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 |
2 |
2 |
36 |

A Critique of Revised Basel II |
1 |
3 |
18 |
217 |
4 |
6 |
51 |
471 |

A DYSFUNCTIONAL ROLE OF HIGH FREQUENCY TRADING IN ELECTRONIC MARKETS |
0 |
5 |
19 |
60 |
2 |
9 |
47 |
148 |

A Markov Model for the Term Structure of Credit Risk Spreads |
0 |
0 |
0 |
6 |
4 |
8 |
31 |
2,582 |

A Model of the Convenience Yields in On-the-Run Treasuries |
0 |
1 |
3 |
150 |
0 |
1 |
11 |
548 |

A Reduced‐Form Model for Warrant Valuation |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
15 |

A Unified Approach for Pricing Contingent Claims on Multiple Term Structures |
0 |
0 |
0 |
149 |
0 |
0 |
4 |
249 |

A characterization theorem for unique risk neutral probability measures |
0 |
1 |
1 |
23 |
0 |
1 |
1 |
84 |

A comparison of the APT and CAPM a note |
1 |
1 |
20 |
1,213 |
4 |
4 |
48 |
3,132 |

A generalized coherent risk measure: The firm's perspective |
0 |
0 |
1 |
82 |
0 |
0 |
4 |
167 |

A leverage ratio rule for capital adequacy |
2 |
5 |
41 |
88 |
8 |
18 |
128 |
253 |

A liquidity-based model for asset price bubbles |
0 |
2 |
7 |
20 |
0 |
2 |
13 |
38 |

A simple robust model for Cat bond valuation |
0 |
1 |
11 |
122 |
0 |
4 |
34 |
270 |

ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS |
1 |
1 |
4 |
22 |
1 |
1 |
6 |
66 |

Abnormal Profit Opportunities and the Informational Advantage of High Frequency Trading |
0 |
2 |
31 |
31 |
2 |
14 |
79 |
79 |

An autoregressive jump process for common stock returns |
0 |
0 |
1 |
119 |
0 |
1 |
6 |
223 |

An improved test for statistical arbitrage |
2 |
4 |
7 |
36 |
3 |
8 |
26 |
102 |

Approximate option valuation for arbitrary stochastic processes |
0 |
4 |
25 |
830 |
2 |
14 |
56 |
1,245 |

Arbitrage, Continuous Trading, and Margin Requirements |
0 |
1 |
1 |
42 |
0 |
1 |
7 |
176 |

Bayesian analysis of contingent claim model error |
0 |
1 |
5 |
88 |
1 |
3 |
17 |
215 |

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

Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation |
0 |
0 |
3 |
83 |
0 |
2 |
14 |
185 |

Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation |
0 |
0 |
23 |
4,857 |
6 |
16 |
117 |
9,587 |

Capital adequacy rules, catastrophic firm failure, and systemic risk |
0 |
0 |
4 |
4 |
0 |
1 |
15 |
18 |

Commercial Mortgage-Backed Securities (CMBS) and Market Efficiency with Respect to Costly Information |
0 |
0 |
1 |
89 |
1 |
1 |
9 |
279 |

Consensus Beliefs Equilibrium and Market Efficiency |
0 |
0 |
1 |
26 |
0 |
0 |
2 |
85 |

Convenience yields |
0 |
1 |
2 |
15 |
0 |
6 |
25 |
55 |

Counterparty Risk and the Pricing of Defaultable Securities |
0 |
0 |
1 |
172 |
1 |
1 |
7 |
441 |

Credit Risk Models |
3 |
7 |
19 |
129 |
4 |
12 |
38 |
253 |

Credit market equilibrium theory and evidence: Revisiting the structural versus reduced form credit risk model debate |
0 |
2 |
9 |
90 |
1 |
5 |
56 |
206 |

DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS |
0 |
0 |
4 |
86 |
1 |
3 |
13 |
199 |

Delta, gamma and bucket hedging of interest rate derivatives |
1 |
5 |
15 |
52 |
3 |
9 |
47 |
156 |

Derivative Security Markets, Market Manipulation, and Option Pricing Theory |
0 |
1 |
4 |
72 |
2 |
5 |
18 |
150 |

Discrete versus continuous time models: Local martingales and singular processes in asset pricing theory |
0 |
1 |
8 |
40 |
1 |
3 |
33 |
119 |

Discretely sampled variance and volatility swaps versus their continuous approximations |
0 |
0 |
1 |
2 |
1 |
2 |
10 |
18 |

Distressed debt prices and recovery rate estimation |
0 |
0 |
6 |
79 |
0 |
1 |
27 |
236 |

Downside Loss Aversion and Portfolio Management |
0 |
0 |
2 |
11 |
0 |
0 |
16 |
48 |

ESTIMATING THE VALUE OF DELIVERY OPTIONS IN FUTURES CONTRACTS |
0 |
0 |
1 |
16 |
0 |
1 |
4 |
54 |

Estimating the Interest Rate Term Structure of Corporate Debt With a Semiparametric Penalized Spline Model |
0 |
0 |
2 |
45 |
1 |
1 |
7 |
86 |

Ex-dividend Stock Price Behavior and Arbitrage Opportunities |
1 |
2 |
4 |
470 |
2 |
4 |
14 |
1,772 |

FORWARD AND FUTURES PRICES WITH BUBBLES |
3 |
4 |
8 |
105 |
4 |
5 |
19 |
217 |

Financial crises and economic growth |
0 |
3 |
5 |
5 |
3 |
10 |
14 |
14 |

Foreign currency bubbles |
0 |
0 |
2 |
21 |
0 |
3 |
10 |
58 |

Forward contracts and futures contracts |
1 |
4 |
12 |
444 |
8 |
19 |
54 |
1,022 |

Hedging contingent claims on semimartingales |
0 |
0 |
1 |
176 |
0 |
0 |
2 |
670 |

Hedging derivatives with model error |
0 |
0 |
3 |
7 |
0 |
2 |
7 |
22 |

Hedging in a HJM model |
2 |
3 |
4 |
58 |
2 |
3 |
14 |
140 |

Heterogeneous Expectations, Restrictions on Short Sales, and Equilibrium Asset Prices |
0 |
1 |
8 |
117 |
1 |
3 |
15 |
245 |

Housing prices and the optimal time-on-the-market decision |
0 |
0 |
2 |
4 |
0 |
1 |
10 |
22 |

In Honor of the Nobel Laureates Robert C. Merton and Myron S. Scholes: A Partial Differential Equation That Changed the World |
0 |
1 |
5 |
521 |
0 |
1 |
9 |
1,591 |

Information reduction via level crossings in a credit risk model |
1 |
2 |
4 |
24 |
1 |
2 |
7 |
69 |

Interest Rate Caps "Smile" Too! But Can the LIBOR Market Models Capture the Smile? |
0 |
1 |
2 |
68 |
1 |
4 |
6 |
205 |

Jump Risks and the Intertemporal Capital Asset Pricing Model |
0 |
0 |
2 |
216 |
0 |
0 |
5 |
539 |

Large traders, hidden arbitrage, and complete markets |
0 |
2 |
2 |
45 |
0 |
3 |
6 |
115 |

Liquidity risk and arbitrage pricing theory |
0 |
0 |
6 |
39 |
6 |
6 |
24 |
159 |

MODELING THE RECOVERY RATE IN A REDUCED FORM MODEL |
0 |
0 |
3 |
31 |
0 |
2 |
11 |
86 |

Market Manipulation and Corporate Finance: A New Perspective |
0 |
0 |
0 |
0 |
0 |
1 |
14 |
240 |

Market Manipulation, Bubbles, Corners, and Short Squeezes |
0 |
0 |
10 |
198 |
3 |
10 |
45 |
412 |

Market Manipulation, Price Bubbles, and a Model of the U.S. Treasury Securities Auction Market |
0 |
0 |
1 |
38 |
1 |
2 |
9 |
100 |

Market Pricing of Deposit Insurance |
0 |
0 |
5 |
66 |
0 |
1 |
8 |
141 |

Modeling loan commitments |
0 |
2 |
13 |
134 |
0 |
3 |
23 |
244 |

OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS |
1 |
3 |
5 |
43 |
1 |
3 |
5 |
73 |

On Model Testing in Financial Economics |
0 |
0 |
1 |
16 |
0 |
0 |
2 |
35 |

Operational risk |
1 |
2 |
4 |
130 |
1 |
3 |
15 |
291 |

Option Pricing and Implicit Volatilities |
0 |
0 |
0 |
0 |
0 |
1 |
3 |
141 |

Preferences, Continuity, and the Arbitrage Pricing Theory |
0 |
0 |
0 |
45 |
0 |
0 |
2 |
232 |

Pricing Derivatives on Financial Securities Subject to Credit Risk |
4 |
7 |
24 |
1,180 |
7 |
13 |
70 |
2,078 |

Pricing Options On Risky Assets In A Stochastic Interest Rate Economy |
0 |
1 |
6 |
76 |
2 |
5 |
17 |
132 |

Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence |
4 |
5 |
16 |
163 |
4 |
5 |
43 |
366 |

Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model |
1 |
2 |
11 |
129 |
2 |
9 |
31 |
307 |

Pricing foreign currency options under stochastic interest rates |
0 |
0 |
1 |
996 |
0 |
0 |
3 |
1,533 |

Primes and Scores: An Essay on Market Imperfections |
1 |
1 |
3 |
95 |
1 |
4 |
12 |
581 |

Put Option Premiums and Coherent Risk Measures |
0 |
0 |
0 |
43 |
0 |
0 |
5 |
105 |

RELATING TOP-DOWN WITH BOTTOM-UP APPROACHES IN THE EVALUATION OF ABS WITH LARGE COLLATERAL POOLS |
0 |
0 |
1 |
6 |
1 |
4 |
22 |
70 |

Reduced-form valuation of callable corporate bonds: Theory and evidence |
0 |
0 |
10 |
91 |
2 |
3 |
35 |
266 |

Restructuring risk in credit default swaps: An empirical analysis |
1 |
1 |
2 |
12 |
1 |
2 |
9 |
45 |

Review of John E. Gilster, Jr. "Option Pricing Theory: Is "Risk Free" Hedging Feasible? |
0 |
0 |
0 |
0 |
0 |
0 |
3 |
169 |

Risky coupon bonds as a portfolio of zero-coupon bonds |
0 |
0 |
5 |
69 |
0 |
1 |
12 |
196 |

Spanning and completeness in markets with contingent claims |
0 |
1 |
17 |
153 |
2 |
5 |
24 |
245 |

THE THIRD FUNDAMENTAL THEOREM OF ASSET PRICING |
0 |
3 |
7 |
7 |
1 |
7 |
19 |
19 |

Tax liens: a novel application of asset pricing theory |
0 |
0 |
1 |
32 |
0 |
0 |
8 |
94 |

Testing market efficiency using statistical arbitrage with applications to momentum and value strategies |
2 |
3 |
10 |
320 |
5 |
6 |
34 |
723 |

The Economics of Credit Default Swaps |
0 |
1 |
8 |
16 |
0 |
3 |
20 |
50 |

The Liquidity Discount |
0 |
0 |
3 |
207 |
0 |
2 |
19 |
706 |

The Relationship between Arbitrage and First Order Stochastic Dominance |
0 |
0 |
1 |
36 |
0 |
0 |
3 |
128 |

The Relationship between Yield, Risk and Return of Corporate Bonds |
0 |
0 |
2 |
100 |
5 |
10 |
56 |
430 |

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 |
0 |
11 |
1 |
6 |
17 |
49 |

The Second Fundamental Theorem of Asset Pricing: A New Approach |
0 |
0 |
0 |
2 |
0 |
1 |
7 |
774 |

The Stop-Loss Start-Gain Paradox and Option Valuation: A New Decomposition into Intrinsic and Time Value |
0 |
0 |
1 |
414 |
1 |
4 |
18 |
1,137 |

The Term Structure of Interest Rates |
3 |
7 |
40 |
145 |
11 |
29 |
130 |
396 |

The arbitrage-free valuation and hedging of demand deposits and credit card loans |
1 |
1 |
7 |
433 |
2 |
5 |
28 |
758 |

The cost of operational risk loss insurance |
0 |
0 |
1 |
26 |
0 |
1 |
9 |
66 |

The error learning hypothesis: The evidence reexamined |
0 |
0 |
1 |
8 |
0 |
0 |
2 |
41 |

The intersection of market and credit risk |
1 |
2 |
3 |
595 |
2 |
8 |
15 |
992 |

The valuation of a firm’s investment opportunities: a reduced form credit risk perspective |
0 |
0 |
1 |
41 |
0 |
0 |
10 |
117 |

The zero-lower bound on interest rates: Myth or reality? |
2 |
3 |
10 |
10 |
2 |
5 |
21 |
21 |

Understanding the risk of leveraged ETFs |
2 |
6 |
21 |
104 |
3 |
9 |
47 |
221 |

Total Journal Articles |
43 |
123 |
626 |
17,734 |
142 |
405 |
2,134 |
43,993 |