Journal Article |
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A CAPM WITH TRADING CONSTRAINTS AND PRICE BUBBLES |
0 |
0 |
1 |
3 |
1 |
4 |
7 |
16 |

A Characterization of Complete Security Markets On A Brownian Filtration1 |
0 |
0 |
0 |
12 |
0 |
1 |
1 |
45 |

A Critique of Revised Basel II |
0 |
0 |
0 |
230 |
2 |
2 |
3 |
524 |

A DYSFUNCTIONAL ROLE OF HIGH FREQUENCY TRADING IN ELECTRONIC MARKETS |
0 |
0 |
3 |
8 |
0 |
2 |
10 |
23 |

A Markov Model for the Term Structure of Credit Risk Spreads |
0 |
0 |
0 |
6 |
5 |
11 |
111 |
2,897 |

A Model of the Convenience Yields in On-the-Run Treasuries |
0 |
0 |
0 |
153 |
0 |
2 |
5 |
573 |

A Reduced‐Form Model for Warrant Valuation |
0 |
0 |
0 |
0 |
2 |
2 |
2 |
44 |

A Unified Approach for Pricing Contingent Claims on Multiple Term Structures |
0 |
0 |
0 |
149 |
1 |
2 |
3 |
265 |

A characterization theorem for unique risk neutral probability measures |
0 |
0 |
0 |
25 |
1 |
1 |
1 |
101 |

A comparison of the APT and CAPM a note |
0 |
0 |
5 |
1,251 |
0 |
0 |
7 |
3,228 |

A generalized coherent risk measure: The firm's perspective |
0 |
0 |
0 |
85 |
1 |
1 |
1 |
179 |

A leverage ratio rule for capital adequacy |
0 |
0 |
4 |
153 |
3 |
8 |
18 |
464 |

A liquidity-based model for asset price bubbles |
0 |
0 |
0 |
26 |
0 |
1 |
5 |
63 |

A rational asset pricing model for premiums and discounts on closed‐end funds: The bubble theory |
1 |
1 |
1 |
1 |
2 |
3 |
3 |
3 |

A simple robust model for Cat bond valuation |
0 |
1 |
8 |
180 |
1 |
2 |
16 |
375 |

ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS |
0 |
0 |
0 |
27 |
2 |
2 |
3 |
91 |

Abnormal Profit Opportunities and the Informational Advantage of High Frequency Trading |
1 |
2 |
5 |
5 |
2 |
4 |
9 |
17 |

An Equilibrium Capital Asset Pricing Model in Markets with Price Jumps and Price Bubbles |
0 |
0 |
5 |
7 |
0 |
2 |
25 |
35 |

An autoregressive jump process for common stock returns |
0 |
1 |
4 |
129 |
0 |
1 |
4 |
243 |

An empirical investigation of large trader market manipulation in derivatives markets |
0 |
2 |
9 |
11 |
2 |
9 |
31 |
33 |

An improved test for statistical arbitrage |
0 |
1 |
1 |
71 |
1 |
2 |
6 |
186 |

Approximate option valuation for arbitrary stochastic processes |
1 |
1 |
7 |
906 |
5 |
12 |
29 |
1,447 |

Arbitrage, Continuous Trading, and Margin Requirements |
0 |
0 |
0 |
44 |
1 |
1 |
2 |
204 |

Asset Price Bubbles |
1 |
2 |
7 |
45 |
3 |
6 |
14 |
99 |

Asset market equilibrium with liquidity risk |
1 |
2 |
4 |
4 |
2 |
5 |
18 |
22 |

BUBBLES AND MULTIPLE-FACTOR ASSET PRICING MODELS |
0 |
0 |
2 |
4 |
2 |
3 |
10 |
23 |

Bank runs and self-insured bank deposits |
1 |
1 |
2 |
7 |
4 |
4 |
6 |
37 |

Bankruptcy Prediction with Industry Effects |
0 |
1 |
9 |
17 |
2 |
6 |
31 |
59 |

Bayesian analysis of contingent claim model error |
1 |
1 |
2 |
101 |
4 |
5 |
7 |
260 |

Beliefs and arbitrage pricing |
0 |
0 |
0 |
14 |
0 |
0 |
1 |
40 |

Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation |
1 |
1 |
5 |
99 |
2 |
5 |
18 |
269 |

Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation |
4 |
9 |
27 |
4,958 |
14 |
29 |
113 |
10,075 |

CMBS market efficiency: The crisis and the recovery |
1 |
1 |
7 |
9 |
1 |
5 |
27 |
32 |

Capital adequacy rules, catastrophic firm failure, and systemic risk |
0 |
0 |
0 |
9 |
0 |
0 |
2 |
53 |

Commercial Mortgage‐Backed Securities (CMBS) and Market Efficiency with Respect to Costly Information |
0 |
0 |
0 |
92 |
1 |
1 |
5 |
314 |

Computing present values: Capital budgeting done correctly |
0 |
1 |
1 |
12 |
0 |
1 |
1 |
39 |

Consensus Beliefs Equilibrium and Market Efficiency |
0 |
0 |
0 |
27 |
1 |
2 |
2 |
100 |

Convenience yields |
0 |
1 |
5 |
35 |
1 |
8 |
31 |
118 |

Credit Risk Models |
0 |
0 |
9 |
205 |
2 |
3 |
17 |
410 |

Credit Risk Models with Incomplete Information |
0 |
0 |
0 |
3 |
2 |
2 |
6 |
13 |

Credit market equilibrium theory and evidence: Revisiting the structural versus reduced form credit risk model debate |
0 |
1 |
8 |
122 |
2 |
4 |
14 |
293 |

DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS |
0 |
2 |
5 |
103 |
2 |
6 |
10 |
258 |

Delta, gamma and bucket hedging of interest rate derivatives |
0 |
0 |
3 |
79 |
1 |
2 |
11 |
268 |

Derivative Security Markets, Market Manipulation, and Option Pricing Theory |
1 |
1 |
1 |
82 |
3 |
5 |
8 |
199 |

Designing catastrophic bonds for catastrophic risks in agriculture: Macro hedging long and short rains in Kenya |
0 |
0 |
1 |
4 |
0 |
1 |
9 |
25 |

Discrete versus continuous time models: Local martingales and singular processes in asset pricing theory |
0 |
1 |
4 |
59 |
1 |
3 |
9 |
190 |

Discretely sampled variance and volatility swaps versus their continuous approximations |
1 |
2 |
3 |
8 |
2 |
5 |
6 |
40 |

Distressed debt prices and recovery rate estimation |
0 |
0 |
1 |
85 |
2 |
3 |
4 |
273 |

Downside Loss Aversion and Portfolio Management |
0 |
0 |
1 |
21 |
0 |
2 |
8 |
88 |

ESTIMATING THE VALUE OF DELIVERY OPTIONS IN FUTURES CONTRACTS |
0 |
0 |
0 |
19 |
1 |
1 |
3 |
73 |

Estimating the Interest Rate Term Structure of Corporate Debt With a Semiparametric Penalized Spline Model |
0 |
0 |
0 |
47 |
1 |
3 |
7 |
115 |

Ex-dividend Stock Price Behavior and Arbitrage Opportunities |
0 |
0 |
3 |
474 |
1 |
4 |
13 |
1,812 |

Exploring Mispricing in the Term Structure of CDS Spreads |
1 |
2 |
3 |
3 |
3 |
6 |
10 |
10 |

FORWARD AND FUTURES PRICES WITH BUBBLES |
1 |
1 |
1 |
2 |
2 |
2 |
3 |
6 |

Financial crises and economic growth |
0 |
2 |
5 |
27 |
0 |
5 |
11 |
70 |

Foreign currency bubbles |
0 |
0 |
0 |
23 |
1 |
4 |
5 |
86 |

Forward Rate Curve Smoothing |
0 |
0 |
3 |
6 |
0 |
1 |
5 |
53 |

Forward contracts and futures contracts |
6 |
11 |
16 |
500 |
12 |
21 |
46 |
1,166 |

Government Policies, Residential Mortgage Defaults and the Boom and Bust Cycle of Housing Prices |
0 |
0 |
0 |
7 |
1 |
2 |
5 |
45 |

Hedging contingent claims on semimartingales |
0 |
0 |
0 |
176 |
0 |
0 |
0 |
680 |

Hedging derivatives with model error |
0 |
0 |
0 |
10 |
0 |
0 |
1 |
41 |

Hedging in a HJM model |
0 |
0 |
1 |
67 |
0 |
2 |
5 |
179 |

Heterogeneous Expectations, Restrictions on Short Sales, and Equilibrium Asset Prices |
0 |
0 |
2 |
128 |
2 |
4 |
9 |
317 |

Housing prices and the optimal time-on-the-market decision |
0 |
0 |
1 |
6 |
0 |
0 |
1 |
43 |

In Honor of the Nobel Laureates Robert C. Merton and Myron S. Scholes: A Partial Differential Equation That Changed the World |
0 |
0 |
0 |
524 |
4 |
8 |
10 |
1,626 |

Information reduction via level crossings in a credit risk model |
0 |
0 |
1 |
25 |
2 |
2 |
3 |
81 |

Interest Rate Caps “Smile” Too! But Can the LIBOR Market Models Capture the Smile? |
0 |
0 |
1 |
74 |
2 |
2 |
3 |
230 |

Is Mean-Variance Analysis Vacuous: Or was Beta Still Born? |
0 |
0 |
2 |
5 |
0 |
0 |
5 |
20 |

Jump Risks and the Intertemporal Capital Asset Pricing Model |
0 |
0 |
6 |
227 |
0 |
1 |
14 |
572 |

Large traders, hidden arbitrage, and complete markets |
0 |
0 |
0 |
50 |
1 |
1 |
1 |
134 |

Liquidity risk and arbitrage pricing theory |
0 |
1 |
1 |
44 |
0 |
2 |
6 |
193 |

MODELING THE RECOVERY RATE IN A REDUCED FORM MODEL |
0 |
0 |
0 |
36 |
3 |
4 |
7 |
125 |

Market Manipulation and Corporate Finance: A New Perspective |
0 |
0 |
0 |
0 |
0 |
1 |
3 |
272 |

Market Manipulation, Bubbles, Corners, and Short Squeezes |
4 |
5 |
15 |
251 |
9 |
19 |
55 |
583 |

Market Manipulation, Price Bubbles, and a Model of the U.S. Treasury Securities Auction Market |
0 |
0 |
0 |
49 |
2 |
2 |
4 |
140 |

Market Pricing of Deposit Insurance |
0 |
0 |
0 |
71 |
1 |
1 |
4 |
173 |

Modeling loan commitments |
1 |
1 |
3 |
153 |
4 |
6 |
8 |
305 |

OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS1 |
0 |
1 |
1 |
48 |
2 |
5 |
7 |
99 |

On Model Testing in Financial Economics |
0 |
0 |
0 |
16 |
0 |
0 |
1 |
49 |

On aggregation and representative agent equilibria |
0 |
2 |
4 |
6 |
0 |
2 |
11 |
20 |

Operational risk |
1 |
1 |
6 |
154 |
3 |
6 |
22 |
372 |

Optimal cash holdings under heterogeneous beliefs |
0 |
0 |
2 |
3 |
0 |
0 |
5 |
8 |

Option Pricing and Implicit Volatilities |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
162 |

Preferences, Continuity, and the Arbitrage Pricing Theory |
0 |
0 |
0 |
48 |
0 |
0 |
0 |
247 |

Pricing Derivatives on Financial Securities Subject to Credit Risk |
8 |
22 |
83 |
1,341 |
15 |
50 |
193 |
2,530 |

Pricing Options On Risky Assets In A Stochastic Interest Rate Economy1 |
0 |
0 |
3 |
89 |
0 |
1 |
7 |
174 |

Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence |
0 |
1 |
2 |
188 |
2 |
7 |
11 |
431 |

Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model |
0 |
1 |
9 |
149 |
1 |
6 |
26 |
380 |

Pricing foreign currency options under stochastic interest rates |
0 |
0 |
0 |
1,003 |
2 |
4 |
16 |
1,590 |

Put Option Premiums and Coherent Risk Measures |
0 |
1 |
1 |
49 |
1 |
2 |
2 |
128 |

RELATING TOP-DOWN WITH BOTTOM-UP APPROACHES IN THE EVALUATION OF ABS WITH LARGE COLLATERAL POOLS |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
4 |

Reduced-form valuation of callable corporate bonds: Theory and evidence |
1 |
2 |
4 |
117 |
3 |
4 |
34 |
374 |

Relative asset price bubbles |
0 |
0 |
3 |
20 |
0 |
1 |
9 |
73 |

Restructuring risk in credit default swaps: An empirical analysis |
0 |
0 |
0 |
13 |
2 |
2 |
2 |
63 |

Review of John E. Gilster, Jr. "Option Pricing Theory: Is "Risk Free" Hedging Feasible? |
0 |
0 |
0 |
0 |
0 |
0 |
3 |
189 |

Risky coupon bonds as a portfolio of zero-coupon bonds |
0 |
1 |
1 |
70 |
0 |
1 |
1 |
214 |

Spanning and completeness in markets with contingent claims |
0 |
1 |
1 |
167 |
0 |
3 |
6 |
279 |

Specification tests of calibrated option pricing models |
0 |
0 |
0 |
5 |
0 |
0 |
3 |
47 |

THE EFFECT OF TRADING FUTURES ON SHORT SALE CONSTRAINTS |
0 |
0 |
0 |
5 |
1 |
3 |
5 |
33 |

THE THIRD FUNDAMENTAL THEOREM OF ASSET PRICING |
0 |
0 |
3 |
4 |
0 |
0 |
5 |
9 |

Tax liens: a novel application of asset pricing theory |
0 |
0 |
0 |
35 |
0 |
0 |
2 |
113 |

Testing market efficiency using statistical arbitrage with applications to momentum and value strategies |
0 |
1 |
5 |
347 |
2 |
4 |
13 |
827 |

The Economics of Credit Default Swaps |
0 |
0 |
3 |
39 |
0 |
0 |
7 |
124 |

The Impact of a Central Bank's Bond Market Intervention on Foreign Exchange Rates |
0 |
0 |
1 |
3 |
0 |
1 |
5 |
15 |

The Liquidity Discount |
0 |
0 |
2 |
213 |
0 |
0 |
5 |
734 |

The Relationship between Arbitrage and First Order Stochastic Dominance |
0 |
0 |
4 |
41 |
2 |
2 |
11 |
158 |

The Relationship between Yield, Risk and Return of Corporate Bonds |
1 |
1 |
4 |
115 |
2 |
3 |
12 |
502 |

The Relevance of Fiduciary Conflict-of-Interests in Control versus Issue Proxy Contests |
0 |
0 |
0 |
1 |
2 |
2 |
2 |
29 |

The Second Fundamental Theorem of Asset Pricing |
0 |
0 |
0 |
13 |
2 |
2 |
2 |
68 |

The Second Fundamental Theorem of Asset Pricing: A New Approach |
0 |
0 |
0 |
2 |
0 |
0 |
0 |
799 |

The Stop-Loss Start-Gain Paradox and Option Valuation: A New Decomposition into Intrinsic and Time Value |
1 |
1 |
4 |
435 |
2 |
4 |
15 |
1,208 |

The Term Structure of Interest Rates |
2 |
3 |
7 |
242 |
8 |
22 |
47 |
753 |

The arbitrage-free valuation and hedging of demand deposits and credit card loans |
10 |
19 |
45 |
490 |
14 |
31 |
81 |
910 |

The cost of operational risk loss insurance |
0 |
0 |
0 |
28 |
0 |
0 |
1 |
81 |

The economic default time and the arcsine law |
0 |
0 |
0 |
1 |
0 |
0 |
1 |
3 |

The error learning hypothesis: The evidence reexamined |
0 |
0 |
0 |
8 |
1 |
1 |
3 |
55 |

The impact of quantitative easing on the US term structure of interest rates |
0 |
0 |
2 |
51 |
0 |
5 |
15 |
170 |

The intersection of market and credit risk |
0 |
1 |
15 |
661 |
3 |
6 |
42 |
1,184 |

The valuation of a firm’s investment opportunities: a reduced form credit risk perspective |
0 |
0 |
0 |
48 |
0 |
0 |
0 |
144 |

The zero-lower bound on interest rates: Myth or reality? |
0 |
0 |
0 |
32 |
1 |
1 |
3 |
81 |

Understanding the risk of leveraged ETFs |
1 |
3 |
13 |
194 |
4 |
8 |
40 |
453 |

Total Journal Articles |
53 |
121 |
452 |
19,184 |
213 |
484 |
1,615 |
49,689 |