27
H index
42
i10 index
5847
Citations
University of California-Los Angeles (UCLA) | 27 H index 42 i10 index 5847 Citations RESEARCH PRODUCTION: 37 Articles 33 Papers RESEARCH ACTIVITY: 34 years (1989 - 2023). See details. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/plo283 |
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 Banking & Finance | 2 |
Journal of Financial and Quantitative Analysis | 2 |
Working Papers Series with more than one paper published | # docs |
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NBER Working Papers / National Bureau of Economic Research, Inc | 31 |
Year | Title of citing document | |
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2023 | Exchange rate risk and sovereign debt risk in South Africa: A Regime Dependent Approach. (2023). Biyase, Mduduzi ; Manguzvane, Mathias. In: Economics Working Papers. RePEc:ady:wpaper:edwrg-04-2023. Full description at Econpapers || Download paper | |
2023 | Risk management with Local Least Squares Monte-Carlo. (2023). Akbaraly, Adnane ; Hainaut, Donatien. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2023003. Full description at Econpapers || Download paper | |
2023 | Analysis of Dynamic Connectedness among Sovereign CDS Premia. (2023). Ceylan, Ozcan. In: World Journal of Applied Economics. RePEc:ana:journl:v:9:y:2023:i:1:p:33-47. Full description at Econpapers || Download paper | |
2023 | 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 | |
2023 | 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 | |
2023 | 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 | |
2023 | 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 | |
2023 | 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 | |
2023 | Neural Optimal Stopping Boundary. (2022). Tissot-Daguette, Valentin ; Soner, Mete H ; Reppen, Max A. In: Papers. RePEc:arx:papers:2205.04595. Full description at Econpapers || Download paper | |
2023 | Randomized Optimal Stopping Problem in Continuous time and Reinforcement Learning Algorithm. (2022). Dong, Yuchao. In: Papers. RePEc:arx:papers:2208.02409. Full description at Econpapers || Download paper | |
2023 | Valuation of general GMWB annuities in a low interest rate environment. (2022). Rotondi, Francesco ; Fontana, Claudio. In: Papers. RePEc:arx:papers:2208.10183. Full description at Econpapers || Download paper | |
2023 | Deep Signature Algorithm for Path-Dependent American option pricing. (2022). Bayraktar, Erhan ; Zhang, Zhaoyu ; Feng, QI. In: Papers. RePEc:arx:papers:2211.11691. Full description at Econpapers || Download paper | |
2023 | A Comprehensive Survey on Enterprise Financial Risk Analysis: Problems, Methods, Spotlights and Applications. (2022). Du, Huaming ; Zhao, YU. In: Papers. RePEc:arx:papers:2211.14997. Full description at Econpapers || Download paper | |
2023 | Double 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. Full description at Econpapers || Download paper | |
2023 | Simultaneous upper and lower bounds of American option prices with hedging via neural networks. (2023). Wu, Jia Hao ; Langren, Nicolas ; Guo, Ivan. In: Papers. RePEc:arx:papers:2302.12439. Full description at Econpapers || Download paper | |
2023 | Fast Option Pricing using Nonlinear Stencils. (2023). Zhu, Yimin ; Huang, Yushen ; Das, Rathish ; Chowdhury, Rezaul ; Ahmad, Zafar. In: Papers. RePEc:arx:papers:2303.02317. Full description at Econpapers || Download paper | |
2023 | Application of Tensor Neural Networks to Pricing Bermudan Swaptions. (2023). Casanova, Francisco Gomez ; Ratnani, Abdelkader ; de Lope, Fernando ; Cadarso, Andrea ; Palmer, Samuel ; Orus, Roman ; Dib, Mohammad ; Mugel, Samuel ; Dominguez, Tomas ; Patel, Raj G ; Luis-Hita, Jorge ; Andr, Eva ; Hern, Senaida. In: Papers. RePEc:arx:papers:2304.09750. Full description at Econpapers || Download paper | |
2023 | Random neural networks for rough volatility. (2023). Zuric, Zan ; Jacquier, Antoine. In: Papers. RePEc:arx:papers:2305.01035. Full description at Econpapers || Download paper | |
2023 | Finite Difference Solution Ansatz approach in Least-Squares Monte Carlo. (2023). Huo, Jiawei. In: Papers. RePEc:arx:papers:2305.09166. Full description at Econpapers || Download paper | |
2023 | Efficient Learning of Nested Deep Hedging using Multiple Options. (2023). Shimada, Takuya ; Minami, Kentaro ; Imajo, Kentaro ; Hirano, Masanori. In: Papers. RePEc:arx:papers:2305.12264. Full description at Econpapers || Download paper | |
2023 | Swing Contract Pricing: A Parametric Approach with Adjoint Automatic Differentiation and Neural Networks. (2023). Yeo, Christian ; Pages, Gilles ; Lemaire, Vincent. In: Papers. RePEc:arx:papers:2306.03822. Full description at Econpapers || Download paper | |
2023 | An analysis of least squares regression and neural networks approximation for the pricing of swing options. (2023). Yeo, Christian. In: Papers. RePEc:arx:papers:2307.04510. Full description at Econpapers || Download paper | |
2023 | A Common Shock Model for multidimensional electricity intraday price modelling with application to battery valuation. (2023). Warin, Xavier ; Deschatre, Thomas. In: Papers. RePEc:arx:papers:2307.16619. Full description at Econpapers || Download paper | |
2023 | Regret-Optimal Federated Transfer Learning for Kernel Regression with Applications in American Option Pricing. (2023). Lucchi, Aurelien ; Grasselli, Matheus ; Krach, Florian ; Kratsios, Anastasis ; Yang, Xuwei. In: Papers. RePEc:arx:papers:2309.04557. Full description at Econpapers || Download paper | |
2023 | Portfolio Choice In Dynamic Thin Markets: Merton Meets Cournot. (2023). Jacka, Saul D ; Gupta, Puru. In: Papers. RePEc:arx:papers:2309.16047. Full description at Econpapers || Download paper | |
2023 | Applying Reinforcement Learning to Option Pricing and Hedging. (2023). Stoiljkovic, Zoran. In: Papers. RePEc:arx:papers:2310.04336. Full description at Econpapers || Download paper | |
2023 | American Option Pricing using Self-Attention GRU and Shapley Value Interpretation. (2023). Shen, Yanhui. In: Papers. RePEc:arx:papers:2310.12500. Full description at Econpapers || Download paper | |
2023 | On an Optimal Stopping Problem with a Discontinuous Reward. (2023). Vachon, Marie-Claude ; MacKay, Anne. In: Papers. RePEc:arx:papers:2311.03538. Full description at Econpapers || Download paper | |
2023 | Occupied Processes: Going with the Flow. (2023). Tissot-Daguette, Valentin. In: Papers. RePEc:arx:papers:2311.07936. Full description at Econpapers || Download paper | |
2023 | Towards Sobolev Pruning. (2023). Afghan, Sher ; Kichler, Neil ; Naumann, Uwe. In: Papers. RePEc:arx:papers:2312.03510. Full description at Econpapers || Download paper | |
2023 | Assessing the liquidity premium in the Italian bond market. (2023). Venturi, Giulio Carlo ; Drudi, Maria Ludovica. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_795_23. Full description at Econpapers || Download paper | |
2023 | Money market funds and the pricing of near-money assets. (2023). Doerr, Sebastian ; Malamud, Semyon ; Eren, Sebastian Egemen. In: BIS Working Papers. RePEc:bis:biswps:1096. Full description at Econpapers || Download paper | |
2023 | The cumulant risk premium. (2023). Todorov, Karamfil. In: BIS Working Papers. RePEc:bis:biswps:1128. Full description at Econpapers || Download paper | |
2023 | Dealer capacity and US Treasury market functionality. (2023). Van Tassel, Peter ; Fleming, Michael ; Shachar, OR ; Nelson, Claire ; Keane, Frank ; Duffie, Darrell. In: BIS Working Papers. RePEc:bis:biswps:1138. Full description at Econpapers || Download paper | |
2023 | Longitudinal accounting comparability and bond credit spreads: Evidence from China. (2023). Wang, Jianqiong ; Cao, Shijiao. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:2:p:1953-1981. Full description at Econpapers || Download paper | |
2023 | Transmission of the 2007–2008 financial crisis in advanced countries of the European Union. (2023). Tomczak, Kamila. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:75:y:2023:i:1:p:40-64. Full description at Econpapers || Download paper | |
2023 | Bondholder representatives on bank boards: A device for market discipline. (2023). Hieu, Phan Huy ; Strobel, Frank ; Lepetit, Laetitia ; Distinguin, Isabelle. In: Economic Inquiry. RePEc:bla:ecinqu:v:61:y:2023:i:3:p:738-765. Full description at Econpapers || Download paper | |
2023 | How Risky Are U.S. Corporate Assets?. (2023). Yaron, Amir ; Shaliastovich, Ivan ; Richard, Scott ; Davydiuk, Tetiana. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:1:p:141-208. Full description at Econpapers || Download paper | |
2023 | Trading 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. Full description at Econpapers || Download paper | |
2023 | Cheaper by the bundle: The interaction of frictions and option exercise in variable annuities. (2023). Moenig, Thorsten ; Bauer, Daniel. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:90:y:2023:i:2:p:459-486. Full description at Econpapers || Download paper | |
2023 | Pathwise CVA regressions with oversimulated defaults. (2023). Saadeddine, Bouazza ; Crepey, Stephane ; Abbasturki, Lokman A. In: Mathematical Finance. RePEc:bla:mathfi:v:33:y:2023:i:2:p:274-307. Full description at Econpapers || Download paper | |
2023 | Recent advances in reinforcement learning in finance. (2023). Yang, Huining ; Xu, Renyuan ; Hambly, Ben. In: Mathematical Finance. RePEc:bla:mathfi:v:33:y:2023:i:3:p:437-503. Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2023 | A fully quantization-based scheme for FBSDEs. (2023). Grasselli, Martino ; Gnoatto, Alessandro ; Callegaro, Giorgia. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:441:y:2023:i:c:s0096300322007251. Full description at Econpapers || Download paper | |
2023 | Foreign Exchange Options on Heston-CIR Model Under Lévy Process Framework. (2023). Orlando, Giuseppe ; Samimi, Oldouz ; Mehrdoust, Farshid ; Ascione, Giacomo. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:446:y:2023:i:c:s0096300323000206. Full description at Econpapers || Download paper | |
2023 | A revisit to sovereign risk contagion in eurozone with mutual exciting regime-switching model. (2023). Ge, Shuyi. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:146:y:2023:i:c:s0165188922002688. Full description at Econpapers || Download paper | |
2023 | Systemic risk of optioned portfolio: Controllability and optimization. (2023). Ma, Jiali ; Cui, Xueting ; Zhu, Shushang ; Pang, Xiaochuan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:153:y:2023:i:c:s0165188923001070. Full description at Econpapers || Download paper | |
2023 | How 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. Full description at Econpapers || Download paper | |
2023 | Portfolio optimization in the presence of tail correlation. (2023). Chibane, Messaoud ; ben Abdelaziz, Fouad. In: Economic Modelling. RePEc:eee:ecmode:v:122:y:2023:i:c:s0264999323000470. Full description at Econpapers || Download paper | |
2023 | Cross-border Italian sovereign risk transmission in EMU countries. (2023). Napolitano, Oreste ; Fiorelli, Cristiana ; D'Uva, Marcella ; Capasso, Salvatore. In: Economic Modelling. RePEc:eee:ecmode:v:126:y:2023:i:c:s0264999323002365. Full description at Econpapers || Download paper | |
2023 | Identifying the true nature of price discovery and cross-market informational flow in the investment grade CDS and equity markets. (2023). Yin, Anwen ; Procasky, William J. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822002121. Full description at Econpapers || Download paper | |
2023 | A simple joint model for returns, volatility and volatility of volatility. (2023). Ding, Yashuang. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:521-543. Full description at Econpapers || Download paper | |
2023 | On illiquidity of an emerging sovereign bond market. (2023). Soykok, Emre ; Karahan, Cenk C. In: Economic Systems. RePEc:eee:ecosys:v:47:y:2023:i:2:s093936252300002x. Full description at Econpapers || Download paper | |
2023 | Robust consumption and portfolio choice with derivatives trading. (2023). Zhuang, YI ; Yang, Charles ; Wei, Pengyu. In: European Journal of Operational Research. RePEc:eee:ejores:v:304:y:2023:i:2:p:832-850. Full description at Econpapers || Download paper | |
2023 | Pandemic portfolio choice. (2023). Weiss, Farina ; Kraft, Holger. In: European Journal of Operational Research. RePEc:eee:ejores:v:305:y:2023:i:1:p:451-462. Full description at Econpapers || Download paper | |
2023 | Surrender contagion in life insurance. (2023). Schaefer, Mick ; Lavasani, Aidin Miri ; Hilpert, Christian ; Cheng, Chunli. In: European Journal of Operational Research. RePEc:eee:ejores:v:305:y:2023:i:3:p:1465-1479. Full description at Econpapers || Download paper | |
2023 | A global monetary policy factor in sovereign bond yields. (2023). Migiakis, Petros ; Malliaropulos, Dimitris. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:445-465. Full description at Econpapers || Download paper | |
2023 | Green investment and asset stranding under transition scenario uncertainty. (2023). Tankov, Peter ; Flora, Maria. In: Energy Economics. RePEc:eee:eneeco:v:124:y:2023:i:c:s0140988323002712. Full description at Econpapers || Download paper | |
2023 | From dusk till dawn (and vice versa): Overnight-versus-daytime reversals and feedback trading. (2023). Karaa, Rabaa ; Kallinterakis, Vasileios. In: International Review of Financial Analysis. RePEc:eee:finana:v:85:y:2023:i:c:s1057521922003933. Full description at Econpapers || Download paper | |
2023 | Sustainability and sovereign credit risk. (2023). Lonarski, Igor ; Vanpee, Rosanne ; Anand, Arsh. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000108. Full description at Econpapers || Download paper | |
2023 | State transformation of information spillover in asset markets and effective dynamic hedging strategies. (2023). Tsai, I-Chun ; Lin, Che-Chun ; Wang, Yu-Min. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002880. Full description at Econpapers || Download paper | |
2023 | Bond liquidity, debt maturity and bond risk premium. (2023). Wei, XU ; Zhou, Yimin. In: Finance Research Letters. RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323000909. Full description at Econpapers || Download paper | |
2023 | Responses of US equity market sectors to the Silicon Valley Bank implosion. (2023). Yousaf, Imran ; Goodell, John W. In: Finance Research Letters. RePEc:eee:finlet:v:55:y:2023:i:pb:s1544612323003069. Full description at Econpapers || Download paper | |
2023 | Options market ambiguity and its information content. (2023). Han, YU ; Chen, Qiang. In: Journal of Financial Markets. RePEc:eee:finmar:v:64:y:2023:i:c:s1386418122000799. Full description at Econpapers || Download paper | |
2023 | Spillover effects between liquidity risks through endogenous debt maturity. (2023). Zhou, Yi ; Xiao, Xiao ; Wei, XU. In: Journal of Financial Markets. RePEc:eee:finmar:v:64:y:2023:i:c:s1386418123000125. Full description at Econpapers || Download paper | |
2023 | What is mine is yours: Sovereign risk transmission during the European debt crisis. (2023). Shin, Yongcheol ; Nguyen, Viet Hoang ; Greenwood-Nimmo, Matthew. In: Journal of Financial Stability. RePEc:eee:finsta:v:65:y:2023:i:c:s1572308923000037. Full description at Econpapers || Download paper | |
2023 | Deferring real options with solar renewable energy certificates. (2023). Byrne, Julie ; Assereto, Martina ; Zhang, Hanyu. In: Global Finance Journal. RePEc:eee:glofin:v:55:y:2023:i:c:s1044028322000977. Full description at Econpapers || Download paper | |
2023 | Sovereign credit and exchange rate risks: Evidence from Asia-Pacific local currency bonds. (2023). Chernov, Mikhail ; Hordahl, Peter ; Creal, Drew. In: Journal of International Economics. RePEc:eee:inecon:v:140:y:2023:i:c:s0022199622001246. Full description at Econpapers || Download paper | |
2023 | Does it matter how central banks accumulate reserves? Evidence from sovereign spreads. (2023). Sosa-Padilla, Cesar ; Sturzenegger, Federico. In: Journal of International Economics. RePEc:eee:inecon:v:140:y:2023:i:c:s002219962200143x. Full description at Econpapers || Download paper | |
2023 | Portfolio choice with illiquid asset for a loss-averse pension fund investor. (2023). Zeng, Yan ; Li, Zhongfei ; Chen, Zheng. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:108:y:2023:i:c:p:60-83. Full description at Econpapers || Download paper | |
2023 | Valuation of general GMWB annuities in a low interest rate environment. (2023). Rotondi, Francesco ; Fontana, Claudio. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:112:y:2023:i:c:p:142-167. Full description at Econpapers || Download paper | |
2023 | Deviations from covered interest parity in the emerging markets after the global financial crisis. (2023). Geyikçi, Utku ; Ozyildirim, Suheyla ; Geyiki, Utku Bora. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:85:y:2023:i:c:s1042443123000331. Full description at Econpapers || Download paper | |
2023 | Fixed income conference calls. (2023). Zhu, Zhiwei ; Xu, DA ; Shohfi, Thomas ; de Franco, Gus. In: Journal of Accounting and Economics. RePEc:eee:jaecon:v:75:y:2023:i:1:s0165410122000416. Full description at Econpapers || Download paper | |
2023 | Detecting political event risk in the option market. (2023). KOSTAKIS, ALEXANDROS ; Otsubo, Yoichi ; Mu, Liangyi. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:146:y:2023:i:c:s0378426622002047. Full description at Econpapers || Download paper | |
2023 | Strategic repurchases and equity sales: Evidence from equity vesting schedules. (2023). Moore, David. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:146:y:2023:i:c:s0378426622002977. Full description at Econpapers || Download paper | |
2023 | Reprint of: COVID-19, lockdowns, and the municipal bond market. (2023). Uzmanoglu, Cihan ; Tran, Nhu. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:147:y:2023:i:c:s037842662300002x. Full description at Econpapers || Download paper | |
2023 | Information acquisition costs and credit spreads. (2023). Rettl, Daniel A ; Jaskowski, Marcin. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:149:y:2023:i:c:s037842662300016x. Full description at Econpapers || Download paper | |
2023 | News indices on country fundamentals. (2023). Kocsis, Zalan ; Fulop, Andras. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:154:y:2023:i:c:s0378426623001565. Full description at Econpapers || Download paper | |
2023 | Sovereign risk premia and global macroeconomic conditions. (2023). Jeanneret, Alexandre ; Ekponon, Adelphe ; Andrade, Sandro C. In: Journal of Financial Economics. RePEc:eee:jfinec:v:147:y:2023:i:1:p:172-197. Full description at Econpapers || Download paper | |
2023 | A credit-based theory of the currency risk premium. (2023). , Ella ; Jeanneret, Alexandre ; della Corte, Pasquale. In: Journal of Financial Economics. RePEc:eee:jfinec:v:149:y:2023:i:3:p:473-496. Full description at Econpapers || Download paper | |
2023 | Debt dynamics and credit risk. (2023). Schaefer, Stephen ; Feldhutter, Peter. In: Journal of Financial Economics. RePEc:eee:jfinec:v:149:y:2023:i:3:p:497-535. Full description at Econpapers || Download paper | |
2023 | Reserves and risk: Evidence from China. (2023). Yamamoto, Yohei ; Hattori, Takahiro ; Fatum, Rasmus. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:134:y:2023:i:c:s0261560623000451. Full description at Econpapers || Download paper | |
2023 | Sovereign bond and CDS market contagion: A story from the Eurozone crisis. (2023). Panagiotidis, Theodore ; Politsidis, Panagiotis N ; Bampinas, Georgios. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:137:y:2023:i:c:s0261560623001031. Full description at Econpapers || Download paper | |
2023 | Systemwide directional connectedness from Crude Oil to sovereign credit risk. (2023). Singh, Vipul Kumar ; Kumar, Pawan ; Bajaj, Vimmy. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:30:y:2023:i:c:s2405851322000290. Full description at Econpapers || Download paper | |
2023 | Oil price bubbles: The role of network centrality on idiosyncratic sovereign risk. (2023). Yang, Lu. In: Resources Policy. RePEc:eee:jrpoli:v:82:y:2023:i:c:s0301420723002015. Full description at Econpapers || Download paper | |
2023 | Two-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. Full description at Econpapers || Download paper | |
2023 | Level-k predatory trading. (2023). Teeple, Keisuke. In: Journal of Mathematical Economics. RePEc:eee:mateco:v:106:y:2023:i:c:s030440682300040x. Full description at Econpapers || Download paper | |
2023 | Diminishing treasury convenience premiums: Effects of dealers’ excess demand and balance sheet constraints. (2023). Sundaresan, Suresh ; Klingler, Sven. In: Journal of Monetary Economics. RePEc:eee:moneco:v:135:y:2023:i:c:p:55-69. Full description at Econpapers || Download paper | |
2023 | Russia-Ukraine conflict: The effect on European banks’ stock market returns. (2023). Gouveia, Ricardo ; Correia, Pedro ; Martins, Antonio Miguel. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:67:y:2023:i:c:s1042444x23000051. Full description at Econpapers || Download paper | |
2023 | Dynamic 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. Full description at Econpapers || Download paper | |
2023 | Is controlling shareholders credit risk contagious to firms? — Evidence from China. (2023). Sun, Xuchu ; Li, Tangrong. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:77:y:2023:i:c:s0927538x22002074. Full description at Econpapers || Download paper | |
2023 | Hedging demand and near-zero swap spreads: Evidence from the Chinese interest rate swap market. (2023). Shang, Yuhuang ; Zhu, Chunhui ; Li, Shaoyu. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:91:y:2023:i:c:p:170-185. Full description at Econpapers || Download paper | |
2023 | Return–volume nexus in financial markets: A survey of research. (2023). Yamani, Ehab. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923000363. Full description at Econpapers || Download paper | |
2023 | European systemic credit risk transmission using Bayesian networks. (2023). Pavia, Jose M ; Lopez, Jesua ; Ballester, Laura. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923000405. Full description at Econpapers || Download paper | |
2023 | Corporate bond liquidity and yield spreads: A review. (2023). Namin, Elmira Shekari ; Goldstein, Michael A. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s027553192300051x. Full description at Econpapers || Download paper | |
2023 | Carbon default swap – disentangling the exposure to carbon risk through CDS. (2023). Taschini, Luca ; Kiesel, Rudiger ; Blasberg, Alexander. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:118092. Full description at Econpapers || Download paper | |
2023 | Carbon default swap – disentangling the exposure to carbon risk through CDS. (2023). Taschini, Luca ; Kiesel, Rudiger ; Blasberg, Alexander. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:118096. Full description at Econpapers || Download paper | |
2023 | Options on Interbank Rates and Implied Disaster Risk. (2023). Seo, Sang Byung ; Kim, Hyung Joo ; Doshi, Hitesh. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2023-54. Full description at Econpapers || Download paper | |
2023 | The Missing Tail Risk in Option Prices. (2023). Sattiraju, Sai ; Matschke, Johannes ; Melek, Nida Akir ; Brown, Jason. In: Research Working Paper. RePEc:fip:fedkrw:96072. Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
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2009 | Portfolio Claustrophobia: Asset Pricing in Markets with Illiquid Assets In: American Economic Review. [Full Text][Citation analysis] | article | 36 |
2011 | How Sovereign Is Sovereign Credit Risk? In: American Economic Journal: Macroeconomics. [Full Text][Citation analysis] | article | 606 |
2007 | How Sovereign is Sovereign Credit Risk?.(2007) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 606 | paper | |
1990 | Pricing Options with Extendible Maturities: Analysis and Applications. In: Journal of Finance. [Full Text][Citation analysis] | article | 27 |
1990 | Time Varying Term Premia and Traditional Hypotheses about the Term Structure. In: Journal of Finance. [Full Text][Citation analysis] | article | 11 |
1992 | Dual Trading in Futures Markets. In: Journal of Finance. [Full Text][Citation analysis] | article | 58 |
1992 | Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model. In: Journal of Finance. [Full Text][Citation analysis] | article | 299 |
1995 | A Simple Approach to Valuing Risky Fixed and Floating Rate Debt. In: Journal of Finance. [Full Text][Citation analysis] | article | 757 |
1995 | How Much Can Marketability Affect Security Values? In: Journal of Finance. [Full Text][Citation analysis] | article | 68 |
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 | 33 |
2001 | The Relative Valuation of Caps and Swaptions: Theory and Empirical Evidence In: Journal of Finance. [Full Text][Citation analysis] | article | 38 |
2003 | Dynamic Asset Allocation with Event Risk In: Journal of Finance. [Full Text][Citation analysis] | article | 186 |
2002 | Dynamic Asset Allocation With Event Risk.(2002) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 186 | 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 | 845 |
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 nother version. Agregated cites: 845 | 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 | 114 |
2006 | An Empirical Analysis of the Pricing of Collateralized Debt Obligations.(2006) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 114 | paper | |
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 | 26 |
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 | 47 |
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 | 91 |
1989 | A nonlinear general equilibrium model of the term structure of interest rates In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 62 |
1990 | The valuation of options on yields In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 19 |
1992 | Multiple equilibria and term structure models In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 17 |
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 | 76 |
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 | 26 |
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 | 87 |
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 nother version. Agregated cites: 87 | paper | |
2004 | Corporate earnings and the equity premium In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 74 |
2003 | Corporate Earnings and the Equity Premium.(2003) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 74 | paper | |
2010 | The subprime credit crisis and contagion in financial markets In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 254 |
1994 | Electronic Screen Trading and the Transmission of Information: An Empirical Examination In: Journal of Financial Intermediation. [Full Text][Citation analysis] | article | 51 |
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 nother 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 | 10 |
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 | 25 |
2011 | Systemic Sovereign Credit Risk: Lessons from the U.S. and Europe In: NBER Working Papers. [Full Text][Citation analysis] | paper | 264 |
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 | 4 |
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 | 9 |
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 |
2023 | Do Municipal Bond Investors Pay a Convenience Premium to Avoid Taxes? 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 | 228 |
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 nother version. Agregated cites: 228 | article | |
2001 | Valuing American Options by Simulation: A Simple Least-Squares Approach. In: Review of Financial Studies. [Citation analysis] | article | 914 |
2001 | Optimal Portfolio Choice and the Valuation of Illiquid Securities. In: Review of Financial Studies. [Citation analysis] | article | 83 |
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 | 94 |
1992 | Are Negative Option Prices Possible? The Callable U.S. Treasury-Bond Puzzle. In: The Journal of Business. [Full Text][Citation analysis] | article | 17 |
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 | 102 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated December, 10 2023. Contact: CitEc Team