Robert Jarrow : Citation Profile


Are you Robert Jarrow?

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

33

H index

65

i10 index

5638

Citations

RESEARCH PRODUCTION:

148

Articles

22

Papers

2

Books

45

Chapters

RESEARCH ACTIVITY:

   46 years (1977 - 2023). See details.
   Cites by year: 122
   Journals where Robert Jarrow has often published
   Relations with other researchers
   Recent citing documents: 302.    Total self citations: 65 (1.14 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pja39
   Updated: 2023-11-04    RAS profile: 2023-09-08    
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Relations with other researchers


Works with:

Lamichhane, Sujan (3)

Kwok, Simon Sai Man (2)

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

Is cited by:

Wong, Wing-Keung (42)

Xiao, Tim (36)

Schlogl, Erik (32)

gourieroux, christian (25)

Nikitopoulos-Sklibosios, Christina (25)

Das, Sanjiv (22)

Detemple, Jerome (22)

Monfort, Alain (21)

Schuermann, Til (20)

Napoletano, Mauro (19)

Lo, Andrew (19)

Cites to:

merton, robert (45)

Duffie, Darrell (35)

Singleton, Kenneth (23)

Lando, David (19)

Yildirim, Yildiray (17)

Chen, Zhiwu (14)

Bernanke, Ben (14)

Scholes, Myron (13)

Basak, Suleyman (13)

Cao, Charles (13)

Fama, Eugene (12)

Main data


Where Robert Jarrow has published?


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

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

Recent works citing Robert Jarrow (2023 and 2022)


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

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

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2022.

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2022Informational efficiency of credit ratings. (2022). Thomas, Susan ; Singh, Manish K ; Aggarwal, Nidhi. In: Working Papers. RePEc:anf:wpaper:14.

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2022The Zero-Coupon Rate Model for Derivatives Pricing. (2016). Lin, Xiao. In: Papers. RePEc:arx:papers:1606.01343.

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2022Securities Lending Strategies: Valuation of Term Loans using Option Theory. (2018). Kashyap, Ravi. In: Papers. RePEc:arx:papers:1609.01274.

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

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

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2022Consistent Inter-Model Specification for Time-Homogeneous SPX Stochastic Volatility and VIX Market Models. (2018). Papanicolaou, Andrew. In: Papers. RePEc:arx:papers:1812.05859.

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2022A Theory of Equivalent Expectation Measures for Expected Prices of Contingent Claims. (2020). Zhuo, Xiaoyang ; Nawalkha, Sanjay K. In: Papers. RePEc:arx:papers:2006.15312.

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

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2022Equilibrium Price Formation with a Major Player and its Mean Field Limit. (2021). Takahashi, Akihiko ; Fujii, Masaaki. In: Papers. RePEc:arx:papers:2102.10756.

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

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

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2022Cash-subadditive risk measures without quasi-convexity. (2021). Wang, Ruodu ; Han, Xia ; Xia, Jianming. In: Papers. RePEc:arx:papers:2110.12198.

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

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2022Dependent Stopping Times. (2021). Quintos, Alejandra ; Protter, Philip. In: Papers. RePEc:arx:papers:2111.09458.

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

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2022Option Pricing with State-dependent Pricing Kernel. (2021). Huang, Zhuo ; Hansen, Peter Reinhard ; Tong, Chen. In: Papers. RePEc:arx:papers:2112.05308.

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2022Credit Valuation Adjustment with Replacement Closeout: Theory and Algorithms. (2022). Wei, Wei ; Tan, Ken Seng ; Sun, Chaofan. In: Papers. RePEc:arx:papers:2201.09105.

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

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2022Estimating risks of option books using neural-SDE market models. (2022). Cohen, Samuel N ; Wang, Sheng ; Reisinger, Christoph. In: Papers. RePEc:arx:papers:2202.07148.

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2022A contagion process with self-exciting jumps in credit risk applications. (2022). Pasricha, Puneet ; Natarajan, Selvaraju ; Selvamuthu, Dharmaraja. In: Papers. RePEc:arx:papers:2202.12946.

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2022Distance between closed sets and the solutions to stochastic partial differential equations. (2022). Tappe, Stefan ; Nakayama, Toshiyuki. In: Papers. RePEc:arx:papers:2205.00279.

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2022A Unified Bayesian Framework for Pricing Catastrophe Bond Derivatives. (2022). Dixon, Matthew ; Chatterjee, Arpita ; Domfeh, Dixon. In: Papers. RePEc:arx:papers:2205.04520.

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2022Parameters 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.

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2022A 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.

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

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

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2022Linear 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.

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2022Analysis 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.

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2022Pricing 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.

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

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2022Multivariate 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.

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2022Non-maturing deposits modelling in a Ornstein-Uhlenbeck framework. (2022). Semeraro, Patrizia ; Romeo, Andrea ; Marena, Marina. In: Papers. RePEc:arx:papers:2209.13314.

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2022Detecting asset price bubbles using deep learning. (2022). Meyer-Brandis, Thilo ; Mazzon, Andrea ; Gonon, Lukas ; Biagini, Francesca. In: Papers. RePEc:arx:papers:2210.01726.

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2022Zero-Knowledge Optimal Monetary Policy under Stochastic Dominance. (2022). Cerezo, David. In: Papers. RePEc:arx:papers:2210.06139.

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2022Measure-valued processes for energy markets. (2022). Svaluto-Ferro, Sara ; Guida, Francesco ; di Persio, Luca ; Cuchiero, Christa. In: Papers. RePEc:arx:papers:2210.09331.

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2022Liquidity 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.

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2022The law of one price in mean-variance hedging. (2022). Czichowsky, Christoph ; Vcern, Alevs. In: Papers. RePEc:arx:papers:2210.15613.

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

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2022Randomization of Short-Rate Models, Analytic Pricing and Flexibility in Controlling Implied Volatilities. (2022). Grzelak, Lech A. In: Papers. RePEc:arx:papers:2211.05014.

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

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2023A Comprehensive Survey on Enterprise Financial Risk Analysis: Problems, Methods, Spotlights and Applications. (2022). Du, Huaming ; Zhao, YU. In: Papers. RePEc:arx:papers:2211.14997.

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

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2023Double free boundary problem for defaultable corporate bond with credit rating migration risks and their asymptotic behaviors. (2023). Brauner, Claude-Michel ; Liang, Jin ; Dong, Yuchao. In: Papers. RePEc:arx:papers:2301.10898.

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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2022Distressed 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.

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2022Credit 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.

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

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

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2022Government 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.

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2022High?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.

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2022The 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.

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2022A 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.

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2022Comoment 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.

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2023Trading and liquidity in the catastrophe bond market. (2023). Hibbeln, Martin ; Herrmann, Markus. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:90:y:2023:i:2:p:283-328.

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

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2022Consistent 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.

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2022Contract 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.

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2022Chronicle 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.

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

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2022Macroeconomic Determinants of Corporate Credit Spreads: Evidence from Canada. (2022). Jahan, Nusrat. In: Carleton Economic Papers. RePEc:car:carecp:22-07.

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2022Chronicle 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.

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2022Random 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.

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

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2022A 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.

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2022Lumpy investment and credit risk. (2022). Zhang, Chuanqian ; Jiao, Feng. In: Journal of Corporate Finance. RePEc:eee:corfin:v:77:y:2022:i:c:s0929119922001365.

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2022Statistical 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.

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2022Leverage, 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.

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2022On modeling IPO failure risk. (2022). Hasan, Iftekhar ; Fu, Mengchuan ; Colak, Gonul. In: Economic Modelling. RePEc:eee:ecmode:v:109:y:2022:i:c:s0264999322000360.

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

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2022Effect of banking and macroeconomic variables on systemic risk: An application of ΔCOVAR for an emerging economy. (2018). de Mendonça, Helder ; da Silva, Rafael Bernardo ; de Mendona, Helder Ferreira ; deMendona, Helder Ferreira . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:43:y:2018:i:c:p:141-157.

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2022Price 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.

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2022Pricing 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.

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2022Pricing 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.

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2022Pricing 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.

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2022Asymmetric 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.

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2022Option 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.

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2022Is 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.

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

Works by Robert Jarrow:


YearTitleTypeCited
1999In Honor of the Nobel Laureates Robert C. Merton and Myron S. Scholes: A Partial Differential Equation That Changed the World In: Journal of Economic Perspectives.
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2021The Economics of Insurance: A Derivatives-Based Approach In: Annual Review of Financial Economics.
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2009Credit Risk Models In: Annual Review of Financial Economics.
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article51
2009The Term Structure of Interest Rates In: Annual Review of Financial Economics.
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article73
2011The Economics of Credit Default Swaps In: Annual Review of Financial Economics.
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article20
2014Forward Rate Curve Smoothing In: Annual Review of Financial Economics.
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2015Asset Price Bubbles In: Annual Review of Financial Economics.
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article28
2009Housing Market Microstructure In: Papers.
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2011The economic default time and the Arcsine law In: Papers.
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2014The economic default time and the arcsine law.(2014) In: Journal of Financial Engineering (JFE).
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2011Is there a bubble in LinkedIns stock price? In: Papers.
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2014Informational Efficiency under Short Sale Constraints In: Papers.
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2021High-Dimensional Estimation, Basis Assets, and the Adaptive Multi-Factor Model In: Papers.
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2020High-Dimensional Estimation, Basis Assets, and the Adaptive Multi-Factor Model.(2020) In: Quarterly Journal of Finance (QJF).
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2021The Low-volatility Anomaly and the Adaptive Multi-Factor Model In: Papers.
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2021Time-Invariance Coefficients Tests with the Adaptive Multi-Factor Model In: Papers.
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2021Time-Invariance Coefficients Tests with the Adaptive Multi-Factor Model.(2021) In: Quarterly Journal of Finance (QJF).
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2022Computing the Probability of a Financial Market Failure: A New Measure of Systemic Risk In: Papers.
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2023Enlargement of Filtrations: An Exposition of Core Ideas with Financial Examples In: Papers.
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2023Filtration Reduction and Completeness in Jump-Diffusion Models In: Papers.
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2004Modeling Credit Risk with Partial Information In: Papers.
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2004Modeling credit risk with partial information.(2004) In: LSE Research Online Documents on Economics.
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2008MODELING CREDIT RISK WITH PARTIAL INFORMATION.(2008) In: World Scientific Book Chapters.
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2004Estimating the Interest Rate Term Structure of Corporate Debt With a Semiparametric Penalized Spline Model In: Journal of the American Statistical Association.
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2010On Model Testing in Financial Economics In: The Financial Review.
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2011A Reduced?Form Model for Warrant Valuation In: The Financial Review.
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article4
2019Fair Microfinance Loan Rates In: International Review of Finance.
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article3
2020Credit Risk, Liquidity, and Bubbles In: International Review of Finance.
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article3
2023An explosion time characterization of asset price bubbles In: International Review of Finance.
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1989 Option Pricing and Implicit Volatilities. In: Journal of Economic Surveys.
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1978The Relationship between Yield, Risk and Return of Corporate Bonds. In: Journal of Finance.
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article12
1980 Heterogeneous Expectations, Restrictions on Short Sales, and Equilibrium Asset Prices. In: Journal of Finance.
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article94
1983 Consensus Beliefs Equilibrium and Market Efficiency. In: Journal of Finance.
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1986 The Relationship between Arbitrage and First Order Stochastic Dominance. In: Journal of Finance.
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article55
1987 Arbitrage, Continuous Trading, and Margin Requirements. In: Journal of Finance.
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2008Arbitrage, Continuous Trading, and Margin Requirements.(2008) In: World Scientific Book Chapters.
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1995 Pricing Derivatives on Financial Securities Subject to Credit Risk. In: Journal of Finance.
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article619
2008Pricing Derivatives on Financial Securities Subject to Credit Risk.(2008) In: World Scientific Book Chapters.
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2001Counterparty Risk and the Pricing of Defaultable Securities In: Journal of Finance.
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article249
2008Counterparty Risk and the Pricing of Defaultable Securities.(2008) In: World Scientific Book Chapters.
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2007Interest Rate Caps “Smile” Too! But Can the LIBOR Market Models Capture the Smile? In: Journal of Finance.
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article37
2005ESTIMATING THE VALUE OF DELIVERY OPTIONS IN FUTURES CONTRACTS In: Journal of Financial Research.
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2001The Liquidity Discount In: Mathematical Finance.
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article41
2002Put Option Premiums and Coherent Risk Measures In: Mathematical Finance.
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2005DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS In: Mathematical Finance.
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article91
2008DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS.(2008) In: World Scientific Book Chapters.
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2009MODELING THE RECOVERY RATE IN A REDUCED FORM MODEL In: Mathematical Finance.
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1991A Characterization of Complete Security Markets On A Brownian Filtration1 In: Mathematical Finance.
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2015THE EFFECT OF TRADING FUTURES ON SHORT SALE CONSTRAINTS In: Mathematical Finance.
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2015The effect of trading futures on short sale constraints.(2015) In: Post-Print.
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2018Optimal cash holdings under heterogeneous beliefs In: Mathematical Finance.
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2019A rational asset pricing model for premiums and discounts on closed?end funds: The bubble theory In: Mathematical Finance.
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1992ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS In: Mathematical Finance.
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article147
2008ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS.(2008) In: World Scientific Book Chapters.
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1992Pricing Options On Risky Assets In A Stochastic Interest Rate Economy1 In: Mathematical Finance.
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article69
2021Risk?neutral pricing techniques and examples In: Mathematical Finance.
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1995OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS1 In: Mathematical Finance.
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article28
1999The Second Fundamental Theorem of Asset Pricing In: Mathematical Finance.
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2008Commercial Mortgage?Backed Securities (CMBS) and Market Efficiency with Respect to Costly Information In: Real Estate Economics.
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2014Government Policies, Residential Mortgage Defaults and the Boom and Bust Cycle of Housing Prices In: Real Estate Economics.
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1996Model Error in Contingent Claim Models Dynamic Evaluation In: CIRANO Working Papers.
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1996Model Error in Contingent Claim Models (Dynamic Evaluation).(1996) In: Rodney L. White Center for Financial Research Working Papers.
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1996Model Error in Contingent Claim Models (Dynamic Evaluation)..(1996) In: Rodney L. White Center for Financial Research Working Papers.
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2006Restructuring Risk in Credit Default Swaps: An Empirical Analysis In: GSIA Working Papers.
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2007Restructuring risk in credit default swaps: An empirical analysis.(2007) In: Stochastic Processes and their Applications.
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1990Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation In: Journal of Financial and Quantitative Analysis.
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article88
1991The Relevance of Fiduciary Conflict-of-Interests in Control versus Issue Proxy Contests In: Journal of Financial and Quantitative Analysis.
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1992Market Manipulation, Bubbles, Corners, and Short Squeezes In: Journal of Financial and Quantitative Analysis.
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article144
2008Market Manipulation, Bubbles, Corners, and Short Squeezes.(2008) In: World Scientific Book Chapters.
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1994Derivative Security Markets, Market Manipulation, and Option Pricing Theory In: Journal of Financial and Quantitative Analysis.
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article63
2008Derivative Security Markets, Market Manipulation, and Option Pricing Theory.(2008) In: World Scientific Book Chapters.
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1998Market Manipulation, Price Bubbles, and a Model of the U.S. Treasury Securities Auction Market In: Journal of Financial and Quantitative Analysis.
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article28
2003Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model In: Journal of Financial and Quantitative Analysis.
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article61
2008Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model.(2008) In: World Scientific Book Chapters.
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1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation. In: Econometrica.
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article1003
2008BOND PRICING AND THE TERM STRUCTURE OF INTEREST RATES: A NEW METHODOLOGY FOR CONTINGENT CLAIMS VALUATION.(2008) In: World Scientific Book Chapters.
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2004Interest Rate Caps Smile Too! But Can the LIBOR Market Models Capture It? In: Econometric Society 2004 North American Winter Meetings.
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1986A characterization theorem for unique risk neutral probability measures In: Economics Letters.
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article7
1987Beliefs and arbitrage pricing In: Economics Letters.
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2015Specification tests of calibrated option pricing models In: Journal of Econometrics.
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article7
2014Specification Tests of Calibrated Option Pricing Models.(2014) In: Working Papers.
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2000Bayesian analysis of contingent claim model error In: Journal of Econometrics.
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article33
2013The zero-lower bound on interest rates: Myth or reality? In: Finance Research Letters.
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article2
2014Computing present values: Capital budgeting done correctly In: Finance Research Letters.
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2004Risky coupon bonds as a portfolio of zero-coupon bonds In: Finance Research Letters.
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2005A generalized coherent risk measure: The firms perspective In: Finance Research Letters.
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article3
2022High frequency trading and standard asset pricing models In: Finance Research Letters.
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2008Modeling loan commitments In: Finance Research Letters.
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2010Hedging in a HJM model In: Finance Research Letters.
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2010A simple robust model for Cat bond valuation In: Finance Research Letters.
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article29
2010Understanding the risk of leveraged ETFs In: Finance Research Letters.
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article17
2011Credit market equilibrium theory and evidence: Revisiting the structural versus reduced form credit risk model debate In: Finance Research Letters.
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2011Housing prices and the optimal time-on-the-market decision In: Finance Research Letters.
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2012Discrete versus continuous time models: Local martingales and singular processes in asset pricing theory In: Finance Research Letters.
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2012An improved test for statistical arbitrage In: Journal of Financial Markets.
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article8
2018CMBS market efficiency: The crisis and the recovery In: Journal of Financial Stability.
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article1
2022Risk premia, asset price bubbles, and monetary policy In: Journal of Financial Stability.
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1998The arbitrage-free valuation and hedging of demand deposits and credit card loans In: Journal of Banking & Finance.
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article47
2000The intersection of market and credit risk In: Journal of Banking & Finance.
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article112
2005Large traders, hidden arbitrage, and complete markets In: Journal of Banking & Finance.
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article6
2008Operational risk In: Journal of Banking & Finance.
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article15
2017Operational Risk.(2017) In: World Scientific Book Chapters.
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2013A leverage ratio rule for capital adequacy In: Journal of Banking & Finance.
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1983A comparison of the APT and CAPM a note In: Journal of Banking & Finance.
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1984The error learning hypothesis: The evidence reexamined In: Journal of Economics and Business.
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1987Spanning and completeness in markets with contingent claims In: Journal of Economic Theory.
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article51
1982Approximate option valuation for arbitrary stochastic processes In: Journal of Financial Economics.
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article236
2008APPROXIMATE OPTION VALUATION FOR ARBITRARY STOCHASTIC PROCESSES.(2008) In: World Scientific Book Chapters.
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1977An autoregressive jump process for common stock returns In: Journal of Financial Economics.
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article7
2004Testing market efficiency using statistical arbitrage with applications to momentum and value strategies In: Journal of Financial Economics.
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article56
2010Reduced-form valuation of callable corporate bonds: Theory and evidence In: Journal of Financial Economics.
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1981Forward contracts and futures contracts In: Journal of Financial Economics.
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article37
2008FORWARD CONTRACTS AND FUTURES CONTRACTS.(2008) In: World Scientific Book Chapters.
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1991Pricing foreign currency options under stochastic interest rates In: Journal of International Money and Finance.
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article95
2008Pricing foreign currency options under stochastic interest rates.(2008) In: World Scientific Book Chapters.
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2018On aggregation and representative agent equilibria In: Journal of Mathematical Economics.
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2014Financial crises and economic growth In: The Quarterly Review of Economics and Finance.
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2015Bank runs and self-insured bank deposits In: The Quarterly Review of Economics and Finance.
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2021Endogenous liquidity risk and dealer market structure In: The Quarterly Review of Economics and Finance.
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In: .
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2015Designing catastrophic bonds for catastrophic risks in agriculture In: Agricultural Finance Review.
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2015Designing catastrophic bonds for catastrophic risks in agriculture In: Agricultural Finance Review.
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2018Portfolio balance effects and the Federal Reserve’s large-scale asset purchases In: Studies in Economics and Finance.
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1991Option pricing with random volatilities in complete markets In: FRB Atlanta Working Paper.
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1993Market Manipulation and Corporate Finance: A New Perspective In: Financial Management.
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article3
1997Review of John E. Gilster, Jr. Option Pricing Theory: Is Risk Free Hedging Feasible? In: Financial Management.
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2006Downside Loss Aversion and Portfolio Management In: Management Science.
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2019Volatility Uncertainty, Time Decay, and Option Bid-Ask Spreads in an Incomplete Market In: Management Science.
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2009Credit Risk Models with Incomplete Information In: Mathematics of Operations Research.
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2016Relative asset price bubbles In: Annals of Finance.
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2018Asset market equilibrium with liquidity risk In: Annals of Finance.
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2023The no-arbitrage pricing of non-traded assets In: Annals of Finance.
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2003Market Pricing of Deposit Insurance In: Journal of Financial Services Research.
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2008Market Pricing of Deposit Insurance.(2008) In: World Scientific Book Chapters.
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2007A Critique of Revised Basel II In: Journal of Financial Services Research.
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2007The valuation of a firm’s investment opportunities: a reduced form credit risk perspective In: Review of Derivatives Research.
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2007Tax liens: a novel application of asset pricing theory In: Review of Derivatives Research.
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2008Distressed debt prices and recovery rate estimation In: Review of Derivatives Research.
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2010Convenience yields In: Review of Derivatives Research.
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2010The cost of operational risk loss insurance In: Review of Derivatives Research.
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2011Foreign currency bubbles In: Review of Derivatives Research.
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2013Capital adequacy rules, catastrophic firm failure, and systemic risk In: Review of Derivatives Research.
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2014The impact of quantitative easing on the US term structure of interest rates In: Review of Derivatives Research.
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2018An empirical investigation of large trader market manipulation in derivatives markets In: Review of Derivatives Research.
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2023Interest rate swaps: a comparison of compounded daily versus discrete reference rates In: Review of Derivatives Research.
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2004A Model of the Convenience Yields in On-the-Run Treasuries In: Review of Derivatives Research.
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1998A Unified Approach for Pricing Contingent Claims on Multiple Term Structures. In: Review of Quantitative Finance and Accounting.
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1997Is Mean-Variance Analysis Vacuous: Or was Beta Still Born? In: Review of Finance.
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2019Exploring Mispricing in the Term Structure of CDS Spreads In: Review of Finance.
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2004Bankruptcy Prediction with Industry Effects In: Review of Finance.
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article323
2008Bankruptcy Prediction with Industry Effects.(2008) In: World Scientific Book Chapters.
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1997A Markov Model for the Term Structure of Credit Risk Spreads. In: Review of Financial Studies.
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article466
2008A Markov Model for the Term Structure of Credit Risk Spreads.(2008) In: World Scientific Book Chapters.
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1999The Second Fundamental Theorem of Asset Pricing: A New Approach. In: Review of Financial Studies.
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article22
2006Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence In: Review of Financial Studies.
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article64
2008Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence.(2008) In: World Scientific Book Chapters.
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1988Preferences, Continuity, and the Arbitrage Pricing Theory In: Review of Financial Studies.
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1990The Stop-Loss Start-Gain Paradox and Option Valuation: A New Decomposition into Intrinsic and Time Value. In: Review of Financial Studies.
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2008The Stop-Loss Start-Gain Paradox and Option Valuation: A new Decomposition into Intrinsic and Time Value.(2008) In: World Scientific Book Chapters.
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2007Information reduction via level crossings in a credit risk model In: Finance and Stochastics.
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2013Discretely sampled variance and volatility swaps versus their continuous approximations In: Finance and Stochastics.
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2021Concavity, stochastic utility, and risk aversion In: Finance and Stochastics.
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1998Hedging contingent claims on semimartingales In: Finance and Stochastics.
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2004Liquidity risk and arbitrage pricing theory In: Finance and Stochastics.
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article138
2008Liquidity risk and arbitrage pricing theory.(2008) In: World Scientific Book Chapters.
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2021Inferring Financial Bubbles from Option Data In: Working Papers.
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2021Inferring financial bubbles from option data.(2021) In: Journal of Applied Econometrics.
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1994Delta, gamma and bucket hedging of interest rate derivatives In: Applied Mathematical Finance.
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2012Hedging derivatives with model error In: Quantitative Finance.
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2012A liquidity-based model for asset price bubbles In: Quantitative Finance.
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2022Funding shortages, expectations, and forward rate risk premium In: Quantitative Finance.
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2023Media trading groups and short selling manipulation In: Quantitative Finance.
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1984Jump Risks and the Intertemporal Capital Asset Pricing Model. In: The Journal of Business.
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article100
1988Ex-dividend Stock Price Behavior and Arbitrage Opportunities. In: The Journal of Business.
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2008Ex-Dividend Stock Price Behavior and Arbitrage Opportunities.(2008) In: World Scientific Book Chapters.
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1996An Integrated Approach to Hedging and Pricing Eurodollar Derivatives In: Center for Financial Institutions Working Papers.
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2012THE THIRD FUNDAMENTAL THEOREM OF ASSET PRICING In: Annals of Financial Economics (AFE).
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2009FORWARD AND FUTURES PRICES WITH BUBBLES In: International Journal of Theoretical and Applied Finance (IJTAF).
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2012RELATING TOP-DOWN WITH BOTTOM-UP APPROACHES IN THE EVALUATION OF ABS WITH LARGE COLLATERAL POOLS In: International Journal of Theoretical and Applied Finance (IJTAF).
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2012A DYSFUNCTIONAL ROLE OF HIGH FREQUENCY TRADING IN ELECTRONIC MARKETS In: International Journal of Theoretical and Applied Finance (IJTAF).
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2016BUBBLES AND MULTIPLE-FACTOR ASSET PRICING MODELS In: International Journal of Theoretical and Applied Finance (IJTAF).
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2017A CAPM WITH TRADING CONSTRAINTS AND PRICE BUBBLES In: International Journal of Theoretical and Applied Finance (IJTAF).
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2022APPLYING THE LOCAL MARTINGALE THEORY OF BUBBLES TO CRYPTOCURRENCIES In: International Journal of Theoretical and Applied Finance (IJTAF).
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2013Abnormal Profit Opportunities and the Informational Advantage of High Frequency Trading In: Quarterly Journal of Finance (QJF).
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2015The Impact of a Central Banks Bond Market Intervention on Foreign Exchange Rates In: Quarterly Journal of Finance (QJF).
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2018An Equilibrium Capital Asset Pricing Model in Markets with Price Jumps and Price Bubbles In: Quarterly Journal of Finance (QJF).
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2020The Effects of Yield Control Monetary Policy: A Helicopter Money Drop to Financial Institutions In: Quarterly Journal of Finance (QJF).
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2022Index Design: Hedging and Manipulation In: Quarterly Journal of Finance (QJF).
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2017The Economic Foundations of Risk Management:Theory, Practice, and Applications In: World Scientific Books.
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2008Financial Derivatives Pricing:Selected Works of Robert Jarrow In: World Scientific Books.
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2008LIQUIDITY PREMIUMS AND THE EXPECTATIONS HYPOTHESIS In: World Scientific Book Chapters.
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2008THE PRICING OF COMMODITY OPTIONS WITH STOCHASTIC INTEREST RATES In: World Scientific Book Chapters.
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2008PRICING OPTIONS ON RISKY ASSETS IN A STOCHASTIC INTEREST RATE ECONOMY In: World Scientific Book Chapters.
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2017Introduction In: World Scientific Book Chapters.
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2017Primary Assets In: World Scientific Book Chapters.
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2017Derivatives In: World Scientific Book Chapters.
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2017Market Risk (Equities, FX, Commodities) In: World Scientific Book Chapters.
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2017Market Risk (Interest Rates) In: World Scientific Book Chapters.
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2017Credit Risk In: World Scientific Book Chapters.
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2017Liquidity Risk In: World Scientific Book Chapters.
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2017Trading Constraints In: World Scientific Book Chapters.
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2017Individuals In: World Scientific Book Chapters.
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2017Firms In: World Scientific Book Chapters.
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2017Banks In: World Scientific Book Chapters.
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2017Diversification In: World Scientific Book Chapters.
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2017Static Hedging In: World Scientific Book Chapters.
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2017Dynamic Hedging In: World Scientific Book Chapters.
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2017Penn Square Bank (1982) In: World Scientific Book Chapters.
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2017Metallgesellschaft (1993) In: World Scientific Book Chapters.
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2017Orange County (1994) In: World Scientific Book Chapters.
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2017Barings Bank (1995) In: World Scientific Book Chapters.
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2017Long Term Capital Management (1998) In: World Scientific Book Chapters.
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