34
H index
50
i10 index
20804
Citations
Massachusetts Institute of Technology (MIT) | 34 H index 50 i10 index 20804 Citations RESEARCH PRODUCTION: 51 Articles 37 Papers 1 Books 10 Chapters RESEARCH ACTIVITY:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with robert c. merton. | Is cited by: | Cites to: |
Working Papers Series with more than one paper published | # docs |
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NBER Working Papers / National Bureau of Economic Research, Inc | 18 |
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2022 | Option Pricing Under an Abnormal Economy: using the Square Root of the Brownian Motion. (2022). Wong, Wing-Keung ; Alghalith, Moawia. In: Advances in Decision Sciences. RePEc:aag:wpaper:v:26:y:2022:i:special:p:4-18. Full description at Econpapers || Download paper | |
2022 | Exploring the Dynamics of Investors’ Decision Making in Pakistan Stock Market: A Study of Herding Behavior. (2022). Amin, Khurram ; Rasheed, Muhammad Haroon ; Sadiq, Salma ; Hussain, Mumtaz. In: Journal of Economic Impact. RePEc:adx:journl:v:4:y:2022:i:1:p:165-173. Full description at Econpapers || Download paper | |
2022 | Popular Personal Financial Advice versus the Professors. (2022). Choi, James J. In: Journal of Economic Perspectives. RePEc:aea:jecper:v:36:y:2022:i:4:p:167-92. Full description at Econpapers || Download paper | |
2022 | Assessing the performance of mutual funds. (2022). Radu, Iulian ; Iacob, Tefan Virgil ; Anghel, Mdlina-Gabriela ; Anghelache, Constantin. In: Theoretical and Applied Economics. RePEc:agr:journl:v:2(631):y:2022:i:2(631):p:175-186. Full description at Econpapers || Download paper | |
2022 | Model for estimating the profitability of placing asset portfolios on the capital market. (2022). Grigorescu, Dana Luiza ; Iacob, Tefan Virgil ; Anghel, Mdlina-Gabriela ; Anghelache, Constantin. In: Theoretical and Applied Economics. RePEc:agr:journl:v:2(631):y:2022:i:2(631):p:187-195. Full description at Econpapers || Download paper | |
2023 | Measuring stock market uncertainty. (2023). Dakey, Prasad Teja. In: Theoretical and Applied Economics. RePEc:agr:journl:v:2(635):y:2023:i:2(635):p:149-162. Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2023 | Innovations for the Water Resource Economics Curriculum: Training the Next Generation. (2023). Ward, Frank A. In: Applied Economics Teaching Resources (AETR). RePEc:ags:aaeatr:334692. Full description at Econpapers || Download paper | |
2023 | Is Climate Transition Risk Priced into Corporate Credit Risk? Evidence from Credit Default Swaps. (2023). Ugolini, Andrea ; Ojea-Ferreiro, Javier ; Reboredo, Juan Carlos. In: FEEM Working Papers. RePEc:ags:feemwp:330720. Full description at Econpapers || Download paper | |
2023 | Corporate Social Responsibility Practices of Banking Sector in Bangladesh: An Evaluation. (2023). Islam, Md Shajedul. In: International Journal of Science and Business. RePEc:aif:journl:v:18:y:2023:i:1:p:153-164. Full description at Econpapers || Download paper | |
2022 | Long memory self-exciting jump diffusion for asset prices modeling. (2022). Hainaut, Donatien ; Njike, Charles G. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2022003. Full description at Econpapers || Download paper | |
2023 | Speeding up Monte Carlo Integration: Control Neighbors for Optimal Convergence. (2023). Segers, Johan ; Zhuman, Aigerim ; Portier, Franois ; Leluc, Remi. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2023019. Full description at Econpapers || Download paper | |
2022 | On the optimal combination of naive and mean-variance portfolio strategies. (2022). Vrins, Frederic ; Vanderveken, Rodolphe ; Lassance, Nathan. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2022006. Full description at Econpapers || Download paper | |
2023 | Valuación de Títulos de Deuda Indexados al Comportamiento de un Índice Accionario: Un Modelo con Riesgo de Crédito. (2023). Perillo, Marcelo Fabian. In: Revista de Análisis Económico y Financiero. RePEc:alp:revaef:11-01. Full description at Econpapers || Download paper | |
2022 | Reconciling TEV and VaR in Active Portfolio Management: A New Frontier. (2022). Riccetti, Luca ; Palomba, Giulio ; Nicolau, Mihaela ; Lucchetti, Riccardo (Jack). In: Working Papers. RePEc:anc:wpaper:461. Full description at Econpapers || Download paper | |
2022 | Fifty years since Altman (1968): Performance of financial distress prediction models. (2022). Singh, Manish K ; Bhatia, Surbhi . In: Working Papers. RePEc:anf:wpaper:12. Full description at Econpapers || Download paper | |
2022 | Informational efficiency of credit ratings. (2022). Thomas, Susan ; Singh, Manish K ; Aggarwal, Nidhi. In: Working Papers. RePEc:anf:wpaper:14. Full description at Econpapers || Download paper | |
2022 | Optimal investment with time-varying stochastic endowments. (2014). Chen, AN ; Stelzer, Robert ; Mereu, Carla . In: Papers. RePEc:arx:papers:1406.6245. Full description at Econpapers || Download paper | |
2022 | A Fourier interpolation method for numerical solution of FBSDEs: Global convergence, stability, and higher order discretizations. (2016). Hyndman, Cody Blaine ; Ngou, Polynice Oyono . In: Papers. RePEc:arx:papers:1410.8595. Full description at Econpapers || Download paper | |
2022 | Robust replication of barrier-style claims on price and volatility. (2017). Carr, Peter ; Lorig, Matthew. In: Papers. RePEc:arx:papers:1508.00632. Full description at Econpapers || Download paper | |
2022 | Securities Lending Strategies: Valuation of Term Loans using Option Theory. (2018). Kashyap, Ravi. In: Papers. RePEc:arx:papers:1609.01274. Full description at Econpapers || Download paper | |
2022 | Game-Theoretic Optimal Portfolios for Jump Diffusions. (2018). Garivaltis, Alexander. In: Papers. RePEc:arx:papers:1812.04603. Full description at Econpapers || Download paper | |
2022 | Covers Rebalancing Option With Discrete Hindsight Optimization. (2019). Garivaltis, Alexander. In: Papers. RePEc:arx:papers:1903.00829. Full description at Econpapers || Download paper | |
2023 | Epstein-Zin Utility Maximization on Random Horizons. (2019). Huang, Yu-Jui ; Aurand, Joshua. In: Papers. RePEc:arx:papers:1903.08782. Full description at Econpapers || Download paper | |
2022 | Optimal Investment with Correlated Stochastic Volatility Factors. (2019). Fouque, Jean-Pierre ; Bichuch, Maxim. In: Papers. RePEc:arx:papers:1908.07626. Full description at Econpapers || Download paper | |
2022 | Inference of Binary Regime Models with Jump Discontinuities. (2019). Rajani, Sharan ; Goswami, Anindya ; Das, Milan Kumar. In: Papers. RePEc:arx:papers:1910.10606. Full description at Econpapers || Download paper | |
2022 | Speculative Trading, Prospect Theory and Transaction Costs. (2019). Zheng, Harry ; Lex, A ; Alex, . In: Papers. RePEc:arx:papers:1911.10106. Full description at Econpapers || Download paper | |
2022 | Applications of the Deep Galerkin Method to Solving Partial Integro-Differential and Hamilton-Jacobi-Bellman Equations. (2019). Saporito, Yuri ; Jardim, Gabriel ; de Frietas, Danilo ; Correia, Adolfo ; Al-Aradi, Ali. In: Papers. RePEc:arx:papers:1912.01455. Full description at Econpapers || Download paper | |
2022 | Optimal Consumption with Reference to Past Spending Maximum. (2020). Yu, Xiang ; Pham, Huyen ; Li, Xun ; Deng, Shuoqing. In: Papers. RePEc:arx:papers:2006.07223. Full description at Econpapers || Download paper | |
2022 | Hedging using reinforcement learning: Contextual $k$-Armed Bandit versus $Q$-learning. (2020). Nuti, Giuseppe ; Cannelli, Loris ; Szehr, Oleg ; Sala, Marzio. In: Papers. RePEc:arx:papers:2007.01623. Full description at Econpapers || Download paper | |
2022 | A New Approach to Estimating Loss-Given-Default Distribution. (2020). Kevkhishvili, Rusudan ; Egami, Masahiko. In: Papers. RePEc:arx:papers:2009.00868. Full description at Econpapers || Download paper | |
2022 | Continuous-Time Risk Contribution and Budgeting for Terminal Variance. (2020). Jia, Guangyan ; Zhao, Mengjin. In: Papers. RePEc:arx:papers:2011.10747. Full description at Econpapers || Download paper | |
2022 | Forward utility and market adjustments in relative investment-consumption games of many players. (2020). Platonov, Vadim ; Reis, Goncalo Dos . In: Papers. RePEc:arx:papers:2012.01235. Full description at Econpapers || Download paper | |
2022 | Market-consistent pricing with acceptable risk. (2020). Munari, Cosimo ; Arduca, Maria. In: Papers. RePEc:arx:papers:2012.08351. Full description at Econpapers || Download paper | |
2022 | Deep learning for efficient frontier calculation in finance. (2021). Warin, Xavier. In: Papers. RePEc:arx:papers:2101.02044. Full description at Econpapers || Download paper | |
2022 | The Climate Extended Risk Model (CERM). (2021). Garnier, Josselin. In: Papers. RePEc:arx:papers:2103.03275. Full description at Econpapers || Download paper | |
2022 | Online Learning with Radial Basis Function Networks. (2021). Barucca, Paolo ; Firoozye, Nick ; Borrageiro, Gabriel. In: Papers. RePEc:arx:papers:2103.08414. Full description at Econpapers || Download paper | |
2022 | A Black-Scholes users guide to the Bachelier model. (2021). Choi, Jaehyuk ; Wang, Yumeng ; Tee, Chyng Wen ; Kwak, Minsuk. In: Papers. RePEc:arx:papers:2104.08686. Full description at Econpapers || Download paper | |
2022 | Can we imitate stock price behavior to reinforcement learn option price?. (2021). Jin, Xin. In: Papers. RePEc:arx:papers:2105.11376. Full description at Econpapers || Download paper | |
2022 | What Data Augmentation Do We Need for Deep-Learning-Based Finance?. (2021). Imajo, Kentaro ; Minami, Kentaro ; Ziyin, Liu. In: Papers. RePEc:arx:papers:2106.04114. Full description at Econpapers || Download paper | |
2022 | Chances for the honest in honest versus insider trading. (2021). Escudero, Carlos ; Elizalde, Mauricio. In: Papers. RePEc:arx:papers:2106.10033. Full description at Econpapers || Download paper | |
2023 | Intergenerational risk sharing in a collective defined contribution pension system: a simulation study with Bayesian optimization. (2021). Zhang, Fangyuan ; Kanagawa, Motonobu ; Chen, AN. In: Papers. RePEc:arx:papers:2106.13644. Full description at Econpapers || Download paper | |
2022 | Rational Pricing of Leveraged ETF Expense Ratios. (2021). Garivaltis, Alex. In: Papers. RePEc:arx:papers:2106.14820. Full description at Econpapers || Download paper | |
2022 | Predicting Exporters with Machine Learning. (2021). Rungi, Armando ; Micocci, Francesca. In: Papers. RePEc:arx:papers:2107.02512. Full description at Econpapers || Download paper | |
2022 | Geometric insights into robust portfolio construction with gearing. (2021). Gebbie, Tim ; Dalmeyer, Lara. In: Papers. RePEc:arx:papers:2107.06194. Full description at Econpapers || Download paper | |
2023 | A Unified Formula of the Optimal Portfolio for Piecewise HARA Utilities. (2021). Ma, Ming ; Liu, Yang ; Liang, Zongxia. In: Papers. RePEc:arx:papers:2107.06460. Full description at Econpapers || Download paper | |
2022 | Default Distances Based on the KMV-CEV Model. (2021). Su, Wen. In: Papers. RePEc:arx:papers:2107.10226. Full description at Econpapers || Download paper | |
2022 | Inverse Options in a Black-Scholes World. (2021). Imeraj, Arben ; Alexander, Carol. In: Papers. RePEc:arx:papers:2107.12041. Full description at Econpapers || Download paper | |
2023 | Optimal Consumption with Loss Aversion and Reference to Past Spending Maximum. (2021). Zhang, Qinyi ; Yu, Xiang ; Li, Xun . In: Papers. RePEc:arx:papers:2108.02648. Full description at Econpapers || Download paper | |
2022 | Deep Signature FBSDE Algorithm. (2021). Zhang, Zhaoyu ; Luo, Man ; Feng, QI. In: Papers. RePEc:arx:papers:2108.10504. Full description at Econpapers || Download paper | |
2022 | Precise option pricing by the COS method -- How to choose the truncation interval. (2021). Pankrashkin, Konstantin ; Junike, Gero. In: Papers. RePEc:arx:papers:2109.01030. Full description at Econpapers || Download paper | |
2023 | Option Pricing under Bayesian MS-VAR Process. (2021). Gankhuu, Battulga. In: Papers. RePEc:arx:papers:2109.05998. Full description at Econpapers || Download paper | |
2022 | Decentralized Governance of Stablecoins with Option Pricing. (2021). Klages-Mundt, Ariah ; Huo, Lucy ; Wind, Mads Rude ; Munter, Frederik Christian ; Minca, Andreea. In: Papers. RePEc:arx:papers:2109.08939. Full description at Econpapers || Download paper | |
2023 | Rating transitions forecasting: a filtering approach. (2021). Lelong, J'Erome ; Cousin, Areski ; Picard, Tom ; Norberg, Ragnar. In: Papers. RePEc:arx:papers:2109.10567. Full description at Econpapers || Download paper | |
2023 | Bitcoin Volatility and Intrinsic Time Using Double Subordinated Levy Processes. (2021). Rachev, Svetlozar T ; Lindquist, Brent W ; Mittnik, Stefan ; Shirvani, Abootaleb. In: Papers. RePEc:arx:papers:2109.15051. Full description at Econpapers || Download paper | |
2022 | Reinforcement Learning for Systematic FX Trading. (2021). Barucca, Paolo ; Firoozye, Nick ; Borrageiro, Gabriel. In: Papers. RePEc:arx:papers:2110.04745. Full description at Econpapers || Download paper | |
2022 | Optimal bailout strategies resulting from the drift controlled supercooled Stefan problem. (2021). Rigger, Stefan ; Reisinger, Christoph ; Cuchiero, Christa. In: Papers. RePEc:arx:papers:2111.01783. Full description at Econpapers || Download paper | |
2023 | Equity--Linked Life Insurances on Maximum of Several Assets. (2021). Gankhuu, Battulga. In: Papers. RePEc:arx:papers:2111.04038. Full description at Econpapers || Download paper | |
2023 | Optimal consumption and portfolio selection with Epstein-Zin utility under general constraints. (2021). Tian, Dejian ; Feng, Zixin. In: Papers. RePEc:arx:papers:2111.09032. Full description at Econpapers || Download paper | |
2023 | A transformer-based model for default prediction in mid-cap corporate markets. (2021). Bravo, Cristi'An ; Mues, Christophe ; Korangi, Kamesh. In: Papers. RePEc:arx:papers:2111.09902. Full description at Econpapers || Download paper | |
2023 | Recent Advances in Reinforcement Learning in Finance. (2021). Yang, Huining ; Xu, Renyuan ; Hambly, Ben. In: Papers. RePEc:arx:papers:2112.04553. Full description at Econpapers || Download paper | |
2022 | Hedging Cryptocurrency Options. (2021). Hardle, Wolfgang Karl ; Packham, Natalie ; Matic, Jovanka Lili. In: Papers. RePEc:arx:papers:2112.06807. Full description at Econpapers || Download paper | |
2023 | Rainbow Options under Bayesian MS-VAR Process. (2021). Gankhuu, Battulga. In: Papers. RePEc:arx:papers:2112.10447. Full description at Econpapers || Download paper | |
2022 | Dynamic Portfolio Optimization with Inverse Covariance Clustering. (2022). Aste, Tomaso ; Wang, Yuanrong. In: Papers. RePEc:arx:papers:2112.15499. Full description at Econpapers || Download paper | |
2022 | Strategic mean-variance investing under mean-reverting stock returns. (2022). Jarner, Soren Fiig. In: Papers. RePEc:arx:papers:2201.05375. Full description at Econpapers || Download paper | |
2023 | Augmented Dynamic Gordon Growth Model. (2022). Gankhuu, Battulga. In: Papers. RePEc:arx:papers:2201.06012. Full description at Econpapers || Download paper | |
2022 | Multiscaling and rough volatility: an empirical investigation. (2022). di Matteo, T ; Brandi, Giuseppe. In: Papers. RePEc:arx:papers:2201.10466. Full description at Econpapers || Download paper | |
2022 | Industry Characteristics and Financial Risk Spillovers. (2022). Chiua, Wan-Chien ; Wang, Chih-Wei ; Pena, Juan Ignacio. In: Papers. RePEc:arx:papers:2202.02263. Full description at Econpapers || Download paper | |
2022 | Measuring Systemic Risk: Common Factor Exposures and Tail Dependence Effects. (2022). Chiu, Wan-Chien ; Wang, Chih-Wei ; Pena, Juan Ignacio. In: Papers. RePEc:arx:papers:2202.02276. Full description at Econpapers || Download paper | |
2022 | On Robust Optimal Linear Feedback Stock Trading. (2022). Hsieh, Chung-Han. In: Papers. RePEc:arx:papers:2202.02300. Full description at Econpapers || Download paper | |
2022 | Optimal annuitization post-retirement with labor income. (2022). Gao, Xiang ; Jevti, Petar ; Pirvu, Traian A ; Hyndman, Cody. In: Papers. RePEc:arx:papers:2202.04220. Full description at Econpapers || Download paper | |
2023 | Black-Scholes Option Pricing Revisited?. (2022). Mink, Mark ; de Weert, Frans J. In: Papers. RePEc:arx:papers:2202.05671. Full description at Econpapers || Download paper | |
2022 | Two is better than one: Regularized shrinkage of large minimum variance portfolio. (2022). Parolya, Nestor ; Thors, Erik ; Bodnar, Taras. In: Papers. RePEc:arx:papers:2202.06666. Full description at Econpapers || Download paper | |
2022 | Forecasting Stock Options Prices via the Solution of an Ill-Posed Problem for the Black-Scholes Equation. (2022). Klibanov, Michael V ; Kravchenko, Sergey M ; Golubnichiy, Kirill V ; Shananin, Aleksander A. In: Papers. RePEc:arx:papers:2202.07174. Full description at Econpapers || Download paper | |
2022 | Computing Black Scholes with Uncertain Volatility-A Machine Learning Approach. (2022). Hellmuth, Kathrin ; Klingenberg, Christian. In: Papers. RePEc:arx:papers:2202.07378. Full description at Econpapers || Download paper | |
2022 | Solving Multi-Period Financial Planning Models: Combining Monte Carlo Tree Search and Neural Networks. (2022). Aydinhan, Afcsar Onat ; Mulvey, John M ; Li, Xiaoyue. In: Papers. RePEc:arx:papers:2202.07734. Full description at Econpapers || Download paper | |
2022 | Toward an efficient hybrid method for pricing barrier options on assets with stochastic volatility. (2022). Lipton, Alexander ; Sepp, Artur. In: Papers. RePEc:arx:papers:2202.07849. Full description at Econpapers || Download paper | |
2022 | Hierarchical Sensitivity Parity. (2022). Rodriguez, Alejandro. In: Papers. RePEc:arx:papers:2202.08921. Full description at Econpapers || Download paper | |
2022 | Schr\{o}dinger Risk Diversification Portfolio. (2022). Uchiyama, Yusuke ; Nakagawa, Kei. In: Papers. RePEc:arx:papers:2202.09939. Full description at Econpapers || Download paper | |
2023 | Universal approximation of credit portfolio losses using Restricted Boltzmann Machines. (2022). Genovese, Giuseppe ; Visentin, Gabriele ; Serra, Nicola ; Nikeghbali, Ashkan. In: Papers. RePEc:arx:papers:2202.11060. Full description at Econpapers || Download paper | |
2022 | Sequential Asset Ranking within Nonstationary Time Series. (2022). Borrageiro, Gabriel ; Barucca, Paolo ; Firoozye, Nick. In: Papers. RePEc:arx:papers:2202.12186. Full description at Econpapers || Download paper | |
2022 | Delta family approach for the stochastic control problems of utility maximization. (2022). Ma, Jingtang ; Cui, Zhenyu ; Lu, Zhengyang. In: Papers. RePEc:arx:papers:2202.12745. Full description at Econpapers || Download paper | |
2023 | Risk sharing in equity-linked insurance products: Stackelberg equilibrium between an insurer and a reinsurer. (2022). Havrylenko, Yevhen ; Zagst, Rudi ; Hinken, Maria. In: Papers. RePEc:arx:papers:2203.04053. Full description at Econpapers || Download paper | |
2022 | Quantum advantage for multi-option portfolio pricing and valuation adjustments. (2022). Yu, Jeong ; Rebentrost, Patrick. In: Papers. RePEc:arx:papers:2203.04924. Full description at Econpapers || Download paper | |
2022 | General properties of the Solutions to Moving Boundary Problems for Black-Sholes Equations. (2022). , Hyong-Chol ; Choe, Tae-Song. In: Papers. RePEc:arx:papers:2203.05726. Full description at Econpapers || Download paper | |
2023 | Stochastic integral representation of solutions to Hodge theoretic Poissons equations on Graphs, and cooperative value allocation of Shapley and Nash. (2022). Lim, Tongseok. In: Papers. RePEc:arx:papers:2203.06860. Full description at Econpapers || Download paper | |
2022 | Characteristics-driven returns in equilibrium. (2022). Coqueret, Guillaume. In: Papers. RePEc:arx:papers:2203.07865. Full description at Econpapers || Download paper | |
2023 | Optimal reinsurance under terminal value constraints. (2022). Steffensen, Mogens ; Lau, Hayden ; Avanzi, Benjamin. In: Papers. RePEc:arx:papers:2203.16108. Full description at Econpapers || Download paper | |
2022 | Consumption-investment decisions with endogenous reference point and drawdown constraint. (2022). Yuan, Fengyi ; Luo, Xiaodong ; Liang, Zongxia. In: Papers. RePEc:arx:papers:2204.00530. Full description at Econpapers || Download paper | |
2022 | Constructing Trinomial Models Based on Cubature Method on Wiener Space: Applications to Pricing Financial Derivatives. (2022). Ni, Ying ; Malyarenko, Anatoliy ; Nohrouzian, Hossein. In: Papers. RePEc:arx:papers:2204.10692. Full description at Econpapers || Download paper | |
2022 | Portfolio Diversification Revisited. (2022). Shaw, Charles. In: Papers. RePEc:arx:papers:2204.13398. Full description at Econpapers || Download paper | |
2022 | Pricing Path-dependent Options under Stochastic Volatility via Mellin Transform. (2022). Zhang, Wenjun ; Li, XI ; Kim, Jeong-Hoon ; Cao, Jiling. In: Papers. RePEc:arx:papers:2205.00573. Full description at Econpapers || Download paper | |
2022 | Integrating Structural and Reduced-Form Methods in Empirical Finance. (2022). Whited, Toni M. In: Papers. RePEc:arx:papers:2205.01175. Full description at Econpapers || Download paper | |
2022 | A Unified Bayesian Framework for Pricing Catastrophe Bond Derivatives. (2022). Dixon, Matthew ; Chatterjee, Arpita ; Domfeh, Dixon. In: Papers. RePEc:arx:papers:2205.04520. Full description at Econpapers || Download paper | |
2022 | Portfolio Construction with Gaussian Mixture Returns and Exponential Utility via Convex Optimization. (2022). Boyd, Stephen ; Luxenberg, Eric. In: Papers. RePEc:arx:papers:2205.04563. Full description at Econpapers || Download paper | |
2023 | Gamma and Vega Hedging Using Deep Distributional Reinforcement Learning. (2022). Yuan, Jun ; Wang, Zeyu ; Poulos, Zissis ; Hull, John ; Farghadani, Soroush ; Chen, Jacky ; Cao, Jay. In: Papers. RePEc:arx:papers:2205.05614. Full description at Econpapers || Download paper | |
2022 | Method of indirect estimation of default probability dynamics for industry-target segments according to the data of Bank of Russia. (2022). Pomazanov, Mikhail. In: Papers. RePEc:arx:papers:2205.05984. Full description at Econpapers || Download paper | |
2022 | Hedging option books using neural-SDE market models. (2022). Wang, Sheng ; Reisinger, Christoph ; Cohen, Samuel N. In: Papers. RePEc:arx:papers:2205.15991. Full description at Econpapers || Download paper | |
2022 | The fractional volatility model and rough volatility. (2022). Mendes, Vilela R. In: Papers. RePEc:arx:papers:2206.02205. Full description at Econpapers || Download paper | |
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2007 | New Framework for Measuring and Managing Macrofinancial Risk and Financial Stability.(2007) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 83 | paper | |
1975 | Theory of Finance from the Perspective of Continuous Time In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 23 |
1972 | An Analytic Derivation of the Efficient Portfolio Frontier In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 263 |
2002 | International pension swaps In: Journal of Pension Economics and Finance. [Full Text][Citation analysis] | article | 23 |
2007 | Report on “The Committee on Yen Risk-free-rate Model Estimation†In: Finance Working Papers. [Full Text][Citation analysis] | paper | 0 |
1973 | An Intertemporal Capital Asset Pricing Model. In: Econometrica. [Full Text][Citation analysis] | article | 2062 |
1984 | Macroeconomics and finance: The role of the stock market In: Carnegie-Rochester Conference Series on Public Policy. [Full Text][Citation analysis] | article | 163 |
1984 | Macroeconomics and Finance: The Role of the Stock Market.(1984) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 163 | paper | |
1993 | Deposit insurance reform: a functional approach In: Carnegie-Rochester Conference Series on Public Policy. [Full Text][Citation analysis] | article | 23 |
1993 | Reply to Benston and Kaufman In: Carnegie-Rochester Conference Series on Public Policy. [Full Text][Citation analysis] | article | 0 |
1992 | Labor supply flexibility and portfolio choice in a life cycle model In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 514 |
1992 | Labor Supply Flexibility and Portfolio Choice in a Life-Cycle Model.(1992) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 514 | paper | |
1995 | Financial innovation and the management and regulation of financial institutions In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 116 |
1995 | Financial Innovation and the Management and Regulation of Financial Institutions.(1995) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 116 | paper | |
1977 | An analytic derivation of the cost of deposit insurance and loan guarantees An application of modern option pricing theory In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 446 |
1971 | Optimum consumption and portfolio rules in a continuous-time model In: Journal of Economic Theory. [Full Text][Citation analysis] | article | 1689 |
1970 | Optimum Consumption and Portfolio Rules in a Continuous-time Model.(1970) In: Working papers. [Citation analysis] This paper has another version. Agregated cites: 1689 | paper | |
2013 | Systemic risk and the refinancing ratchet effect In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 55 |
2010 | Systemic Risk and the Refinancing Ratchet Effect.(2010) In: Harvard Business School Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 55 | paper | |
2009 | Systemic Risk and the Refinancing Ratchet Effect.(2009) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 55 | paper | |
1974 | Fallacy of the log-normal approximation to optimal portfolio decision-making over many periods In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 55 |
1976 | Option pricing when underlying stock returns are discontinuous In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 1686 |
1975 | Option pricing when underlying stock returns are discontinuous.(1975) In: Working papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1686 | paper | |
1977 | On the pricing of contingent claims and the Modigliani-Miller theorem In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 82 |
2006 | Do a firms equity returns reflect the risk of its pension plan? In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 26 |
2004 | Do a Firms Equity Returns Reflect the Risk of Its Pension Plan?.(2004) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 26 | paper | |
1980 | On estimating the expected return on the market : An exploratory investigation In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 1021 |
1980 | On Estimating the Expected Return on the Market: An Exploratory Investigation.(1980) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1021 | paper | |
2019 | Customers and investors: A framework for understanding the evolution of financial institutions In: Journal of Financial Intermediation. [Full Text][Citation analysis] | article | 14 |
1993 | On the microeconomic theory of investment under uncertainty In: Handbook of Mathematical Economics. [Full Text][Citation analysis] | chapter | 4 |
1977 | On the microeconomic theory of investment under uncertainty.(1977) In: Working papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | paper | |
1990 | Capital market theory and the pricing of financial securities In: Handbook of Monetary Economics. [Full Text][Citation analysis] | chapter | 5 |
1986 | Capital market theory and the pricing of financial securities.(1986) In: Working papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | paper | |
2008 | Asset Management in Volatile Markets In: SUERF Studies. [Full Text][Citation analysis] | book | 0 |
1992 | On the Management of Financial Guarantees In: Financial Management. [Citation analysis] | article | 45 |
1995 | A Functional Perspective of Financial Intermediation In: Financial Management. [Citation analysis] | article | 91 |
2000 | Speeches by Nobel Laureates In: Financial Management. [Citation analysis] | article | 0 |
1973 | An asymptotic theory of growth under uncertainty, In: Working papers. [Full Text][Citation analysis] | paper | 158 |
1975 | An Asymptotic Theory of Growth Under Uncertainty.(1975) In: Review of Economic Studies. [Full Text][Citation analysis] This paper has another version. Agregated cites: 158 | article | |
1976 | Continuous-time portfolio theory and the pricing of contingent claims In: Working papers. [Full Text][Citation analysis] | paper | 0 |
1977 | On the cost of deposit insurance when there are surveillance costs In: Working papers. [Full Text][Citation analysis] | paper | 133 |
1978 | On the Cost of Deposit Insurance When There Are Surveillance Costs..(1978) In: The Journal of Business. [Full Text][Citation analysis] This paper has another version. Agregated cites: 133 | article | |
1984 | Earnings variablility and variance bounds tests for the rationality of stock market prices In: Working papers. [Full Text][Citation analysis] | paper | 1 |
1985 | On the current state of the stock market rationality hypothesis In: Working papers. [Full Text][Citation analysis] | paper | 23 |
1983 | On Consumption Indexed Public Pension Plans In: NBER Chapters. [Full Text][Citation analysis] | chapter | 17 |
1982 | On Consumption-Indexed Public Pension Plans.(1982) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 17 | paper | |
1983 | On the Role of Social Security as a Means for Efficient Risk Sharing in an Economy Where Human Capital Is Not Tradable In: NBER Chapters. [Full Text][Citation analysis] | chapter | 109 |
1988 | Defined Benefit versus Defined Contribution Pension Plans: What are the Real Trade-offs? In: NBER Chapters. [Full Text][Citation analysis] | chapter | 52 |
1985 | Defined Benefit versus Defined Contribution Pension Plans: What are the Real Tradeoffs?.(1985) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 52 | paper | |
1993 | Optimal Investment Strategies for University Endowment Funds In: NBER Chapters. [Full Text][Citation analysis] | chapter | 23 |
1991 | Optimal Investment Strategies for University Endowment Funds.(1991) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 23 | paper | |
1987 | Pension Plan Integration As Insurance Against Social Security Risk In: NBER Chapters. [Full Text][Citation analysis] | chapter | 16 |
1984 | Pension Plan Integration as Insurance Against Social Security Risk.(1984) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 16 | paper | |
1981 | On the Role of Social Security as a Means for Efficient Risk-Bearing in an Economy Where Human Capital Is Not Tradeable In: NBER Working Papers. [Full Text][Citation analysis] | paper | 30 |
2004 | The Design of Financial Systems: Towards a Synthesis of Function and Structure In: NBER Working Papers. [Full Text][Citation analysis] | paper | 72 |
2005 | DESIGN OF FINANCIAL SYSTEMS: TOWARDS A SYNTHESIS OF FUNCTION AND STRUCTURE.(2005) In: World Scientific Book Chapters. [Full Text][Citation analysis] This paper has another version. Agregated cites: 72 | chapter | |
2006 | A New Framework for Analyzing and Managing Macrofinancial Risks of an Economy In: NBER Working Papers. [Full Text][Citation analysis] | paper | 36 |
2015 | Customers and Investors: A Framework for Understanding Financial Institutions In: NBER Working Papers. [Full Text][Citation analysis] | paper | 4 |
2018 | Trust in Lending In: NBER Working Papers. [Full Text][Citation analysis] | paper | 12 |
2021 | No-fault Default, Chapter 11 Bankruptcy, and Financial Institutions In: NBER Working Papers. [Full Text][Citation analysis] | paper | 1 |
2003 | Transparency, Risk Management and International Financial Fragility In: NBER Working Papers. [Full Text][Citation analysis] | paper | 14 |
2006 | The Derivatives Sourcebook In: Foundations and Trends(R) in Finance. [Full Text][Citation analysis] | article | 0 |
1997 | A Model of Contract Guarantees for Credit-Sensitive, Opaque Financial Intermediaries In: Review of Finance. [Full Text][Citation analysis] | article | 16 |
2020 | SeLFIES: A NEW PENSION BOND AND CURRENCY FOR RETIREMENT In: Journal of Financial Transformation. [Full Text][Citation analysis] | article | 0 |
1998 | Autobiography In: Nobel Prize in Economics documents. [Full Text][Citation analysis] | paper | 0 |
2004 | Interview with Nobel Prize Laureate Robert C. Merton In: Nobel Prize in Economics documents. [Full Text][Citation analysis] | paper | 0 |
1973 | Theory of Rational Option Pricing In: Bell Journal of Economics. [Full Text][Citation analysis] | article | 2559 |
2005 | Theory of rational option pricing.(2005) In: World Scientific Book Chapters. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2559 | chapter | |
1974 | The Optimality of a Competitive Stock Market In: Bell Journal of Economics. [Full Text][Citation analysis] | article | 4 |
2006 | Paul Samuelson and Financial Economics In: The American Economist. [Full Text][Citation analysis] | article | 8 |
2014 | ADBs Distinguished Speakers Program Measuring the Connectedness of the Financial System: Implications for Risk Management In: Asian Development Review. [Full Text][Citation analysis] | article | 3 |
1969 | Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case. In: The Review of Economics and Statistics. [Full Text][Citation analysis] | article | 1697 |
1986 | Dividend Behavior for the Aggregate Stock Market. In: Research Program in Finance Working Papers. [Citation analysis] | paper | 99 |
1987 | Dividend Behavior for the Aggregate Stock Market..(1987) In: The Journal of Business. [Full Text][Citation analysis] This paper has another version. Agregated cites: 99 | article | |
1978 | The Returns and Risk of Alternative Call Option Portfolio Investment Strategies. In: The Journal of Business. [Full Text][Citation analysis] | article | 34 |
1981 | On Market Timing and Investment Performance. I. An Equilibrium Theory of Value for Market Forecasts. In: The Journal of Business. [Full Text][Citation analysis] | article | 234 |
1981 | On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills. In: The Journal of Business. [Full Text][Citation analysis] | article | 556 |
1982 | The Returns and Risks of Alternative Put-Option Portfolio Investment Strategies. In: The Journal of Business. [Full Text][Citation analysis] | article | 16 |
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