34
H index
67
i10 index
5939
Citations
Cornell University (95% share) | 34 H index 67 i10 index 5939 Citations RESEARCH PRODUCTION: 165 Articles 22 Papers 3 Books 72 Chapters EDITOR: Books edited 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 | |
---|---|---|
2025 | Model-free Analysis of Dynamic Trading Strategies. (2025). Xu, Renyuan ; Cont, Rama ; Ananova, Anna. In: Papers. RePEc:arx:papers:2011.02870. Full description at Econpapers || Download paper | |
2024 | The American put with finite-time maturity and stochastic interest rate. (2024). de Angelis, Tiziano ; Palczewski, Jan ; Cai, Cheng. In: Papers. RePEc:arx:papers:2104.08502. Full description at Econpapers || Download paper | |
2024 | Moment Matching Method for Pricing Spread Options with Mean-Variance Mixture L\evy Motions. (2024). Rachev, Svetlozar T ; Sayit, Hasanjan ; Hu, Dongdong. In: Papers. RePEc:arx:papers:2109.02872. Full description at Econpapers || Download paper | |
2024 | Options Pricing under Bayesian MS-VAR Process. (2024). Gankhuu, Battulga. In: Papers. RePEc:arx:papers:2109.05998. Full description at Econpapers || Download paper | |
2025 | Cash-subadditive risk measures without quasi-convexity. (2025). Han, Xia ; Wang, Ruodu ; Xia, Jianming. In: Papers. RePEc:arx:papers:2110.12198. Full description at Econpapers || Download paper | |
2024 | Stopping Times Occurring Simultaneously. (2024). Protter, Philip ; Quintos, Alejandra. In: Papers. RePEc:arx:papers:2111.09458. Full description at Econpapers || Download paper | |
2025 | Pricing and hedging of SOFR derivatives. (2025). Bickersteth, Matthew ; Rutkowski, Marek. In: Papers. RePEc:arx:papers:2112.14033. Full description at Econpapers || Download paper | |
2024 | Distance between closed sets and the solutions to stochastic partial differential equations. (2024). Nakayama, Toshiyuki ; Tappe, Stefan. In: Papers. RePEc:arx:papers:2205.00279. Full description at Econpapers || Download paper | |
2024 | Automated Market Making and Loss-Versus-Rebalancing. (2024). Roughgarden, Tim ; Milionis, Jason ; Moallemi, Ciamac C ; Zhang, Anthony Lee. In: Papers. RePEc:arx:papers:2208.06046. Full description at Econpapers || Download paper | |
2024 | Detecting asset price bubbles using deep learning. (2024). Meyer-Brandis, Thilo ; Gonon, Lukas ; Biagini, Francesca ; Mazzon, Andrea. In: Papers. RePEc:arx:papers:2210.01726. Full description at Econpapers || Download paper | |
2024 | The law of one price in quadratic hedging and mean-variance portfolio selection. (2024). Černý, Aleš ; Czichowsky, Christoph ; Vcern, Alevs. In: Papers. RePEc:arx:papers:2210.15613. Full description at Econpapers || Download paper | |
2024 | Optimal exercise of American options under time-dependent Ornstein-Uhlenbeck processes. (2024). Garc, Eduardo ; D'Auria, Bernardo ; Azze, Abel. In: Papers. RePEc:arx:papers:2211.04095. Full description at Econpapers || Download paper | |
2024 | Randomization of Short-Rate Models, Analytic Pricing and Flexibility in Controlling Implied Volatilities. (2024). Grzelak, Lech A. In: Papers. RePEc:arx:papers:2211.05014. Full description at Econpapers || Download paper | |
2024 | Continuous-Time Monotone Mean-Variance Portfolio Selection in Jump-Diffusion Model. (2024). Liang, Zongxia ; Pang, Shunzhi. In: Papers. RePEc:arx:papers:2211.12168. Full description at Econpapers || Download paper | |
2025 | A Comprehensive Survey on Enterprise Financial Risk Analysis from Big Data Perspective. (2025). Zhao, YU ; Du, Huaming. In: Papers. RePEc:arx:papers:2211.14997. Full description at Econpapers || Download paper | |
2025 | HJM Local Volatility Model. (2025). Belyaev, V M. In: Papers. RePEc:arx:papers:2301.13595. Full description at Econpapers || Download paper | |
2024 | Data-driven Approach for Static Hedging of Exchange Traded Options. (2024). Dhandapani, Vikranth Lokeshwar ; Jain, Shashi. In: Papers. RePEc:arx:papers:2302.00728. Full description at Econpapers || Download paper | |
2024 | Nash equilibria for relative investors with (non)linear price impact. (2024). Goll, Tamara ; Bauerle, Nicole. In: Papers. RePEc:arx:papers:2303.18161. Full description at Econpapers || Download paper | |
2024 | Unifying Market Microstructure and Dynamic Asset Pricing. (2024). Hu, Yuan ; Rachev, Svetlozar T ; Lauria, Davide ; Lindquist, Brent W. In: Papers. RePEc:arx:papers:2304.02356. Full description at Econpapers || Download paper | |
2024 | COVID-19 Demand Shocks Revisited: Did Advertising Technology Help Mitigate Adverse Consequences for Small and Midsize Businesses?. (2024). Bart, Yakov ; Lee, Shun-Yang ; Schneider, J W ; Runge, Julian ; Yoo, Daniel ; Gyurak, Anett. In: Papers. RePEc:arx:papers:2307.09035. Full description at Econpapers || Download paper | |
2024 | Reconciling Open Interest with Traded Volume in Perpetual Swaps. (2024). Giagkiozis, Ioannis ; Said, Emilio. In: Papers. RePEc:arx:papers:2310.14973. Full description at Econpapers || Download paper | |
2024 | Discretization of continuous-time arbitrage strategies in financial markets with fractional Brownian motion. (2024). Wunderlich, Ralf ; Lamert, Kerstin ; Auer, Benjamin R. In: Papers. RePEc:arx:papers:2311.15635. Full description at Econpapers || Download paper | |
2024 | Market Misconduct in Decentralized Finance (DeFi): Analysis, Regulatory Challenges and Policy Implications. (2024). Wang, Zhipeng ; Xiong, Xihan ; Knottenbelt, William ; Cui, Tianxiang ; Huth, Michael. In: Papers. RePEc:arx:papers:2311.17715. Full description at Econpapers || Download paper | |
2024 | Cross-Currency Heath-Jarrow-Morton Framework in the Multiple-Curve Setting. (2024). Lavagnini, Silvia ; Gnoatto, Alessandro. In: Papers. RePEc:arx:papers:2312.13057. Full description at Econpapers || Download paper | |
2024 | Analyzing Currency Fluctuations: A Comparative Study of GARCH, EWMA, and IV Models for GBP/USD and EUR/GBP Pairs. (2024). Tondapu, Narayan. In: Papers. RePEc:arx:papers:2402.07435. Full description at Econpapers || Download paper | |
2024 | Finding Moving-Band Statistical Arbitrages via Convex-Concave Optimization. (2024). Schmelzer, Thomas ; Boyd, Stephen ; Johansson, Kasper. In: Papers. RePEc:arx:papers:2402.08108. Full description at Econpapers || Download paper | |
2025 | A Unifying Approach for the Pricing of Debt Securities. (2025). Vachon, Marie-Claude ; MacKay, Anne. In: Papers. RePEc:arx:papers:2403.06303. Full description at Econpapers || Download paper | |
2024 | Deep Limit Order Book Forecasting. (2024). Bartolucci, Silvia ; Aste, Tomaso ; Briola, Antonio. In: Papers. RePEc:arx:papers:2403.09267. Full description at Econpapers || Download paper | |
2024 | A Markov approach to credit rating migration conditional on economic states. (2024). Packham, Natalie ; Kalkbrener, Michael. In: Papers. RePEc:arx:papers:2403.14868. Full description at Econpapers || Download paper | |
2024 | Sequential monitoring for explosive volatility regimes. (2024). Wang, Shixuan ; Horvath, Lajos ; Trapani, Lorenzo. In: Papers. RePEc:arx:papers:2404.17885. Full description at Econpapers || Download paper | |
2024 | Testing for an Explosive Bubble using High-Frequency Volatility. (2024). Yu, Jun ; Zu, Yang ; Boswijk, Peter H. In: Papers. RePEc:arx:papers:2405.02087. Full description at Econpapers || Download paper | |
2024 | Inflation Models with Correlation and Skew. (2024). Ogetbil, Orcan ; Hientzsch, Bernhard. In: Papers. RePEc:arx:papers:2405.05101. Full description at Econpapers || Download paper | |
2024 | Risk-neutral valuation of options under arithmetic Brownian motions. (2024). Jiao, Yuhan ; Guo, Shuxin ; Liu, Qiang. In: Papers. RePEc:arx:papers:2405.11329. Full description at Econpapers || Download paper | |
2024 | Dynamically Consistent Analysis of Realized Covariations in Term Structure Models. (2024). Schroers, Dennis. In: Papers. RePEc:arx:papers:2406.19412. Full description at Econpapers || Download paper | |
2025 | A note on Refracted Skew Brownian Motion with an application. (2025). Ahmadi, Zaniar ; Zhou, Xiaowen. In: Papers. RePEc:arx:papers:2407.09321. Full description at Econpapers || Download paper | |
2024 | MLP, XGBoost, KAN, TDNN, and LSTM-GRU Hybrid RNN with Attention for SPX and NDX European Call Option Pricing. (2024). Beigi, Homayoon ; Ter-Avanesov, Boris. In: Papers. RePEc:arx:papers:2409.06724. Full description at Econpapers || Download paper | |
2024 | Heat modulated affine stochastic volatility models for forward curve dynamics. (2024). Karbach, Sven. In: Papers. RePEc:arx:papers:2409.13070. Full description at Econpapers || Download paper | |
2024 | Modeling and Replication of the Prepayment Option of Mortgages including Behavioral Uncertainty. (2024). Oosterlee, Cornelis W ; Grzelak, Lech A ; Perotti, Leonardo. In: Papers. RePEc:arx:papers:2410.21110. Full description at Econpapers || Download paper | |
2025 | Real-world models for multiple term structures: a unifying HJM semimartingale framework. (2025). Tappe, Stefan ; Platen, Eckhard ; Fontana, Claudio. In: Papers. RePEc:arx:papers:2411.01983. Full description at Econpapers || Download paper | |
2024 | Short-maturity options on realized variance in local-stochastic volatility models. (2024). Wang, Xiaoyu ; Pirjol, Dan ; Zhu, Lingjiong. In: Papers. RePEc:arx:papers:2411.02520. Full description at Econpapers || Download paper | |
2025 | Smart leverage? Rethinking the role of Leveraged Exchange Traded Funds in constructing portfolios to beat a benchmark. (2025). Li, Yuying ; van Staden, Pieter ; Forsyth, Peter. In: Papers. RePEc:arx:papers:2412.05431. Full description at Econpapers || Download paper | |
2024 | Isogeometric Analysis for the Pricing of Financial Derivatives with Nonlinear Models: Convertible Bonds and Options. (2024). Wei, Dongming ; Kazbek, Rakhymzhan ; Erlangga, Yogi ; Amanbek, Yerlan. In: Papers. RePEc:arx:papers:2412.08987. Full description at Econpapers || Download paper | |
2024 | Battery valuation on electricity intraday markets with liquidity costs. (2024). Warin, Xavier ; Deschatre, Thomas ; Cogn, Enzo. In: Papers. RePEc:arx:papers:2412.15959. Full description at Econpapers || Download paper | |
2025 | Asset Pricing Model in Markets of Imperfect Information and Subjective Views. (2025). Bellalah, Makram ; ben Amar, Amine ; Lalioui, Hafid. In: Papers. RePEc:arx:papers:2501.11983. Full description at Econpapers || Download paper | |
2025 | Growing the Efficient Frontier on Panel Trees. (2025). Feng, Guanhao ; He, Jingyu ; Cong, Lin William. In: Papers. RePEc:arx:papers:2501.16730. Full description at Econpapers || Download paper | |
2025 | Modeling portfolio loss distribution under infectious defaults and immunization. (2025). Farina, Gianluca ; Torri, Gabriele ; Giacometti, Rosella. In: Papers. RePEc:arx:papers:2503.03306. Full description at Econpapers || Download paper | |
2025 | No Fear of Discounting How to Manage the Transition from EONIA to ESTR. (2025). Bianchetti, Marco ; Scaringi, Marco. In: Papers. RePEc:arx:papers:2503.06806. Full description at Econpapers || Download paper | |
2025 | Pool Value Replication (CPM) and Impermanent Loss Hedging. (2025). Gonzalez, Agustin Munoz ; Sequeira, Juan Ignacio ; Dembling, Ariel. In: Papers. RePEc:arx:papers:2503.21967. Full description at Econpapers || Download paper | |
2024 | Hedging with Financial Derivatives and Firm Performance of Consumer Goods Companies Listed on Nigeria Exchange Group. (2024). Bamidele, Oyegbile Akeem. In: International Journal of Research and Innovation in Social Science. RePEc:bcp:journl:v:8:y:2024:i:1:p:2358-2373. Full description at Econpapers || Download paper | |
2025 | Forecasting corporate default probabilities: a local logit approach for scenario analysis. (2025). Quaglia, Ivan ; Ciocchetta, Federica ; Pietrosanti, Stefano ; Cascarino, Giuseppe. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_909_25. Full description at Econpapers || Download paper | |
2024 | Approaches to Default Probability Estimation of Credit Rating Agencies Rating Scales. (2024). Ozerov, Kirill ; Kutenko, Sergey. In: Russian Journal of Money and Finance. RePEc:bkr:journl:v:83:y:2024:i:4:p:98-118. Full description at Econpapers || Download paper | |
2024 | Evolution of Chinese futures markets from a high frequency perspective. (2024). Tao, Xuan ; Drapeau, Samuel ; Wang, Tao ; Li, Zhengqiang. In: Economics and Politics. RePEc:bla:ecopol:v:36:y:2024:i:3:p:1416-1449. Full description at Econpapers || Download paper | |
2024 | Why do banks use credit default swaps (CDS)? A systematic review. (2024). , Tabassum ; Yameen, Mohammad. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:38:y:2024:i:1:p:201-231. Full description at Econpapers || Download paper | |
2024 | Lending and risk controls for BHCs after the Dodd–Frank act. (2024). Degl, Marta ; Zhou, SI. In: Journal of Financial Research. RePEc:bla:jfnres:v:47:y:2024:i:2:p:275-315. Full description at Econpapers || Download paper | |
2024 | Testing for an Explosive Bubble using High-Frequency Volatility. (2024). Yu, Jun ; Zu, Yang ; Boswijk, Peter H. In: Working Papers. RePEc:boa:wpaper:202402. Full description at Econpapers || Download paper | |
2025 | The Extent to which Contingent Convertible Leasing Protects Bank Deposits:A Barrier Option Approach. (2025). Fathi, Abid ; Asma, Khadimallah. In: China Finance and Economic Review. RePEc:bpj:cferev:v:14:y:2025:i:1:p:113-129:n:1006. Full description at Econpapers || Download paper | |
2025 | Mean-field equilibrium price formation with exponential utility. (2025). Sekine, Masashi ; Fujii, Masaaki. In: CARF F-Series. RePEc:cfi:fseres:cf594. Full description at Econpapers || Download paper | |
2025 | Martingale defects in the volatility surface and bubble conditions in the underlying. (2025). Blauth, Jrme ; Stahl, Philip. In: Publications of Darmstadt Technical University, Institute for Business Studies (BWL). RePEc:dar:wpaper:154110. Full description at Econpapers || Download paper | |
2024 | The influence of trauma insurance on quality of life among cancer survivors. (2024). Nithi, P P ; Reddy, Krishna ; Muschert, Glenn ; Hatswell, David Todd ; Wallace, Damien ; Nair, A V ; Ramiah, Vikash. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:42:y:2024:i:c:s2214635024000443. Full description at Econpapers || Download paper | |
2024 | Understanding sentiment shifts in central bank digital currencies. (2024). Corbet, Shaen ; Larkin, Charles ; Hu, Yang ; Conlon, Thomas ; Hou, Yang ; Oxley, Les. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:44:y:2024:i:c:s2214635024001035. Full description at Econpapers || Download paper | |
2024 | Corporate insider purchases and the options market: Competition among informed investors. (2024). Sulaeman, Johan ; Jeon, Byounghyun. In: Journal of Corporate Finance. RePEc:eee:corfin:v:87:y:2024:i:c:s0929119924000750. Full description at Econpapers || Download paper | |
2024 | Financial distress, bank branching deregulation, and customer-supplier relationships. (2024). Lian, Yili. In: Journal of Corporate Finance. RePEc:eee:corfin:v:88:y:2024:i:c:s0929119924001081. Full description at Econpapers || Download paper | |
2024 | Financial decisions involving credit default swaps over the business cycle. (2024). Yang, Zhaojun ; Gan, Liu. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:161:y:2024:i:c:s0165188924000228. Full description at Econpapers || Download paper | |
2024 | Credit risk contagion in complex companies network–Empirical research based on listed agricultural companies. (2024). Zhang, Wanjuan ; Wang, Jing. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:82:y:2024:i:c:p:938-953. Full description at Econpapers || Download paper | |
2024 | Analytically pricing European options in dynamic markets: Incorporating liquidity variations and economic cycles. (2024). He, Xin-Jiang ; Lin, Sha ; Pasricha, Puneet. In: Economic Modelling. RePEc:eee:ecmode:v:139:y:2024:i:c:s0264999324001962. Full description at Econpapers || Download paper | |
2024 | Target rate factors in short rate models. (2024). Harju, Antti J. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:70:y:2024:i:c:s1062940823001560. Full description at Econpapers || Download paper | |
2024 | Seemingly manipulated anomaly: Evidence from corporate site visits. (2024). Yang, Jinyu ; Cao, Jiawei ; Dong, Dayong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:73:y:2024:i:c:s1062940824001104. Full description at Econpapers || Download paper | |
2024 | Valuing American options using multi-step rebate options. (2024). Lee, Minha ; Ha, Hongjun. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001529. Full description at Econpapers || Download paper | |
2024 | Closed-form approximations for basket option pricing under normal tempered stable Lévy model. (2024). Zhong, Qifeng ; Yao, Jing ; Sayit, Hasanjan ; Hu, Dongdong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s106294082400158x. Full description at Econpapers || Download paper | |
2025 | Stock market volatility and multi-scale positive and negative bubbles. (2025). Nel, Jacobus ; Gupta, Rangan ; Pierdzioch, Christian ; Nielsen, Joshua. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:75:y:2025:i:pa:s1062940824002250. Full description at Econpapers || Download paper | |
2024 | Parametric risk-neutral density estimation via finite lognormal-Weibull mixtures. (2024). Li, Yifan ; Pham, Manh Cuong ; Nolte, Ingmar. In: Journal of Econometrics. RePEc:eee:econom:v:241:y:2024:i:2:s0304407624000940. Full description at Econpapers || Download paper | |
2024 | Machine learning in bank merger prediction: A text-based approach. (2024). Leledakis, George ; Katsafados, Apostolos ; Fergadiotis, Manos ; Androutsopoulos, Ion ; Pyrgiotakis, Emmanouil G. In: European Journal of Operational Research. RePEc:eee:ejores:v:312:y:2024:i:2:p:783-797. Full description at Econpapers || Download paper | |
2024 | A new bivariate approach for modeling the interaction between stock volatility and interest rate: An application to S&P500 returns and options. (2024). Guizzardi, Andrea ; Ballestra, Luca Vincenzo ; Dinnocenzo, Enzo. In: European Journal of Operational Research. RePEc:eee:ejores:v:314:y:2024:i:3:p:1185-1194. Full description at Econpapers || Download paper | |
2024 | Variance swaps with mean reversion and multi-factor variance. (2024). Ye, Wuyi ; Chen, Pengzhan ; Wu, Bin. In: European Journal of Operational Research. RePEc:eee:ejores:v:315:y:2024:i:1:p:191-212. Full description at Econpapers || Download paper | |
2024 | An efficient and provable sequential quadratic programming method for American and swing option pricing. (2024). Huang, Weizhang ; Shen, Jinye ; Ma, Jingtang. In: European Journal of Operational Research. RePEc:eee:ejores:v:316:y:2024:i:1:p:19-35. Full description at Econpapers || Download paper | |
2025 | Contagion network, portfolio credit risk, and financial crisis. (2025). Wu, Rongwen ; Li, Fei ; Fu, Michael C. In: European Journal of Operational Research. RePEc:eee:ejores:v:321:y:2025:i:3:p:942-957. Full description at Econpapers || Download paper | |
2024 | Technological disparity and its impact on market quality. (2024). Kim, Seo Young ; Chung, Kiseo. In: Journal of Empirical Finance. RePEc:eee:empfin:v:75:y:2024:i:c:s0927539823001111. Full description at Econpapers || Download paper | |
2024 | Option valuation via nonaffine dynamics with realized volatility. (2024). Wang, Zerong ; Zhang, Yuanyuan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:77:y:2024:i:c:s0927539824000215. Full description at Econpapers || Download paper | |
2024 | Monetary policy uncertainty and the price bubbles in energy markets. (2024). Cao, Yang ; Yang, Jinyu ; Dong, Dayong ; Liang, Chao. In: Energy Economics. RePEc:eee:eneeco:v:133:y:2024:i:c:s0140988324002111. Full description at Econpapers || Download paper | |
2024 | International banking regulation and Tier 1 capital ratios. On the robustness of the critical average risk weight framework. (2024). Beaupain, Renaud ; Braouezec, Yann. In: International Review of Financial Analysis. RePEc:eee:finana:v:91:y:2024:i:c:s1057521923005410. Full description at Econpapers || Download paper | |
2024 | Does short selling reduce classification shifting?—— Exploration of market-oriented governance mechanism. (2024). Bai, Xuelian ; He, Meng ; Zhang, Junrui. In: International Review of Financial Analysis. RePEc:eee:finana:v:93:y:2024:i:c:s105752192400125x. Full description at Econpapers || Download paper | |
2024 | The financial health of a company and the risk of its default: Back to the future. (2024). Dainelli, Francesco ; Bet, Gianmarco ; Fabrizi, Eugenio. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pb:s1057521924003818. Full description at Econpapers || Download paper | |
2024 | The link between abnormal numbers and price movements of financial securities: How does Benford’s law predict stock returns?. (2024). Belkacem, Lotfi ; ben Hamida, Amal ; de Peretti, Christian. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pc:s1057521924004496. Full description at Econpapers || Download paper | |
2024 | Exploiting the potential of a directional changes-based trading algorithm in the stock market. (2024). Li, Munan ; Ao, Han. In: Finance Research Letters. RePEc:eee:finlet:v:60:y:2024:i:c:s1544612323013089. Full description at Econpapers || Download paper | |
2024 | The impact of position limits on options trading. (2024). Switzer, Lorne ; Tu, Qiao. In: Finance Research Letters. RePEc:eee:finlet:v:61:y:2024:i:c:s1544612323013417. Full description at Econpapers || Download paper | |
2024 | Risk transmission, systemic fragility of banks’ interacting customers and credit worthiness assessment. (2024). Storani, Saverio ; Cerqueti, Roy ; Pampurini, Francesca ; Quaranta, Anna Grazia. In: Finance Research Letters. RePEc:eee:finlet:v:62:y:2024:i:pa:s1544612324000916. Full description at Econpapers || Download paper | |
2024 | A new estimation of default probabilities based on non-performing loans. (2024). Mayordomo, Sergio ; Garcia-Posada, Miguel ; Blanco, Roberto ; Fernandez-Ortiz, Elena. In: Finance Research Letters. RePEc:eee:finlet:v:62:y:2024:i:pb:s154461232400179x. Full description at Econpapers || Download paper | |
2024 | The price of firm-level information uncertainty. (2024). Wang, XI ; Gao, Chao. In: Finance Research Letters. RePEc:eee:finlet:v:67:y:2024:i:pa:s1544612324008122. Full description at Econpapers || Download paper | |
2024 | Time-varying default risk of Chinese-listed companies: From empirical test to theoretical conjecture. (2024). Qin, Zhaohui ; Chen, Yijie ; Fan, Yali ; Wang, Xiaowan ; Andrianarimanana, Mihasina Harinaivo ; Duok, Dhornor Tarir. In: Finance Research Letters. RePEc:eee:finlet:v:67:y:2024:i:pa:s1544612324008699. Full description at Econpapers || Download paper | |
2024 | Synthetic cap rate indices (1991-Covid era). (2024). Barratt, Joshua G ; Ilut, Daniel C ; Christopoulos, Andreas D. In: Global Finance Journal. RePEc:eee:glofin:v:60:y:2024:i:c:s1044028324000334. Full description at Econpapers || Download paper | |
2024 | Estimating probability of default via delinquencies? Evidence from European P2P lending market. (2024). Shams, Syed ; Nigmonov, Asror ; Urbonas, Povilas. In: Global Finance Journal. RePEc:eee:glofin:v:63:y:2024:i:c:s1044028324001224. Full description at Econpapers || Download paper | |
2024 | Construct Smith-Wilson risk-free interest rate curves with endogenous and positive ultimate forward rates. (2024). Jia, Zijian ; Wu, Lan ; Zhao, Chaoyi. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:114:y:2024:i:c:p:156-175. Full description at Econpapers || Download paper | |
2024 | Pricing guaranteed annuity options in a linear-rational Wishart mortality model. (2024). DA FONSECA, José. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:115:y:2024:i:c:p:122-131. Full description at Econpapers || Download paper | |
2024 | Value-enhancing modeling of surrenders and lapses. (2024). Hwang, Yawen ; Huang, Hsiao-Tzu ; Tsai, Chenghsien Jason ; Chan, Linus Fang-Shu. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:119:y:2024:i:c:p:48-63. Full description at Econpapers || Download paper | |
2024 | Default dependence in the insurance and banking sectors: A copula approach. (2024). Zhao, Yang ; Zhang, Xuan ; Kim, Minjoo ; Yan, Cheng. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:91:y:2024:i:c:s1042443123001798. Full description at Econpapers || Download paper | |
2024 | The efficiency of the Estr overnight index swap market. (2024). Realdon, Marco. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:91:y:2024:i:c:s104244312400009x. Full description at Econpapers || Download paper | |
2025 | Forecasting interest rates with shifting endpoints: The role of the functional demographic age distribution. (2025). Niu, Linlin ; Hong, Zhiwu ; Chen, Jiazi. In: International Journal of Forecasting. RePEc:eee:intfor:v:41:y:2025:i:1:p:153-174. Full description at Econpapers || Download paper | |
2024 | Corporate bankruptcy and banking deregulation: The effect of financial leverage. (2024). Rossi, Ludovico ; Dufour, Alfonso ; Varotto, Simone ; Cathcart, Lara. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:166:y:2024:i:c:s0378426624001365. Full description at Econpapers || Download paper | |
2025 | Modeling and pricing credit risk with a focus on recovery risk. (2025). Liu, Haibo ; Tang, Qihe. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:170:y:2025:i:c:s0378426624002310. Full description at Econpapers || Download paper | |
2025 | A new measure for differences of opinions: Institutional trade dispersion. (2025). Alldredge, Dallin M ; Caglayan, Mustafa O. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:170:y:2025:i:c:s0378426624002486. Full description at Econpapers || Download paper | |
2024 | Digital transformation and firms’ bargaining power: Evidence from China. (2024). Zhu, Yongyi ; Yu, DI. In: Journal of Business Research. RePEc:eee:jbrese:v:183:y:2024:i:c:s0148296324003552. Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
Year | Title | Type | Cited |
---|
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 |
2023 | Inflation-Adjusted Bonds, Swaps, and Derivatives 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 | 51 |
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 | 22 |
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 | 28 |
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 | 4 |
2014 | The economic default time and the arcsine law.(2014) In: Journal of Financial Engineering (JFE). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | article | |
2011 | Is there a bubble in LinkedIns stock price? In: Papers. [Full Text][Citation analysis] | paper | 11 |
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 nother version. Agregated cites: 4 | article | |
2021 | The Low-volatility Anomaly and the Adaptive Multi-Factor Model In: Papers. [Full Text][Citation analysis] | paper | 3 |
2023 | THE LOW-VOLATILITY ANOMALY AND THE ADAPTIVE MULTI-FACTOR MODEL.(2023) In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | article | |
2021 | Time-Invariance Coefficients Tests with the Adaptive Multi-Factor Model In: Papers. [Full Text][Citation analysis] | paper | 4 |
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 nother version. Agregated cites: 4 | article | |
2022 | Computing the Probability of a Financial Market Failure: A New Measure of Systemic Risk In: Papers. [Full Text][Citation analysis] | paper | 1 |
2024 | Computing the probability of a financial market failure: a new measure of systemic risk.(2024) In: Annals of Operations Research. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
2023 | Enlargement of Filtrations: An Exposition of Core Ideas with Financial Examples In: Papers. [Full Text][Citation analysis] | paper | 0 |
2024 | 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 nother 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 nother version. Agregated cites: 37 | chapter | |
2015 | Simulating and validating a multi-factor Heath, Jarrow and Morton model with negative interest rates In: Journal of Risk Management in Financial Institutions. [Full Text][Citation analysis] | article | 0 |
2023 | A bottom-up, reduced form credit risk model approach for the determination of collateralised loan obligation capital In: Journal of Risk Management in Financial Institutions. [Full Text][Citation analysis] | article | 1 |
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 | 6 |
2019 | Fair Microfinance Loan Rates In: International Review of Finance. [Full Text][Citation analysis] | article | 4 |
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 | 1 |
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 | 13 |
1980 | Heterogeneous Expectations, Restrictions on Short Sales, and Equilibrium Asset Prices. In: Journal of Finance. [Full Text][Citation analysis] | article | 99 |
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 nother version. Agregated cites: 7 | chapter | |
1989 | Primes and Scores: An Essay on Market Imperfections. In: Journal of Finance. [Full Text][Citation analysis] | article | 9 |
1995 | Pricing Derivatives on Financial Securities Subject to Credit Risk. In: Journal of Finance. [Full Text][Citation analysis] | article | 640 |
2008 | Pricing Derivatives on Financial Securities Subject to Credit Risk.(2008) In: World Scientific Book Chapters. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 640 | chapter | |
2001 | Counterparty Risk and the Pricing of Defaultable Securities In: Journal of Finance. [Full Text][Citation analysis] | article | 263 |
2008 | Counterparty Risk and the Pricing of Defaultable Securities.(2008) In: World Scientific Book Chapters. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 263 | 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 | 39 |
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 | 45 |
2002 | Put Option Premiums and Coherent Risk Measures In: Mathematical Finance. [Full Text][Citation analysis] | article | 17 |
2005 | DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS In: Mathematical Finance. [Full Text][Citation analysis] | article | 93 |
2008 | DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS.(2008) In: World Scientific Book Chapters. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 93 | chapter | |
2009 | MODELING THE RECOVERY RATE IN A REDUCED FORM MODEL In: Mathematical Finance. [Full Text][Citation analysis] | article | 12 |
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 nother version. Agregated cites: 3 | paper | |
2018 | Optimal cash holdings under heterogeneous beliefs In: Mathematical Finance. [Full Text][Citation analysis] | article | 3 |
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 | 6 |
1992 | ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS In: Mathematical Finance. [Full Text][Citation analysis] | article | 155 |
2008 | ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS.(2008) In: World Scientific Book Chapters. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 155 | chapter | |
1992 | Pricing Options On Risky Assets In A Stochastic Interest Rate Economy1 In: Mathematical Finance. [Full Text][Citation analysis] | article | 72 |
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 | 21 |
2008 | Commercial Mortgage‐Backed Securities (CMBS) and Market Efficiency with Respect to Costly Information In: Real Estate Economics. [Full Text][Citation analysis] | article | 11 |
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 nother 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 nother 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 nother 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 | 90 |
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 | 159 |
2008 | Market Manipulation, Bubbles, Corners, and Short Squeezes.(2008) In: World Scientific Book Chapters. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 159 | chapter | |
1994 | Derivative Security Markets, Market Manipulation, and Option Pricing Theory In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 67 |
2008 | Derivative Security Markets, Market Manipulation, and Option Pricing Theory.(2008) In: World Scientific Book Chapters. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 67 | 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 | 29 |
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 | 65 |
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 nother version. Agregated cites: 65 | 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 | 1047 |
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 nother version. Agregated cites: 1047 | 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 | 8 |
2014 | Specification Tests of Calibrated Option Pricing Models.(2014) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | paper | |
2000 | Bayesian analysis of contingent claim model error In: Journal of Econometrics. [Full Text][Citation analysis] | article | 34 |
2023 | Futures contract collateralization and its implications In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 0 |
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 | 1 |
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 | 30 |
2010 | Understanding the risk of leveraged ETFs In: Finance Research Letters. [Full Text][Citation analysis] | article | 22 |
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 | 9 |
2018 | CMBS market efficiency: The crisis and the recovery In: Journal of Financial Stability. [Full Text][Citation analysis] | article | 2 |
2022 | Risk premia, asset price bubbles, and monetary policy In: Journal of Financial Stability. [Full Text][Citation analysis] | article | 3 |
1998 | The arbitrage-free valuation and hedging of demand deposits and credit card loans In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 51 |
2000 | The intersection of market and credit risk In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 118 |
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 nother version. Agregated cites: 15 | chapter | |
2013 | A leverage ratio rule for capital adequacy In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 37 |
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 | 52 |
1982 | Approximate option valuation for arbitrary stochastic processes In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 247 |
2008 | APPROXIMATE OPTION VALUATION FOR ARBITRARY STOCHASTIC PROCESSES.(2008) In: World Scientific Book Chapters. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 247 | 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 | 61 |
2010 | Reduced-form valuation of callable corporate bonds: Theory and evidence In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 11 |
1981 | Forward contracts and futures contracts In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 39 |
2008 | FORWARD CONTRACTS AND FUTURES CONTRACTS.(2008) In: World Scientific Book Chapters. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 39 | chapter | |
1991 | Pricing foreign currency options under stochastic interest rates In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 98 |
2008 | Pricing foreign currency options under stochastic interest rates.(2008) In: World Scientific Book Chapters. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 98 | chapter | |
2018 | On aggregation and representative agent equilibria In: Journal of Mathematical Economics. [Full Text][Citation analysis] | article | 8 |
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 | 1 | |
2018 | Portfolio balance effects and the Federal Reserve’s large-scale asset purchases In: Studies in Economics and Finance. [Full Text][Citation analysis] | article | 1 |
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 | 5 |
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 | 45 |
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 | 20 |
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 |
2023 | The no-arbitrage pricing of non-traded assets In: Annals of Finance. [Full Text][Citation analysis] | article | 0 |
2025 | No arbitrage for a special class of filtration expansions 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 nother 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 | 9 |
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 | 7 |
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 | 12 |
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 | 14 |
2019 | Exploring Mispricing in the Term Structure of CDS Spreads In: Review of Finance. [Full Text][Citation analysis] | article | 11 |
2004 | Bankruptcy Prediction with Industry Effects In: Review of Finance. [Full Text][Citation analysis] | article | 351 |
2008 | Bankruptcy Prediction with Industry Effects.(2008) In: World Scientific Book Chapters. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 351 | chapter | |
1997 | A Markov Model for the Term Structure of Credit Risk Spreads. In: The Review of Financial Studies. [Citation analysis] | article | 479 |
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 nother version. Agregated cites: 479 | chapter | |
1999 | The Second Fundamental Theorem of Asset Pricing: A New Approach. In: The Review of Financial Studies. [Citation analysis] | article | 23 |
2006 | Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence In: The Review of Financial Studies. [Full Text][Citation analysis] | article | 67 |
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 nother version. Agregated cites: 67 | chapter | |
1988 | Preferences, Continuity, and the Arbitrage Pricing Theory In: The 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: The Review of Financial Studies. [Full Text][Citation analysis] | article | 24 |
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 nother version. Agregated cites: 24 | chapter | |
Credit rating accuracy and incentives In: Journal of Credit Risk. [Full Text][Citation analysis] | article | 0 | |
A robust test of Mertons structural model for credit risk In: Journal of Risk. [Full Text][Citation analysis] | article | 0 | |
Arbitrage, martingales, and private monetary value In: Journal of Risk. [Full Text][Citation analysis] | article | 0 | |
Estimating expected losses and liquidity discounts implicit in debt prices In: Journal of Risk. [Full Text][Citation analysis] | article | 0 | |
Risk measures and the impact of asset price bubbles In: Journal of Risk. [Full Text][Citation analysis] | article | 0 | |
Asset price bubbles and risk management In: Journal of Risk. [Full Text][Citation analysis] | article | 0 | |
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 | 21 |
2021 | Concavity, stochastic utility, and risk aversion In: Finance and Stochastics. [Full Text][Citation analysis] | article | 2 |
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 | 142 |
2008 | Liquidity risk and arbitrage pricing theory.(2008) In: World Scientific Book Chapters. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 142 | chapter | |
2021 | Inferring Financial Bubbles from Option Data In: Working Papers. [Full Text][Citation analysis] | paper | 8 |
2021 | Inferring financial bubbles from option data.(2021) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | 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 | 9 |
2022 | Funding shortages, expectations, and forward rate risk premium In: Quantitative Finance. [Full Text][Citation analysis] | article | 0 |
2023 | Media trading groups and short selling manipulation In: Quantitative Finance. [Full Text][Citation analysis] | article | 0 |
2024 | A study on asset price bubble dynamics: explosive trend or quadratic variation? In: Quantitative Finance. [Full Text][Citation analysis] | article | 0 |
2001 | Default Parameter Estimation Using Market Prices In: Financial Analysts Journal. [Full Text][Citation analysis] | article | 14 |
1984 | Jump Risks and the Intertemporal Capital Asset Pricing Model. In: The Journal of Business. [Full Text][Citation analysis] | article | 101 |
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 nother 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 | 7 |
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 | 35 |
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 | 2 |
2024 | FITTING DYNAMICALLY CONSISTENT FORWARD RATE CURVES: ALGORITHM AND COMPARISON 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 | 1 |
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 |
2024 | Option Pricing in an Incomplete Market In: Quarterly Journal of Finance (QJF). [Full Text][Citation analysis] | article | 0 |
2024 | A Credit Spread Decomposition: A Resolution of the Credit Spread Puzzle 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 | 2 |
2024 | An Introduction to Derivative Securities, Financial Markets, and Risk Management In: World Scientific Books. [Full Text][Citation analysis] | book | 0 |
2008 | Financial Derivatives Pricing:Selected Works of Robert Jarrow In: World Scientific Books. [Full Text][Citation analysis] | book | 0 |
2023 | Asset Price Bubbles, Wealth Preserving, Dominating and Replicating Trading Strategies In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
2024 | Derivatives and Risk Management In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
2024 | Interest Rates In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
2024 | Stocks In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
2024 | Forwards and Futures In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
2024 | Options In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
2024 | Arbitrage and Trading In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
2024 | Financial Engineering and Swaps In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
2024 | Forwards and Futures Markets In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
2024 | Futures Trading In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
2024 | Futures Regulations In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
2024 | The Cost-of-Carry Model In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
2024 | The Extended Cost-of-Carry Model In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
2024 | Futures Hedging In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
2024 | Options Markets and Trading In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
2024 | Option Trading Strategies In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
2024 | Option Relations In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
2024 | Single-Period Binomial Model In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
2024 | Multiperiod Binomial Model In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
2024 | The Black–Scholes–Merton Model In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
2024 | Using the Black–Scholes–Merton Model In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
2024 | Yields and Forward Rates In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
2024 | Interest Rate Swaps In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
2024 | Single-Period Binomial Heath–Jarrow–Morton Model In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
2024 | Multiperiod Binomial HJM Model In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
2024 | The Heath–Jarrow–Morton Libor Model In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
2024 | Risk Management Models In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 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 | 36 |
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. Last updated April, 14 2025. Contact: CitEc Team