| Journal Article |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A Critique of Revised Basel II |
1 |
10 |
48 |
48 |
3 |
16 |
79 |
79 |
| A Markov Model for the Term Structure of Credit Risk Spreads |
0 |
0 |
0 |
6 |
11 |
48 |
192 |
2,127 |
| A Model of the Convenience Yields in On-the-Run Treasuries |
1 |
3 |
16 |
117 |
3 |
7 |
49 |
421 |
| A Unified Approach for Pricing Contingent Claims on Multiple Term Structures |
1 |
1 |
19 |
111 |
1 |
3 |
31 |
186 |
| A characterization theorem for unique risk neutral probability measures |
1 |
1 |
8 |
13 |
2 |
5 |
26 |
49 |
| A comparison of the APT and CAPM a note |
10 |
37 |
274 |
421 |
25 |
79 |
572 |
828 |
| A generalized coherent risk measure: The firm's perspective |
2 |
5 |
14 |
62 |
3 |
10 |
29 |
119 |
| An autoregressive jump process for common stock returns |
0 |
3 |
20 |
37 |
2 |
7 |
35 |
74 |
| Approximate option valuation for arbitrary stochastic processes |
9 |
36 |
182 |
327 |
12 |
53 |
242 |
441 |
| Arbitrage, Continuous Trading, and Margin Requirements |
0 |
2 |
11 |
29 |
0 |
6 |
37 |
109 |
| Bayesian analysis of contingent claim model error |
3 |
4 |
11 |
55 |
8 |
12 |
25 |
125 |
| Beliefs and arbitrage pricing |
0 |
1 |
2 |
4 |
0 |
2 |
6 |
13 |
| Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation |
27 |
101 |
469 |
3,210 |
45 |
153 |
738 |
6,276 |
| Consensus Beliefs Equilibrium and Market Efficiency |
0 |
2 |
4 |
12 |
1 |
3 |
17 |
60 |
| Counterparty Risk and the Pricing of Defaultable Securities |
4 |
9 |
23 |
96 |
13 |
26 |
67 |
246 |
| DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS |
0 |
5 |
16 |
16 |
1 |
9 |
39 |
41 |
| Estimating the Interest Rate Term Structure of Corporate Debt With a Semiparametric Penalized Spline Model |
0 |
4 |
15 |
20 |
0 |
6 |
29 |
39 |
| Ex-dividend Stock Price Behavior and Arbitrage Opportunities |
3 |
16 |
43 |
383 |
17 |
69 |
185 |
1,476 |
| Forward contracts and futures contracts |
2 |
11 |
89 |
154 |
4 |
24 |
165 |
289 |
| Hedging contingent claims on semimartingales |
0 |
0 |
3 |
165 |
3 |
5 |
17 |
649 |
| Heterogeneous Expectations, Restrictions on Short Sales, and Equilibrium Asset Prices |
0 |
0 |
11 |
34 |
3 |
6 |
25 |
75 |
| In Honor of the Nobel Laureates Robert C. Merton and Myron S. Scholes: A Partial Differential Equation That Changed the World |
4 |
12 |
56 |
433 |
18 |
52 |
176 |
1,219 |
| Information reduction via level crossings in a credit risk model |
2 |
5 |
5 |
5 |
4 |
12 |
16 |
16 |
| Interest Rate Caps "Smile" Too! But Can the LIBOR Market Models Capture the Smile? |
2 |
3 |
16 |
42 |
7 |
17 |
80 |
143 |
| Jump Risks and the Intertemporal Capital Asset Pricing Model |
0 |
4 |
20 |
158 |
3 |
13 |
46 |
404 |
| Large traders, hidden arbitrage, and complete markets |
0 |
3 |
8 |
32 |
1 |
6 |
17 |
69 |
| Market Manipulation and Corporate Finance: A New Perspective |
0 |
0 |
0 |
0 |
6 |
12 |
41 |
106 |
| Market Pricing of Deposit Insurance |
1 |
6 |
9 |
9 |
2 |
10 |
16 |
16 |
| Modeling loan commitments |
1 |
7 |
7 |
7 |
4 |
13 |
13 |
13 |
| Operational risk |
7 |
15 |
15 |
15 |
19 |
40 |
40 |
40 |
| Option Pricing and Implicit Volatilities |
0 |
0 |
0 |
0 |
1 |
5 |
21 |
102 |
| Preferences, Continuity, and the Arbitrage Pricing Theory |
0 |
0 |
2 |
37 |
1 |
2 |
8 |
210 |
| Pricing Derivatives on Financial Securities Subject to Credit Risk |
20 |
60 |
187 |
795 |
30 |
94 |
327 |
1,284 |
| Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence |
1 |
5 |
21 |
75 |
3 |
16 |
63 |
175 |
| Pricing foreign currency options under stochastic interest rates |
5 |
18 |
123 |
682 |
9 |
33 |
186 |
1,025 |
| Primes and Scores: An Essay on Market Imperfections |
2 |
3 |
9 |
48 |
5 |
18 |
64 |
187 |
| Put Option Premiums and Coherent Risk Measures |
1 |
3 |
14 |
17 |
2 |
9 |
37 |
44 |
| Review of John E. Gilster, Jr. "Option Pricing Theory: Is "Risk Free" Hedging Feasible? |
0 |
0 |
0 |
0 |
4 |
9 |
28 |
103 |
| Risky coupon bonds as a portfolio of zero-coupon bonds |
2 |
3 |
14 |
37 |
3 |
8 |
40 |
107 |
| Spanning and completeness in markets with contingent claims |
3 |
5 |
33 |
47 |
6 |
10 |
47 |
75 |
| Tax liens: a novel application of asset pricing theory |
0 |
2 |
6 |
6 |
3 |
9 |
20 |
20 |
| Testing market efficiency using statistical arbitrage with applications to momentum and value strategies |
2 |
8 |
34 |
252 |
6 |
15 |
66 |
509 |
| The Liquidity Discount |
5 |
21 |
64 |
75 |
16 |
65 |
190 |
216 |
| The Relationship between Arbitrage and First Order Stochastic Dominance |
0 |
1 |
6 |
19 |
2 |
4 |
17 |
78 |
| The Relationship between Yield, Risk and Return of Corporate Bonds |
1 |
3 |
19 |
61 |
6 |
15 |
76 |
193 |
| The Second Fundamental Theorem of Asset Pricing: A New Approach |
0 |
0 |
0 |
2 |
2 |
7 |
34 |
665 |
| The Stop-Loss Start-Gain Paradox and Option Valuation: A New Decomposition into Intrinsic and Time Value |
2 |
11 |
65 |
293 |
7 |
35 |
175 |
778 |
| The arbitrage-free valuation and hedging of demand deposits and credit card loans |
3 |
16 |
59 |
213 |
6 |
25 |
92 |
355 |
| The error learning hypothesis: The evidence reexamined |
0 |
0 |
2 |
3 |
1 |
3 |
12 |
22 |
| The intersection of market and credit risk |
7 |
21 |
92 |
397 |
11 |
36 |
151 |
573 |
| The valuation of a firm’s investment opportunities: a reduced form credit risk perspective |
0 |
1 |
7 |
7 |
2 |
6 |
20 |
20 |
| Total Journal Articles |
135 |
487 |
2,171 |
9,087 |
347 |
1,148 |
4,724 |
22,489 |
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