Journal Article |
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12 months |
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A CAPM WITH TRADING CONSTRAINTS AND PRICE BUBBLES |
0 |
0 |
0 |
5 |
0 |
0 |
1 |
31 |

A Characterization of Complete Security Markets On A Brownian Filtration1 |
0 |
0 |
0 |
13 |
0 |
0 |
0 |
46 |

A Critique of Revised Basel II |
0 |
1 |
1 |
232 |
0 |
1 |
5 |
536 |

A DYSFUNCTIONAL ROLE OF HIGH FREQUENCY TRADING IN ELECTRONIC MARKETS |
0 |
0 |
4 |
20 |
1 |
1 |
11 |
62 |

A Markov Model for the Term Structure of Credit Risk Spreads |
0 |
0 |
0 |
6 |
4 |
20 |
62 |
3,095 |

A Model of the Convenience Yields in On-the-Run Treasuries |
0 |
0 |
0 |
154 |
0 |
1 |
1 |
579 |

A Reduced‐Form Model for Warrant Valuation |
0 |
0 |
0 |
0 |
0 |
0 |
3 |
50 |

A Unified Approach for Pricing Contingent Claims on Multiple Term Structures |
0 |
1 |
3 |
153 |
0 |
1 |
6 |
273 |

A characterization theorem for unique risk neutral probability measures |
0 |
1 |
2 |
27 |
0 |
1 |
2 |
105 |

A comparison of the APT and CAPM a note |
0 |
3 |
5 |
1,265 |
0 |
3 |
5 |
3,251 |

A generalized coherent risk measure: The firm's perspective |
0 |
0 |
0 |
85 |
0 |
0 |
1 |
182 |

A leverage ratio rule for capital adequacy |
0 |
2 |
4 |
165 |
0 |
3 |
12 |
506 |

A liquidity-based model for asset price bubbles |
1 |
1 |
3 |
29 |
1 |
1 |
5 |
69 |

A rational asset pricing model for premiums and discounts on closed‐end funds: The bubble theory |
0 |
0 |
1 |
6 |
0 |
0 |
2 |
16 |

A simple robust model for Cat bond valuation |
0 |
4 |
8 |
210 |
1 |
7 |
21 |
448 |

ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS |
0 |
0 |
0 |
28 |
0 |
1 |
4 |
102 |

Abnormal Profit Opportunities and the Informational Advantage of High Frequency Trading |
0 |
0 |
1 |
10 |
0 |
1 |
5 |
36 |

An Equilibrium Capital Asset Pricing Model in Markets with Price Jumps and Price Bubbles |
0 |
0 |
2 |
15 |
1 |
1 |
10 |
63 |

An autoregressive jump process for common stock returns |
0 |
0 |
3 |
138 |
0 |
1 |
5 |
258 |

An empirical investigation of large trader market manipulation in derivatives markets |
0 |
0 |
1 |
23 |
1 |
1 |
8 |
74 |

An improved test for statistical arbitrage |
0 |
0 |
0 |
75 |
0 |
0 |
0 |
205 |

Approximate option valuation for arbitrary stochastic processes |
1 |
2 |
14 |
942 |
1 |
3 |
38 |
1,533 |

Arbitrage, Continuous Trading, and Margin Requirements |
0 |
0 |
0 |
44 |
0 |
0 |
0 |
210 |

Asset Price Bubbles |
0 |
3 |
10 |
73 |
0 |
7 |
25 |
165 |

Asset market equilibrium with liquidity risk |
0 |
1 |
1 |
9 |
0 |
2 |
6 |
50 |

BUBBLES AND MULTIPLE-FACTOR ASSET PRICING MODELS |
0 |
0 |
1 |
9 |
0 |
0 |
1 |
34 |

Bank runs and self-insured bank deposits |
0 |
0 |
1 |
9 |
0 |
1 |
8 |
57 |

Bankruptcy Prediction with Industry Effects |
0 |
4 |
9 |
46 |
1 |
10 |
31 |
169 |

Bayesian analysis of contingent claim model error |
0 |
1 |
3 |
113 |
0 |
2 |
8 |
291 |

Beliefs and arbitrage pricing |
0 |
0 |
0 |
16 |
0 |
0 |
1 |
44 |

Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation |
0 |
0 |
2 |
115 |
0 |
0 |
10 |
324 |

Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation |
7 |
13 |
44 |
5,073 |
19 |
44 |
149 |
10,528 |

CMBS market efficiency: The crisis and the recovery |
0 |
0 |
2 |
14 |
0 |
0 |
5 |
57 |

Capital adequacy rules, catastrophic firm failure, and systemic risk |
0 |
0 |
0 |
9 |
0 |
0 |
1 |
61 |

Commercial Mortgage‐Backed Securities (CMBS) and Market Efficiency with Respect to Costly Information |
0 |
1 |
1 |
94 |
0 |
1 |
7 |
326 |

Computing present values: Capital budgeting done correctly |
0 |
0 |
0 |
12 |
0 |
0 |
1 |
45 |

Concavity, stochastic utility, and risk aversion |
0 |
0 |
2 |
2 |
0 |
1 |
11 |
13 |

Consensus Beliefs Equilibrium and Market Efficiency |
0 |
0 |
1 |
28 |
0 |
1 |
3 |
110 |

Convenience yields |
0 |
0 |
0 |
36 |
0 |
1 |
6 |
139 |

Counterparty Risk and the Pricing of Defaultable Securities |
0 |
2 |
5 |
195 |
0 |
3 |
15 |
578 |

Credit Risk Models |
0 |
1 |
11 |
228 |
1 |
4 |
19 |
458 |

Credit Risk Models with Incomplete Information |
0 |
0 |
0 |
5 |
0 |
0 |
1 |
25 |

Credit Risk, Liquidity, and Bubbles |
0 |
0 |
2 |
6 |
0 |
0 |
6 |
16 |

Credit market equilibrium theory and evidence: Revisiting the structural versus reduced form credit risk model debate |
0 |
0 |
4 |
134 |
0 |
2 |
9 |
326 |

DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS |
1 |
1 |
1 |
109 |
2 |
4 |
5 |
282 |

Delta, gamma and bucket hedging of interest rate derivatives |
0 |
0 |
1 |
91 |
1 |
3 |
19 |
322 |

Derivative Security Markets, Market Manipulation, and Option Pricing Theory |
0 |
4 |
4 |
93 |
0 |
5 |
15 |
241 |

Designing catastrophic bonds for catastrophic risks in agriculture: Macro hedging long and short rains in Kenya |
0 |
0 |
2 |
12 |
0 |
1 |
4 |
44 |

Discrete versus continuous time models: Local martingales and singular processes in asset pricing theory |
0 |
1 |
6 |
70 |
0 |
1 |
16 |
221 |

Discretely sampled variance and volatility swaps versus their continuous approximations |
0 |
0 |
0 |
8 |
0 |
0 |
2 |
43 |

Distressed debt prices and recovery rate estimation |
0 |
0 |
0 |
87 |
0 |
0 |
6 |
291 |

Downside Loss Aversion and Portfolio Management |
0 |
0 |
0 |
25 |
0 |
0 |
6 |
116 |

ESTIMATING THE VALUE OF DELIVERY OPTIONS IN FUTURES CONTRACTS |
0 |
0 |
0 |
19 |
0 |
0 |
2 |
82 |

Endogenous liquidity risk and dealer market structure |
0 |
0 |
1 |
1 |
1 |
1 |
6 |
6 |

Estimating the Interest Rate Term Structure of Corporate Debt With a Semiparametric Penalized Spline Model |
0 |
0 |
0 |
48 |
0 |
0 |
1 |
120 |

Ex-dividend Stock Price Behavior and Arbitrage Opportunities |
0 |
0 |
3 |
481 |
0 |
1 |
8 |
1,839 |

Exploring Mispricing in the Term Structure of CDS Spreads |
0 |
0 |
1 |
7 |
0 |
1 |
5 |
34 |

FORWARD AND FUTURES PRICES WITH BUBBLES |
0 |
0 |
1 |
3 |
0 |
0 |
6 |
15 |

Fair Microfinance Loan Rates |
0 |
0 |
0 |
7 |
0 |
0 |
4 |
36 |

Financial crises and economic growth |
0 |
1 |
4 |
37 |
0 |
4 |
11 |
96 |

Foreign currency bubbles |
0 |
0 |
0 |
23 |
0 |
0 |
1 |
89 |

Forward Rate Curve Smoothing |
0 |
0 |
0 |
11 |
0 |
0 |
5 |
72 |

Forward contracts and futures contracts |
0 |
0 |
9 |
567 |
0 |
6 |
28 |
1,308 |

Funding shortages, expectations, and forward rate risk premium |
0 |
0 |
0 |
0 |
1 |
1 |
1 |
1 |

Government Policies, Residential Mortgage Defaults and the Boom and Bust Cycle of Housing Prices |
0 |
0 |
0 |
9 |
1 |
1 |
4 |
58 |

Hedging contingent claims on semimartingales |
0 |
0 |
0 |
176 |
0 |
0 |
4 |
688 |

Hedging derivatives with model error |
0 |
0 |
0 |
10 |
0 |
0 |
1 |
44 |

Hedging in a HJM model |
0 |
0 |
2 |
70 |
0 |
0 |
3 |
188 |

Heterogeneous Expectations, Restrictions on Short Sales, and Equilibrium Asset Prices |
0 |
0 |
3 |
139 |
0 |
1 |
5 |
343 |

High-Dimensional Estimation, Basis Assets, and the Adaptive Multi-Factor Model |
0 |
2 |
4 |
7 |
0 |
2 |
11 |
35 |

Housing prices and the optimal time-on-the-market decision |
0 |
0 |
2 |
8 |
0 |
0 |
4 |
58 |

In Honor of the Nobel Laureates Robert C. Merton and Myron S. Scholes: A Partial Differential Equation That Changed the World |
0 |
0 |
1 |
525 |
0 |
0 |
4 |
1,643 |

Inferring financial bubbles from option data |
0 |
0 |
2 |
2 |
0 |
1 |
9 |
9 |

Information reduction via level crossings in a credit risk model |
0 |
0 |
1 |
26 |
0 |
0 |
5 |
88 |

Interest Rate Caps “Smile” Too! But Can the LIBOR Market Models Capture the Smile? |
0 |
0 |
0 |
75 |
0 |
0 |
3 |
246 |

Is Mean-Variance Analysis Vacuous: Or was Beta Still Born? |
0 |
0 |
2 |
8 |
0 |
0 |
7 |
35 |

Jump Risks and the Intertemporal Capital Asset Pricing Model |
0 |
1 |
2 |
235 |
0 |
2 |
5 |
599 |

Large traders, hidden arbitrage, and complete markets |
0 |
0 |
1 |
56 |
0 |
0 |
5 |
154 |

Liquidity risk and arbitrage pricing theory |
0 |
1 |
1 |
46 |
1 |
2 |
7 |
211 |

MODELING THE RECOVERY RATE IN A REDUCED FORM MODEL |
0 |
0 |
1 |
38 |
0 |
0 |
1 |
130 |

Market Manipulation and Corporate Finance: A New Perspective |
0 |
0 |
0 |
0 |
0 |
2 |
15 |
306 |

Market Manipulation, Bubbles, Corners, and Short Squeezes |
4 |
6 |
22 |
310 |
6 |
14 |
65 |
746 |

Market Manipulation, Price Bubbles, and a Model of the U.S. Treasury Securities Auction Market |
0 |
1 |
3 |
53 |
0 |
1 |
8 |
151 |

Market Pricing of Deposit Insurance |
0 |
0 |
0 |
76 |
1 |
1 |
3 |
190 |

Modeling loan commitments |
0 |
1 |
8 |
167 |
0 |
2 |
11 |
342 |

OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS1 |
0 |
1 |
1 |
51 |
0 |
1 |
2 |
105 |

On Model Testing in Financial Economics |
0 |
0 |
1 |
17 |
0 |
0 |
2 |
53 |

On aggregation and representative agent equilibria |
0 |
0 |
3 |
12 |
0 |
0 |
6 |
35 |

Operational risk |
0 |
4 |
19 |
200 |
2 |
8 |
48 |
490 |

Optimal cash holdings under heterogeneous beliefs |
0 |
0 |
0 |
4 |
0 |
0 |
0 |
15 |

Option Pricing and Implicit Volatilities |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
165 |

Portfolio balance effects and the Federal Reserve’s large-scale asset purchases |
0 |
0 |
1 |
3 |
0 |
0 |
2 |
7 |

Preferences, Continuity, and the Arbitrage Pricing Theory |
0 |
1 |
1 |
49 |
0 |
1 |
1 |
252 |

Pricing Derivatives on Financial Securities Subject to Credit Risk |
1 |
10 |
68 |
1,580 |
3 |
24 |
173 |
3,155 |

Pricing Options On Risky Assets In A Stochastic Interest Rate Economy1 |
0 |
0 |
1 |
92 |
0 |
0 |
7 |
198 |

Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence |
0 |
1 |
3 |
199 |
1 |
5 |
11 |
469 |

Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model |
0 |
3 |
7 |
167 |
1 |
4 |
15 |
420 |

Pricing foreign currency options under stochastic interest rates |
1 |
1 |
2 |
1,012 |
1 |
2 |
10 |
1,635 |

Put Option Premiums and Coherent Risk Measures |
0 |
0 |
0 |
50 |
0 |
3 |
7 |
138 |

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

Reduced-form valuation of callable corporate bonds: Theory and evidence |
1 |
3 |
6 |
130 |
1 |
3 |
18 |
424 |

Relative asset price bubbles |
0 |
1 |
4 |
25 |
1 |
2 |
9 |
104 |

Restructuring risk in credit default swaps: An empirical analysis |
0 |
0 |
1 |
14 |
0 |
0 |
6 |
76 |

Review of John E. Gilster, Jr. "Option Pricing Theory: Is "Risk Free" Hedging Feasible? |
0 |
0 |
0 |
0 |
0 |
1 |
5 |
202 |

Risk premia, asset price bubbles, and monetary policy |
0 |
0 |
0 |
0 |
1 |
3 |
3 |
3 |

Risky coupon bonds as a portfolio of zero-coupon bonds |
0 |
0 |
1 |
73 |
0 |
1 |
4 |
229 |

Risk‐neutral pricing techniques and examples |
0 |
0 |
2 |
2 |
1 |
3 |
12 |
12 |

Spanning and completeness in markets with contingent claims |
4 |
10 |
27 |
216 |
5 |
11 |
44 |
366 |

Specification tests of calibrated option pricing models |
0 |
0 |
0 |
5 |
0 |
0 |
1 |
52 |

THE EFFECT OF TRADING FUTURES ON SHORT SALE CONSTRAINTS |
0 |
0 |
1 |
6 |
0 |
0 |
5 |
44 |

THE THIRD FUNDAMENTAL THEOREM OF ASSET PRICING |
1 |
1 |
1 |
6 |
2 |
3 |
4 |
27 |

Tax liens: a novel application of asset pricing theory |
0 |
0 |
0 |
35 |
0 |
0 |
2 |
122 |

Testing market efficiency using statistical arbitrage with applications to momentum and value strategies |
0 |
0 |
6 |
361 |
1 |
2 |
19 |
868 |

The Economics of Credit Default Swaps |
1 |
2 |
5 |
56 |
2 |
3 |
9 |
164 |

The Economics of Insurance: A Derivatives-Based Approach |
0 |
0 |
1 |
1 |
0 |
1 |
10 |
10 |

The Effects of Yield Control Monetary Policy: A Helicopter Money Drop to Financial Institutions |
0 |
1 |
3 |
29 |
0 |
3 |
17 |
86 |

The Impact of a Central Bank's Bond Market Intervention on Foreign Exchange Rates |
0 |
1 |
3 |
10 |
1 |
2 |
9 |
52 |

The Liquidity Discount |
0 |
0 |
2 |
217 |
0 |
1 |
10 |
759 |

The Relationship between Arbitrage and First Order Stochastic Dominance |
0 |
0 |
1 |
46 |
0 |
0 |
4 |
178 |

The Relationship between Yield, Risk and Return of Corporate Bonds |
0 |
2 |
8 |
130 |
1 |
7 |
18 |
540 |

The Relevance of Fiduciary Conflict-of-Interests in Control versus Issue Proxy Contests |
0 |
0 |
0 |
1 |
0 |
0 |
3 |
33 |

The Second Fundamental Theorem of Asset Pricing |
0 |
0 |
1 |
14 |
0 |
0 |
2 |
78 |

The Second Fundamental Theorem of Asset Pricing: A New Approach |
0 |
0 |
0 |
2 |
0 |
0 |
4 |
815 |

The Stop-Loss Start-Gain Paradox and Option Valuation: A New Decomposition into Intrinsic and Time Value |
1 |
2 |
3 |
441 |
1 |
4 |
12 |
1,252 |

The Term Structure of Interest Rates |
1 |
1 |
11 |
280 |
2 |
2 |
24 |
876 |

The arbitrage-free valuation and hedging of demand deposits and credit card loans |
1 |
4 |
41 |
639 |
1 |
6 |
76 |
1,173 |

The cost of operational risk loss insurance |
0 |
0 |
0 |
28 |
0 |
0 |
2 |
94 |

The economic default time and the arcsine law |
0 |
0 |
0 |
1 |
1 |
1 |
5 |
19 |

The error learning hypothesis: The evidence reexamined |
0 |
0 |
0 |
8 |
0 |
0 |
1 |
57 |

The impact of quantitative easing on the US term structure of interest rates |
0 |
1 |
2 |
64 |
0 |
4 |
10 |
212 |

The intersection of market and credit risk |
2 |
4 |
12 |
685 |
3 |
6 |
25 |
1,240 |

The valuation of a firm’s investment opportunities: a reduced form credit risk perspective |
0 |
0 |
0 |
48 |
0 |
0 |
0 |
155 |

The zero-lower bound on interest rates: Myth or reality? |
0 |
0 |
0 |
36 |
0 |
0 |
1 |
97 |

Time-Invariance Coefficients Tests with the Adaptive Multi-Factor Model |
0 |
1 |
1 |
1 |
0 |
1 |
6 |
6 |

Understanding the risk of leveraged ETFs |
0 |
3 |
8 |
237 |
2 |
6 |
22 |
548 |

Volatility Uncertainty, Time Decay, and Option Bid-Ask Spreads in an Incomplete Market |
0 |
1 |
6 |
13 |
2 |
5 |
30 |
52 |

Total Journal Articles |
28 |
119 |
503 |
20,902 |
81 |
312 |
1,578 |
55,238 |