jump-Diffusion Setting. (2020). Oosterlee, C W ; Grzelak, L A ; van der Zwaard, T. In: Papers. RePEc:arx:papers:2005.10504. Full description at Econpapers || Download paper | |
2021 | Optimal Investing after Retirement Under Time-Varying Risk Capacity Constraint. (2020). Zhu, Zimu ; Tian, Weidong. In: Papers. RePEc:arx:papers:2005.13741. Full description at Econpapers || Download paper | |
2020 | A moment matching method for option pricing under stochastic interest rates. (2020). Scarlatti, Sergio ; Ramponi, Alessandro ; Antonelli, Fabio. In: Papers. RePEc:arx:papers:2005.14063. Full description at Econpapers || Download paper | |
2020 | Consistent Investment of Sophisticated Rank-Dependent Utility Agents in Continuous Time. (2020). Yu, Xun ; Jin, Hanqing ; Hu, Ying. In: Papers. RePEc:arx:papers:2006.01979. Full description at Econpapers || Download paper | |
2021 | Uncovering the mesoscale structure of the credit default swap market to improve portfolio risk modelling. (2020). Kandhai, Drona ; Garlaschelli, Diego ; Squartini, Tiziano ; Anagnostou, Ioannis. In: Papers. RePEc:arx:papers:2006.03014. Full description at Econpapers || Download paper | |
2021 | Duality for optimal consumption under no unbounded profit with bounded risk. (2020). Monoyios, Michael. In: Papers. RePEc:arx:papers:2006.04687. Full description at Econpapers || Download paper | |
2021 | An elementary approach to the Merton problem. (2020). Jerome, Joseph ; Hobson, David ; Herdegen, Martin. In: Papers. RePEc:arx:papers:2006.05260. Full description at Econpapers || Download paper | |
2022 | Optimal Consumption with Reference to Past Spending Maximum. (2020). Yu, Xiang ; Pham, Huyen ; Li, Xun ; Deng, Shuoqing. In: Papers. RePEc:arx:papers:2006.07223. Full description at Econpapers || Download paper | |
2020 | Why Stake When You Can Borrow?. (2020). Evans, Alex ; Chitra, Tarun. In: Papers. RePEc:arx:papers:2006.11156. Full description at Econpapers || Download paper | |
2020 | Optimal Hedging in Incomplete Markets. (2020). Hughston, Lane P ; Bouzianis, George. In: Papers. RePEc:arx:papers:2006.12989. 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 | Expectation and Price in Incomplete Markets. (2020). McCloud, Paul. In: Papers. RePEc:arx:papers:2006.16703. 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 | |
2022 | Hedging using reinforcement learning: Contextual $k$-Armed Bandit versus $Q$-learning. (2020). Nuti, Giuseppe ; Cannelli, Loris ; Szehr, Oleg ; Sala, Marzio. In: Papers. RePEc:arx:papers:2007.01623. Full description at Econpapers || Download paper | |
2020 | Applying Dynamic Training-Subset Selection Methods Using Genetic Programming for Forecasting Implied Volatility. (2020). Abdelmalek, Wafa ; ben Hamida, Sana ; Abid, Fathi. In: Papers. RePEc:arx:papers:2007.07207. Full description at Econpapers || Download paper | |
2021 | Perpetual American options with asset-dependent discounting. (2020). Palmowski, Zbigniew ; Al-Hadad, Jonas. In: Papers. RePEc:arx:papers:2007.09419. Full description at Econpapers || Download paper | |
2020 | A decomposition formula for fractional Heston jump diffusion models. (2020). Ortiz-Latorre, Salvador ; Lagunas-Merino, Marc. In: Papers. RePEc:arx:papers:2007.14328. Full description at Econpapers || Download paper | |
2020 | Deep Hedging of Long-Term Financial Derivatives. (2020). Carbonneau, Alexandre. In: Papers. RePEc:arx:papers:2007.15128. Full description at Econpapers || Download paper | |
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1984 | Macroeconomics and finance: The role of the stock market In: Carnegie-Rochester Conference Series on Public Policy. [Full Text][Citation analysis] | article | 100 |
1984 | Macroeconomics and Finance: The Role of the Stock Market.(1984) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 100 | paper | |
1993 | Deposit insurance reform: a functional approach In: Carnegie-Rochester Conference Series on Public Policy. [Full Text][Citation analysis] | article | 12 |
1993 | Reply to Benston and Kaufman In: Carnegie-Rochester Conference Series on Public Policy. [Full Text][Citation analysis] | article | 0 |
1992 | Labor supply flexibility and portfolio choice in a life cycle model In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 427 |
1992 | Labor Supply Flexibility and Portfolio Choice in a Life-Cycle Model.(1992) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 427 | paper | |
1995 | Financial innovation and the management and regulation of financial institutions In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 99 |
1995 | Financial Innovation and the Management and Regulation of Financial Institutions.(1995) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 99 | paper | |
1977 | An analytic derivation of the cost of deposit insurance and loan guarantees An application of modern option pricing theory In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 343 |
1971 | Optimum consumption and portfolio rules in a continuous-time model In: Journal of Economic Theory. [Full Text][Citation analysis] | article | 1526 |
1970 | Optimum Consumption and Portfolio Rules in a Continuous-time Model.(1970) In: Working papers. [Citation analysis] This paper has another version. Agregated cites: 1526 | paper | |
2013 | Systemic risk and the refinancing ratchet effect In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 40 |
2010 | Systemic Risk and the Refinancing Ratchet Effect.(2010) In: Harvard Business School Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 40 | paper | |
2009 | Systemic Risk and the Refinancing Ratchet Effect.(2009) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 40 | paper | |
1974 | Fallacy of the log-normal approximation to optimal portfolio decision-making over many periods In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 46 |
1976 | Option pricing when underlying stock returns are discontinuous In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 1461 |
1975 | Option pricing when underlying stock returns are discontinuous.(1975) In: Working papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1461 | paper | |
1977 | On the pricing of contingent claims and the Modigliani-Miller theorem In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 75 |
2006 | Do a firms equity returns reflect the risk of its pension plan? In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 19 |
2004 | Do a Firms Equity Returns Reflect the Risk of Its Pension Plan?.(2004) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 19 | paper | |
1980 | On estimating the expected return on the market : An exploratory investigation In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 893 |
1980 | On Estimating the Expected Return on the Market: An Exploratory Investigation.(1980) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 893 | paper | |
2019 | Customers and investors: A framework for understanding the evolution of financial institutions In: Journal of Financial Intermediation. [Full Text][Citation analysis] | article | 9 |
1993 | On the microeconomic theory of investment under uncertainty In: Handbook of Mathematical Economics. [Full Text][Citation analysis] | chapter | 4 |
1977 | On the microeconomic theory of investment under uncertainty.(1977) In: Working papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | paper | |
1990 | Capital market theory and the pricing of financial securities In: Handbook of Monetary Economics. [Full Text][Citation analysis] | chapter | 5 |
1986 | Capital market theory and the pricing of financial securities.(1986) In: Working papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | paper | |
2008 | Asset Management in Volatile Markets In: SUERF Studies. [Full Text][Citation analysis] | book | 0 |
1992 | On the Management of Financial Guarantees In: Financial Management. [Citation analysis] | article | 39 |
1995 | A Functional Perspective of Financial Intermediation In: Financial Management. [Citation analysis] | article | 82 |
2000 | Speeches by Nobel Laureates In: Financial Management. [Citation analysis] | article | 0 |
1973 | An asymptotic theory of growth under uncertainty, In: Working papers. [Full Text][Citation analysis] | paper | 134 |
1975 | An Asymptotic Theory of Growth Under Uncertainty.(1975) In: Review of Economic Studies. [Full Text][Citation analysis] This paper has another version. Agregated cites: 134 | article | |
1976 | Continuous-time portfolio theory and the pricing of contingent claims In: Working papers. [Full Text][Citation analysis] | paper | 0 |
1977 | On the cost of deposit insurance when there are surveillance costs In: Working papers. [Full Text][Citation analysis] | paper | 108 |
1978 | On the Cost of Deposit Insurance When There Are Surveillance Costs..(1978) In: The Journal of Business. [Full Text][Citation analysis] This paper has another version. Agregated cites: 108 | article | |
1984 | Earnings variablility and variance bounds tests for the rationality of stock market prices In: Working papers. [Full Text][Citation analysis] | paper | 1 |
1985 | On the current state of the stock market rationality hypothesis In: Working papers. [Full Text][Citation analysis] | paper | 21 |
1983 | On Consumption Indexed Public Pension Plans In: NBER Chapters. [Full Text][Citation analysis] | chapter | 9 |
1982 | On Consumption-Indexed Public Pension Plans.(1982) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 9 | paper | |
1983 | On the Role of Social Security as a Means for Efficient Risk Sharing in an Economy Where Human Capital Is Not Tradable In: NBER Chapters. [Full Text][Citation analysis] | chapter | 53 |
1988 | Defined Benefit versus Defined Contribution Pension Plans: What are the Real Trade-offs? In: NBER Chapters. [Full Text][Citation analysis] | chapter | 31 |
1985 | Defined Benefit versus Defined Contribution Pension Plans: What are the Real Tradeoffs?.(1985) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 31 | paper | |
1993 | Optimal Investment Strategies for University Endowment Funds In: NBER Chapters. [Full Text][Citation analysis] | chapter | 6 |
1991 | Optimal Investment Strategies for University Endowment Funds.(1991) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | paper | |
1987 | Pension Plan Integration As Insurance Against Social Security Risk In: NBER Chapters. [Full Text][Citation analysis] | chapter | 10 |
1984 | Pension Plan Integration as Insurance Against Social Security Risk.(1984) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 10 | paper | |
1981 | On the Role of Social Security as a Means for Efficient Risk-Bearing in an Economy Where Human Capital Is Not Tradeable In: NBER Working Papers. [Full Text][Citation analysis] | paper | 29 |
2004 | The Design of Financial Systems: Towards a Synthesis of Function and Structure In: NBER Working Papers. [Full Text][Citation analysis] | paper | 43 |
2005 | DESIGN OF FINANCIAL SYSTEMS: TOWARDS A SYNTHESIS OF FUNCTION AND STRUCTURE.(2005) In: World Scientific Book Chapters. [Full Text][Citation analysis] This paper has another version. Agregated cites: 43 | chapter | |
2006 | A New Framework for Analyzing and Managing Macrofinancial Risks of an Economy In: NBER Working Papers. [Full Text][Citation analysis] | paper | 27 |
2015 | Customers and Investors: A Framework for Understanding Financial Institutions In: NBER Working Papers. [Full Text][Citation analysis] | paper | 5 |
2018 | Trust in Lending In: NBER Working Papers. [Full Text][Citation analysis] | paper | 9 |
2021 | No-fault Default, Chapter 11 Bankruptcy, and Financial Institutions In: NBER Working Papers. [Full Text][Citation analysis] | paper | 0 |
2003 | Transparency, Risk Management and International Financial Fragility In: NBER Working Papers. [Full Text][Citation analysis] | paper | 10 |
2006 | The Derivatives Sourcebook In: Foundations and Trends(R) in Finance. [Full Text][Citation analysis] | article | 0 |
1997 | A Model of Contract Guarantees for Credit-Sensitive, Opaque Financial Intermediaries In: Review of Finance. [Full Text][Citation analysis] | article | 4 |
2020 | SeLFIES: A NEW PENSION BOND AND CURRENCY FOR RETIREMENT In: Journal of Financial Transformation. [Full Text][Citation analysis] | article | 0 |
1998 | Autobiography In: Nobel Prize in Economics documents. [Full Text][Citation analysis] | paper | 0 |
2004 | Interview with Nobel Prize Laureate Robert C. Merton In: Nobel Prize in Economics documents. [Full Text][Citation analysis] | paper | 0 |
1973 | Theory of Rational Option Pricing In: Bell Journal of Economics. [Full Text][Citation analysis] | article | 1981 |
2005 | Theory of rational option pricing.(2005) In: World Scientific Book Chapters. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1981 | chapter | |
1974 | The Optimality of a Competitive Stock Market In: Bell Journal of Economics. [Full Text][Citation analysis] | article | 1 |
2006 | Paul Samuelson and Financial Economics In: The American Economist. [Full Text][Citation analysis] | article | 5 |
2014 | ADBs Distinguished Speakers Program Measuring the Connectedness of the Financial System: Implications for Risk Management In: Asian Development Review. [Full Text][Citation analysis] | article | 2 |
1969 | Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case. In: The Review of Economics and Statistics. [Full Text][Citation analysis] | article | 1274 |
1986 | Dividend Behavior for the Aggregate Stock Market. In: Research Program in Finance Working Papers. [Citation analysis] | paper | 87 |
1987 | Dividend Behavior for the Aggregate Stock Market..(1987) In: The Journal of Business. [Full Text][Citation analysis] This paper has another version. Agregated cites: 87 | article | |
1978 | The Returns and Risk of Alternative Call Option Portfolio Investment Strategies. In: The Journal of Business. [Full Text][Citation analysis] | article | 27 |
1981 | On Market Timing and Investment Performance. I. An Equilibrium Theory of Value for Market Forecasts. In: The Journal of Business. [Full Text][Citation analysis] | article | 190 |
1981 | On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills. In: The Journal of Business. [Full Text][Citation analysis] | article | 458 |
1982 | The Returns and Risks of Alternative Put-Option Portfolio Investment Strategies. In: The Journal of Business. [Full Text][Citation analysis] | article | 12 |
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