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 |
0 |
12 |
0 |
0 |
4 |
43 |

A Critique of Revised Basel II |
0 |
0 |
1 |
229 |
0 |
1 |
4 |
514 |

A DYSFUNCTIONAL ROLE OF HIGH FREQUENCY TRADING IN ELECTRONIC MARKETS |
0 |
0 |
6 |
77 |
0 |
2 |
24 |
207 |

A Markov Model for the Term Structure of Credit Risk Spreads |
0 |
0 |
0 |
6 |
3 |
10 |
50 |
2,674 |

A Model of the Convenience Yields in On-the-Run Treasuries |
0 |
0 |
0 |
152 |
0 |
0 |
7 |
562 |

A Reduced‐Form Model for Warrant Valuation |
0 |
0 |
0 |
0 |
0 |
0 |
17 |
38 |

A Unified Approach for Pricing Contingent Claims on Multiple Term Structures |
0 |
0 |
0 |
149 |
0 |
0 |
6 |
259 |

A characterization theorem for unique risk neutral probability measures |
0 |
0 |
0 |
24 |
0 |
1 |
9 |
98 |

A comparison of the APT and CAPM a note |
0 |
1 |
9 |
1,244 |
2 |
5 |
28 |
3,214 |

A generalized coherent risk measure: The firm's perspective |
0 |
0 |
0 |
84 |
0 |
0 |
5 |
176 |

A leverage ratio rule for capital adequacy |
2 |
5 |
14 |
139 |
3 |
14 |
41 |
403 |

A liquidity-based model for asset price bubbles |
0 |
0 |
0 |
26 |
0 |
0 |
2 |
52 |

A simple robust model for Cat bond valuation |
3 |
4 |
12 |
155 |
4 |
6 |
23 |
328 |

ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS |
0 |
0 |
0 |
24 |
0 |
0 |
5 |
81 |

Abnormal Profit Opportunities and the Informational Advantage of High Frequency Trading |
0 |
0 |
2 |
50 |
1 |
2 |
24 |
154 |

An autoregressive jump process for common stock returns |
0 |
0 |
3 |
123 |
0 |
2 |
10 |
235 |

An improved test for statistical arbitrage |
1 |
2 |
11 |
63 |
2 |
4 |
26 |
163 |

Approximate option valuation for arbitrary stochastic processes |
2 |
5 |
24 |
880 |
6 |
15 |
61 |
1,358 |

Arbitrage, Continuous Trading, and Margin Requirements |
0 |
1 |
1 |
44 |
0 |
2 |
7 |
194 |

Asset Price Bubbles |
1 |
3 |
18 |
19 |
2 |
5 |
39 |
43 |

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

Bank runs and self-insured bank deposits |
0 |
1 |
2 |
4 |
1 |
3 |
13 |
22 |

Bankruptcy Prediction with Industry Effects |
1 |
1 |
3 |
4 |
1 |
2 |
15 |
19 |

Bayesian analysis of contingent claim model error |
0 |
0 |
1 |
97 |
0 |
0 |
13 |
246 |

Beliefs and arbitrage pricing |
0 |
0 |
0 |
14 |
0 |
0 |
3 |
38 |

Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation |
0 |
0 |
2 |
90 |
1 |
2 |
13 |
231 |

Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation |
2 |
5 |
9 |
4,898 |
16 |
28 |
86 |
9,812 |

Capital adequacy rules, catastrophic firm failure, and systemic risk |
0 |
1 |
1 |
8 |
0 |
2 |
8 |
40 |

Commercial Mortgage-Backed Securities (CMBS) and Market Efficiency with Respect to Costly Information |
0 |
0 |
0 |
90 |
0 |
1 |
9 |
303 |

Computing present values: Capital budgeting done correctly |
0 |
0 |
2 |
10 |
0 |
1 |
10 |
34 |

Consensus Beliefs Equilibrium and Market Efficiency |
0 |
0 |
0 |
27 |
0 |
1 |
8 |
97 |

Convenience yields |
0 |
0 |
5 |
25 |
0 |
0 |
10 |
77 |

Counterparty Risk and the Pricing of Defaultable Securities |
0 |
0 |
3 |
176 |
0 |
3 |
20 |
476 |

Credit Risk Models |
2 |
8 |
18 |
167 |
3 |
12 |
35 |
327 |

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

Credit market equilibrium theory and evidence: Revisiting the structural versus reduced form credit risk model debate |
0 |
3 |
7 |
105 |
1 |
4 |
23 |
257 |

DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS |
0 |
0 |
1 |
89 |
2 |
3 |
9 |
222 |

Delta, gamma and bucket hedging of interest rate derivatives |
0 |
0 |
6 |
69 |
3 |
6 |
28 |
238 |

Derivative Security Markets, Market Manipulation, and Option Pricing Theory |
0 |
0 |
2 |
78 |
1 |
2 |
18 |
182 |

Designing catastrophic bonds for catastrophic risks in agriculture |
0 |
1 |
1 |
1 |
0 |
5 |
5 |
5 |

Discrete versus continuous time models: Local martingales and singular processes in asset pricing theory |
1 |
1 |
1 |
52 |
1 |
4 |
18 |
168 |

Discretely sampled variance and volatility swaps versus their continuous approximations |
0 |
0 |
0 |
4 |
1 |
1 |
7 |
29 |

Distressed debt prices and recovery rate estimation |
1 |
2 |
2 |
82 |
1 |
5 |
11 |
265 |

Downside Loss Aversion and Portfolio Management |
0 |
0 |
4 |
20 |
3 |
7 |
16 |
73 |

ESTIMATING THE VALUE OF DELIVERY OPTIONS IN FUTURES CONTRACTS |
0 |
0 |
0 |
17 |
1 |
2 |
7 |
65 |

Estimating the Interest Rate Term Structure of Corporate Debt With a Semiparametric Penalized Spline Model |
0 |
0 |
1 |
46 |
0 |
1 |
10 |
104 |

Ex-dividend Stock Price Behavior and Arbitrage Opportunities |
0 |
0 |
0 |
470 |
0 |
0 |
14 |
1,794 |

FORWARD AND FUTURES PRICES WITH BUBBLES |
0 |
0 |
1 |
112 |
0 |
2 |
9 |
236 |

Financial crises and economic growth |
0 |
1 |
5 |
22 |
1 |
2 |
13 |
52 |

Foreign currency bubbles |
0 |
0 |
0 |
23 |
0 |
1 |
5 |
76 |

Forward Rate Curve Smoothing |
0 |
0 |
0 |
3 |
0 |
1 |
10 |
34 |

Forward contracts and futures contracts |
0 |
1 |
8 |
464 |
2 |
5 |
21 |
1,077 |

Government Policies, Residential Mortgage Defaults and the Boom and Bust Cycle of Housing Prices |
0 |
0 |
1 |
6 |
1 |
1 |
10 |
33 |

Hedging contingent claims on semimartingales |
0 |
0 |
0 |
176 |
1 |
1 |
8 |
679 |

Hedging derivatives with model error |
0 |
0 |
2 |
9 |
1 |
1 |
5 |
33 |

Hedging in a HJM model |
0 |
0 |
2 |
64 |
1 |
1 |
14 |
168 |

Heterogeneous Expectations, Restrictions on Short Sales, and Equilibrium Asset Prices |
0 |
0 |
1 |
123 |
1 |
5 |
14 |
284 |

Housing prices and the optimal time-on-the-market decision |
0 |
0 |
0 |
5 |
0 |
0 |
9 |
37 |

In Honor of the Nobel Laureates Robert C. Merton and Myron S. Scholes: A Partial Differential Equation That Changed the World |
0 |
0 |
0 |
523 |
0 |
0 |
6 |
1,607 |

Information reduction via level crossings in a credit risk model |
0 |
0 |
0 |
24 |
1 |
1 |
5 |
77 |

Interest Rate Caps "Smile" Too! But Can the LIBOR Market Models Capture the Smile? |
0 |
0 |
2 |
73 |
0 |
0 |
7 |
220 |

Is Mean-Variance Analysis Vacuous: Or was Beta Still Born? |
0 |
0 |
0 |
0 |
0 |
0 |
5 |
6 |

Jump Risks and the Intertemporal Capital Asset Pricing Model |
0 |
0 |
0 |
216 |
0 |
0 |
3 |
546 |

Large traders, hidden arbitrage, and complete markets |
0 |
0 |
1 |
49 |
0 |
0 |
7 |
131 |

Liquidity risk and arbitrage pricing theory |
0 |
0 |
3 |
43 |
2 |
3 |
13 |
179 |

MODELING THE RECOVERY RATE IN A REDUCED FORM MODEL |
0 |
0 |
1 |
35 |
0 |
0 |
10 |
107 |

Market Manipulation and Corporate Finance: A New Perspective |
0 |
0 |
0 |
0 |
2 |
2 |
11 |
261 |

Market Manipulation, Bubbles, Corners, and Short Squeezes |
0 |
0 |
9 |
219 |
2 |
4 |
27 |
473 |

Market Manipulation, Price Bubbles, and a Model of the U.S. Treasury Securities Auction Market |
0 |
0 |
1 |
46 |
0 |
0 |
11 |
129 |

Market Pricing of Deposit Insurance |
0 |
0 |
1 |
70 |
1 |
1 |
6 |
161 |

Modeling loan commitments |
0 |
0 |
6 |
147 |
0 |
1 |
14 |
281 |

OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS |
0 |
0 |
0 |
46 |
0 |
0 |
5 |
87 |

On Model Testing in Financial Economics |
0 |
0 |
0 |
16 |
0 |
1 |
9 |
45 |

Operational risk |
1 |
1 |
3 |
142 |
1 |
1 |
9 |
324 |

Option Pricing and Implicit Volatilities |
0 |
0 |
0 |
0 |
0 |
1 |
9 |
153 |

Preferences, Continuity, and the Arbitrage Pricing Theory |
0 |
0 |
0 |
46 |
0 |
0 |
4 |
240 |

Pricing Derivatives on Financial Securities Subject to Credit Risk |
2 |
5 |
18 |
1,219 |
6 |
12 |
64 |
2,211 |

Pricing Options On Risky Assets In A Stochastic Interest Rate Economy |
0 |
3 |
5 |
82 |
0 |
8 |
18 |
157 |

Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence |
0 |
1 |
7 |
184 |
0 |
2 |
15 |
415 |

Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model |
0 |
1 |
5 |
138 |
3 |
7 |
13 |
331 |

Pricing foreign currency options under stochastic interest rates |
1 |
1 |
2 |
999 |
4 |
5 |
14 |
1,556 |

Primes and Scores: An Essay on Market Imperfections |
2 |
3 |
4 |
103 |
3 |
5 |
16 |
609 |

Put Option Premiums and Coherent Risk Measures |
0 |
0 |
2 |
47 |
1 |
1 |
7 |
121 |

RELATING TOP-DOWN WITH BOTTOM-UP APPROACHES IN THE EVALUATION OF ABS WITH LARGE COLLATERAL POOLS |
0 |
0 |
0 |
6 |
0 |
0 |
8 |
86 |

Reduced-form valuation of callable corporate bonds: Theory and evidence |
2 |
3 |
3 |
106 |
3 |
6 |
19 |
321 |

Relative asset price bubbles |
1 |
3 |
5 |
5 |
1 |
6 |
27 |
27 |

Restructuring risk in credit default swaps: An empirical analysis |
0 |
0 |
1 |
13 |
0 |
0 |
5 |
59 |

Review of John E. Gilster, Jr. "Option Pricing Theory: Is "Risk Free" Hedging Feasible? |
0 |
0 |
0 |
0 |
0 |
0 |
5 |
183 |

Risky coupon bonds as a portfolio of zero-coupon bonds |
0 |
0 |
0 |
69 |
1 |
1 |
8 |
209 |

Spanning and completeness in markets with contingent claims |
0 |
2 |
3 |
162 |
0 |
2 |
4 |
265 |

Specification tests of calibrated option pricing models |
0 |
0 |
0 |
3 |
1 |
1 |
19 |
38 |

THE EFFECT OF TRADING FUTURES ON SHORT SALE CONSTRAINTS |
1 |
2 |
4 |
5 |
2 |
3 |
19 |
26 |

THE THIRD FUNDAMENTAL THEOREM OF ASSET PRICING |
0 |
0 |
2 |
13 |
0 |
1 |
11 |
65 |

Tax liens: a novel application of asset pricing theory |
1 |
2 |
2 |
34 |
1 |
2 |
8 |
106 |

Testing market efficiency using statistical arbitrage with applications to momentum and value strategies |
1 |
1 |
9 |
337 |
4 |
7 |
38 |
784 |

The Economics of Credit Default Swaps |
1 |
1 |
4 |
28 |
3 |
5 |
19 |
92 |

The Impact of a Central Bank's Bond Market Intervention on Foreign Exchange Rates |
0 |
0 |
3 |
8 |
2 |
2 |
11 |
27 |

The Liquidity Discount |
0 |
0 |
1 |
209 |
0 |
1 |
8 |
721 |

The Relationship between Arbitrage and First Order Stochastic Dominance |
0 |
0 |
0 |
37 |
1 |
1 |
6 |
141 |

The Relationship between Yield, Risk and Return of Corporate Bonds |
1 |
2 |
3 |
105 |
1 |
2 |
21 |
479 |

The Relevance of Fiduciary Conflict-of-Interests in Control versus Issue Proxy Contests |
0 |
0 |
0 |
1 |
0 |
0 |
7 |
26 |

The Second Fundamental Theorem of Asset Pricing |
0 |
0 |
0 |
12 |
0 |
0 |
8 |
62 |

The Second Fundamental Theorem of Asset Pricing: A New Approach |
0 |
0 |
0 |
2 |
1 |
1 |
6 |
791 |

The Stop-Loss Start-Gain Paradox and Option Valuation: A New Decomposition into Intrinsic and Time Value |
1 |
1 |
1 |
423 |
2 |
2 |
6 |
1,175 |

The Term Structure of Interest Rates |
2 |
3 |
24 |
215 |
7 |
14 |
92 |
616 |

The arbitrage-free valuation and hedging of demand deposits and credit card loans |
1 |
1 |
2 |
438 |
7 |
15 |
34 |
804 |

The cost of operational risk loss insurance |
0 |
0 |
1 |
27 |
0 |
0 |
6 |
77 |

The error learning hypothesis: The evidence reexamined |
0 |
0 |
0 |
8 |
1 |
1 |
3 |
45 |

The impact of quantitative easing on the US term structure of interest rates |
1 |
1 |
8 |
35 |
2 |
5 |
27 |
109 |

The intersection of market and credit risk |
2 |
4 |
13 |
615 |
4 |
11 |
42 |
1,065 |

The valuation of a firm’s investment opportunities: a reduced form credit risk perspective |
0 |
1 |
1 |
48 |
0 |
2 |
11 |
140 |

The zero-lower bound on interest rates: Myth or reality? |
0 |
2 |
7 |
29 |
0 |
5 |
25 |
69 |

Understanding the risk of leveraged ETFs |
3 |
6 |
16 |
152 |
4 |
8 |
44 |
335 |

Total Journal Articles |
40 |
96 |
375 |
18,762 |
142 |
344 |
1,775 |
48,000 |