Journal Article |
File Downloads |
Abstract Views |

Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |

A Characterization of Complete Security Markets On A Brownian Filtration |
0 |
0 |
0 |
12 |
0 |
0 |
3 |
43 |

A Critique of Revised Basel II |
0 |
0 |
0 |
229 |
0 |
0 |
4 |
515 |

A DYSFUNCTIONAL ROLE OF HIGH FREQUENCY TRADING IN ELECTRONIC MARKETS |
0 |
1 |
1 |
1 |
0 |
4 |
4 |
4 |

A Markov Model for the Term Structure of Credit Risk Spreads |
0 |
0 |
0 |
6 |
2 |
7 |
42 |
2,696 |

A Model of the Convenience Yields in On-the-Run Treasuries |
0 |
0 |
1 |
153 |
0 |
1 |
6 |
564 |

A Reduced‐Form Model for Warrant Valuation |
0 |
0 |
0 |
0 |
0 |
1 |
4 |
39 |

A Unified Approach for Pricing Contingent Claims on Multiple Term Structures |
0 |
0 |
0 |
149 |
0 |
0 |
2 |
259 |

A characterization theorem for unique risk neutral probability measures |
0 |
0 |
0 |
24 |
0 |
0 |
3 |
98 |

A comparison of the APT and CAPM a note |
0 |
0 |
4 |
1,244 |
0 |
2 |
17 |
3,216 |

A generalized coherent risk measure: The firm's perspective |
0 |
0 |
0 |
84 |
0 |
0 |
3 |
177 |

A leverage ratio rule for capital adequacy |
0 |
1 |
11 |
142 |
1 |
5 |
38 |
418 |

A liquidity-based model for asset price bubbles |
0 |
0 |
0 |
26 |
0 |
0 |
1 |
52 |

A simple robust model for Cat bond valuation |
0 |
1 |
14 |
159 |
0 |
1 |
19 |
333 |

ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS |
0 |
0 |
0 |
24 |
0 |
1 |
3 |
82 |

Abnormal Profit Opportunities and the Informational Advantage of High Frequency Trading |
0 |
0 |
0 |
0 |
0 |
1 |
1 |
1 |

An autoregressive jump process for common stock returns |
0 |
0 |
2 |
124 |
0 |
0 |
6 |
236 |

An improved test for statistical arbitrage |
0 |
0 |
13 |
68 |
0 |
0 |
27 |
173 |

Approximate option valuation for arbitrary stochastic processes |
0 |
1 |
11 |
885 |
4 |
5 |
46 |
1,378 |

Arbitrage, Continuous Trading, and Margin Requirements |
0 |
0 |
1 |
44 |
0 |
0 |
4 |
194 |

Asset Price Bubbles |
0 |
1 |
15 |
25 |
1 |
4 |
33 |
59 |

BUBBLES AND MULTIPLE-FACTOR ASSET PRICING MODELS |
0 |
0 |
1 |
1 |
1 |
1 |
4 |
4 |

Bank runs and self-insured bank deposits |
0 |
1 |
2 |
5 |
2 |
4 |
11 |
27 |

Bankruptcy Prediction with Industry Effects |
1 |
1 |
3 |
5 |
1 |
1 |
11 |
21 |

Bayesian analysis of contingent claim model error |
0 |
0 |
1 |
98 |
0 |
1 |
8 |
248 |

Beliefs and arbitrage pricing |
0 |
0 |
0 |
14 |
0 |
0 |
1 |
38 |

Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation |
0 |
0 |
0 |
90 |
0 |
2 |
9 |
234 |

Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation |
0 |
1 |
7 |
4,900 |
6 |
16 |
81 |
9,846 |

Capital adequacy rules, catastrophic firm failure, and systemic risk |
0 |
1 |
2 |
9 |
0 |
3 |
12 |
45 |

Commercial Mortgage-Backed Securities (CMBS) and Market Efficiency with Respect to Costly Information |
0 |
0 |
2 |
92 |
0 |
1 |
8 |
306 |

Computing present values: Capital budgeting done correctly |
0 |
0 |
2 |
10 |
0 |
1 |
6 |
35 |

Consensus Beliefs Equilibrium and Market Efficiency |
0 |
0 |
0 |
27 |
0 |
0 |
3 |
98 |

Convenience yields |
0 |
0 |
3 |
25 |
0 |
1 |
7 |
78 |

Counterparty Risk and the Pricing of Defaultable Securities |
0 |
2 |
4 |
180 |
1 |
8 |
34 |
499 |

Credit Risk Models |
1 |
1 |
16 |
173 |
4 |
7 |
41 |
351 |

Credit Risk Models with Incomplete Information |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
1 |

Credit market equilibrium theory and evidence: Revisiting the structural versus reduced form credit risk model debate |
1 |
1 |
9 |
109 |
2 |
3 |
16 |
263 |

DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS |
0 |
0 |
2 |
91 |
1 |
3 |
17 |
234 |

Delta, gamma and bucket hedging of interest rate derivatives |
1 |
2 |
4 |
71 |
1 |
3 |
16 |
243 |

Derivative Security Markets, Market Manipulation, and Option Pricing Theory |
0 |
0 |
2 |
79 |
0 |
2 |
10 |
186 |

Designing catastrophic bonds for catastrophic risks in agriculture: Macro hedging long and short rains in Kenya |
0 |
0 |
1 |
1 |
1 |
1 |
10 |
10 |

Discrete versus continuous time models: Local martingales and singular processes in asset pricing theory |
0 |
0 |
1 |
52 |
1 |
1 |
10 |
170 |

Discretely sampled variance and volatility swaps versus their continuous approximations |
0 |
0 |
0 |
4 |
0 |
1 |
4 |
30 |

Distressed debt prices and recovery rate estimation |
0 |
0 |
2 |
82 |
0 |
1 |
9 |
266 |

Downside Loss Aversion and Portfolio Management |
0 |
0 |
1 |
20 |
1 |
1 |
13 |
75 |

ESTIMATING THE VALUE OF DELIVERY OPTIONS IN FUTURES CONTRACTS |
0 |
0 |
0 |
17 |
0 |
0 |
4 |
66 |

Estimating the Interest Rate Term Structure of Corporate Debt With a Semiparametric Penalized Spline Model |
0 |
0 |
0 |
46 |
0 |
0 |
4 |
104 |

Ex-dividend Stock Price Behavior and Arbitrage Opportunities |
0 |
0 |
0 |
470 |
0 |
0 |
2 |
1,794 |

FORWARD AND FUTURES PRICES WITH BUBBLES |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |

Financial crises and economic growth |
0 |
0 |
2 |
22 |
1 |
1 |
11 |
55 |

Foreign currency bubbles |
0 |
0 |
0 |
23 |
0 |
1 |
4 |
77 |

Forward Rate Curve Smoothing |
0 |
0 |
0 |
3 |
1 |
4 |
9 |
40 |

Forward contracts and futures contracts |
1 |
4 |
9 |
470 |
2 |
6 |
22 |
1,089 |

Government Policies, Residential Mortgage Defaults and the Boom and Bust Cycle of Housing Prices |
0 |
1 |
2 |
7 |
0 |
2 |
7 |
36 |

Hedging contingent claims on semimartingales |
0 |
0 |
0 |
176 |
0 |
1 |
4 |
680 |

Hedging derivatives with model error |
0 |
0 |
1 |
10 |
0 |
0 |
6 |
37 |

Hedging in a HJM model |
0 |
0 |
1 |
64 |
0 |
0 |
4 |
168 |

Heterogeneous Expectations, Restrictions on Short Sales, and Equilibrium Asset Prices |
0 |
0 |
0 |
123 |
1 |
1 |
15 |
290 |

Housing prices and the optimal time-on-the-market decision |
0 |
0 |
0 |
5 |
0 |
0 |
5 |
39 |

In Honor of the Nobel Laureates Robert C. Merton and Myron S. Scholes: A Partial Differential Equation That Changed the World |
0 |
0 |
1 |
524 |
0 |
1 |
5 |
1,610 |

Information reduction via level crossings in a credit risk model |
0 |
0 |
0 |
24 |
0 |
1 |
4 |
78 |

Interest Rate Caps "Smile" Too! But Can the LIBOR Market Models Capture the Smile? |
0 |
0 |
0 |
73 |
1 |
1 |
3 |
221 |

Is Mean-Variance Analysis Vacuous: Or was Beta Still Born? |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
6 |

Jump Risks and the Intertemporal Capital Asset Pricing Model |
0 |
0 |
0 |
216 |
0 |
1 |
4 |
549 |

Large traders, hidden arbitrage, and complete markets |
0 |
0 |
0 |
49 |
0 |
0 |
1 |
131 |

Liquidity risk and arbitrage pricing theory |
0 |
0 |
1 |
43 |
1 |
3 |
10 |
183 |

MODELING THE RECOVERY RATE IN A REDUCED FORM MODEL |
0 |
0 |
0 |
35 |
1 |
1 |
5 |
111 |

Market Manipulation and Corporate Finance: A New Perspective |
0 |
0 |
0 |
0 |
0 |
4 |
9 |
265 |

Market Manipulation, Bubbles, Corners, and Short Squeezes |
2 |
3 |
8 |
224 |
3 |
4 |
24 |
486 |

Market Manipulation, Price Bubbles, and a Model of the U.S. Treasury Securities Auction Market |
1 |
1 |
3 |
48 |
1 |
1 |
8 |
132 |

Market Pricing of Deposit Insurance |
1 |
1 |
2 |
71 |
1 |
1 |
4 |
162 |

Modeling loan commitments |
0 |
0 |
1 |
148 |
1 |
2 |
10 |
286 |

OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS |
0 |
0 |
0 |
46 |
0 |
0 |
2 |
88 |

On Model Testing in Financial Economics |
0 |
0 |
0 |
16 |
0 |
0 |
3 |
45 |

Operational risk |
0 |
1 |
3 |
144 |
0 |
2 |
13 |
334 |

Option Pricing and Implicit Volatilities |
0 |
0 |
0 |
0 |
0 |
3 |
8 |
157 |

Preferences, Continuity, and the Arbitrage Pricing Theory |
0 |
0 |
0 |
46 |
0 |
0 |
5 |
243 |

Pricing Derivatives on Financial Securities Subject to Credit Risk |
0 |
5 |
19 |
1,227 |
3 |
11 |
74 |
2,252 |

Pricing Options On Risky Assets In A Stochastic Interest Rate Economy |
0 |
0 |
4 |
83 |
0 |
0 |
12 |
158 |

Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence |
0 |
0 |
3 |
185 |
0 |
0 |
9 |
417 |

Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model |
0 |
0 |
3 |
138 |
0 |
5 |
22 |
343 |

Pricing foreign currency options under stochastic interest rates |
0 |
1 |
3 |
1,001 |
0 |
3 |
12 |
1,561 |

Primes and Scores: An Essay on Market Imperfections |
0 |
0 |
3 |
103 |
0 |
0 |
11 |
611 |

Put Option Premiums and Coherent Risk Measures |
0 |
0 |
0 |
47 |
0 |
0 |
4 |
122 |

RELATING TOP-DOWN WITH BOTTOM-UP APPROACHES IN THE EVALUATION OF ABS WITH LARGE COLLATERAL POOLS |
0 |
0 |
0 |
0 |
0 |
1 |
1 |
1 |

Reduced-form valuation of callable corporate bonds: Theory and evidence |
0 |
1 |
4 |
107 |
1 |
3 |
19 |
329 |

Relative asset price bubbles |
0 |
2 |
10 |
10 |
3 |
13 |
36 |
45 |

Restructuring risk in credit default swaps: An empirical analysis |
0 |
0 |
0 |
13 |
0 |
0 |
1 |
59 |

Review of John E. Gilster, Jr. "Option Pricing Theory: Is "Risk Free" Hedging Feasible? |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
184 |

Risky coupon bonds as a portfolio of zero-coupon bonds |
0 |
0 |
0 |
69 |
0 |
0 |
2 |
209 |

Spanning and completeness in markets with contingent claims |
0 |
0 |
2 |
162 |
0 |
0 |
4 |
266 |

Specification tests of calibrated option pricing models |
0 |
0 |
0 |
3 |
0 |
0 |
5 |
39 |

THE EFFECT OF TRADING FUTURES ON SHORT SALE CONSTRAINTS |
0 |
0 |
2 |
5 |
1 |
1 |
6 |
27 |

THE THIRD FUNDAMENTAL THEOREM OF ASSET PRICING |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
1 |

Tax liens: a novel application of asset pricing theory |
0 |
0 |
3 |
35 |
0 |
2 |
9 |
109 |

Testing market efficiency using statistical arbitrage with applications to momentum and value strategies |
0 |
2 |
3 |
339 |
0 |
12 |
37 |
802 |

The Economics of Credit Default Swaps |
1 |
2 |
5 |
32 |
4 |
8 |
19 |
104 |

The Impact of a Central Bank's Bond Market Intervention on Foreign Exchange Rates |
0 |
0 |
0 |
0 |
1 |
2 |
3 |
3 |

The Liquidity Discount |
0 |
0 |
0 |
209 |
0 |
1 |
4 |
722 |

The Relationship between Arbitrage and First Order Stochastic Dominance |
0 |
0 |
0 |
37 |
0 |
0 |
4 |
141 |

The Relationship between Yield, Risk and Return of Corporate Bonds |
0 |
0 |
2 |
105 |
0 |
0 |
10 |
479 |

The Relevance of Fiduciary Conflict-of-Interests in Control versus Issue Proxy Contests |
0 |
0 |
0 |
1 |
0 |
0 |
1 |
26 |

The Second Fundamental Theorem of Asset Pricing |
0 |
0 |
1 |
13 |
0 |
0 |
6 |
64 |

The Second Fundamental Theorem of Asset Pricing: A New Approach |
0 |
0 |
0 |
2 |
0 |
0 |
8 |
793 |

The Stop-Loss Start-Gain Paradox and Option Valuation: A New Decomposition into Intrinsic and Time Value |
2 |
3 |
5 |
427 |
2 |
4 |
9 |
1,181 |

The Term Structure of Interest Rates |
0 |
2 |
14 |
220 |
5 |
16 |
74 |
649 |

The arbitrage-free valuation and hedging of demand deposits and credit card loans |
1 |
1 |
5 |
441 |
1 |
4 |
41 |
819 |

The cost of operational risk loss insurance |
0 |
0 |
0 |
27 |
0 |
1 |
5 |
78 |

The error learning hypothesis: The evidence reexamined |
0 |
0 |
0 |
8 |
1 |
1 |
6 |
48 |

The impact of quantitative easing on the US term structure of interest rates |
1 |
2 |
8 |
39 |
2 |
6 |
27 |
119 |

The intersection of market and credit risk |
2 |
4 |
15 |
624 |
5 |
14 |
46 |
1,095 |

The valuation of a firm’s investment opportunities: a reduced form credit risk perspective |
0 |
0 |
1 |
48 |
0 |
3 |
9 |
143 |

The zero-lower bound on interest rates: Myth or reality? |
0 |
0 |
3 |
30 |
0 |
1 |
10 |
71 |

Understanding the risk of leveraged ETFs |
1 |
4 |
19 |
161 |
3 |
11 |
48 |
358 |

Total Journal Articles |
17 |
55 |
309 |
18,631 |
76 |
258 |
1,421 |
47,835 |