34
H index
66
i10 index
5793
Citations
Cornell University (5% share) | 34 H index 66 i10 index 5793 Citations RESEARCH PRODUCTION: 149 Articles 22 Papers 3 Books 72 Chapters EDITOR: Books edited RESEARCH ACTIVITY: 47 years (1977 - 2024). See details. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/pja39 |
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 |
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Papers / arXiv.org | 11 |
Working Papers / University of Sydney, School of Economics | 2 |
Year | Title of citing document | |
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2023 | A default system with overspilling contagion. (2017). Coculescu, Delia. In: Papers. RePEc:arx:papers:1709.09255. Full description at Econpapers || Download paper | |
2023 | Hedging with transient price impact for non-covered and covered options. (2018). Bilarev, Todor ; Becherer, Dirk. In: Papers. RePEc:arx:papers:1807.05917. Full description at Econpapers || Download paper | |
2023 | Excursion Risk. (2020). Cont, Rama ; Ananova, Anna ; Xu, Renyuan. 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. (2021). Cai, Cheng ; Palczewski, Jan ; de Angelis, Tiziano. 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. (2021). Rachev, Svetlozar T ; Sayit, Hasanjan ; Hu, Dongdong. In: Papers. RePEc:arx:papers:2109.02872. Full description at Econpapers || Download paper | |
2024 | Option Pricing under Bayesian MS-VAR Process. (2021). Gankhuu, Battulga. In: Papers. RePEc:arx:papers:2109.05998. Full description at Econpapers || Download paper | |
2023 | Rating transitions forecasting: a filtering approach. (2021). Lelong, J'Erome ; Cousin, Areski ; Picard, Tom ; Norberg, Ragnar. In: Papers. RePEc:arx:papers:2109.10567. Full description at Econpapers || Download paper | |
2024 | Cash-subadditive risk measures without quasi-convexity. (2021). Wang, Ruodu ; Han, Xia ; Xia, Jianming. In: Papers. RePEc:arx:papers:2110.12198. Full description at Econpapers || Download paper | |
2023 | Correlation Estimation in Hybrid Systems. (2021). Law, Baron . In: Papers. RePEc:arx:papers:2111.06042. Full description at Econpapers || Download paper | |
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 | Metric Hypertransformers are Universal Adapted Maps. (2022). Pammer, Gudmund ; Kratsios, Anastasis ; Acciaio, Beatrice. In: Papers. RePEc:arx:papers:2201.13094. Full description at Econpapers || Download paper | |
2024 | Distance between closed sets and the solutions to stochastic partial differential equations. (2022). Tappe, Stefan ; Nakayama, Toshiyuki. In: Papers. RePEc:arx:papers:2205.00279. Full description at Econpapers || Download paper | |
2023 | Invariant cones for jump-diffusions in infinite dimensions. (2022). Tappe, Stefan. In: Papers. RePEc:arx:papers:2206.13913. Full description at Econpapers || Download paper | |
2023 | Cost-efficient Payoffs under Model Ambiguity. (2022). Vanduffel, Steven ; Lux, Thibaut ; Junike, Gero ; Bernard, Carole. In: Papers. RePEc:arx:papers:2207.02948. Full description at Econpapers || Download paper | |
2024 | Automated Market Making and Loss-Versus-Rebalancing. (2022). Zhang, Anthony Lee ; Roughgarden, Tim ; Moallemi, Ciamac C ; Milionis, Jason. In: Papers. RePEc:arx:papers:2208.06046. Full description at Econpapers || Download paper | |
2024 | Detecting asset price bubbles using deep learning. (2022). Meyer-Brandis, Thilo ; Mazzon, Andrea ; Gonon, Lukas ; Biagini, Francesca. In: Papers. RePEc:arx:papers:2210.01726. Full description at Econpapers || Download paper | |
2024 | The law of one price in mean-variance hedging. (2022). Czichowsky, Christoph ; Vcern, Alevs. In: Papers. RePEc:arx:papers:2210.15613. Full description at Econpapers || Download paper | |
2024 | Optimal exercise of American options under time-dependent Ornstein-Uhlenbeck processes. (2023). Garc, Eduardo ; D'Auria, Bernardo ; Azze, Abel. In: Papers. RePEc:arx:papers:2211.04095. Full description at Econpapers || Download paper | |
2024 | Optimal Reinsurance-Investment Strategy for a Monotone Mean-Variance Insurer in the Cram\er-Lundberg Model. (2022). Pang, Shunzhi ; Liang, Zongxia. In: Papers. RePEc:arx:papers:2211.12168. Full description at Econpapers || Download paper | |
2023 | A Comprehensive Survey on Enterprise Financial Risk Analysis: Problems, Methods, Spotlights and Applications. (2022). Du, Huaming ; Zhao, YU. In: Papers. RePEc:arx:papers:2211.14997. Full description at Econpapers || Download paper | |
2023 | A pure jump model for the valuation of options on a credit index. (2023). Shirai, Yoshihiro. In: Papers. RePEc:arx:papers:2301.05332. Full description at Econpapers || Download paper | |
2023 | Double free boundary problem for defaultable corporate bond with credit rating migration risks and their asymptotic behaviors. (2023). Brauner, Claude-Michel ; Liang, Jin ; Dong, Yuchao. In: Papers. RePEc:arx:papers:2301.10898. Full description at Econpapers || Download paper | |
2024 | Local Volatility in Interest Rate Models. (2023). 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. (2023). Jain, Shashi ; Dhandapani, Vikranth Lokeshwar. In: Papers. RePEc:arx:papers:2302.00728. Full description at Econpapers || Download paper | |
2023 | Pricing basket options with the first three moments of the basket: log-normal models and beyond. (2023). Viens, Frederi ; Sayit, Hasanjan ; Hu, Dongdong. In: Papers. RePEc:arx:papers:2302.08041. Full description at Econpapers || Download paper | |
2023 | The financial health of a company and the risk of its default: Back to the future. (2023). Fabrizi, Eugenio ; Dainelli, Francesco ; Bet, Gianmarco. In: Papers. RePEc:arx:papers:2302.10140. Full description at Econpapers || Download paper | |
2023 | Pricing Transition Risk with a Jump-Diffusion Credit Risk Model: Evidences from the CDS market. (2023). Smaniotto, Elia ; Radi, Davide ; Livieri, Giulia. In: Papers. RePEc:arx:papers:2303.12483. Full description at Econpapers || Download paper | |
2023 | Option pricing using a skew random walk pricing tree. (2023). Fabozzi, Frank J ; Rachev, Svetlozar T ; Lindquist, Brent W ; Hu, Yuan. In: Papers. RePEc:arx:papers:2303.17014. Full description at Econpapers || Download paper | |
2024 | Nash equilibria for relative investors with (non)linear price impact. (2023). Goll, Tamara ; Bauerle, Nicole. In: Papers. RePEc:arx:papers:2303.18161. Full description at Econpapers || Download paper | |
2024 | Unifying Market Microstructure and Dynamic Asset Pricing. (2023). Rachev, Svetlozar T ; Lindquist, Brent W ; Hu, Yuan ; Lauria, Davide. In: Papers. RePEc:arx:papers:2304.02356. Full description at Econpapers || Download paper | |
2023 | Particle MCMC in forecasting frailty correlated default models with expert opinion. (2023). Nguyen, HA. In: Papers. RePEc:arx:papers:2304.11586. Full description at Econpapers || Download paper | |
2023 | A Heat-Jarrow-Morton framework for energy markets: a pragmatic approach. (2023). Santilli, Edoardo ; Gardini, Matteo. In: Papers. RePEc:arx:papers:2305.01485. Full description at Econpapers || Download paper | |
2023 | Option pricing under jump diffusion model. (2023). Wang, LI ; Li, Qian. In: Papers. RePEc:arx:papers:2305.10678. Full description at Econpapers || Download paper | |
2023 | Study on Intelligent Forecasting of Credit Bond Default Risk. (2023). Ren, Kai. In: Papers. RePEc:arx:papers:2305.12142. Full description at Econpapers || Download paper | |
2023 | Discount Models. (2023). Filipovic, Damir. In: Papers. RePEc:arx:papers:2306.16871. Full description at Econpapers || Download paper | |
2023 | Exploring Dynamic Asset Pricing within Bachelier Market Model. (2023). Yegon, Peter ; Rachev, Svetlozar ; Omotade, Blessing ; Gnawali, Jagdish ; Divelgama, Bhathiya ; Nyarko, Nancy Asare. In: Papers. RePEc:arx:papers:2307.04059. Full description at Econpapers || Download paper | |
2024 | COVID-19 Demand Shocks Revisited: Did Advertising Technology Help Mitigate Adverse Consequences for Small and Midsize Businesses?. (2023). Schneider, J W ; Gyurak, Anett ; Bart, Yakov ; Yoo, Daniel ; Runge, Julian ; Lee, Shun-Yang. In: Papers. RePEc:arx:papers:2307.09035. Full description at Econpapers || Download paper | |
2023 | Reinforcement Learning for Credit Index Option Hedging. (2023). Vittori, Edoardo ; Trapletti, Michele ; Pinciroli, Marco ; Mandelli, Francesco. In: Papers. RePEc:arx:papers:2307.09844. Full description at Econpapers || Download paper | |
2023 | Statistically consistent term structures have affine geometry. (2023). Xu, Shijie ; Kruhner, Paul. In: Papers. RePEc:arx:papers:2308.02246. Full description at Econpapers || Download paper | |
2023 | Multi-period static hedging of European options. (2023). Jain, Shashi ; Iyer, Srikanth ; Banerjee, Purba. In: Papers. RePEc:arx:papers:2310.01104. Full description at Econpapers || Download paper | |
2023 | Robust Long-Term Growth Rate of Expected Utility for Leveraged ETFs. (2023). Yeo, Heejun ; Park, Hyungbin ; Leung, Tim. In: Papers. RePEc:arx:papers:2310.02084. Full description at Econpapers || Download paper | |
2024 | Reconciling Open Interest with Traded Volume in Perpetual Swaps. (2023). Said, Emilio ; Giagkiozis, Ioannis. In: Papers. RePEc:arx:papers:2310.14973. Full description at Econpapers || Download paper | |
2023 | The QLBS Model within the presence of feedback loops through the impacts of a large trader. (2023). Uugur, Omur ; Ozsoy, Ahmet Umur. In: Papers. RePEc:arx:papers:2311.06790. Full description at Econpapers || Download paper | |
2023 | Discretization of continuous-time arbitrage strategies in financial markets with fractional Brownian motion. (2023). Auer, Benjamin R ; Lamert, Kerstin ; Wunderlich, Ralf. 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. (2023). Wang, Zhipeng ; Xiong, Xihan ; Huth, Michael ; Knottenbelt, William ; Cui, Tianxiang. In: Papers. RePEc:arx:papers:2311.17715. Full description at Econpapers || Download paper | |
2024 | A Unifying Approach for the Pricing of Debt Securities. (2024). MacKay, Anne ; Vachon, Marie-Claude. In: Papers. RePEc:arx:papers:2403.06303. Full description at Econpapers || Download paper | |
2024 | Deep Limit Order Book Forecasting. (2024). Aste, Tomaso ; Bartolucci, Silvia ; 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 ; Trapani, Lorenzo ; Horvath, Lajos. 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). Hientzsch, Bernhard ; Ogetbil, Orcan. In: Papers. RePEc:arx:papers:2405.05101. Full description at Econpapers || Download paper | |
2023 | The Fama-French Five-Factor Asset Pricing Model: A Research on Borsa Istanbul. (2023). Alshiqi, Sevdie ; Demirel, Bilge Leyli ; Dogan, Mesut ; Altinay, Aysenur Tarakcioglu. In: Economic Studies journal. RePEc:bas:econst:y:2023:i:4:p:3-21. Full description at Econpapers || Download paper | |
2023 | On the General Deviation Measure and the Gini coefficient. (2023). Nisani, Doron. In: International Journal of Economic Theory. RePEc:bla:ijethy:v:19:y:2023:i:3:p:599-610. Full description at Econpapers || Download paper | |
2023 | Pricing contingent convertibles with idiosyncratic risk. (2023). Yang, Zhaojun ; Zeng, Pingping ; Wang, Xiaolin. In: International Journal of Economic Theory. RePEc:bla:ijethy:v:19:y:2023:i:3:p:660-693. Full description at Econpapers || Download paper | |
2023 | Trading and liquidity in the catastrophe bond market. (2023). Hibbeln, Martin ; Herrmann, Markus. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:90:y:2023:i:2:p:283-328. Full description at Econpapers || Download paper | |
2023 | Capital requirements and claims recovery: A new perspective on solvency regulation. (2023). Wilhelmy, Lutz ; Weber, Stefan ; Munari, Cosimo. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:90:y:2023:i:2:p:329-380. Full description at Econpapers || Download paper | |
2023 | The Effects of the LIBOR Scandal on Volatility and Liquidity in LIBOR Futures Markets. (2023). Bachmair, K. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2303. Full description at Econpapers || Download paper | |
2023 | Can grid-tied solar photovoltaics lead to residential heating electrification? A techno-economic case study in the midwestern U.S.. (2023). Pearce, Joshua M ; Sommerfeldt, Nelson. In: Applied Energy. RePEc:eee:appene:v:336:y:2023:i:c:s0306261923002027. Full description at Econpapers || Download paper | |
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 | |
2023 | How does the bond market price corporate ESG engagement? Evidence from China. (2023). Tao, Chunhua ; Tang, Ziling ; Fang, Mei ; Xu, Yue ; Jiang, Zhiqian. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:78:y:2023:i:c:p:1406-1423. Full description at Econpapers || Download paper | |
2023 | Macroeconomic conditions, corporate default, and default clustering. (2023). Liu, Lanlan ; Luo, Dan ; Xing, Kai. In: Economic Modelling. RePEc:eee:ecmode:v:118:y:2023:i:c:s0264999322003169. Full description at Econpapers || Download paper | |
2023 | The effects of the BoJs ETF purchases on equities and corporate investment. (2023). Cohen, Lior. In: Economic Modelling. RePEc:eee:ecmode:v:129:y:2023:i:c:s0264999323003528. Full description at Econpapers || Download paper | |
2023 | Do decreases in Distance-to-Default predict rating downgrades?. (2023). Singh, Manish ; Aggarwal, Nidhi ; Thomas, Susan. In: Economic Modelling. RePEc:eee:ecmode:v:129:y:2023:i:c:s026499932300370x. 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 | |
2023 | Improved scalability and risk factor proxying with a two-step principal component analysis for multi-curve modelling. (2023). Cummins, Mark ; Atkins, Philip J. In: European Journal of Operational Research. RePEc:eee:ejores:v:304:y:2023:i:3:p:1331-1348. Full description at Econpapers || Download paper | |
2023 | Contagion effects of UK small business failures: A spatial hierarchical autoregressive model for binary data. (2023). Calabrese, Raffaella. In: European Journal of Operational Research. RePEc:eee:ejores:v:305:y:2023:i:2:p:989-997. Full description at Econpapers || Download paper | |
2023 | A transformer-based model for default prediction in mid-cap corporate markets. (2023). Bravo, Cristian ; Mues, Christophe ; Korangi, Kamesh. In: European Journal of Operational Research. RePEc:eee:ejores:v:308:y:2023:i:1:p:306-320. Full description at Econpapers || Download paper | |
2024 | Machine learning in bank merger prediction: A text-based approach. (2024). Leledakis, George ; Fergadiotis, Manos ; Androutsopoulos, Ion ; Pyrgiotakis, Emmanouil G ; Katsafados, Apostolos 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 ; Dinnocenzo, Enzo ; Ballestra, Luca Vincenzo. 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). Ma, Jingtang ; Huang, Weizhang ; Shen, Jinye. In: European Journal of Operational Research. RePEc:eee:ejores:v:316:y:2024:i:1:p:19-35. Full description at Econpapers || Download paper | |
2023 | An empirical application of Particle Markov Chain Monte Carlo to frailty correlated default models. (2023). Nguyen, HA. In: Journal of Empirical Finance. RePEc:eee:empfin:v:72:y:2023:i:c:p:103-121. Full description at Econpapers || Download paper | |
2024 | Technological disparity and its impact on market quality. (2024). Kim, Seoyoung ; Chung, Kiseo. In: Journal of Empirical Finance. RePEc:eee:empfin:v:75:y:2024:i:c:s0927539823001111. Full description at Econpapers || Download paper | |
2023 | Green technology choices under the cap-and-trade mechanism with insurer green finance in a dragon-king environment. (2023). Lin, Jyh-Horng ; Huang, Fu-Wei ; Chen, Shi. In: Energy Economics. RePEc:eee:eneeco:v:117:y:2023:i:c:s0140988322006193. Full description at Econpapers || Download paper | |
2024 | Monetary policy uncertainty and the price bubbles in energy markets. (2024). Cao, Yang ; Liang, Chao ; Dong, Dayong ; Yang, Jinyu. In: Energy Economics. RePEc:eee:eneeco:v:133:y:2024:i:c:s0140988324002111. Full description at Econpapers || Download paper | |
2023 | Random sources correlations and carbon futures pricing. (2023). Wang, Jieyu ; Feng, Ling. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000455. Full description at Econpapers || Download paper | |
2023 | The spillover effect of customers financial risk on suppliers conservative reporting: Evidence from China. (2023). Bai, Haichen ; Yang, GE ; Sun, Zeyu. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923000923. Full description at Econpapers || Download paper | |
2023 | Internal or external control? How to respond to credit risk contagion in complex enterprises network. (2023). Feng, Hairong ; Chao, Xiangrui ; Qian, Qian. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001205. Full description at Econpapers || Download paper | |
2023 | Effect of cash flow risk on corporate failures, and the moderating role of earnings management and abnormal compensation. (2023). Kannothra, Chacko George ; Bu, Ziwen ; Gupta, Jairaj ; Li, Xia. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002788. 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). Zhang, Junrui ; Bai, Xuelian ; He, Meng. In: International Review of Financial Analysis. RePEc:eee:finana:v:93:y:2024:i:c:s105752192400125x. Full description at Econpapers || Download paper | |
2023 | The mitigation role of corporate sustainability: Evidence from the CDS spread. (2023). la Rosa, Giovanni ; Galloppo, Giuseppe ; Caiazza, Stefano. In: Finance Research Letters. RePEc:eee:finlet:v:52:y:2023:i:c:s1544612322007371. Full description at Econpapers || Download paper | |
2023 | Implicit leverage: Can accrued fees cause levered ETN returns?. (2023). Devault, Luke ; John, Alexander. In: Finance Research Letters. RePEc:eee:finlet:v:55:y:2023:i:pb:s1544612323003197. Full description at Econpapers || Download paper | |
2023 | A comparative study of firm value models: Default risk of corporate bonds. (2023). Ik, Sung. In: Finance Research Letters. RePEc:eee:finlet:v:56:y:2023:i:c:s1544612323004099. Full description at Econpapers || Download paper | |
2023 | Organizational capital and credit ratings. (2023). Narayanasamy, Arun ; Panta, Humnath. In: Finance Research Letters. RePEc:eee:finlet:v:57:y:2023:i:c:s1544612323006499. 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). Tu, Qiao ; Switzer, Lorne N. 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). Quaranta, Anna Grazia ; Pampurini, Francesca ; Cerqueti, Roy ; Storani, Saverio. In: Finance Research Letters. RePEc:eee:finlet:v:62:y:2024:i:pa:s1544612324000916. Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
Year | Title | Type | Cited |
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Year | Title | Type | Cited |
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1999 | In Honor of the Nobel Laureates Robert C. Merton and Myron S. Scholes: A Partial Differential Equation That Changed the World In: Journal of Economic Perspectives. [Full Text][Citation analysis] | article | 2 |
2021 | The Economics of Insurance: A Derivatives-Based Approach In: Annual Review of Financial Economics. [Full Text][Citation analysis] | article | 0 |
2009 | Credit Risk Models In: Annual Review of Financial Economics. [Full Text][Citation analysis] | article | 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 | 21 |
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 |
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2021 | High-Dimensional Estimation, Basis Assets, and the Adaptive Multi-Factor Model In: Papers. [Full Text][Citation analysis] | paper | 4 |
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2021 | The Low-volatility Anomaly and the Adaptive Multi-Factor Model In: Papers. [Full Text][Citation analysis] | paper | 2 |
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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 |
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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 |
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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 |
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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 |
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