32
H index
65
i10 index
5581
Citations
Cornell University (5% share) | 32 H index 65 i10 index 5581 Citations RESEARCH PRODUCTION: 146 Articles 22 Papers 2 Books 45 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
|
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Robert Jarrow. | Is cited by: | Cites to: |
Working Papers Series with more than one paper published | # docs |
---|---|
Papers / arXiv.org | 11 |
Working Papers / University of Sydney, School of Economics | 2 |
Year | Title of citing document | |
---|---|---|
2023 | Trend 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. Full description at Econpapers || Download paper | |
2022 | . Full description at Econpapers || Download paper | |
2022 | Informational efficiency of credit ratings. (2022). Thomas, Susan ; Singh, Manish K ; Aggarwal, Nidhi. In: Working Papers. RePEc:anf:wpaper:14. Full description at Econpapers || Download paper | |
2022 | The Zero-Coupon Rate Model for Derivatives Pricing. (2016). Lin, Xiao. In: Papers. RePEc:arx:papers:1606.01343. Full description at Econpapers || Download paper | |
2022 | Securities Lending Strategies: Valuation of Term Loans using Option Theory. (2018). Kashyap, Ravi. In: Papers. RePEc:arx:papers:1609.01274. Full description at Econpapers || Download paper | |
2023 | A default system with overspilling contagion. (2017). Coculescu, Delia. In: Papers. RePEc:arx:papers:1709.09255. Full description at Econpapers || Download paper | |
2023 | Hedging with transient price impact for non-covered and covered options. (2018). Bilarev, Todor ; Becherer, Dirk. In: Papers. RePEc:arx:papers:1807.05917. Full description at Econpapers || Download paper | |
2022 | Consistent Inter-Model Specification for Time-Homogeneous SPX Stochastic Volatility and VIX Market Models. (2018). Papanicolaou, Andrew. In: Papers. RePEc:arx:papers:1812.05859. Full description at Econpapers || Download paper | |
2022 | A Theory of Equivalent Expectation Measures for Expected Prices of Contingent Claims. (2020). Zhuo, Xiaoyang ; Nawalkha, Sanjay K. In: Papers. RePEc:arx:papers:2006.15312. Full description at Econpapers || Download paper | |
2023 | Excursion Risk. (2020). Cont, Rama ; Ananova, Anna ; Xu, Renyuan. In: Papers. RePEc:arx:papers:2011.02870. Full description at Econpapers || Download paper | |
2022 | Equilibrium Price Formation with a Major Player and its Mean Field Limit. (2021). Takahashi, Akihiko ; Fujii, Masaaki. In: Papers. RePEc:arx:papers:2102.10756. Full description at Econpapers || Download paper | |
2021 | A News-based Machine Learning Model for Adaptive Asset Pricing. (2021). Wells, Martin T ; Wu, Haoxuan ; Zhu, Liao. In: Papers. RePEc:arx:papers:2106.07103. Full description at Econpapers || Download paper | |
2021 | Clustering Structure of Microstructure Measures. (2021). Wells, Martin T ; Sun, Ningning ; Zhu, Liao. In: Papers. RePEc:arx:papers:2107.02283. Full description at Econpapers || Download paper | |
2021 | The Adaptive Multi-Factor Model and the Financial Market. (2021). Zhu, Liao. In: Papers. RePEc:arx:papers:2107.14410. Full description at Econpapers || Download paper | |
2023 | Option Pricing under Bayesian MS-VAR Process. (2021). Gankhuu, Battulga. In: Papers. RePEc:arx:papers:2109.05998. Full description at Econpapers || Download paper | |
2023 | Rating transitions forecasting: a filtering approach. (2021). Lelong, J'Erome ; Cousin, Areski ; Picard, Tom ; Norberg, Ragnar. In: Papers. RePEc:arx:papers:2109.10567. Full description at Econpapers || Download paper | |
2022 | Cash-subadditive risk measures without quasi-convexity. (2021). Wang, Ruodu ; Han, Xia ; Xia, Jianming. In: Papers. RePEc:arx:papers:2110.12198. Full description at Econpapers || Download paper | |
2023 | Correlation Estimation in Hybrid Systems. (2021). Law, Baron . In: Papers. RePEc:arx:papers:2111.06042. Full description at Econpapers || Download paper | |
2022 | Dependent Stopping Times. (2021). Quintos, Alejandra ; Protter, Philip. In: Papers. RePEc:arx:papers:2111.09458. Full description at Econpapers || Download paper | |
2023 | A 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. Full description at Econpapers || Download paper | |
2022 | Option Pricing with State-dependent Pricing Kernel. (2021). Huang, Zhuo ; Hansen, Peter Reinhard ; Tong, Chen. In: Papers. RePEc:arx:papers:2112.05308. Full description at Econpapers || Download paper | |
2022 | Credit Valuation Adjustment with Replacement Closeout: Theory and Algorithms. (2022). Wei, Wei ; Tan, Ken Seng ; Sun, Chaofan. In: Papers. RePEc:arx:papers:2201.09105. Full description at Econpapers || Download paper | |
2023 | Metric Hypertransformers are Universal Adapted Maps. (2022). Pammer, Gudmund ; Kratsios, Anastasis ; Acciaio, Beatrice. In: Papers. RePEc:arx:papers:2201.13094. Full description at Econpapers || Download paper | |
2022 | Estimating risks of option books using neural-SDE market models. (2022). Cohen, Samuel N ; Wang, Sheng ; Reisinger, Christoph. In: Papers. RePEc:arx:papers:2202.07148. Full description at Econpapers || Download paper | |
2022 | A contagion process with self-exciting jumps in credit risk applications. (2022). Pasricha, Puneet ; Natarajan, Selvaraju ; Selvamuthu, Dharmaraja. In: Papers. RePEc:arx:papers:2202.12946. Full description at Econpapers || Download paper | |
2022 | Distance between closed sets and the solutions to stochastic partial differential equations. (2022). Tappe, Stefan ; Nakayama, Toshiyuki. In: Papers. RePEc:arx:papers:2205.00279. Full description at Econpapers || Download paper | |
2022 | A Unified Bayesian Framework for Pricing Catastrophe Bond Derivatives. (2022). Dixon, Matthew ; Chatterjee, Arpita ; Domfeh, Dixon. In: Papers. RePEc:arx:papers:2205.04520. Full description at Econpapers || Download paper | |
2022 | Parameters identification for an inverse problem arising from a binary option using a Bayesian inference approach. (2022). Maki, Daiki ; Jiang, YU ; Ota, Yasushi. In: Papers. RePEc:arx:papers:2205.11012. Full description at Econpapers || Download paper | |
2022 | A novel approach to rating transition modelling via Machine Learning and SDEs on Lie groups. (2022). Muniz, Michelle ; Kamm, Kevin. In: Papers. RePEc:arx:papers:2205.15699. Full description at Econpapers || Download paper | |
2022 | Invariant cones for jump-diffusions in infinite dimensions. (2022). Tappe, Stefan. In: Papers. RePEc:arx:papers:2206.13913. Full description at Econpapers || Download paper | |
2023 | Cost-efficient Payoffs under Model Ambiguity. (2022). Vanduffel, Steven ; Lux, Thibaut ; Junike, Gero ; Bernard, Carole. In: Papers. RePEc:arx:papers:2207.02948. Full description at Econpapers || Download paper | |
2022 | Linear and Nonlinear Partial Integro-Differential Equations arising from Finance. (2022). Udeani, Cyril Izuchukwu ; Sevcovic, Daniel ; Grossinho, Maria ; Cruz, Jose. In: Papers. RePEc:arx:papers:2207.11568. Full description at Econpapers || Download paper | |
2022 | Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation. (2022). Vachon, Marie-Claude ; MacKay, Anne ; Cui, Zhenyu. In: Papers. RePEc:arx:papers:2207.14793. Full description at Econpapers || Download paper | |
2022 | Pricing zero-coupon CAT bonds using the enlargement of ltration theory: a general framework. (2022). Gueye, Djibril ; Chaieb, Zied. In: Papers. RePEc:arx:papers:2208.02609. Full description at Econpapers || Download paper | |
2023 | Automated Market Making and Loss-Versus-Rebalancing. (2022). Zhang, Anthony Lee ; Roughgarden, Tim ; Moallemi, Ciamac C ; Milionis, Jason. In: Papers. RePEc:arx:papers:2208.06046. Full description at Econpapers || Download paper | |
2022 | Multivariate Hawkes-based Models in LOB: European, Spread and Basket Option Pricing. (2022). , Bruno ; Bruno, ; Swishchuk, Anatoliy ; Guo, QI. In: Papers. RePEc:arx:papers:2209.07621. Full description at Econpapers || Download paper | |
2022 | Non-maturing deposits modelling in a Ornstein-Uhlenbeck framework. (2022). Semeraro, Patrizia ; Romeo, Andrea ; Marena, Marina. In: Papers. RePEc:arx:papers:2209.13314. Full description at Econpapers || Download paper | |
2022 | Detecting asset price bubbles using deep learning. (2022). Meyer-Brandis, Thilo ; Mazzon, Andrea ; Gonon, Lukas ; Biagini, Francesca. In: Papers. RePEc:arx:papers:2210.01726. Full description at Econpapers || Download paper | |
2022 | Zero-Knowledge Optimal Monetary Policy under Stochastic Dominance. (2022). Cerezo, David. In: Papers. RePEc:arx:papers:2210.06139. Full description at Econpapers || Download paper | |
2022 | Measure-valued processes for energy markets. (2022). Svaluto-Ferro, Sara ; Guida, Francesco ; di Persio, Luca ; Cuchiero, Christa. In: Papers. RePEc:arx:papers:2210.09331. Full description at Econpapers || Download paper | |
2022 | Liquidity based modeling of asset price bubbles via random matching. (2022). Oberpriller, Katharina ; Meyer-Brandis, Thilo ; Mazzon, Andrea ; Biagini, Francesca. In: Papers. RePEc:arx:papers:2210.13804. Full description at Econpapers || Download paper | |
2022 | The law of one price in mean-variance hedging. (2022). Czichowsky, Christoph ; Vcern, Alevs. In: Papers. RePEc:arx:papers:2210.15613. Full description at Econpapers || Download paper | |
2022 | Optimal 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. Full description at Econpapers || Download paper | |
2022 | Randomization of Short-Rate Models, Analytic Pricing and Flexibility in Controlling Implied Volatilities. (2022). Grzelak, Lech A. In: Papers. RePEc:arx:papers:2211.05014. 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 | A pure jump model for the valuation of options on a credit index. (2023). Shirai, Yoshihiro. In: Papers. RePEc:arx:papers:2301.05332. 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 | Local Volatility in Interest Rate Models. (2023). Belyaev, V M. In: Papers. RePEc:arx:papers:2301.13595. Full description at Econpapers || Download paper | |
2023 | Data-driven Approach for Static Hedging of Exchange Traded Options. (2023). Jain, Shashi ; Dhandapani, Vikranth Lokeshwar. In: Papers. RePEc:arx:papers:2302.00728. Full description at Econpapers || Download paper | |
2023 | Pricing 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. Full description at Econpapers || Download paper | |
2023 | The 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. Full description at Econpapers || Download paper | |
2023 | Pricing 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. Full description at Econpapers || Download paper | |
2023 | Option 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. Full description at Econpapers || Download paper | |
2023 | Nash equilibria for relative investors with (non)linear price impact. (2023). Goll, Tamara ; Bauerle, Nicole. In: Papers. RePEc:arx:papers:2303.18161. Full description at Econpapers || Download paper | |
2023 | Unifying Market Microstructure and Dynamic Asset Pricing. (2023). Rachev, Svetlozar T ; Lindquist, Brent W ; Hu, Yuan ; Lauria, Davide. In: Papers. RePEc:arx:papers:2304.02356. Full description at Econpapers || Download paper | |
2023 | Particle MCMC in forecasting frailty correlated default models with expert opinion. (2023). Nguyen, HA. In: Papers. RePEc:arx:papers:2304.11586. Full description at Econpapers || Download paper | |
2023 | A Heat-Jarrow-Morton framework for energy markets: a pragmatic approach. (2023). Santilli, Edoardo ; Gardini, Matteo. In: Papers. RePEc:arx:papers:2305.01485. Full description at Econpapers || Download paper | |
2023 | Study on Intelligent Forecasting of Credit Bond Default Risk. (2023). Ren, Kai. In: Papers. RePEc:arx:papers:2305.12142. Full description at Econpapers || Download paper | |
2023 | Discount Models. (2023). Filipovic, Damir. In: Papers. RePEc:arx:papers:2306.16871. Full description at Econpapers || Download paper | |
2023 | Exploring 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. Full description at Econpapers || Download paper | |
2022 | Distressed firms, zombie firms and zombie lending: a taxonomy. (2022). Mayordomo, Sergio ; Garcia-Posada, Miguel ; MiguelGarcia-Posada, ; Alvarez, Laura. In: Working Papers. RePEc:bde:wpaper:2219. Full description at Econpapers || Download paper | |
2022 | Credit derivatives and loan yields. (2022). Tannous, George F ; Mamun, Abdullah ; Azam, Nimita. In: The Financial Review. RePEc:bla:finrev:v:57:y:2022:i:1:p:205-241. Full description at Econpapers || Download paper | |
2022 | Government economic policy uncertainty and corporate debt contracting. (2022). Phan, Hieu V. In: International Review of Finance. RePEc:bla:irvfin:v:22:y:2022:i:1:p:169-199. Full description at Econpapers || Download paper | |
2022 | High?frequency trading: Definition, implications, and controversies. (2022). Hsu, Weihuei ; Young, Martin R ; Zaharudin, Khairul Zharif. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:36:y:2022:i:1:p:75-107. Full description at Econpapers || Download paper | |
2021 | Mutual Fund Holdings of Credit Default Swaps: Liquidity, Yield, and Risk. (2021). Zhu, Zhongyan ; Ou, Jitao ; Jiang, Wei. In: Journal of Finance. RePEc:bla:jfinan:v:76:y:2021:i:2:p:537-586. Full description at Econpapers || Download paper | |
2022 | The Cost of Capital for Banks: Evidence from Analyst Earnings Forecasts. (2022). Gyntelberg, Jacob ; Thimsen, Christoffer ; Dicknielsen, Jens. In: Journal of Finance. RePEc:bla:jfinan:v:77:y:2022:i:5:p:2577-2611. Full description at Econpapers || Download paper | |
2022 | A Theory of Equivalent Expectation Measures for Contingent Claim Returns. (2022). Zhuo, Xiaoyang ; Nawalkha, Sanjay K. In: Journal of Finance. RePEc:bla:jfinan:v:77:y:2022:i:5:p:2853-2906. Full description at Econpapers || Download paper | |
2022 | Comoment risk in corporate bond yields and returns. (2022). Lejeune, Thomas ; Hubner, Georges ; Heck, Stephanie ; Franois, Pascal. In: Journal of Financial Research. RePEc:bla:jfnres:v:45:y:2022:i:3:p:471-512. 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 | Capital 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. Full description at Econpapers || Download paper | |
2022 | Consistent time?homogeneous modeling of SPX and VIX derivatives. (2022). Papanicolaou, Andrew. In: Mathematical Finance. RePEc:bla:mathfi:v:32:y:2022:i:3:p:907-940. Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2022 | . Full description at Econpapers || Download paper | |
2022 | Contract rescission in the real estate presale market. (2022). Wan, Wayne Xinwei ; Hu, Maggie Rong ; Gan, Quan. In: Real Estate Economics. RePEc:bla:reesec:v:50:y:2022:i:4:p:1054-1106. Full description at Econpapers || Download paper | |
2022 | Chronicle of a death foretold: does higher volatility anticipate corporate default?. (2022). Fornari, Fabio ; Busetto, Filippo ; Ampudia, Miguel. In: Bank of England working papers. RePEc:boe:boeewp:1001. Full description at Econpapers || Download paper | |
2023 | The 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. Full description at Econpapers || Download paper | |
2022 | Macroeconomic Determinants of Corporate Credit Spreads: Evidence from Canada. (2022). Jahan, Nusrat. In: Carleton Economic Papers. RePEc:car:carecp:22-07. Full description at Econpapers || Download paper | |
2022 | Chronicle of a death foretold: does higher volatility anticipate corporate default?. (2022). Fornari, Fabio ; Busetto, Filippo ; Ampudia, Miguel. In: Working Paper Series. RePEc:ecb:ecbwps:20222749. Full description at Econpapers || Download paper | |
2022 | Random integrodifferential equations of Volterra type with delay : attractiveness and stability. (2022). Hazarika, Bipan ; Dieye, Moustapha ; Diop, Amadou. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:430:y:2022:i:c:s0096300322003757. Full description at Econpapers || Download paper | |
2023 | Can 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. Full description at Econpapers || Download paper | |
2022 | A Quantum Mechanics for interest rate derivatives markets. (2022). Bueno-Guerrero, Alberto. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:155:y:2022:i:c:s0960077921010808. Full description at Econpapers || Download paper | |
2022 | Lumpy investment and credit risk. (2022). Zhang, Chuanqian ; Jiao, Feng. In: Journal of Corporate Finance. RePEc:eee:corfin:v:77:y:2022:i:c:s0929119922001365. Full description at Econpapers || Download paper | |
2022 | Statistical arbitrage and risk contagion. (2022). Ladley, Daniel ; Gao, Xing. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:144:y:2022:i:c:s0165188922002329. Full description at Econpapers || Download paper | |
2022 | Leverage, competition and financial distress hazard: Implications for capital structure in the presence of agency costs. (2022). Zeynalov, Ayaz ; Solomon, Edna ; Ugur, Mehmet. In: Economic Modelling. RePEc:eee:ecmode:v:108:y:2022:i:c:s0264999321003291. Full description at Econpapers || Download paper | |
2022 | On modeling IPO failure risk. (2022). Hasan, Iftekhar ; Fu, Mengchuan ; Colak, Gonul. In: Economic Modelling. RePEc:eee:ecmode:v:109:y:2022:i:c:s0264999322000360. Full description at Econpapers || Download paper | |
2023 | Macroeconomic 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. Full description at Econpapers || Download paper | |
2022 | Price impact, strategic interaction and portfolio choice. (2022). Curatola, Giuliano. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:59:y:2022:i:c:s1062940821001959. Full description at Econpapers || Download paper | |
2022 | Pricing of vulnerable exchange options with early counterparty credit risk. (2022). Yoon, Ji-Hun ; Kim, Geonwoo. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:59:y:2022:i:c:s1062940821002187. Full description at Econpapers || Download paper | |
2022 | Pricing vulnerable options with stochastic liquidity risk. (2022). Wang, Xingchun. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:60:y:2022:i:c:s1062940821002278. Full description at Econpapers || Download paper | |
2022 | Pricing catastrophe equity puts with counterparty risks under Markov-modulated, default-intensity processes. (2022). Liao, Szu-Lang ; Lian, Yu-Min ; Chen, Jun-Home. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:61:y:2022:i:c:s1062940822000535. Full description at Econpapers || Download paper | |
2022 | Asymmetric information and inside management trading in the Chinese market. (2022). Zhong, Qian ; Yang, Jingjing ; Tuilautala, Mataiasi ; Hu, May. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:62:y:2022:i:c:s1062940822001036. Full description at Econpapers || Download paper | |
2022 | Option pricing with the control variate technique beyond Monte Carlo simulation. (2022). Liu, Liang-Chih ; Lyuu, Yuh-Dauh ; Dai, Tian-Shyr ; Chiu, Chun-Yuan ; Chen, Yu-Ting. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:62:y:2022:i:c:s1062940822001140. Full description at Econpapers || Download paper | |
2022 | Is normal backwardation normal? Valuing financial futures with a local index-rate covariance. (2022). ZIMMERMANN, Paul ; Raimbourg, Philippe. In: European Journal of Operational Research. RePEc:eee:ejores:v:298:y:2022:i:1:p:351-367. Full description at Econpapers || Download paper | |
2022 | An inter-temporal CAPM based on First order Stochastic Dominance. (2022). Levy, Moshe. In: European Journal of Operational Research. RePEc:eee:ejores:v:298:y:2022:i:2:p:734-739. Full description at Econpapers || Download paper | |
2022 | Model risk in the over-the-counter market. (2022). Qi, Shuyuan ; Lazar, Emese. In: European Journal of Operational Research. RePEc:eee:ejores:v:298:y:2022:i:2:p:769-784. Full description at Econpapers || Download paper | |
2022 | On the utility maximization of the discrepancy between a perceived and market implied risk neutral distribution. (2022). Vecer, Jan ; Taylor, Stephen ; Navratil, Robert. In: European Journal of Operational Research. RePEc:eee:ejores:v:302:y:2022:i:3:p:1215-1229. Full description at Econpapers || Download paper | |
2023 | Improved 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. Full description at Econpapers || Download paper | |
2023 | Contagion 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. Full description at Econpapers || Download paper | |
2023 | A 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. Full description at Econpapers || Download paper | |
2022 | Development banks and the syndicate structure: Evidence from a world sample. (2022). Zhou, Si ; Frigerio, Marco ; Deglinnocenti, Marta. In: Journal of Empirical Finance. RePEc:eee:empfin:v:66:y:2022:i:c:p:99-120. Full description at Econpapers || Download paper | |
2022 | Partial moments and indexation investment strategies. (2022). Yao, Haixiang ; Li, Yong ; Huang, Jinbo. In: Journal of Empirical Finance. RePEc:eee:empfin:v:67:y:2022:i:c:p:39-59. Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
Year | Title | Type | Cited |
---|---|---|---|
1999 | In 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] | article | 2 |
2021 | The Economics of Insurance: A Derivatives-Based Approach In: Annual Review of Financial Economics. [Full Text][Citation analysis] | article | 0 |
2009 | Credit Risk Models In: Annual Review of Financial Economics. [Full Text][Citation analysis] | article | 50 |
2009 | The Term Structure of Interest Rates In: Annual Review of Financial Economics. [Full Text][Citation analysis] | article | 73 |
2011 | The Economics of Credit Default Swaps In: Annual Review of Financial Economics. [Full Text][Citation analysis] | article | 19 |
2014 | Forward Rate Curve Smoothing In: Annual Review of Financial Economics. [Full Text][Citation analysis] | article | 3 |
2015 | Asset Price Bubbles In: Annual Review of Financial Economics. [Full Text][Citation analysis] | article | 26 |
2009 | Housing Market Microstructure In: Papers. [Full Text][Citation analysis] | paper | 0 |
2011 | The economic default time and the Arcsine law In: Papers. [Full Text][Citation analysis] | paper | 3 |
2014 | The economic default time and the arcsine law.(2014) In: Journal of Financial Engineering (JFE). [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | article | |
2011 | Is there a bubble in LinkedIns stock price? In: Papers. [Full Text][Citation analysis] | paper | 10 |
2014 | Informational Efficiency under Short Sale Constraints In: Papers. [Full Text][Citation analysis] | paper | 0 |
2021 | High-Dimensional Estimation, Basis Assets, and the Adaptive Multi-Factor Model In: Papers. [Full Text][Citation analysis] | paper | 4 |
2020 | High-Dimensional Estimation, Basis Assets, and the Adaptive Multi-Factor Model.(2020) In: Quarterly Journal of Finance (QJF). [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | article | |
2021 | The Low-volatility Anomaly and the Adaptive Multi-Factor Model In: Papers. [Full Text][Citation analysis] | paper | 2 |
2021 | Time-Invariance Coefficients Tests with the Adaptive Multi-Factor Model In: Papers. [Full Text][Citation analysis] | paper | 3 |
2021 | Time-Invariance Coefficients Tests with the Adaptive Multi-Factor Model.(2021) In: Quarterly Journal of Finance (QJF). [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | article | |
2022 | Computing the Probability of a Financial Market Failure: A New Measure of Systemic Risk In: Papers. [Full Text][Citation analysis] | paper | 1 |
2023 | Enlargement of Filtrations: An Exposition of Core Ideas with Financial Examples In: Papers. [Full Text][Citation analysis] | paper | 0 |
2023 | Filtration Reduction and Completeness in Jump-Diffusion Models In: Papers. [Full Text][Citation analysis] | paper | 0 |
2004 | Modeling Credit Risk with Partial Information In: Papers. [Full Text][Citation analysis] | paper | 37 |
2004 | Modeling credit risk with partial information.(2004) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 37 | paper | |
2008 | MODELING CREDIT RISK WITH PARTIAL INFORMATION.(2008) In: World Scientific Book Chapters. [Full Text][Citation analysis] This paper has another version. Agregated cites: 37 | chapter | |
In: . [Full Text][Citation analysis] | article | 0 | |
In: . [Full Text][Citation analysis] | article | 0 | |
2004 | Estimating 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] | article | 18 |
2010 | On Model Testing in Financial Economics In: The Financial Review. [Full Text][Citation analysis] | article | 0 |
2011 | A Reduced?Form Model for Warrant Valuation In: The Financial Review. [Citation analysis] | article | 4 |
2019 | Fair Microfinance Loan Rates In: International Review of Finance. [Full Text][Citation analysis] | article | 3 |
2020 | Credit Risk, Liquidity, and Bubbles In: International Review of Finance. [Full Text][Citation analysis] | article | 3 |
2023 | An explosion time characterization of asset price bubbles In: International Review of Finance. [Full Text][Citation analysis] | article | 0 |
1989 | Option Pricing and Implicit Volatilities. In: Journal of Economic Surveys. [Citation analysis] | article | 4 |
1978 | The Relationship between Yield, Risk and Return of Corporate Bonds. In: Journal of Finance. [Full Text][Citation analysis] | article | 12 |
1980 | Heterogeneous Expectations, Restrictions on Short Sales, and Equilibrium Asset Prices. In: Journal of Finance. [Full Text][Citation analysis] | article | 94 |
1983 | Consensus Beliefs Equilibrium and Market Efficiency. In: Journal of Finance. [Full Text][Citation analysis] | article | 0 |
1986 | The Relationship between Arbitrage and First Order Stochastic Dominance. In: Journal of Finance. [Full Text][Citation analysis] | article | 55 |
1987 | Arbitrage, Continuous Trading, and Margin Requirements. In: Journal of Finance. [Full Text][Citation analysis] | article | 7 |
2008 | Arbitrage, Continuous Trading, and Margin Requirements.(2008) In: World Scientific Book Chapters. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | chapter | |
1995 | Pricing Derivatives on Financial Securities Subject to Credit Risk. In: Journal of Finance. [Full Text][Citation analysis] | article | 612 |
2008 | Pricing Derivatives on Financial Securities Subject to Credit Risk.(2008) In: World Scientific Book Chapters. [Full Text][Citation analysis] This paper has another version. Agregated cites: 612 | chapter | |
2001 | Counterparty Risk and the Pricing of Defaultable Securities In: Journal of Finance. [Full Text][Citation analysis] | article | 248 |
2008 | Counterparty Risk and the Pricing of Defaultable Securities.(2008) In: World Scientific Book Chapters. [Full Text][Citation analysis] This paper has another version. Agregated cites: 248 | chapter | |
2007 | Interest Rate Caps “Smile” Too! But Can the LIBOR Market Models Capture the Smile? In: Journal of Finance. [Full Text][Citation analysis] | article | 37 |
2005 | ESTIMATING THE VALUE OF DELIVERY OPTIONS IN FUTURES CONTRACTS In: Journal of Financial Research. [Full Text][Citation analysis] | article | 6 |
2001 | The Liquidity Discount In: Mathematical Finance. [Full Text][Citation analysis] | article | 41 |
2002 | Put Option Premiums and Coherent Risk Measures In: Mathematical Finance. [Full Text][Citation analysis] | article | 16 |
2005 | DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS In: Mathematical Finance. [Full Text][Citation analysis] | article | 88 |
2008 | DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS.(2008) In: World Scientific Book Chapters. [Full Text][Citation analysis] This paper has another version. Agregated cites: 88 | chapter | |
2009 | MODELING THE RECOVERY RATE IN A REDUCED FORM MODEL In: Mathematical Finance. [Full Text][Citation analysis] | article | 11 |
1991 | A Characterization of Complete Security Markets On A Brownian Filtration1 In: Mathematical Finance. [Full Text][Citation analysis] | article | 11 |
2015 | THE EFFECT OF TRADING FUTURES ON SHORT SALE CONSTRAINTS In: Mathematical Finance. [Full Text][Citation analysis] | article | 3 |
2015 | The effect of trading futures on short sale constraints.(2015) In: Post-Print. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | paper | |
2018 | Optimal cash holdings under heterogeneous beliefs In: Mathematical Finance. [Full Text][Citation analysis] | article | 1 |
2019 | A rational asset pricing model for premiums and discounts on closed?end funds: The bubble theory In: Mathematical Finance. [Full Text][Citation analysis] | article | 5 |
1992 | ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS In: Mathematical Finance. [Full Text][Citation analysis] | article | 146 |
2008 | ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS.(2008) In: World Scientific Book Chapters. [Full Text][Citation analysis] This paper has another version. Agregated cites: 146 | chapter | |
1992 | Pricing Options On Risky Assets In A Stochastic Interest Rate Economy1 In: Mathematical Finance. [Full Text][Citation analysis] | article | 69 |
2021 | Risk?neutral pricing techniques and examples In: Mathematical Finance. [Full Text][Citation analysis] | article | 0 |
1995 | OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS1 In: Mathematical Finance. [Full Text][Citation analysis] | article | 28 |
1999 | The Second Fundamental Theorem of Asset Pricing In: Mathematical Finance. [Full Text][Citation analysis] | article | 20 |
2008 | Commercial Mortgage?Backed Securities (CMBS) and Market Efficiency with Respect to Costly Information In: Real Estate Economics. [Full Text][Citation analysis] | article | 10 |
2014 | Government Policies, Residential Mortgage Defaults and the Boom and Bust Cycle of Housing Prices In: Real Estate Economics. [Full Text][Citation analysis] | article | 1 |
1996 | Model Error in Contingent Claim Models Dynamic Evaluation In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 1 |
1996 | Model Error in Contingent Claim Models (Dynamic Evaluation).(1996) In: Rodney L. White Center for Financial Research Working Papers. [Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
1996 | Model Error in Contingent Claim Models (Dynamic Evaluation)..(1996) In: Rodney L. White Center for Financial Research Working Papers. [Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
2006 | Restructuring Risk in Credit Default Swaps: An Empirical Analysis In: GSIA Working Papers. [Full Text][Citation analysis] | paper | 13 |
2007 | Restructuring risk in credit default swaps: An empirical analysis.(2007) In: Stochastic Processes and their Applications. [Full Text][Citation analysis] This paper has another version. Agregated cites: 13 | article | |
1990 | Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 88 |
1991 | The Relevance of Fiduciary Conflict-of-Interests in Control versus Issue Proxy Contests In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 8 |
1992 | Market Manipulation, Bubbles, Corners, and Short Squeezes In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 142 |
2008 | Market Manipulation, Bubbles, Corners, and Short Squeezes.(2008) In: World Scientific Book Chapters. [Full Text][Citation analysis] This paper has another version. Agregated cites: 142 | chapter | |
1994 | Derivative Security Markets, Market Manipulation, and Option Pricing Theory In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 63 |
2008 | Derivative Security Markets, Market Manipulation, and Option Pricing Theory.(2008) In: World Scientific Book Chapters. [Full Text][Citation analysis] This paper has another version. Agregated cites: 63 | chapter | |
1998 | Market 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] | article | 28 |
2003 | Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 61 |
2008 | Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model.(2008) In: World Scientific Book Chapters. [Full Text][Citation analysis] This paper has another version. Agregated cites: 61 | chapter | |
1992 | Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation. In: Econometrica. [Full Text][Citation analysis] | article | 996 |
2008 | BOND 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 another version. Agregated cites: 996 | chapter | |
2004 | Interest Rate Caps Smile Too! But Can the LIBOR Market Models Capture It? In: Econometric Society 2004 North American Winter Meetings. [Full Text][Citation analysis] | paper | 11 |
1986 | A characterization theorem for unique risk neutral probability measures In: Economics Letters. [Full Text][Citation analysis] | article | 7 |
1987 | Beliefs and arbitrage pricing In: Economics Letters. [Full Text][Citation analysis] | article | 0 |
2015 | Specification tests of calibrated option pricing models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 7 |
2014 | Specification Tests of Calibrated Option Pricing Models.(2014) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | paper | |
2000 | Bayesian analysis of contingent claim model error In: Journal of Econometrics. [Full Text][Citation analysis] | article | 33 |
2013 | The zero-lower bound on interest rates: Myth or reality? In: Finance Research Letters. [Full Text][Citation analysis] | article | 2 |
2014 | Computing present values: Capital budgeting done correctly In: Finance Research Letters. [Full Text][Citation analysis] | article | 0 |
2004 | Risky coupon bonds as a portfolio of zero-coupon bonds In: Finance Research Letters. [Full Text][Citation analysis] | article | 8 |
2005 | A generalized coherent risk measure: The firms perspective In: Finance Research Letters. [Full Text][Citation analysis] | article | 3 |
2022 | High frequency trading and standard asset pricing models In: Finance Research Letters. [Full Text][Citation analysis] | article | 0 |
2008 | Modeling loan commitments In: Finance Research Letters. [Full Text][Citation analysis] | article | 8 |
2010 | Hedging in a HJM model In: Finance Research Letters. [Full Text][Citation analysis] | article | 0 |
2010 | A simple robust model for Cat bond valuation In: Finance Research Letters. [Full Text][Citation analysis] | article | 28 |
2010 | Understanding the risk of leveraged ETFs In: Finance Research Letters. [Full Text][Citation analysis] | article | 15 |
2011 | Credit market equilibrium theory and evidence: Revisiting the structural versus reduced form credit risk model debate In: Finance Research Letters. [Full Text][Citation analysis] | article | 13 |
2011 | Housing prices and the optimal time-on-the-market decision In: Finance Research Letters. [Full Text][Citation analysis] | article | 0 |
2012 | Discrete versus continuous time models: Local martingales and singular processes in asset pricing theory In: Finance Research Letters. [Full Text][Citation analysis] | article | 2 |
2012 | An improved test for statistical arbitrage In: Journal of Financial Markets. [Full Text][Citation analysis] | article | 8 |
2018 | CMBS market efficiency: The crisis and the recovery In: Journal of Financial Stability. [Full Text][Citation analysis] | article | 1 |
2022 | Risk premia, asset price bubbles, and monetary policy In: Journal of Financial Stability. [Full Text][Citation analysis] | article | 0 |
1998 | The arbitrage-free valuation and hedging of demand deposits and credit card loans In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 47 |
2000 | The intersection of market and credit risk In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 110 |
2005 | Large traders, hidden arbitrage, and complete markets In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 6 |
2008 | Operational risk In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 15 |
2017 | Operational Risk.(2017) In: World Scientific Book Chapters. [Full Text][Citation analysis] This paper has another version. Agregated cites: 15 | chapter | |
2013 | A leverage ratio rule for capital adequacy In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 32 |
1983 | A comparison of the APT and CAPM a note In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 3 |
1984 | The error learning hypothesis: The evidence reexamined In: Journal of Economics and Business. [Full Text][Citation analysis] | article | 0 |
1987 | Spanning and completeness in markets with contingent claims In: Journal of Economic Theory. [Full Text][Citation analysis] | article | 50 |
1982 | Approximate option valuation for arbitrary stochastic processes In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 236 |
2008 | APPROXIMATE OPTION VALUATION FOR ARBITRARY STOCHASTIC PROCESSES.(2008) In: World Scientific Book Chapters. [Full Text][Citation analysis] This paper has another version. Agregated cites: 236 | chapter | |
1977 | An autoregressive jump process for common stock returns In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 7 |
2004 | Testing market efficiency using statistical arbitrage with applications to momentum and value strategies In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 54 |
2010 | Reduced-form valuation of callable corporate bonds: Theory and evidence In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 10 |
1981 | Forward contracts and futures contracts In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 37 |
2008 | FORWARD CONTRACTS AND FUTURES CONTRACTS.(2008) In: World Scientific Book Chapters. [Full Text][Citation analysis] This paper has another version. Agregated cites: 37 | chapter | |
1991 | Pricing foreign currency options under stochastic interest rates In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 95 |
2008 | Pricing foreign currency options under stochastic interest rates.(2008) In: World Scientific Book Chapters. [Full Text][Citation analysis] This paper has another version. Agregated cites: 95 | chapter | |
2018 | On aggregation and representative agent equilibria In: Journal of Mathematical Economics. [Full Text][Citation analysis] | article | 7 |
2014 | Financial crises and economic growth In: The Quarterly Review of Economics and Finance. [Full Text][Citation analysis] | article | 7 |
2015 | Bank runs and self-insured bank deposits In: The Quarterly Review of Economics and Finance. [Full Text][Citation analysis] | article | 0 |
2021 | Endogenous liquidity risk and dealer market structure In: The Quarterly Review of Economics and Finance. [Full Text][Citation analysis] | article | 0 |
In: . [Full Text][Citation analysis] | article | 0 | |
2015 | Designing catastrophic bonds for catastrophic risks in agriculture In: Agricultural Finance Review. [Full Text][Citation analysis] | article | 0 |
2015 | Designing catastrophic bonds for catastrophic risks in agriculture In: Agricultural Finance Review. [Full Text][Citation analysis] | article | 1 |
In: . [Full Text][Citation analysis] | article | 0 | |
2018 | Portfolio balance effects and the Federal Reserve’s large-scale asset purchases In: Studies in Economics and Finance. [Full Text][Citation analysis] | article | 0 |
1991 | Option pricing with random volatilities in complete markets In: FRB Atlanta Working Paper. [Citation analysis] | paper | 5 |
1993 | Market Manipulation and Corporate Finance: A New Perspective In: Financial Management. [Citation analysis] | article | 3 |
1997 | Review of John E. Gilster, Jr. Option Pricing Theory: Is Risk Free Hedging Feasible? In: Financial Management. [Citation analysis] | article | 0 |
2006 | Downside Loss Aversion and Portfolio Management In: Management Science. [Full Text][Citation analysis] | article | 43 |
2019 | Volatility Uncertainty, Time Decay, and Option Bid-Ask Spreads in an Incomplete Market In: Management Science. [Full Text][Citation analysis] | article | 1 |
2009 | Credit Risk Models with Incomplete Information In: Mathematics of Operations Research. [Full Text][Citation analysis] | article | 19 |
2016 | Relative asset price bubbles In: Annals of Finance. [Full Text][Citation analysis] | article | 0 |
2018 | Asset market equilibrium with liquidity risk In: Annals of Finance. [Full Text][Citation analysis] | article | 0 |
2003 | Market Pricing of Deposit Insurance In: Journal of Financial Services Research. [Full Text][Citation analysis] | article | 30 |
2008 | Market Pricing of Deposit Insurance.(2008) In: World Scientific Book Chapters. [Full Text][Citation analysis] This paper has another version. Agregated cites: 30 | chapter | |
2007 | A Critique of Revised Basel II In: Journal of Financial Services Research. [Full Text][Citation analysis] | article | 7 |
2007 | The valuation of a firm’s investment opportunities: a reduced form credit risk perspective In: Review of Derivatives Research. [Full Text][Citation analysis] | article | 5 |
2007 | Tax liens: a novel application of asset pricing theory In: Review of Derivatives Research. [Full Text][Citation analysis] | article | 0 |
2008 | Distressed debt prices and recovery rate estimation In: Review of Derivatives Research. [Full Text][Citation analysis] | article | 7 |
2010 | Convenience yields In: Review of Derivatives Research. [Full Text][Citation analysis] | article | 4 |
2010 | The cost of operational risk loss insurance In: Review of Derivatives Research. [Full Text][Citation analysis] | article | 6 |
2011 | Foreign currency bubbles In: Review of Derivatives Research. [Full Text][Citation analysis] | article | 8 |
2013 | Capital adequacy rules, catastrophic firm failure, and systemic risk In: Review of Derivatives Research. [Full Text][Citation analysis] | article | 5 |
2014 | The impact of quantitative easing on the US term structure of interest rates In: Review of Derivatives Research. [Full Text][Citation analysis] | article | 10 |
2018 | An empirical investigation of large trader market manipulation in derivatives markets In: Review of Derivatives Research. [Full Text][Citation analysis] | article | 2 |
2023 | Interest rate swaps: a comparison of compounded daily versus discrete reference rates In: Review of Derivatives Research. [Full Text][Citation analysis] | article | 0 |
2004 | A Model of the Convenience Yields in On-the-Run Treasuries In: Review of Derivatives Research. [Full Text][Citation analysis] | article | 12 |
1998 | A Unified Approach for Pricing Contingent Claims on Multiple Term Structures. In: Review of Quantitative Finance and Accounting. [Full Text][Citation analysis] | article | 2 |
1997 | Is Mean-Variance Analysis Vacuous: Or was Beta Still Born? In: Review of Finance. [Full Text][Citation analysis] | article | 11 |
2019 | Exploring Mispricing in the Term Structure of CDS Spreads In: Review of Finance. [Full Text][Citation analysis] | article | 9 |
2004 | Bankruptcy Prediction with Industry Effects In: Review of Finance. [Full Text][Citation analysis] | article | 319 |
2008 | Bankruptcy Prediction with Industry Effects.(2008) In: World Scientific Book Chapters. [Full Text][Citation analysis] This paper has another version. Agregated cites: 319 | chapter | |
1997 | A Markov Model for the Term Structure of Credit Risk Spreads. In: Review of Financial Studies. [Citation analysis] | article | 461 |
2008 | A Markov Model for the Term Structure of Credit Risk Spreads.(2008) In: World Scientific Book Chapters. [Full Text][Citation analysis] This paper has another version. Agregated cites: 461 | chapter | |
1999 | The Second Fundamental Theorem of Asset Pricing: A New Approach. In: Review of Financial Studies. [Citation analysis] | article | 22 |
2006 | Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence In: Review of Financial Studies. [Full Text][Citation analysis] | article | 64 |
2008 | Pricing 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 another version. Agregated cites: 64 | chapter | |
1988 | Preferences, Continuity, and the Arbitrage Pricing Theory In: Review of Financial Studies. [Full Text][Citation analysis] | article | 5 |
1990 | The 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] | article | 22 |
2008 | The Stop-Loss Start-Gain Paradox and Option Valuation: A new Decomposition into Intrinsic and Time Value.(2008) In: World Scientific Book Chapters. [Full Text][Citation analysis] This paper has another version. Agregated cites: 22 | chapter | |
2007 | Information reduction via level crossings in a credit risk model In: Finance and Stochastics. [Full Text][Citation analysis] | article | 8 |
2013 | Discretely sampled variance and volatility swaps versus their continuous approximations In: Finance and Stochastics. [Full Text][Citation analysis] | article | 19 |
2021 | Concavity, stochastic utility, and risk aversion In: Finance and Stochastics. [Full Text][Citation analysis] | article | 1 |
1998 | Hedging contingent claims on semimartingales In: Finance and Stochastics. [Full Text][Citation analysis] | article | 6 |
2004 | Liquidity risk and arbitrage pricing theory In: Finance and Stochastics. [Full Text][Citation analysis] | article | 138 |
2008 | Liquidity risk and arbitrage pricing theory.(2008) In: World Scientific Book Chapters. [Full Text][Citation analysis] This paper has another version. Agregated cites: 138 | chapter | |
2021 | Inferring Financial Bubbles from Option Data In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
2021 | Inferring financial bubbles from option data.(2021) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | article | |
1994 | Delta, gamma and bucket hedging of interest rate derivatives In: Applied Mathematical Finance. [Full Text][Citation analysis] | article | 21 |
2012 | Hedging derivatives with model error In: Quantitative Finance. [Full Text][Citation analysis] | article | 1 |
2012 | A liquidity-based model for asset price bubbles In: Quantitative Finance. [Full Text][Citation analysis] | article | 6 |
2022 | Funding shortages, expectations, and forward rate risk premium In: Quantitative Finance. [Full Text][Citation analysis] | article | 0 |
1984 | Jump Risks and the Intertemporal Capital Asset Pricing Model. In: The Journal of Business. [Full Text][Citation analysis] | article | 96 |
1988 | Ex-dividend Stock Price Behavior and Arbitrage Opportunities. In: The Journal of Business. [Full Text][Citation analysis] | article | 28 |
2008 | Ex-Dividend Stock Price Behavior and Arbitrage Opportunities.(2008) In: World Scientific Book Chapters. [Full Text][Citation analysis] This paper has another version. Agregated cites: 28 | chapter | |
1996 | An Integrated Approach to Hedging and Pricing Eurodollar Derivatives In: Center for Financial Institutions Working Papers. [Citation analysis] | paper | 2 |
2012 | THE THIRD FUNDAMENTAL THEOREM OF ASSET PRICING In: Annals of Financial Economics (AFE). [Full Text][Citation analysis] | article | 6 |
2009 | FORWARD AND FUTURES PRICES WITH BUBBLES In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 6 |
2012 | RELATING TOP-DOWN WITH BOTTOM-UP APPROACHES IN THE EVALUATION OF ABS WITH LARGE COLLATERAL POOLS In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 1 |
2012 | A DYSFUNCTIONAL ROLE OF HIGH FREQUENCY TRADING IN ELECTRONIC MARKETS In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 32 |
2016 | BUBBLES AND MULTIPLE-FACTOR ASSET PRICING MODELS In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 4 |
2017 | A CAPM WITH TRADING CONSTRAINTS AND PRICE BUBBLES In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 0 |
2022 | APPLYING THE LOCAL MARTINGALE THEORY OF BUBBLES TO CRYPTOCURRENCIES In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 0 |
2013 | Abnormal Profit Opportunities and the Informational Advantage of High Frequency Trading In: Quarterly Journal of Finance (QJF). [Full Text][Citation analysis] | article | 0 |
2015 | The Impact of a Central Banks Bond Market Intervention on Foreign Exchange Rates In: Quarterly Journal of Finance (QJF). [Full Text][Citation analysis] | article | 0 |
2018 | An Equilibrium Capital Asset Pricing Model in Markets with Price Jumps and Price Bubbles In: Quarterly Journal of Finance (QJF). [Full Text][Citation analysis] | article | 1 |
2020 | The Effects of Yield Control Monetary Policy: A Helicopter Money Drop to Financial Institutions In: Quarterly Journal of Finance (QJF). [Full Text][Citation analysis] | article | 1 |
2022 | Index Design: Hedging and Manipulation In: Quarterly Journal of Finance (QJF). [Full Text][Citation analysis] | article | 0 |
2017 | The Economic Foundations of Risk Management:Theory, Practice, and Applications In: World Scientific Books. [Full Text][Citation analysis] | book | 1 |
2008 | Financial Derivatives Pricing:Selected Works of Robert Jarrow In: World Scientific Books. [Full Text][Citation analysis] | book | 0 |
2008 | LIQUIDITY PREMIUMS AND THE EXPECTATIONS HYPOTHESIS In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 1 |
2008 | THE PRICING OF COMMODITY OPTIONS WITH STOCHASTIC INTEREST RATES In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
2008 | PRICING OPTIONS ON RISKY ASSETS IN A STOCHASTIC INTEREST RATE ECONOMY In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
2017 | Introduction In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
2017 | Primary Assets In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
2017 | Derivatives In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 37 |
2017 | Market Risk (Equities, FX, Commodities) In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
2017 | Market Risk (Interest Rates) In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
2017 | Credit Risk In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 17 |
2017 | Liquidity Risk In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 15 |
2017 | Trading Constraints In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
2017 | Individuals In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
2017 | Firms In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
2017 | Banks In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
2017 | Diversification In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
2017 | Static Hedging In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
2017 | Dynamic Hedging In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
2017 | Penn Square Bank (1982) In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
2017 | Metallgesellschaft (1993) In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
2017 | Orange County (1994) In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
2017 | Barings Bank (1995) In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
2017 | Long Term Capital Management (1998) In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
2017 | The Credit Crisis (2007) In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
2017 | Washington Mutual (2008) In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated July, 3 2023. Contact: CitEc Team