Journal Article |
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12 months |
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Last month |
3 months |
12 months |
Total |

A Characterization of Complete Security Markets On A Brownian Filtration |
0 |
0 |
1 |
12 |
0 |
0 |
1 |
34 |

A Critique of Revised Basel II |
4 |
7 |
20 |
211 |
14 |
21 |
63 |
455 |

A DYSFUNCTIONAL ROLE OF HIGH FREQUENCY TRADING IN ELECTRONIC MARKETS |
1 |
3 |
17 |
47 |
8 |
14 |
52 |
122 |

A Markov Model for the Term Structure of Credit Risk Spreads |
0 |
0 |
0 |
6 |
1 |
7 |
48 |
2,562 |

A Model of the Convenience Yields in On-the-Run Treasuries |
1 |
2 |
2 |
149 |
4 |
5 |
21 |
546 |

A Reduced‐Form Model for Warrant Valuation |
0 |
0 |
0 |
0 |
0 |
0 |
5 |
15 |

A Unified Approach for Pricing Contingent Claims on Multiple Term Structures |
0 |
0 |
0 |
149 |
0 |
0 |
2 |
247 |

A characterization theorem for unique risk neutral probability measures |
0 |
0 |
1 |
22 |
0 |
0 |
3 |
83 |

A comparison of the APT and CAPM a note |
2 |
5 |
30 |
1,207 |
3 |
11 |
87 |
3,119 |

A generalized coherent risk measure: The firm's perspective |
0 |
0 |
1 |
81 |
0 |
0 |
2 |
164 |

A leverage ratio rule for capital adequacy |
3 |
13 |
59 |
71 |
12 |
41 |
168 |
190 |

A liquidity-based model for asset price bubbles |
0 |
4 |
12 |
18 |
0 |
5 |
25 |
35 |

A simple robust model for Cat bond valuation |
0 |
3 |
20 |
116 |
5 |
10 |
43 |
253 |

ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS |
0 |
1 |
3 |
19 |
1 |
3 |
11 |
63 |

Abnormal Profit Opportunities and the Informational Advantage of High Frequency Trading |
8 |
16 |
16 |
16 |
14 |
34 |
34 |
34 |

An autoregressive jump process for common stock returns |
0 |
0 |
4 |
118 |
1 |
2 |
9 |
220 |

An improved test for statistical arbitrage |
1 |
2 |
13 |
31 |
3 |
9 |
43 |
88 |

Approximate option valuation for arbitrary stochastic processes |
2 |
6 |
28 |
814 |
4 |
13 |
63 |
1,210 |

Arbitrage, Continuous Trading, and Margin Requirements |
0 |
0 |
0 |
41 |
1 |
1 |
5 |
172 |

Bayesian analysis of contingent claim model error |
0 |
1 |
2 |
85 |
0 |
5 |
12 |
205 |

Beliefs and arbitrage pricing |
0 |
0 |
1 |
14 |
0 |
0 |
1 |
33 |

Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation |
1 |
2 |
8 |
82 |
2 |
5 |
27 |
177 |

Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation |
2 |
6 |
46 |
4,849 |
12 |
44 |
189 |
9,544 |

Capital adequacy rules, catastrophic firm failure, and systemic risk |
0 |
1 |
3 |
3 |
2 |
4 |
12 |
12 |

Commercial Mortgage-Backed Securities (CMBS) and Market Efficiency with Respect to Costly Information |
0 |
0 |
3 |
88 |
0 |
2 |
15 |
274 |

Consensus Beliefs Equilibrium and Market Efficiency |
0 |
0 |
0 |
25 |
0 |
0 |
0 |
83 |

Convenience yields |
0 |
1 |
6 |
14 |
4 |
6 |
20 |
40 |

Counterparty Risk and the Pricing of Defaultable Securities |
0 |
1 |
1 |
172 |
1 |
2 |
13 |
436 |

Credit Risk Models |
1 |
5 |
21 |
115 |
3 |
9 |
39 |
225 |

Credit market equilibrium theory and evidence: Revisiting the structural versus reduced form credit risk model debate |
2 |
3 |
13 |
84 |
8 |
15 |
46 |
172 |

DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS |
1 |
2 |
5 |
85 |
1 |
4 |
19 |
192 |

Delta, gamma and bucket hedging of interest rate derivatives |
1 |
2 |
18 |
42 |
3 |
13 |
70 |
133 |

Derivative Security Markets, Market Manipulation, and Option Pricing Theory |
2 |
2 |
5 |
70 |
4 |
8 |
17 |
142 |

Discrete versus continuous time models: Local martingales and singular processes in asset pricing theory |
0 |
6 |
21 |
38 |
1 |
10 |
51 |
104 |

Discretely sampled variance and volatility swaps versus their continuous approximations |
0 |
0 |
1 |
1 |
0 |
4 |
13 |
13 |

Distressed debt prices and recovery rate estimation |
0 |
2 |
5 |
76 |
6 |
10 |
29 |
225 |

Downside Loss Aversion and Portfolio Management |
0 |
1 |
2 |
10 |
2 |
7 |
21 |
46 |

ESTIMATING THE VALUE OF DELIVERY OPTIONS IN FUTURES CONTRACTS |
0 |
0 |
1 |
16 |
0 |
0 |
2 |
52 |

Estimating the Interest Rate Term Structure of Corporate Debt With a Semiparametric Penalized Spline Model |
0 |
0 |
1 |
43 |
0 |
0 |
3 |
80 |

Ex-dividend Stock Price Behavior and Arbitrage Opportunities |
1 |
2 |
7 |
468 |
2 |
5 |
28 |
1,765 |

FORWARD AND FUTURES PRICES WITH BUBBLES |
1 |
3 |
17 |
100 |
2 |
4 |
36 |
206 |

Foreign currency bubbles |
0 |
0 |
1 |
19 |
2 |
3 |
12 |
53 |

Forward contracts and futures contracts |
3 |
5 |
15 |
438 |
7 |
12 |
43 |
987 |

Hedging contingent claims on semimartingales |
1 |
1 |
3 |
176 |
1 |
1 |
3 |
669 |

Hedging derivatives with model error |
0 |
0 |
3 |
5 |
0 |
0 |
10 |
17 |

Hedging in a HJM model |
0 |
0 |
3 |
54 |
2 |
2 |
13 |
130 |

Heterogeneous Expectations, Restrictions on Short Sales, and Equilibrium Asset Prices |
0 |
0 |
7 |
109 |
1 |
2 |
15 |
232 |

Housing prices and the optimal time-on-the-market decision |
0 |
1 |
3 |
4 |
1 |
2 |
11 |
17 |

In Honor of the Nobel Laureates Robert C. Merton and Myron S. Scholes: A Partial Differential Equation That Changed the World |
1 |
1 |
3 |
517 |
2 |
3 |
13 |
1,585 |

Information reduction via level crossings in a credit risk model |
0 |
0 |
2 |
21 |
0 |
0 |
4 |
64 |

Interest Rate Caps "Smile" Too! But Can the LIBOR Market Models Capture the Smile? |
0 |
0 |
0 |
66 |
1 |
1 |
3 |
200 |

Jump Risks and the Intertemporal Capital Asset Pricing Model |
0 |
1 |
2 |
216 |
0 |
2 |
11 |
538 |

Large traders, hidden arbitrage, and complete markets |
0 |
0 |
0 |
43 |
0 |
0 |
3 |
110 |

Liquidity risk and arbitrage pricing theory |
2 |
2 |
5 |
37 |
4 |
6 |
20 |
146 |

MODELING THE RECOVERY RATE IN A REDUCED FORM MODEL |
1 |
1 |
4 |
30 |
2 |
3 |
17 |
80 |

Market Manipulation and Corporate Finance: A New Perspective |
0 |
0 |
0 |
0 |
2 |
4 |
22 |
235 |

Market Manipulation, Bubbles, Corners, and Short Squeezes |
1 |
2 |
11 |
191 |
7 |
14 |
46 |
387 |

Market Manipulation, Price Bubbles, and a Model of the U.S. Treasury Securities Auction Market |
0 |
0 |
3 |
37 |
0 |
0 |
5 |
92 |

Market Pricing of Deposit Insurance |
0 |
1 |
8 |
65 |
0 |
3 |
17 |
139 |

Modeling loan commitments |
0 |
3 |
13 |
127 |
0 |
4 |
23 |
229 |

OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS |
0 |
0 |
5 |
38 |
0 |
0 |
6 |
68 |

On Model Testing in Financial Economics |
0 |
0 |
0 |
15 |
0 |
0 |
2 |
33 |

Operational risk |
1 |
1 |
4 |
128 |
2 |
4 |
16 |
284 |

Option Pricing and Implicit Volatilities |
0 |
0 |
0 |
0 |
0 |
0 |
4 |
140 |

Preferences, Continuity, and the Arbitrage Pricing Theory |
0 |
0 |
2 |
45 |
0 |
0 |
3 |
230 |

Pricing Derivatives on Financial Securities Subject to Credit Risk |
1 |
5 |
19 |
1,165 |
5 |
16 |
64 |
2,031 |

Pricing Options On Risky Assets In A Stochastic Interest Rate Economy |
1 |
3 |
7 |
74 |
4 |
7 |
15 |
126 |

Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence |
2 |
5 |
16 |
154 |
5 |
15 |
43 |
345 |

Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model |
1 |
3 |
14 |
124 |
1 |
7 |
43 |
289 |

Pricing foreign currency options under stochastic interest rates |
0 |
0 |
2 |
996 |
1 |
1 |
13 |
1,532 |

Primes and Scores: An Essay on Market Imperfections |
1 |
2 |
4 |
94 |
2 |
4 |
20 |
574 |

Put Option Premiums and Coherent Risk Measures |
0 |
0 |
0 |
43 |
0 |
0 |
1 |
100 |

RELATING TOP-DOWN WITH BOTTOM-UP APPROACHES IN THE EVALUATION OF ABS WITH LARGE COLLATERAL POOLS |
0 |
0 |
2 |
5 |
3 |
8 |
31 |
58 |

Reduced-form valuation of callable corporate bonds: Theory and evidence |
2 |
4 |
10 |
87 |
4 |
14 |
33 |
249 |

Restructuring risk in credit default swaps: An empirical analysis |
0 |
0 |
1 |
10 |
1 |
2 |
12 |
40 |

Review of John E. Gilster, Jr. "Option Pricing Theory: Is "Risk Free" Hedging Feasible? |
0 |
0 |
0 |
0 |
1 |
1 |
3 |
168 |

Risky coupon bonds as a portfolio of zero-coupon bonds |
1 |
1 |
3 |
65 |
1 |
1 |
9 |
187 |

Spanning and completeness in markets with contingent claims |
1 |
5 |
15 |
147 |
1 |
5 |
24 |
235 |

THE THIRD FUNDAMENTAL THEOREM OF ASSET PRICING |
1 |
3 |
4 |
4 |
2 |
7 |
12 |
12 |

Tax liens: a novel application of asset pricing theory |
0 |
0 |
3 |
32 |
1 |
1 |
11 |
92 |

Testing market efficiency using statistical arbitrage with applications to momentum and value strategies |
1 |
3 |
14 |
316 |
4 |
9 |
45 |
705 |

The Economics of Credit Default Swaps |
1 |
4 |
9 |
13 |
2 |
10 |
31 |
42 |

The Liquidity Discount |
1 |
1 |
3 |
207 |
3 |
4 |
8 |
695 |

The Relationship between Arbitrage and First Order Stochastic Dominance |
1 |
1 |
2 |
36 |
1 |
2 |
3 |
127 |

The Relationship between Yield, Risk and Return of Corporate Bonds |
0 |
0 |
4 |
99 |
13 |
19 |
40 |
396 |

The Relevance of Fiduciary Conflict-of-Interests in Control versus Issue Proxy Contests |
0 |
0 |
0 |
1 |
0 |
0 |
2 |
16 |

The Second Fundamental Theorem of Asset Pricing |
0 |
0 |
1 |
11 |
4 |
8 |
12 |
41 |

The Second Fundamental Theorem of Asset Pricing: A New Approach |
0 |
0 |
0 |
2 |
0 |
0 |
12 |
767 |

The Stop-Loss Start-Gain Paradox and Option Valuation: A New Decomposition into Intrinsic and Time Value |
0 |
0 |
6 |
413 |
0 |
5 |
22 |
1,124 |

The Term Structure of Interest Rates |
3 |
9 |
33 |
121 |
11 |
24 |
102 |
311 |

The arbitrage-free valuation and hedging of demand deposits and credit card loans |
1 |
2 |
7 |
429 |
1 |
5 |
31 |
739 |

The cost of operational risk loss insurance |
1 |
1 |
3 |
26 |
3 |
5 |
11 |
64 |

The error learning hypothesis: The evidence reexamined |
0 |
0 |
0 |
7 |
1 |
1 |
2 |
40 |

The intersection of market and credit risk |
1 |
1 |
6 |
593 |
2 |
3 |
24 |
980 |

The valuation of a firm’s investment opportunities: a reduced form credit risk perspective |
0 |
0 |
0 |
40 |
2 |
2 |
7 |
113 |

The zero-lower bound on interest rates: Myth or reality? |
1 |
4 |
5 |
5 |
1 |
10 |
13 |
13 |

Understanding the risk of leveraged ETFs |
1 |
6 |
28 |
95 |
3 |
12 |
54 |
194 |

Total Journal Articles |
67 |
184 |
732 |
17,403 |
241 |
607 |
2,423 |
42,841 |