Robert Jarrow : Citation Profile

Are you Robert Jarrow?

Cornell University (5% share)
Cornell University (95% share)

33

H index

65

i10 index

5660

Citations

RESEARCH PRODUCTION:

149

Articles

22

Papers

2

Books

46

Chapters

EDITOR:

1

Books edited

RESEARCH ACTIVITY:

   46 years (1977 - 2023). See details.
   Cites by year: 123
   Journals where Robert Jarrow has often published
   Relations with other researchers
   Recent citing documents: 143.    Total self citations: 65 (1.14 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pja39
   Updated: 2024-01-16    RAS profile: 2024-01-04    
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Relations with other researchers

Works with:

Lamichhane, Sujan (3)

Kwok, Simon Sai Man (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Robert Jarrow.

Is cited by:

Wong, Wing-Keung (42)

Xiao, Tim (36)

Schlogl, Erik (32)

gourieroux, christian (25)

Nikitopoulos-Sklibosios, Christina (25)

Monfort, Alain (25)

Detemple, Jerome (22)

Das, Sanjiv (22)

Schuermann, Til (20)

Roventini, Andrea (19)

Platen, Eckhard (19)

Cites to:

merton, robert (45)

Duffie, Darrell (35)

Singleton, Kenneth (23)

Lando, David (19)

Yildirim, Yildiray (17)

Chen, Zhiwu (14)

Bernanke, Ben (14)

Basak, Suleyman (13)

Scholes, Myron (13)

Cao, Charles (13)

Fama, Eugene (12)

Main data

Where Robert Jarrow has published?

Journals with more than one article published# docs
Mathematical Finance13
Finance Research Letters12
Review of Derivatives Research11
Journal of Finance8
Quarterly Journal of Finance (QJF)7
Journal of Banking & Finance6
Journal of Financial and Quantitative Analysis6
Annual Review of Financial Economics6
International Journal of Theoretical and Applied Finance (IJTAF)6
Finance and Stochastics5
Journal of Financial Economics5
Review of Financial Studies5
Quantitative Finance4
Annals of Finance3
Review of Finance3
The Quarterly Review of Economics and Finance3
International Review of Finance3
Journal of Risk Management in Financial Institutions2
Journal of Financial Services Research2
The Journal of Business2
Journal of Financial Stability2
Economics Letters2
Agricultural Finance Review2
The Financial Review2
Financial Management2
Real Estate Economics2
Journal of Econometrics2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org11
Working Papers / University of Sydney, School of Economics2

Recent works citing Robert Jarrow (2024 and 2023)

YearTitle of citing document
2023Trend Breaks and the Persistence of Closed-End Mutual Fund Discounts. (2023). Kim, Hyeongwoo ; Durmaz, Nazif ; Sun, Yanfei ; Lee, Hyejin. In: Auburn Economics Working Paper Series. RePEc:abn:wpaper:auwp2023-03.

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2023Trend Breaks and the Persistence of Closed-End Fund Discounts. (2023). Kim, Hyeongwoo ; Sun, Yanfei ; Lee, Hyejin ; Durmaz, Nazif. In: Auburn Economics Working Paper Series. RePEc:abn:wpaper:auwp2023-08.

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2023A default system with overspilling contagion. (2017). Coculescu, Delia. In: Papers. RePEc:arx:papers:1709.09255.

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2023Hedging with transient price impact for non-covered and covered options. (2018). Bilarev, Todor ; Becherer, Dirk. In: Papers. RePEc:arx:papers:1807.05917.

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2023Excursion Risk. (2020). Cont, Rama ; Ananova, Anna ; Xu, Renyuan. In: Papers. RePEc:arx:papers:2011.02870.

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2023Option Pricing under Bayesian MS-VAR Process. (2021). Gankhuu, Battulga. In: Papers. RePEc:arx:papers:2109.05998.

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2023Rating transitions forecasting: a filtering approach. (2021). Lelong, J'Erome ; Cousin, Areski ; Picard, Tom ; Norberg, Ragnar. In: Papers. RePEc:arx:papers:2109.10567.

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2023Correlation Estimation in Hybrid Systems. (2021). Law, Baron . In: Papers. RePEc:arx:papers:2111.06042.

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2023A transformer-based model for default prediction in mid-cap corporate markets. (2021). Bravo, Cristi'An ; Mues, Christophe ; Korangi, Kamesh. In: Papers. RePEc:arx:papers:2111.09902.

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2023Metric Hypertransformers are Universal Adapted Maps. (2022). Pammer, Gudmund ; Kratsios, Anastasis ; Acciaio, Beatrice. In: Papers. RePEc:arx:papers:2201.13094.

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2023Invariant cones for jump-diffusions in infinite dimensions. (2022). Tappe, Stefan. In: Papers. RePEc:arx:papers:2206.13913.

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2023Cost-efficient Payoffs under Model Ambiguity. (2022). Vanduffel, Steven ; Lux, Thibaut ; Junike, Gero ; Bernard, Carole. In: Papers. RePEc:arx:papers:2207.02948.

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2023Automated Market Making and Loss-Versus-Rebalancing. (2022). Zhang, Anthony Lee ; Roughgarden, Tim ; Moallemi, Ciamac C ; Milionis, Jason. In: Papers. RePEc:arx:papers:2208.06046.

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2023Optimal exercise of American options under time-dependent Ornstein-Uhlenbeck processes. (2022). Garc, Eduardo ; D'Auria, Bernardo ; Azze, Abel. In: Papers. RePEc:arx:papers:2211.04095.

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2023Optimal Reinsurance-Investment Strategy for a Monotone Mean-Variance Insurer in the Cram\er-Lundberg Model. (2022). Pang, Shunzhi ; Liang, Zongxia. In: Papers. RePEc:arx:papers:2211.12168.

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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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2023A pure jump model for the valuation of options on a credit index. (2023). Shirai, Yoshihiro. In: Papers. RePEc:arx:papers:2301.05332.

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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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2023Local Volatility in Interest Rate Models. (2023). Belyaev, V M. In: Papers. RePEc:arx:papers:2301.13595.

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2023Data-driven Approach for Static Hedging of Exchange Traded Options. (2023). Jain, Shashi ; Dhandapani, Vikranth Lokeshwar. In: Papers. RePEc:arx:papers:2302.00728.

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2023Pricing basket options with the first three moments of the basket: log-normal models and beyond. (2023). Viens, Frederi ; Sayit, Hasanjan ; Hu, Dongdong. In: Papers. RePEc:arx:papers:2302.08041.

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2023The financial health of a company and the risk of its default: Back to the future. (2023). Fabrizi, Eugenio ; Dainelli, Francesco ; Bet, Gianmarco. In: Papers. RePEc:arx:papers:2302.10140.

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2023Pricing Transition Risk with a Jump-Diffusion Credit Risk Model: Evidences from the CDS market. (2023). Smaniotto, Elia ; Radi, Davide ; Livieri, Giulia. In: Papers. RePEc:arx:papers:2303.12483.

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2023Option pricing using a skew random walk pricing tree. (2023). Fabozzi, Frank J ; Rachev, Svetlozar T ; Lindquist, Brent W ; Hu, Yuan. In: Papers. RePEc:arx:papers:2303.17014.

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2023Nash equilibria for relative investors with (non)linear price impact. (2023). Goll, Tamara ; Bauerle, Nicole. In: Papers. RePEc:arx:papers:2303.18161.

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2023Unifying Market Microstructure and Dynamic Asset Pricing. (2023). Rachev, Svetlozar T ; Lindquist, Brent W ; Hu, Yuan ; Lauria, Davide. In: Papers. RePEc:arx:papers:2304.02356.

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2023Particle MCMC in forecasting frailty correlated default models with expert opinion. (2023). Nguyen, HA. In: Papers. RePEc:arx:papers:2304.11586.

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2023A Heat-Jarrow-Morton framework for energy markets: a pragmatic approach. (2023). Santilli, Edoardo ; Gardini, Matteo. In: Papers. RePEc:arx:papers:2305.01485.

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2023Option pricing under jump diffusion model. (2023). Wang, LI ; Li, Qian. In: Papers. RePEc:arx:papers:2305.10678.

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2023Study on Intelligent Forecasting of Credit Bond Default Risk. (2023). Ren, Kai. In: Papers. RePEc:arx:papers:2305.12142.

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2023Discount Models. (2023). Filipovic, Damir. In: Papers. RePEc:arx:papers:2306.16871.

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2023Exploring Dynamic Asset Pricing within Bachelier Market Model. (2023). Yegon, Peter ; Rachev, Svetlozar ; Omotade, Blessing ; Gnawali, Jagdish ; Divelgama, Bhathiya ; Nyarko, Nancy Asare. In: Papers. RePEc:arx:papers:2307.04059.

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2023COVID-19 Demand Shocks Revisited: Did Advertising Technology Help Mitigate Adverse Consequences for Small and Midsize Businesses?. (2023). Schneider, J W ; Gyurak, Anett ; Bart, Yakov ; Yoo, Daniel ; Runge, Julian ; Lee, Shun-Yang. In: Papers. RePEc:arx:papers:2307.09035.

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2023Reinforcement Learning for Credit Index Option Hedging. (2023). Vittori, Edoardo ; Trapletti, Michele ; Pinciroli, Marco ; Mandelli, Francesco. In: Papers. RePEc:arx:papers:2307.09844.

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2023Statistically consistent term structures have affine geometry. (2023). Xu, Shijie ; Kruhner, Paul. In: Papers. RePEc:arx:papers:2308.02246.

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2023Multi-period static hedging of European options. (2023). Jain, Shashi ; Iyer, Srikanth ; Banerjee, Purba. In: Papers. RePEc:arx:papers:2310.01104.

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2023Robust Long-Term Growth Rate of Expected Utility for Leveraged ETFs. (2023). Yeo, Heejun ; Park, Hyungbin ; Leung, Tim. In: Papers. RePEc:arx:papers:2310.02084.

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2023Reconciling Open Interest with Traded Volume in Perpetual Swaps. (2023). Said, Emilio ; Giagkiozis, Ioannis. In: Papers. RePEc:arx:papers:2310.14973.

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2023The QLBS Model within the presence of feedback loops through the impacts of a large trader. (2023). Uugur, Omur ; Ozsoy, Ahmet Umur. In: Papers. RePEc:arx:papers:2311.06790.

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2023Discretization of continuous-time arbitrage strategies in financial markets with fractional Brownian motion. (2023). Wunderlich, Ralf ; Auer, Benjamin R ; Lamert, Kerstin. In: Papers. RePEc:arx:papers:2311.15635.

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2023Market Misconduct in Decentralized Finance (DeFi): Analysis, Regulatory Challenges and Policy Implications. (2023). Huth, Michael ; Knottenbelt, William ; Cui, Tianxiang ; Wang, Zhipeng ; Xiong, Xihan. In: Papers. RePEc:arx:papers:2311.17715.

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2023The Fama-French Five-Factor Asset Pricing Model: A Research on Borsa Istanbul. (2023). Alshiqi, Sevdie ; Demirel, Bilge Leyli ; Dogan, Mesut ; Altinay, Aysenur Tarakcioglu. In: Economic Studies journal. RePEc:bas:econst:y:2023:i:4:p:3-21.

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2023On the General Deviation Measure and the Gini coefficient. (2023). Nisani, Doron. In: International Journal of Economic Theory. RePEc:bla:ijethy:v:19:y:2023:i:3:p:599-610.

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2023Pricing contingent convertibles with idiosyncratic risk. (2023). Yang, Zhaojun ; Zeng, Pingping ; Wang, Xiaolin. In: International Journal of Economic Theory. RePEc:bla:ijethy:v:19:y:2023:i:3:p:660-693.

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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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2023Capital requirements and claims recovery: A new perspective on solvency regulation. (2023). Wilhelmy, Lutz ; Weber, Stefan ; Munari, Cosimo. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:90:y:2023:i:2:p:329-380.

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2023.

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2023The Effects of the LIBOR Scandal on Volatility and Liquidity in LIBOR Futures Markets. (2023). Bachmair, K. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2303.

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2023Can grid-tied solar photovoltaics lead to residential heating electrification? A techno-economic case study in the midwestern U.S.. (2023). Pearce, Joshua M ; Sommerfeldt, Nelson. In: Applied Energy. RePEc:eee:appene:v:336:y:2023:i:c:s0306261923002027.

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

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2023Macroeconomic conditions, corporate default, and default clustering. (2023). Liu, Lanlan ; Luo, Dan ; Xing, Kai. In: Economic Modelling. RePEc:eee:ecmode:v:118:y:2023:i:c:s0264999322003169.

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2023Improved scalability and risk factor proxying with a two-step principal component analysis for multi-curve modelling. (2023). Cummins, Mark ; Atkins, Philip J. In: European Journal of Operational Research. RePEc:eee:ejores:v:304:y:2023:i:3:p:1331-1348.

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2023Contagion effects of UK small business failures: A spatial hierarchical autoregressive model for binary data. (2023). Calabrese, Raffaella. In: European Journal of Operational Research. RePEc:eee:ejores:v:305:y:2023:i:2:p:989-997.

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2023A transformer-based model for default prediction in mid-cap corporate markets. (2023). Bravo, Cristian ; Mues, Christophe ; Korangi, Kamesh. In: European Journal of Operational Research. RePEc:eee:ejores:v:308:y:2023:i:1:p:306-320.

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2023An empirical application of Particle Markov Chain Monte Carlo to frailty correlated default models. (2023). Nguyen, HA. In: Journal of Empirical Finance. RePEc:eee:empfin:v:72:y:2023:i:c:p:103-121.

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2023Green technology choices under the cap-and-trade mechanism with insurer green finance in a dragon-king environment. (2023). Lin, Jyh-Horng ; Huang, Fu-Wei ; Chen, Shi. In: Energy Economics. RePEc:eee:eneeco:v:117:y:2023:i:c:s0140988322006193.

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2023Random sources correlations and carbon futures pricing. (2023). Wang, Jieyu ; Feng, Ling. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000455.

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2023The spillover effect of customers financial risk on suppliers conservative reporting: Evidence from China. (2023). Bai, Haichen ; Yang, GE ; Sun, Zeyu. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923000923.

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2023Internal or external control? How to respond to credit risk contagion in complex enterprises network. (2023). Feng, Hairong ; Chao, Xiangrui ; Qian, Qian. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001205.

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2023Effect of cash flow risk on corporate failures, and the moderating role of earnings management and abnormal compensation. (2023). Kannothra, Chacko George ; Bu, Ziwen ; Gupta, Jairaj ; Li, Xia. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002788.

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2023The mitigation role of corporate sustainability: Evidence from the CDS spread. (2023). la Rosa, Giovanni ; Galloppo, Giuseppe ; Caiazza, Stefano. In: Finance Research Letters. RePEc:eee:finlet:v:52:y:2023:i:c:s1544612322007371.

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2023Implicit leverage: Can accrued fees cause levered ETN returns?. (2023). Devault, Luke ; John, Alexander. In: Finance Research Letters. RePEc:eee:finlet:v:55:y:2023:i:pb:s1544612323003197.

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2023A comparative study of firm value models: Default risk of corporate bonds. (2023). Ik, Sung. In: Finance Research Letters. RePEc:eee:finlet:v:56:y:2023:i:c:s1544612323004099.

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2023Stock illiquidity and option returns. (2023). Uhrig-Homburg, Marliese ; Korn, Olaf ; Kanne, Stefan. In: Journal of Financial Markets. RePEc:eee:finmar:v:63:y:2023:i:c:s1386418122000556.

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2023Bank safety-oriented culture and lending decisions. (2023). Lu, Chien-Lin ; Lin, Chih-Yung ; Kamar, Amina ; Tang, Ning. In: Journal of Financial Stability. RePEc:eee:finsta:v:66:y:2023:i:c:s1572308923000220.

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2023Distressed firms, zombie firms and zombie lending: A taxonomy. (2023). Mayordomo, Sergio ; Garcia-Posada, Miguel ; Alvarez, Laura. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:149:y:2023:i:c:s0378426623000067.

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2023Dark premonitions: Pre-bankruptcy investor attention and behavior. (2023). Mollenhoff, Steffen ; Lohmann, Christian. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:151:y:2023:i:c:s037842662300078x.

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2023The incremental information in the yield curve about future interest rate risk. (2023). Christensen, Bent Jesper ; Veliyev, Bezirgen ; Kjar, Mads Markvart. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:155:y:2023:i:c:s0378426623001711.

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2023Dynamic banking with non-maturing deposits. (2023). Xiang, Haotian ; Jermann, Urban. In: Journal of Economic Theory. RePEc:eee:jetheo:v:209:y:2023:i:c:s0022053123000406.

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2023Monetary policy effects in times of negative interest rates: What do bank stock prices tell us?. (2023). Houben, Aerdt ; Giuliodori, Massimo ; Bats, Joost V. In: Journal of Financial Intermediation. RePEc:eee:jfinin:v:53:y:2023:i:c:s1042957322000560.

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

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

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2023CEO inside debt and downside risk: Evidence from internal and external environments. (2023). Wu, Yu-Ching ; Wang, Chih-Wei ; Lee, Chien-Chiang. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:80:y:2023:i:c:s0927538x23001397.

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2023Cointegration analysis of hazard rates and CDSs: Applications to pairs trading strategy. (2023). Nakamura, Nobuhiro ; Kato, Kensuke. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:612:y:2023:i:c:s0378437123000444.

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2023An analytical GARCH valuation model for spread options with default risk. (2023). Yin, Xunbai ; Xu, Guangli ; Tang, Dan ; Song, Shiyu. In: International Review of Economics & Finance. RePEc:eee:reveco:v:83:y:2023:i:c:p:1-20.

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2023Financial distress and jump tail risk: Evidence from Chinas listed companies. (2023). Chao, Youcong ; Tian, Mengqiao ; Zhang, Yuchen ; Liu, Xiaoqun. In: International Review of Economics & Finance. RePEc:eee:reveco:v:85:y:2023:i:c:p:316-336.

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2023What do we know about meme stocks? A bibliometric and systematic review, current streams, developments, and directions for future research. (2023). Nobanee, Haitham ; Daoud, Nejla Ould. In: International Review of Economics & Finance. RePEc:eee:reveco:v:85:y:2023:i:c:p:589-602.

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2023Did David win a battle or the war against Goliath? Dynamic return and volatility connectedness between the GameStop stock and the high short interest indices. (2023). Zaremba, Adam ; Umar, Zaghum ; Kizys, Renatas ; Aharon, David Y. In: Research in International Business and Finance. RePEc:eee:riibaf:v:64:y:2023:i:c:s0275531922001891.

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2023A Cox model for gradually disappearing events. (2022). Dassios, Angelos ; Zhao, Hongbiao ; Qu, Yan ; Jang, Jiwook. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:112754.

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2023Bankruptcy in groups. (2023). McNichols, Maureen F ; Correia, Maria ; Cascino, Stefano ; Beaver, William H. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:118590.

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2023The Moderating Role of Liquidity in the Relationship between the Expenditures and Financial Performance of SMEs: Evidence from Jordan. (2023). Alawaqleh, Sonia Q ; Alduais, Fahd ; Almasria, Nashat A ; Airout, Rana M. In: Economies. RePEc:gam:jecomi:v:11:y:2023:i:4:p:121-:d:1125426.

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2023A Machine-Learning-Based Approach for Natural Gas Futures Curve Modeling. (2023). Resta, Marina ; Castello, Oleksandr. In: Energies. RePEc:gam:jeners:v:16:y:2023:i:12:p:4746-:d:1172227.

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2023.

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2023Particle MCMC in Forecasting Frailty-Correlated Default Models with Expert Opinion. (2023). Nguyen, HA. In: JRFM. RePEc:gam:jjrfmx:v:16:y:2023:i:7:p:334-:d:1193913.

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2023Exploring Dynamic Asset Pricing within Bachelier’s Market Model. (2023). Yegon, Peter ; Rachev, Svetlozar T ; Omotade, Blessing ; Gnawali, Jagdish ; Divelgama, Bhathiya ; Nyarko, Nancy Asare. In: JRFM. RePEc:gam:jjrfmx:v:16:y:2023:i:8:p:352-:d:1203273.

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2023Land Finance, Real Estate Market, and Local Government Debt Risk: Evidence from China. (2023). Wang, Xiaowei ; Ruan, Debao ; Chen, Ting. In: Land. RePEc:gam:jlands:v:12:y:2023:i:8:p:1597-:d:1216624.

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2023Assessing the Impact of Credit Risk on Equity Options via Information Contents and Compound Options. (2023). Mancino, Maria Elvira ; Maglione, Federico. In: Risks. RePEc:gam:jrisks:v:11:y:2023:i:10:p:183-:d:1264236.

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2023Analysing Quantiles in Models of Forward Term Rates. (2023). van Appel, Jacques ; Schlogl, Erik ; McWalter, Thomas A. In: Risks. RePEc:gam:jrisks:v:11:y:2023:i:2:p:29-:d:1049181.

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2023.

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2023Green Bond Pricing and Optimization Based on Carbon Emission Trading and Subsidies: From the Perspective of Externalities. (2023). Zhang, Luping ; Tian, Yixiang ; Hu, Yuanfeng. In: Sustainability. RePEc:gam:jsusta:v:15:y:2023:i:10:p:8422-:d:1152948.

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2023The Impact of Sustainable Supply-Chain Partnership on Bank Loans: Evidence from Chinese-Listed Firms. (2023). Gao, DI ; Ma, Jiangming. In: Sustainability. RePEc:gam:jsusta:v:15:y:2023:i:6:p:4843-:d:1091900.

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2023Rating transitions forecasting: a filtering approach. (2023). Picard, Tom ; Lelong, Jerome ; Cousin, Areski. In: Post-Print. RePEc:hal:journl:hal-03347521.

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2023The effect of funding liquidity regulation and ESG promotion on market liquidity. (2023). Csoka, Peter ; Hever, Judit. In: CERS-IE WORKING PAPERS. RePEc:has:discpr:2307.

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

Robert Jarrow has edited the books:

YearTitleTypeCited

Works by Robert Jarrow:

YearTitleTypeCited
1999In Honor of the Nobel Laureates Robert C. Merton and Myron S. Scholes: A Partial Differential Equation That Changed the World In: Journal of Economic Perspectives.
[Full Text][Citation analysis]		article2
2021The Economics of Insurance: A Derivatives-Based Approach In: Annual Review of Financial Economics.
[Full Text][Citation analysis]		article0
2009Credit Risk Models In: Annual Review of Financial Economics.
[Full Text][Citation analysis]		article51
2009The Term Structure of Interest Rates In: Annual Review of Financial Economics.
[Full Text][Citation analysis]		article73
2011The Economics of Credit Default Swaps In: Annual Review of Financial Economics.
[Full Text][Citation analysis]		article20
2014Forward Rate Curve Smoothing In: Annual Review of Financial Economics.
[Full Text][Citation analysis]		article3
2015Asset Price Bubbles In: Annual Review of Financial Economics.
[Full Text][Citation analysis]		article28
2009Housing Market Microstructure In: Papers.
[Full Text][Citation analysis]		paper0
2011The economic default time and the Arcsine law In: Papers.
[Full Text][Citation analysis]		paper4
2014The economic default time and the arcsine law.(2014) In: Journal of Financial Engineering (JFE).
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4		article
2011Is there a bubble in LinkedIns stock price? In: Papers.
[Full Text][Citation analysis]		paper10
2014Informational Efficiency under Short Sale Constraints In: Papers.
[Full Text][Citation analysis]		paper0
2021High-Dimensional Estimation, Basis Assets, and the Adaptive Multi-Factor Model In: Papers.
[Full Text][Citation analysis]		paper4
2020High-Dimensional Estimation, Basis Assets, and the Adaptive Multi-Factor Model.(2020) In: Quarterly Journal of Finance (QJF).
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This paper has nother version. Agregated cites: 4		article
2021The Low-volatility Anomaly and the Adaptive Multi-Factor Model In: Papers.
[Full Text][Citation analysis]		paper2
2021Time-Invariance Coefficients Tests with the Adaptive Multi-Factor Model In: Papers.
[Full Text][Citation analysis]		paper4
2021Time-Invariance Coefficients Tests with the Adaptive Multi-Factor Model.(2021) In: Quarterly Journal of Finance (QJF).
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This paper has nother version. Agregated cites: 4		article
2022Computing the Probability of a Financial Market Failure: A New Measure of Systemic Risk In: Papers.
[Full Text][Citation analysis]		paper1
2023Enlargement of Filtrations: An Exposition of Core Ideas with Financial Examples In: Papers.
[Full Text][Citation analysis]		paper0
2023Filtration Reduction and Completeness in Jump-Diffusion Models In: Papers.
[Full Text][Citation analysis]		paper0
2004Modeling Credit Risk with Partial Information In: Papers.
[Full Text][Citation analysis]		paper37
2004Modeling credit risk with partial information.(2004) In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 37		paper
2008MODELING CREDIT RISK WITH PARTIAL INFORMATION.(2008) In: World Scientific Book Chapters.
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This paper has nother version. Agregated cites: 37		chapter
In: .
[Full Text][Citation analysis]		article0
In: .
[Full Text][Citation analysis]		article0
2004Estimating the Interest Rate Term Structure of Corporate Debt With a Semiparametric Penalized Spline Model In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article18
2010On Model Testing in Financial Economics In: The Financial Review.
[Full Text][Citation analysis]		article0
2011A Reduced?Form Model for Warrant Valuation In: The Financial Review.
[Citation analysis]		article4
2019Fair Microfinance Loan Rates In: International Review of Finance.
[Full Text][Citation analysis]		article3
2020Credit Risk, Liquidity, and Bubbles In: International Review of Finance.
[Full Text][Citation analysis]		article3
2023An explosion time characterization of asset price bubbles In: International Review of Finance.
[Full Text][Citation analysis]		article0
1989 Option Pricing and Implicit Volatilities. In: Journal of Economic Surveys.
[Citation analysis]		article4
1978The Relationship between Yield, Risk and Return of Corporate Bonds. In: Journal of Finance.
[Full Text][Citation analysis]		article12
1980 Heterogeneous Expectations, Restrictions on Short Sales, and Equilibrium Asset Prices. In: Journal of Finance.
[Full Text][Citation analysis]		article95
1983 Consensus Beliefs Equilibrium and Market Efficiency. In: Journal of Finance.
[Full Text][Citation analysis]		article0
1986 The Relationship between Arbitrage and First Order Stochastic Dominance. In: Journal of Finance.
[Full Text][Citation analysis]		article55
1987 Arbitrage, Continuous Trading, and Margin Requirements. In: Journal of Finance.
[Full Text][Citation analysis]		article7
2008Arbitrage, Continuous Trading, and Margin Requirements.(2008) In: World Scientific Book Chapters.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 7		chapter
1995 Pricing Derivatives on Financial Securities Subject to Credit Risk. In: Journal of Finance.
[Full Text][Citation analysis]		article620
2008Pricing Derivatives on Financial Securities Subject to Credit Risk.(2008) In: World Scientific Book Chapters.
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This paper has nother version. Agregated cites: 620		chapter
2001Counterparty Risk and the Pricing of Defaultable Securities In: Journal of Finance.
[Full Text][Citation analysis]		article249
2008Counterparty Risk and the Pricing of Defaultable Securities.(2008) In: World Scientific Book Chapters.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 249		chapter
2007Interest Rate Caps “Smile” Too! But Can the LIBOR Market Models Capture the Smile? In: Journal of Finance.
[Full Text][Citation analysis]		article37
2005ESTIMATING THE VALUE OF DELIVERY OPTIONS IN FUTURES CONTRACTS In: Journal of Financial Research.
[Full Text][Citation analysis]		article6
2001The Liquidity Discount In: Mathematical Finance.
[Full Text][Citation analysis]		article41
2002Put Option Premiums and Coherent Risk Measures In: Mathematical Finance.
[Full Text][Citation analysis]		article17
2005DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS In: Mathematical Finance.
[Full Text][Citation analysis]		article91
2008DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS.(2008) In: World Scientific Book Chapters.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 91		chapter
2009MODELING THE RECOVERY RATE IN A REDUCED FORM MODEL In: Mathematical Finance.
[Full Text][Citation analysis]		article12
1991A Characterization of Complete Security Markets On A Brownian Filtration1 In: Mathematical Finance.
[Full Text][Citation analysis]		article11
2015THE EFFECT OF TRADING FUTURES ON SHORT SALE CONSTRAINTS In: Mathematical Finance.
[Full Text][Citation analysis]		article3
2015The effect of trading futures on short sale constraints.(2015) In: Post-Print.
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2018Optimal cash holdings under heterogeneous beliefs In: Mathematical Finance.
[Full Text][Citation analysis]		article2
2019A rational asset pricing model for premiums and discounts on closed?end funds: The bubble theory In: Mathematical Finance.
[Full Text][Citation analysis]		article6
1992ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS In: Mathematical Finance.
[Full Text][Citation analysis]		article147
2008ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS.(2008) In: World Scientific Book Chapters.
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This paper has nother version. Agregated cites: 147		chapter
1992Pricing Options On Risky Assets In A Stochastic Interest Rate Economy1 In: Mathematical Finance.
[Full Text][Citation analysis]		article69
2021Risk?neutral pricing techniques and examples In: Mathematical Finance.
[Full Text][Citation analysis]		article0
1995OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS1 In: Mathematical Finance.
[Full Text][Citation analysis]		article28
1999The Second Fundamental Theorem of Asset Pricing In: Mathematical Finance.
[Full Text][Citation analysis]		article20
2008Commercial Mortgage?Backed Securities (CMBS) and Market Efficiency with Respect to Costly Information In: Real Estate Economics.
[Full Text][Citation analysis]		article10
2014Government Policies, Residential Mortgage Defaults and the Boom and Bust Cycle of Housing Prices In: Real Estate Economics.
[Full Text][Citation analysis]		article1
1996Model Error in Contingent Claim Models Dynamic Evaluation In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper1
1996Model Error in Contingent Claim Models (Dynamic Evaluation).(1996) In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
This paper has nother version. Agregated cites: 1		paper
1996Model Error in Contingent Claim Models (Dynamic Evaluation)..(1996) In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
This paper has nother version. Agregated cites: 1		paper
2006Restructuring Risk in Credit Default Swaps: An Empirical Analysis In: GSIA Working Papers.
[Full Text][Citation analysis]		paper13
2007Restructuring risk in credit default swaps: An empirical analysis.(2007) In: Stochastic Processes and their Applications.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 13		article
1990Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article88
1991The Relevance of Fiduciary Conflict-of-Interests in Control versus Issue Proxy Contests In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article8
1992Market Manipulation, Bubbles, Corners, and Short Squeezes In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article146
2008Market Manipulation, Bubbles, Corners, and Short Squeezes.(2008) In: World Scientific Book Chapters.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 146		chapter
1994Derivative Security Markets, Market Manipulation, and Option Pricing Theory In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article64
2008Derivative Security Markets, Market Manipulation, and Option Pricing Theory.(2008) In: World Scientific Book Chapters.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 64		chapter
1998Market Manipulation, Price Bubbles, and a Model of the U.S. Treasury Securities Auction Market In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article28
2003Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article61
2008Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model.(2008) In: World Scientific Book Chapters.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 61		chapter
1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation. In: Econometrica.
[Full Text][Citation analysis]		article1005
2008BOND PRICING AND THE TERM STRUCTURE OF INTEREST RATES: A NEW METHODOLOGY FOR CONTINGENT CLAIMS VALUATION.(2008) In: World Scientific Book Chapters.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1005		chapter
2004Interest Rate Caps Smile Too! But Can the LIBOR Market Models Capture It? In: Econometric Society 2004 North American Winter Meetings.
[Full Text][Citation analysis]		paper11
1986A characterization theorem for unique risk neutral probability measures In: Economics Letters.
[Full Text][Citation analysis]		article7
1987Beliefs and arbitrage pricing In: Economics Letters.
[Full Text][Citation analysis]		article0
2015Specification tests of calibrated option pricing models In: Journal of Econometrics.
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2014Specification Tests of Calibrated Option Pricing Models.(2014) In: Working Papers.
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2000Bayesian analysis of contingent claim model error In: Journal of Econometrics.
[Full Text][Citation analysis]		article34
2023Futures contract collateralization and its implications In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article0
2013The zero-lower bound on interest rates: Myth or reality? In: Finance Research Letters.
[Full Text][Citation analysis]		article2
2014Computing present values: Capital budgeting done correctly In: Finance Research Letters.
[Full Text][Citation analysis]		article0
2004Risky coupon bonds as a portfolio of zero-coupon bonds In: Finance Research Letters.
[Full Text][Citation analysis]		article8
2005A generalized coherent risk measure: The firms perspective In: Finance Research Letters.
[Full Text][Citation analysis]		article3
2022High frequency trading and standard asset pricing models In: Finance Research Letters.
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2008Modeling loan commitments In: Finance Research Letters.
[Full Text][Citation analysis]		article8
2010Hedging in a HJM model In: Finance Research Letters.
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2010A simple robust model for Cat bond valuation In: Finance Research Letters.
[Full Text][Citation analysis]		article29
2010Understanding the risk of leveraged ETFs In: Finance Research Letters.
[Full Text][Citation analysis]		article18
2011Credit market equilibrium theory and evidence: Revisiting the structural versus reduced form credit risk model debate In: Finance Research Letters.
[Full Text][Citation analysis]		article13
2011Housing prices and the optimal time-on-the-market decision In: Finance Research Letters.
[Full Text][Citation analysis]		article0
2012Discrete versus continuous time models: Local martingales and singular processes in asset pricing theory In: Finance Research Letters.
[Full Text][Citation analysis]		article2
2012An improved test for statistical arbitrage In: Journal of Financial Markets.
[Full Text][Citation analysis]		article8
2018CMBS market efficiency: The crisis and the recovery In: Journal of Financial Stability.
[Full Text][Citation analysis]		article1
2022Risk premia, asset price bubbles, and monetary policy In: Journal of Financial Stability.
[Full Text][Citation analysis]		article0
1998The arbitrage-free valuation and hedging of demand deposits and credit card loans In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article48
2000The intersection of market and credit risk In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article113
2005Large traders, hidden arbitrage, and complete markets In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article6
2008Operational risk In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article15
2017Operational Risk.(2017) In: World Scientific Book Chapters.
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This paper has nother version. Agregated cites: 15		chapter
2013A leverage ratio rule for capital adequacy In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article33
1983A comparison of the APT and CAPM a note In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article3
1984The error learning hypothesis: The evidence reexamined In: Journal of Economics and Business.
[Full Text][Citation analysis]		article0
1987Spanning and completeness in markets with contingent claims In: Journal of Economic Theory.
[Full Text][Citation analysis]		article51
1982Approximate option valuation for arbitrary stochastic processes In: Journal of Financial Economics.
[Full Text][Citation analysis]		article238
2008APPROXIMATE OPTION VALUATION FOR ARBITRARY STOCHASTIC PROCESSES.(2008) In: World Scientific Book Chapters.
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This paper has nother version. Agregated cites: 238		chapter
1977An autoregressive jump process for common stock returns In: Journal of Financial Economics.
[Full Text][Citation analysis]		article7
2004Testing market efficiency using statistical arbitrage with applications to momentum and value strategies In: Journal of Financial Economics.
[Full Text][Citation analysis]		article57
2010Reduced-form valuation of callable corporate bonds: Theory and evidence In: Journal of Financial Economics.
[Full Text][Citation analysis]		article10
1981Forward contracts and futures contracts In: Journal of Financial Economics.
[Full Text][Citation analysis]		article37
2008FORWARD CONTRACTS AND FUTURES CONTRACTS.(2008) In: World Scientific Book Chapters.
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This paper has nother version. Agregated cites: 37		chapter
1991Pricing foreign currency options under stochastic interest rates In: Journal of International Money and Finance.
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2008Pricing foreign currency options under stochastic interest rates.(2008) In: World Scientific Book Chapters.
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2018On aggregation and representative agent equilibria In: Journal of Mathematical Economics.
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2014Financial crises and economic growth In: The Quarterly Review of Economics and Finance.
[Full Text][Citation analysis]		article7
2015Bank runs and self-insured bank deposits In: The Quarterly Review of Economics and Finance.
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2021Endogenous liquidity risk and dealer market structure In: The Quarterly Review of Economics and Finance.
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2015Designing catastrophic bonds for catastrophic risks in agriculture In: Agricultural Finance Review.
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2015Designing catastrophic bonds for catastrophic risks in agriculture In: Agricultural Finance Review.
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2018Portfolio balance effects and the Federal Reserve’s large-scale asset purchases In: Studies in Economics and Finance.
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1991Option pricing with random volatilities in complete markets In: FRB Atlanta Working Paper.
[Citation analysis]		paper5
1993Market Manipulation and Corporate Finance: A New Perspective In: Financial Management.
[Citation analysis]		article3
1997Review of John E. Gilster, Jr. Option Pricing Theory: Is Risk Free Hedging Feasible? In: Financial Management.
[Citation analysis]		article0
2006Downside Loss Aversion and Portfolio Management In: Management Science.
[Full Text][Citation analysis]		article44
2019Volatility Uncertainty, Time Decay, and Option Bid-Ask Spreads in an Incomplete Market In: Management Science.
[Full Text][Citation analysis]		article1
2009Credit Risk Models with Incomplete Information In: Mathematics of Operations Research.
[Full Text][Citation analysis]		article19
2016Relative asset price bubbles In: Annals of Finance.
[Full Text][Citation analysis]		article0
2018Asset market equilibrium with liquidity risk In: Annals of Finance.
[Full Text][Citation analysis]		article0
2023The no-arbitrage pricing of non-traded assets In: Annals of Finance.
[Full Text][Citation analysis]		article0
2003Market Pricing of Deposit Insurance In: Journal of Financial Services Research.
[Full Text][Citation analysis]		article30
2008Market Pricing of Deposit Insurance.(2008) In: World Scientific Book Chapters.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 30		chapter
2007A Critique of Revised Basel II In: Journal of Financial Services Research.
[Full Text][Citation analysis]		article7
2007The valuation of a firm’s investment opportunities: a reduced form credit risk perspective In: Review of Derivatives Research.
[Full Text][Citation analysis]		article5
2007Tax liens: a novel application of asset pricing theory In: Review of Derivatives Research.
[Full Text][Citation analysis]		article0
2008Distressed debt prices and recovery rate estimation In: Review of Derivatives Research.
[Full Text][Citation analysis]		article7
2010Convenience yields In: Review of Derivatives Research.
[Full Text][Citation analysis]		article4
2010The cost of operational risk loss insurance In: Review of Derivatives Research.
[Full Text][Citation analysis]		article7
2011Foreign currency bubbles In: Review of Derivatives Research.
[Full Text][Citation analysis]		article8
2013Capital adequacy rules, catastrophic firm failure, and systemic risk In: Review of Derivatives Research.
[Full Text][Citation analysis]		article5
2014The impact of quantitative easing on the US term structure of interest rates In: Review of Derivatives Research.
[Full Text][Citation analysis]		article10
2018An empirical investigation of large trader market manipulation in derivatives markets In: Review of Derivatives Research.
[Full Text][Citation analysis]		article2
2023Interest rate swaps: a comparison of compounded daily versus discrete reference rates In: Review of Derivatives Research.
[Full Text][Citation analysis]		article0
2004A Model of the Convenience Yields in On-the-Run Treasuries In: Review of Derivatives Research.
[Full Text][Citation analysis]		article12
1998A Unified Approach for Pricing Contingent Claims on Multiple Term Structures. In: Review of Quantitative Finance and Accounting.
[Full Text][Citation analysis]		article2
1997Is Mean-Variance Analysis Vacuous: Or was Beta Still Born? In: Review of Finance.
[Full Text][Citation analysis]		article14
2019Exploring Mispricing in the Term Structure of CDS Spreads In: Review of Finance.
[Full Text][Citation analysis]		article9
2004Bankruptcy Prediction with Industry Effects In: Review of Finance.
[Full Text][Citation analysis]		article325
2008Bankruptcy Prediction with Industry Effects.(2008) In: World Scientific Book Chapters.
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This paper has nother version. Agregated cites: 325		chapter
1997A Markov Model for the Term Structure of Credit Risk Spreads. In: Review of Financial Studies.
[Citation analysis]		article467
2008A Markov Model for the Term Structure of Credit Risk Spreads.(2008) In: World Scientific Book Chapters.
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This paper has nother version. Agregated cites: 467		chapter
1999The Second Fundamental Theorem of Asset Pricing: A New Approach. In: Review of Financial Studies.
[Citation analysis]		article22
2006Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence In: Review of Financial Studies.
[Full Text][Citation analysis]		article65
2008Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence.(2008) In: World Scientific Book Chapters.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 65		chapter
1988Preferences, Continuity, and the Arbitrage Pricing Theory In: Review of Financial Studies.
[Full Text][Citation analysis]		article5
1990The Stop-Loss Start-Gain Paradox and Option Valuation: A New Decomposition into Intrinsic and Time Value. In: Review of Financial Studies.
[Full Text][Citation analysis]		article23
2008The Stop-Loss Start-Gain Paradox and Option Valuation: A new Decomposition into Intrinsic and Time Value.(2008) In: World Scientific Book Chapters.
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2007Information reduction via level crossings in a credit risk model In: Finance and Stochastics.
[Full Text][Citation analysis]		article8
2013Discretely sampled variance and volatility swaps versus their continuous approximations In: Finance and Stochastics.
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2021Concavity, stochastic utility, and risk aversion In: Finance and Stochastics.
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1998Hedging contingent claims on semimartingales In: Finance and Stochastics.
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2004Liquidity risk and arbitrage pricing theory In: Finance and Stochastics.
[Full Text][Citation analysis]		article139
2008Liquidity risk and arbitrage pricing theory.(2008) In: World Scientific Book Chapters.
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2021Inferring Financial Bubbles from Option Data In: Working Papers.
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2021Inferring financial bubbles from option data.(2021) In: Journal of Applied Econometrics.
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1994Delta, gamma and bucket hedging of interest rate derivatives In: Applied Mathematical Finance.
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2012Hedging derivatives with model error In: Quantitative Finance.
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2012A liquidity-based model for asset price bubbles In: Quantitative Finance.
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2022Funding shortages, expectations, and forward rate risk premium In: Quantitative Finance.
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2023Media trading groups and short selling manipulation In: Quantitative Finance.
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1984Jump Risks and the Intertemporal Capital Asset Pricing Model. In: The Journal of Business.
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1988Ex-dividend Stock Price Behavior and Arbitrage Opportunities. In: The Journal of Business.
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2008Ex-Dividend Stock Price Behavior and Arbitrage Opportunities.(2008) In: World Scientific Book Chapters.
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1996An Integrated Approach to Hedging and Pricing Eurodollar Derivatives In: Center for Financial Institutions Working Papers.
[Citation analysis]		paper2
2012THE THIRD FUNDAMENTAL THEOREM OF ASSET PRICING In: Annals of Financial Economics (AFE).
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2009FORWARD AND FUTURES PRICES WITH BUBBLES In: International Journal of Theoretical and Applied Finance (IJTAF).
[Full Text][Citation analysis]		article6
2012RELATING TOP-DOWN WITH BOTTOM-UP APPROACHES IN THE EVALUATION OF ABS WITH LARGE COLLATERAL POOLS In: International Journal of Theoretical and Applied Finance (IJTAF).
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2012A DYSFUNCTIONAL ROLE OF HIGH FREQUENCY TRADING IN ELECTRONIC MARKETS In: International Journal of Theoretical and Applied Finance (IJTAF).
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2016BUBBLES AND MULTIPLE-FACTOR ASSET PRICING MODELS In: International Journal of Theoretical and Applied Finance (IJTAF).
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2017A CAPM WITH TRADING CONSTRAINTS AND PRICE BUBBLES In: International Journal of Theoretical and Applied Finance (IJTAF).
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2022APPLYING THE LOCAL MARTINGALE THEORY OF BUBBLES TO CRYPTOCURRENCIES In: International Journal of Theoretical and Applied Finance (IJTAF).
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2013Abnormal Profit Opportunities and the Informational Advantage of High Frequency Trading In: Quarterly Journal of Finance (QJF).
[Full Text][Citation analysis]		article0
2015The Impact of a Central Banks Bond Market Intervention on Foreign Exchange Rates In: Quarterly Journal of Finance (QJF).
[Full Text][Citation analysis]		article0
2018An Equilibrium Capital Asset Pricing Model in Markets with Price Jumps and Price Bubbles In: Quarterly Journal of Finance (QJF).
[Full Text][Citation analysis]		article1
2020The Effects of Yield Control Monetary Policy: A Helicopter Money Drop to Financial Institutions In: Quarterly Journal of Finance (QJF).
[Full Text][Citation analysis]		article1
2022Index Design: Hedging and Manipulation In: Quarterly Journal of Finance (QJF).
[Full Text][Citation analysis]		article0
2017The Economic Foundations of Risk Management:Theory, Practice, and Applications In: World Scientific Books.
[Full Text][Citation analysis]		book1
2008Financial Derivatives Pricing:Selected Works of Robert Jarrow In: World Scientific Books.
[Full Text][Citation analysis]		book0
2023Asset Price Bubbles, Wealth Preserving, Dominating and Replicating Trading Strategies In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter0
2008LIQUIDITY PREMIUMS AND THE EXPECTATIONS HYPOTHESIS In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter1
2008THE PRICING OF COMMODITY OPTIONS WITH STOCHASTIC INTEREST RATES In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter0
2008PRICING OPTIONS ON RISKY ASSETS IN A STOCHASTIC INTEREST RATE ECONOMY In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter0
2017Introduction In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter0
2017Primary Assets In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter0
2017Derivatives In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter37
2017Market Risk (Equities, FX, Commodities) In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter0
2017Market Risk (Interest Rates) In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter0
2017Credit Risk In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter17
2017Liquidity Risk In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter15
2017Trading Constraints In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter0
2017Individuals In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter0
2017Firms In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter0
2017Banks In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter0
2017Diversification In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter0
2017Static Hedging In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter0
2017Dynamic Hedging In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter0
2017Penn Square Bank (1982) In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter0
2017Metallgesellschaft (1993) In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter0
2017Orange County (1994) In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter0
2017Barings Bank (1995) In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter0
2017Long Term Capital Management (1998) In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter0
2017The Credit Crisis (2007) In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter0
2017Washington Mutual (2008) In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter0

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