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 |
0 |
34 |

A Critique of Revised Basel II |
0 |
0 |
21 |
214 |
1 |
3 |
61 |
465 |

A DYSFUNCTIONAL ROLE OF HIGH FREQUENCY TRADING IN ELECTRONIC MARKETS |
2 |
5 |
16 |
55 |
4 |
11 |
50 |
139 |

A Markov Model for the Term Structure of Credit Risk Spreads |
0 |
0 |
0 |
6 |
1 |
4 |
32 |
2,574 |

A Model of the Convenience Yields in On-the-Run Treasuries |
0 |
0 |
2 |
149 |
0 |
1 |
13 |
547 |

A Reduced‐Form Model for Warrant Valuation |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
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 |
0 |
0 |
22 |
0 |
0 |
1 |
83 |

A comparison of the APT and CAPM a note |
1 |
2 |
25 |
1,212 |
5 |
6 |
63 |
3,128 |

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

A leverage ratio rule for capital adequacy |
1 |
7 |
53 |
83 |
1 |
21 |
161 |
235 |

A liquidity-based model for asset price bubbles |
0 |
0 |
7 |
18 |
0 |
1 |
17 |
36 |

A simple robust model for Cat bond valuation |
2 |
4 |
16 |
121 |
5 |
10 |
40 |
266 |

ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS |
0 |
1 |
4 |
21 |
0 |
1 |
9 |
65 |

Abnormal Profit Opportunities and the Informational Advantage of High Frequency Trading |
1 |
7 |
29 |
29 |
5 |
23 |
65 |
65 |

An autoregressive jump process for common stock returns |
0 |
1 |
1 |
119 |
1 |
2 |
6 |
222 |

An improved test for statistical arbitrage |
1 |
1 |
9 |
32 |
2 |
6 |
31 |
94 |

Approximate option valuation for arbitrary stochastic processes |
2 |
9 |
27 |
826 |
4 |
14 |
56 |
1,231 |

Arbitrage, Continuous Trading, and Margin Requirements |
0 |
0 |
0 |
41 |
0 |
2 |
7 |
175 |

Bayesian analysis of contingent claim model error |
1 |
2 |
4 |
87 |
2 |
4 |
16 |
212 |

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 |
0 |
1 |
5 |
83 |
2 |
5 |
15 |
183 |

Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation |
0 |
6 |
38 |
4,857 |
5 |
20 |
144 |
9,571 |

Capital adequacy rules, catastrophic firm failure, and systemic risk |
0 |
0 |
4 |
4 |
0 |
0 |
17 |
17 |

Commercial Mortgage-Backed Securities (CMBS) and Market Efficiency with Respect to Costly Information |
0 |
0 |
3 |
89 |
1 |
2 |
11 |
278 |

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

Convenience yields |
0 |
0 |
1 |
14 |
0 |
8 |
20 |
49 |

Counterparty Risk and the Pricing of Defaultable Securities |
0 |
0 |
1 |
172 |
0 |
3 |
9 |
440 |

Credit Risk Models |
1 |
7 |
16 |
122 |
5 |
13 |
35 |
241 |

Credit market equilibrium theory and evidence: Revisiting the structural versus reduced form credit risk model debate |
1 |
4 |
11 |
88 |
2 |
26 |
62 |
201 |

DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS |
0 |
0 |
5 |
86 |
0 |
3 |
15 |
196 |

Delta, gamma and bucket hedging of interest rate derivatives |
2 |
2 |
13 |
47 |
4 |
10 |
55 |
147 |

Derivative Security Markets, Market Manipulation, and Option Pricing Theory |
0 |
1 |
5 |
71 |
0 |
2 |
17 |
145 |

Discrete versus continuous time models: Local martingales and singular processes in asset pricing theory |
0 |
1 |
10 |
39 |
1 |
6 |
41 |
116 |

Discretely sampled variance and volatility swaps versus their continuous approximations |
0 |
0 |
2 |
2 |
0 |
0 |
14 |
16 |

Distressed debt prices and recovery rate estimation |
1 |
3 |
8 |
79 |
1 |
8 |
30 |
235 |

Downside Loss Aversion and Portfolio Management |
0 |
1 |
2 |
11 |
0 |
1 |
20 |
48 |

ESTIMATING THE VALUE OF DELIVERY OPTIONS IN FUTURES CONTRACTS |
0 |
0 |
1 |
16 |
0 |
1 |
3 |
53 |

Estimating the Interest Rate Term Structure of Corporate Debt With a Semiparametric Penalized Spline Model |
0 |
2 |
3 |
45 |
1 |
5 |
8 |
85 |

Ex-dividend Stock Price Behavior and Arbitrage Opportunities |
0 |
0 |
2 |
468 |
0 |
2 |
12 |
1,768 |

FORWARD AND FUTURES PRICES WITH BUBBLES |
1 |
1 |
9 |
101 |
3 |
3 |
28 |
212 |

Financial crises and economic growth |
0 |
2 |
2 |
2 |
1 |
4 |
4 |
4 |

Foreign currency bubbles |
0 |
1 |
2 |
21 |
0 |
1 |
10 |
55 |

Forward contracts and futures contracts |
1 |
2 |
14 |
440 |
5 |
11 |
45 |
1,003 |

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

Hedging derivatives with model error |
0 |
2 |
3 |
7 |
0 |
2 |
7 |
20 |

Hedging in a HJM model |
0 |
0 |
1 |
55 |
0 |
6 |
13 |
137 |

Heterogeneous Expectations, Restrictions on Short Sales, and Equilibrium Asset Prices |
1 |
6 |
11 |
116 |
2 |
9 |
18 |
242 |

Housing prices and the optimal time-on-the-market decision |
0 |
0 |
2 |
4 |
0 |
1 |
10 |
21 |

In Honor of the Nobel Laureates Robert C. Merton and Myron S. Scholes: A Partial Differential Equation That Changed the World |
1 |
2 |
5 |
520 |
1 |
2 |
12 |
1,590 |

Information reduction via level crossings in a credit risk model |
0 |
1 |
3 |
22 |
0 |
2 |
6 |
67 |

Interest Rate Caps "Smile" Too! But Can the LIBOR Market Models Capture the Smile? |
0 |
1 |
1 |
67 |
0 |
1 |
2 |
201 |

Jump Risks and the Intertemporal Capital Asset Pricing Model |
0 |
0 |
2 |
216 |
1 |
1 |
8 |
539 |

Large traders, hidden arbitrage, and complete markets |
0 |
0 |
0 |
43 |
1 |
1 |
4 |
112 |

Liquidity risk and arbitrage pricing theory |
1 |
1 |
6 |
39 |
1 |
5 |
19 |
153 |

MODELING THE RECOVERY RATE IN A REDUCED FORM MODEL |
0 |
0 |
4 |
31 |
0 |
0 |
12 |
84 |

Market Manipulation and Corporate Finance: A New Perspective |
0 |
0 |
0 |
0 |
0 |
4 |
16 |
239 |

Market Manipulation, Bubbles, Corners, and Short Squeezes |
1 |
3 |
12 |
198 |
3 |
10 |
46 |
402 |

Market Manipulation, Price Bubbles, and a Model of the U.S. Treasury Securities Auction Market |
0 |
1 |
3 |
38 |
1 |
3 |
10 |
98 |

Market Pricing of Deposit Insurance |
0 |
0 |
7 |
66 |
0 |
0 |
13 |
140 |

Modeling loan commitments |
1 |
3 |
11 |
132 |
2 |
7 |
27 |
241 |

OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS |
0 |
2 |
2 |
40 |
0 |
2 |
2 |
70 |

On Model Testing in Financial Economics |
0 |
0 |
1 |
16 |
0 |
0 |
3 |
35 |

Operational risk |
0 |
0 |
2 |
128 |
1 |
4 |
16 |
288 |

Option Pricing and Implicit Volatilities |
0 |
0 |
0 |
0 |
0 |
0 |
3 |
140 |

Preferences, Continuity, and the Arbitrage Pricing Theory |
0 |
0 |
1 |
45 |
0 |
1 |
3 |
232 |

Pricing Derivatives on Financial Securities Subject to Credit Risk |
0 |
6 |
22 |
1,173 |
4 |
28 |
73 |
2,065 |

Pricing Options On Risky Assets In A Stochastic Interest Rate Economy |
0 |
1 |
6 |
75 |
0 |
1 |
14 |
127 |

Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence |
1 |
4 |
13 |
158 |
3 |
9 |
44 |
361 |

Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model |
1 |
2 |
11 |
127 |
2 |
8 |
28 |
298 |

Pricing foreign currency options under stochastic interest rates |
0 |
0 |
1 |
996 |
0 |
0 |
6 |
1,533 |

Primes and Scores: An Essay on Market Imperfections |
0 |
0 |
4 |
94 |
0 |
3 |
15 |
577 |

Put Option Premiums and Coherent Risk Measures |
0 |
0 |
0 |
43 |
0 |
2 |
5 |
105 |

RELATING TOP-DOWN WITH BOTTOM-UP APPROACHES IN THE EVALUATION OF ABS WITH LARGE COLLATERAL POOLS |
0 |
1 |
1 |
6 |
1 |
4 |
29 |
66 |

Reduced-form valuation of callable corporate bonds: Theory and evidence |
2 |
3 |
12 |
91 |
4 |
10 |
39 |
263 |

Restructuring risk in credit default swaps: An empirical analysis |
1 |
1 |
2 |
11 |
2 |
3 |
11 |
43 |

Review of John E. Gilster, Jr. "Option Pricing Theory: Is "Risk Free" Hedging Feasible? |
0 |
0 |
0 |
0 |
0 |
0 |
4 |
169 |

Risky coupon bonds as a portfolio of zero-coupon bonds |
1 |
3 |
7 |
69 |
3 |
6 |
15 |
195 |

Spanning and completeness in markets with contingent claims |
2 |
5 |
16 |
152 |
2 |
5 |
21 |
240 |

THE THIRD FUNDAMENTAL THEOREM OF ASSET PRICING |
0 |
0 |
4 |
4 |
0 |
0 |
12 |
12 |

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

Testing market efficiency using statistical arbitrage with applications to momentum and value strategies |
0 |
0 |
12 |
317 |
1 |
7 |
38 |
717 |

The Economics of Credit Default Swaps |
0 |
0 |
7 |
15 |
1 |
3 |
28 |
47 |

The Liquidity Discount |
0 |
0 |
3 |
207 |
5 |
7 |
17 |
704 |

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

The Relationship between Yield, Risk and Return of Corporate Bonds |
0 |
0 |
3 |
100 |
0 |
14 |
52 |
420 |

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 |
0 |
2 |
12 |
43 |

The Second Fundamental Theorem of Asset Pricing: A New Approach |
0 |
0 |
0 |
2 |
1 |
4 |
12 |
773 |

The Stop-Loss Start-Gain Paradox and Option Valuation: A New Decomposition into Intrinsic and Time Value |
1 |
1 |
5 |
414 |
3 |
8 |
23 |
1,133 |

The Term Structure of Interest Rates |
5 |
14 |
40 |
138 |
16 |
44 |
121 |
367 |

The arbitrage-free valuation and hedging of demand deposits and credit card loans |
2 |
2 |
7 |
432 |
3 |
8 |
30 |
753 |

The cost of operational risk loss insurance |
0 |
0 |
1 |
26 |
0 |
1 |
9 |
65 |

The error learning hypothesis: The evidence reexamined |
1 |
1 |
1 |
8 |
1 |
1 |
3 |
41 |

The intersection of market and credit risk |
0 |
0 |
2 |
593 |
0 |
4 |
12 |
984 |

The valuation of a firm’s investment opportunities: a reduced form credit risk perspective |
1 |
1 |
1 |
41 |
2 |
3 |
10 |
117 |

The zero-lower bound on interest rates: Myth or reality? |
0 |
1 |
7 |
7 |
0 |
2 |
16 |
16 |

Understanding the risk of leveraged ETFs |
0 |
2 |
22 |
98 |
2 |
13 |
54 |
212 |

Total Journal Articles |
41 |
145 |
664 |
17,611 |
133 |
509 |
2,274 |
43,588 |