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 |
0 |
4 |
514 |

A Markov Model for the Term Structure of Credit Risk Spreads |
0 |
0 |
0 |
6 |
4 |
14 |
50 |
2,685 |

A Model of the Convenience Yields in On-the-Run Treasuries |
1 |
1 |
1 |
153 |
1 |
1 |
7 |
563 |

A Reduced‐Form Model for Warrant Valuation |
0 |
0 |
0 |
0 |
0 |
0 |
13 |
38 |

A Unified Approach for Pricing Contingent Claims on Multiple Term Structures |
0 |
0 |
0 |
149 |
0 |
0 |
3 |
259 |

A characterization theorem for unique risk neutral probability measures |
0 |
0 |
0 |
24 |
0 |
0 |
7 |
98 |

A comparison of the APT and CAPM a note |
0 |
0 |
7 |
1,244 |
0 |
2 |
24 |
3,214 |

A generalized coherent risk measure: The firm's perspective |
0 |
0 |
0 |
84 |
0 |
0 |
3 |
176 |

A leverage ratio rule for capital adequacy |
1 |
4 |
13 |
141 |
5 |
13 |
42 |
413 |

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

A simple robust model for Cat bond valuation |
2 |
5 |
14 |
157 |
3 |
7 |
22 |
331 |

ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS |
0 |
0 |
0 |
24 |
0 |
0 |
4 |
81 |

An autoregressive jump process for common stock returns |
0 |
1 |
3 |
124 |
0 |
1 |
8 |
236 |

An improved test for statistical arbitrage |
3 |
6 |
16 |
68 |
5 |
12 |
34 |
173 |

Approximate option valuation for arbitrary stochastic processes |
2 |
5 |
22 |
883 |
9 |
17 |
66 |
1,369 |

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

Asset Price Bubbles |
0 |
5 |
19 |
23 |
2 |
12 |
41 |
53 |

BUBBLES AND MULTIPLE-FACTOR ASSET PRICING MODELS |
1 |
1 |
1 |
1 |
2 |
2 |
2 |
2 |

Bank runs and self-insured bank deposits |
0 |
0 |
1 |
4 |
0 |
2 |
10 |
23 |

Bankruptcy Prediction with Industry Effects |
0 |
1 |
3 |
4 |
0 |
1 |
11 |
19 |

Bayesian analysis of contingent claim model error |
1 |
1 |
1 |
98 |
1 |
1 |
8 |
247 |

Beliefs and arbitrage pricing |
0 |
0 |
0 |
14 |
0 |
0 |
2 |
38 |

Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation |
0 |
0 |
2 |
90 |
0 |
2 |
13 |
232 |

Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation |
0 |
2 |
8 |
4,898 |
5 |
30 |
86 |
9,826 |

Capital adequacy rules, catastrophic firm failure, and systemic risk |
0 |
0 |
1 |
8 |
2 |
2 |
9 |
42 |

Commercial Mortgage-Backed Securities (CMBS) and Market Efficiency with Respect to Costly Information |
2 |
2 |
2 |
92 |
2 |
2 |
8 |
305 |

Computing present values: Capital budgeting done correctly |
0 |
0 |
2 |
10 |
0 |
0 |
8 |
34 |

Consensus Beliefs Equilibrium and Market Efficiency |
0 |
0 |
0 |
27 |
0 |
0 |
4 |
97 |

Convenience yields |
0 |
0 |
5 |
25 |
0 |
0 |
9 |
77 |

Counterparty Risk and the Pricing of Defaultable Securities |
1 |
1 |
3 |
177 |
7 |
12 |
30 |
488 |

Credit Risk Models |
1 |
5 |
19 |
170 |
4 |
17 |
45 |
341 |

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

Credit market equilibrium theory and evidence: Revisiting the structural versus reduced form credit risk model debate |
1 |
2 |
8 |
107 |
1 |
3 |
19 |
259 |

DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS |
1 |
1 |
2 |
90 |
3 |
7 |
13 |
227 |

Delta, gamma and bucket hedging of interest rate derivatives |
0 |
0 |
4 |
69 |
0 |
3 |
20 |
238 |

Derivative Security Markets, Market Manipulation, and Option Pricing Theory |
1 |
1 |
3 |
79 |
1 |
2 |
14 |
183 |

Designing catastrophic bonds for catastrophic risks in agriculture |
0 |
0 |
1 |
1 |
4 |
4 |
9 |
9 |

Discrete versus continuous time models: Local martingales and singular processes in asset pricing theory |
0 |
1 |
1 |
52 |
1 |
2 |
17 |
169 |

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

Distressed debt prices and recovery rate estimation |
0 |
1 |
2 |
82 |
0 |
1 |
9 |
265 |

Downside Loss Aversion and Portfolio Management |
0 |
0 |
3 |
20 |
1 |
4 |
16 |
74 |

ESTIMATING THE VALUE OF DELIVERY OPTIONS IN FUTURES CONTRACTS |
0 |
0 |
0 |
17 |
0 |
1 |
4 |
65 |

Estimating the Interest Rate Term Structure of Corporate Debt With a Semiparametric Penalized Spline Model |
0 |
0 |
1 |
46 |
0 |
0 |
7 |
104 |

Ex-dividend Stock Price Behavior and Arbitrage Opportunities |
0 |
0 |
0 |
470 |
0 |
0 |
11 |
1,794 |

Financial crises and economic growth |
0 |
0 |
5 |
22 |
0 |
2 |
13 |
53 |

Foreign currency bubbles |
0 |
0 |
0 |
23 |
0 |
0 |
4 |
76 |

Forward Rate Curve Smoothing |
0 |
0 |
0 |
3 |
2 |
2 |
9 |
36 |

Forward contracts and futures contracts |
0 |
2 |
9 |
466 |
1 |
6 |
22 |
1,081 |

Government Policies, Residential Mortgage Defaults and the Boom and Bust Cycle of Housing Prices |
0 |
0 |
1 |
6 |
1 |
2 |
9 |
34 |

Hedging contingent claims on semimartingales |
0 |
0 |
0 |
176 |
0 |
1 |
6 |
679 |

Hedging derivatives with model error |
0 |
0 |
1 |
9 |
0 |
4 |
6 |
36 |

Hedging in a HJM model |
0 |
0 |
2 |
64 |
0 |
1 |
11 |
168 |

Heterogeneous Expectations, Restrictions on Short Sales, and Equilibrium Asset Prices |
0 |
0 |
0 |
123 |
3 |
5 |
15 |
288 |

Housing prices and the optimal time-on-the-market decision |
0 |
0 |
0 |
5 |
0 |
2 |
8 |
39 |

In Honor of the Nobel Laureates Robert C. Merton and Myron S. Scholes: A Partial Differential Equation That Changed the World |
1 |
1 |
1 |
524 |
2 |
2 |
5 |
1,609 |

Information reduction via level crossings in a credit risk model |
0 |
0 |
0 |
24 |
0 |
1 |
4 |
77 |

Interest Rate Caps "Smile" Too! But Can the LIBOR Market Models Capture the Smile? |
0 |
0 |
1 |
73 |
0 |
0 |
4 |
220 |

Is Mean-Variance Analysis Vacuous: Or was Beta Still Born? |
0 |
0 |
0 |
0 |
0 |
0 |
4 |
6 |

Jump Risks and the Intertemporal Capital Asset Pricing Model |
0 |
0 |
0 |
216 |
2 |
2 |
4 |
548 |

Large traders, hidden arbitrage, and complete markets |
0 |
0 |
1 |
49 |
0 |
0 |
5 |
131 |

Liquidity risk and arbitrage pricing theory |
0 |
0 |
3 |
43 |
1 |
3 |
12 |
180 |

MODELING THE RECOVERY RATE IN A REDUCED FORM MODEL |
0 |
0 |
1 |
35 |
1 |
2 |
8 |
109 |

Market Manipulation and Corporate Finance: A New Perspective |
0 |
0 |
0 |
0 |
0 |
2 |
8 |
261 |

Market Manipulation, Bubbles, Corners, and Short Squeezes |
0 |
1 |
6 |
220 |
5 |
9 |
26 |
480 |

Market Manipulation, Price Bubbles, and a Model of the U.S. Treasury Securities Auction Market |
1 |
1 |
2 |
47 |
2 |
2 |
12 |
131 |

Market Pricing of Deposit Insurance |
0 |
0 |
1 |
70 |
0 |
1 |
4 |
161 |

Modeling loan commitments |
0 |
0 |
2 |
147 |
0 |
1 |
9 |
282 |

OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS |
0 |
0 |
0 |
46 |
0 |
0 |
3 |
87 |

On Model Testing in Financial Economics |
0 |
0 |
0 |
16 |
0 |
0 |
7 |
45 |

Operational risk |
0 |
2 |
3 |
143 |
1 |
5 |
12 |
328 |

Option Pricing and Implicit Volatilities |
0 |
0 |
0 |
0 |
0 |
1 |
6 |
154 |

Preferences, Continuity, and the Arbitrage Pricing Theory |
0 |
0 |
0 |
46 |
1 |
1 |
3 |
241 |

Pricing Derivatives on Financial Securities Subject to Credit Risk |
2 |
4 |
18 |
1,221 |
22 |
31 |
79 |
2,236 |

Pricing Options On Risky Assets In A Stochastic Interest Rate Economy |
0 |
1 |
6 |
83 |
0 |
1 |
17 |
158 |

Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence |
0 |
1 |
6 |
185 |
1 |
2 |
14 |
417 |

Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model |
0 |
0 |
4 |
138 |
2 |
10 |
18 |
338 |

Pricing foreign currency options under stochastic interest rates |
1 |
2 |
3 |
1,000 |
1 |
5 |
12 |
1,557 |

Primes and Scores: An Essay on Market Imperfections |
0 |
2 |
3 |
103 |
1 |
4 |
12 |
610 |

Put Option Premiums and Coherent Risk Measures |
0 |
0 |
1 |
47 |
0 |
2 |
7 |
122 |

Reduced-form valuation of callable corporate bonds: Theory and evidence |
0 |
2 |
3 |
106 |
2 |
5 |
17 |
323 |

Relative asset price bubbles |
1 |
3 |
7 |
7 |
2 |
4 |
30 |
30 |

Restructuring risk in credit default swaps: An empirical analysis |
0 |
0 |
1 |
13 |
0 |
0 |
3 |
59 |

Review of John E. Gilster, Jr. "Option Pricing Theory: Is "Risk Free" Hedging Feasible? |
0 |
0 |
0 |
0 |
0 |
1 |
5 |
184 |

Risky coupon bonds as a portfolio of zero-coupon bonds |
0 |
0 |
0 |
69 |
0 |
1 |
6 |
209 |

Spanning and completeness in markets with contingent claims |
0 |
0 |
3 |
162 |
1 |
1 |
5 |
266 |

Specification tests of calibrated option pricing models |
0 |
0 |
0 |
3 |
1 |
2 |
12 |
39 |

THE EFFECT OF TRADING FUTURES ON SHORT SALE CONSTRAINTS |
0 |
1 |
3 |
5 |
0 |
2 |
13 |
26 |

Tax liens: a novel application of asset pricing theory |
1 |
2 |
3 |
35 |
1 |
2 |
8 |
107 |

Testing market efficiency using statistical arbitrage with applications to momentum and value strategies |
0 |
1 |
8 |
337 |
2 |
6 |
38 |
786 |

The Economics of Credit Default Swaps |
2 |
3 |
4 |
30 |
3 |
7 |
17 |
96 |

The Liquidity Discount |
0 |
0 |
0 |
209 |
0 |
0 |
3 |
721 |

The Relationship between Arbitrage and First Order Stochastic Dominance |
0 |
0 |
0 |
37 |
0 |
1 |
5 |
141 |

The Relationship between Yield, Risk and Return of Corporate Bonds |
0 |
1 |
3 |
105 |
0 |
1 |
14 |
479 |

The Relevance of Fiduciary Conflict-of-Interests in Control versus Issue Proxy Contests |
0 |
0 |
0 |
1 |
0 |
0 |
3 |
26 |

The Second Fundamental Theorem of Asset Pricing |
0 |
0 |
0 |
12 |
0 |
1 |
6 |
63 |

The Second Fundamental Theorem of Asset Pricing: A New Approach |
0 |
0 |
0 |
2 |
2 |
3 |
8 |
793 |

The Stop-Loss Start-Gain Paradox and Option Valuation: A New Decomposition into Intrinsic and Time Value |
1 |
2 |
2 |
424 |
1 |
3 |
5 |
1,176 |

The Term Structure of Interest Rates |
1 |
4 |
20 |
217 |
8 |
21 |
83 |
630 |

The arbitrage-free valuation and hedging of demand deposits and credit card loans |
1 |
2 |
3 |
439 |
4 |
14 |
38 |
811 |

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 |
0 |
2 |
4 |
46 |

The impact of quantitative easing on the US term structure of interest rates |
1 |
2 |
7 |
36 |
2 |
5 |
25 |
112 |

The intersection of market and credit risk |
2 |
6 |
14 |
619 |
7 |
19 |
46 |
1,080 |

The valuation of a firm’s investment opportunities: a reduced form credit risk perspective |
0 |
0 |
1 |
48 |
0 |
0 |
9 |
140 |

The zero-lower bound on interest rates: Myth or reality? |
0 |
1 |
6 |
30 |
0 |
1 |
22 |
70 |

Understanding the risk of leveraged ETFs |
3 |
7 |
18 |
156 |
4 |
13 |
47 |
344 |

Total Journal Articles |
36 |
100 |
357 |
18,556 |
152 |
406 |
1,603 |
47,492 |