| Journal Article |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A CAPM WITH TRADING CONSTRAINTS AND PRICE BUBBLES |
0 |
0 |
1 |
6 |
0 |
1 |
3 |
36 |
| A Characterization of Complete Security Markets On A Brownian Filtration1 |
0 |
0 |
0 |
14 |
0 |
0 |
0 |
47 |
| A Credit Spread Decomposition: A Resolution of the Credit Spread Puzzle |
2 |
4 |
6 |
6 |
3 |
8 |
11 |
11 |
| A Critique of Revised Basel II |
0 |
0 |
0 |
232 |
0 |
0 |
2 |
540 |
| A DYSFUNCTIONAL ROLE OF HIGH FREQUENCY TRADING IN ELECTRONIC MARKETS |
0 |
0 |
1 |
29 |
3 |
3 |
6 |
87 |
| A Markov Model for the Term Structure of Credit Risk Spreads |
0 |
0 |
0 |
6 |
3 |
12 |
71 |
3,339 |
| A Model of the Convenience Yields in On-the-Run Treasuries |
0 |
0 |
1 |
158 |
0 |
0 |
5 |
592 |
| A Reduced‐Form Model for Warrant Valuation |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
54 |
| A Unified Approach for Pricing Contingent Claims on Multiple Term Structures |
0 |
0 |
0 |
156 |
0 |
0 |
2 |
280 |
| A bottom-up, reduced form credit risk model approach for the determination of collateralised loan obligation capital |
0 |
0 |
0 |
2 |
1 |
2 |
5 |
11 |
| A characterization theorem for unique risk neutral probability measures |
0 |
0 |
0 |
27 |
0 |
1 |
2 |
107 |
| A comparison of the APT and CAPM a note |
0 |
0 |
2 |
1,274 |
0 |
0 |
3 |
3,263 |
| A generalized coherent risk measure: The firm's perspective |
0 |
0 |
0 |
85 |
0 |
0 |
1 |
183 |
| A leverage ratio rule for capital adequacy |
0 |
0 |
1 |
173 |
0 |
1 |
5 |
530 |
| A liquidity-based model for asset price bubbles |
0 |
0 |
1 |
31 |
0 |
1 |
5 |
77 |
| A rational asset pricing model for premiums and discounts on closed‐end funds: The bubble theory |
0 |
0 |
0 |
6 |
0 |
0 |
2 |
20 |
| A robust test of Merton's structural model for credit risk |
0 |
1 |
3 |
3 |
0 |
1 |
8 |
8 |
| A simple robust model for Cat bond valuation |
0 |
1 |
7 |
237 |
1 |
8 |
21 |
498 |
| A study on asset price bubble dynamics: explosive trend or quadratic variation? |
0 |
0 |
0 |
0 |
1 |
2 |
3 |
3 |
| ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS |
0 |
0 |
1 |
36 |
0 |
1 |
7 |
128 |
| APPLYING THE LOCAL MARTINGALE THEORY OF BUBBLES TO CRYPTOCURRENCIES |
0 |
0 |
3 |
18 |
0 |
0 |
7 |
40 |
| Abnormal Profit Opportunities and the Informational Advantage of High Frequency Trading |
0 |
0 |
1 |
13 |
0 |
0 |
1 |
40 |
| An Equilibrium Capital Asset Pricing Model in Markets with Price Jumps and Price Bubbles |
0 |
0 |
1 |
18 |
1 |
1 |
3 |
75 |
| An autoregressive jump process for common stock returns |
0 |
0 |
0 |
141 |
0 |
0 |
2 |
265 |
| An empirical investigation of large trader market manipulation in derivatives markets |
0 |
0 |
3 |
35 |
1 |
3 |
15 |
113 |
| An explosion time characterization of asset price bubbles |
1 |
1 |
1 |
2 |
1 |
2 |
3 |
6 |
| An improved test for statistical arbitrage |
0 |
0 |
1 |
80 |
0 |
1 |
4 |
218 |
| Approximate option valuation for arbitrary stochastic processes |
1 |
1 |
7 |
969 |
2 |
3 |
22 |
1,602 |
| Arbitrage, Continuous Trading, and Margin Requirements |
0 |
0 |
0 |
44 |
0 |
1 |
1 |
212 |
| Arbitrage, martingales, and private monetary value |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
1 |
| Asset Price Bubbles |
1 |
1 |
1 |
85 |
1 |
2 |
8 |
196 |
| Asset market equilibrium with liquidity risk |
0 |
0 |
0 |
10 |
0 |
0 |
3 |
57 |
| Asset price bubbles and risk management |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
| BUBBLES AND MULTIPLE-FACTOR ASSET PRICING MODELS |
0 |
0 |
1 |
11 |
0 |
0 |
1 |
39 |
| Bank runs and self-insured bank deposits |
0 |
0 |
0 |
10 |
0 |
0 |
0 |
65 |
| Bankruptcy Prediction with Industry Effects |
3 |
4 |
23 |
107 |
5 |
12 |
80 |
391 |
| Bayesian analysis of contingent claim model error |
0 |
0 |
1 |
114 |
1 |
1 |
6 |
301 |
| Beliefs and arbitrage pricing |
0 |
0 |
0 |
16 |
0 |
0 |
0 |
44 |
| Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation |
0 |
0 |
3 |
122 |
1 |
1 |
8 |
346 |
| Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation |
0 |
3 |
23 |
5,189 |
3 |
9 |
61 |
10,866 |
| CMBS market efficiency: The crisis and the recovery |
0 |
0 |
4 |
23 |
1 |
4 |
14 |
82 |
| Capital adequacy rules, catastrophic firm failure, and systemic risk |
0 |
0 |
0 |
11 |
0 |
0 |
3 |
68 |
| Commercial Mortgage‐Backed Securities (CMBS) and Market Efficiency with Respect to Costly Information |
0 |
0 |
0 |
96 |
0 |
1 |
1 |
336 |
| Computing present values: Capital budgeting done correctly |
0 |
0 |
0 |
13 |
0 |
0 |
1 |
48 |
| Computing the probability of a financial market failure: a new measure of systemic risk |
0 |
0 |
0 |
0 |
14 |
17 |
19 |
21 |
| Concavity, stochastic utility, and risk aversion |
0 |
0 |
0 |
4 |
0 |
2 |
4 |
23 |
| Consensus Beliefs Equilibrium and Market Efficiency |
0 |
0 |
0 |
28 |
0 |
0 |
2 |
112 |
| Convenience yields |
0 |
1 |
4 |
42 |
0 |
1 |
5 |
149 |
| Counterparty Risk and the Pricing of Defaultable Securities |
0 |
0 |
1 |
203 |
0 |
0 |
6 |
596 |
| Credit Risk Models |
0 |
1 |
10 |
258 |
0 |
1 |
17 |
515 |
| Credit Risk, Liquidity, and Bubbles |
0 |
0 |
0 |
8 |
0 |
0 |
1 |
24 |
| Credit market equilibrium theory and evidence: Revisiting the structural versus reduced form credit risk model debate |
0 |
1 |
2 |
150 |
1 |
3 |
9 |
381 |
| Credit rating accuracy and incentives |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
| DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS |
0 |
0 |
0 |
112 |
1 |
1 |
5 |
298 |
| Default Parameter Estimation Using Market Prices |
0 |
0 |
1 |
1 |
0 |
0 |
1 |
1 |
| Delta, gamma and bucket hedging of interest rate derivatives |
1 |
1 |
6 |
105 |
2 |
2 |
11 |
354 |
| Derivative Security Markets, Market Manipulation, and Option Pricing Theory |
1 |
2 |
3 |
99 |
1 |
2 |
9 |
259 |
| Designing catastrophic bonds for catastrophic risks in agriculture |
0 |
0 |
2 |
15 |
0 |
1 |
7 |
53 |
| Discrete versus continuous time models: Local martingales and singular processes in asset pricing theory |
0 |
0 |
3 |
78 |
0 |
0 |
9 |
243 |
| Discretely sampled variance and volatility swaps versus their continuous approximations |
0 |
0 |
1 |
10 |
0 |
0 |
3 |
48 |
| Distressed debt prices and recovery rate estimation |
0 |
0 |
1 |
92 |
1 |
1 |
2 |
302 |
| Downside Loss Aversion and Portfolio Management |
0 |
0 |
2 |
28 |
1 |
1 |
6 |
126 |
| ESTIMATING THE VALUE OF DELIVERY OPTIONS IN FUTURES CONTRACTS |
0 |
0 |
0 |
20 |
0 |
2 |
4 |
88 |
| Endogenous liquidity risk and dealer market structure |
0 |
0 |
0 |
2 |
0 |
0 |
0 |
8 |
| Estimating expected losses and liquidity discounts implicit in debt prices |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
| Estimating the Interest Rate Term Structure of Corporate Debt With a Semiparametric Penalized Spline Model |
0 |
0 |
0 |
48 |
0 |
1 |
3 |
126 |
| Ex-dividend Stock Price Behavior and Arbitrage Opportunities |
0 |
0 |
1 |
487 |
0 |
0 |
5 |
1,856 |
| Exploring Mispricing in the Term Structure of CDS Spreads |
0 |
0 |
0 |
9 |
1 |
1 |
3 |
45 |
| FITTING DYNAMICALLY CONSISTENT FORWARD RATE CURVES: ALGORITHM AND COMPARISON |
2 |
8 |
19 |
19 |
4 |
14 |
30 |
30 |
| FORWARD AND FUTURES PRICES WITH BUBBLES |
0 |
0 |
2 |
7 |
0 |
0 |
2 |
19 |
| Fair Microfinance Loan Rates |
0 |
0 |
1 |
10 |
0 |
0 |
5 |
53 |
| Financial crises and economic growth |
0 |
0 |
0 |
38 |
0 |
1 |
2 |
103 |
| Foreign currency bubbles |
0 |
0 |
0 |
23 |
0 |
0 |
0 |
90 |
| Forward Rate Curve Smoothing |
1 |
2 |
7 |
29 |
1 |
3 |
15 |
111 |
| Forward contracts and futures contracts |
0 |
2 |
11 |
611 |
1 |
5 |
33 |
1,406 |
| Funding shortages, expectations, and forward rate risk premium |
1 |
1 |
1 |
1 |
1 |
2 |
3 |
8 |
| Futures contract collateralization and its implications |
0 |
0 |
0 |
1 |
1 |
2 |
5 |
8 |
| Government Policies, Residential Mortgage Defaults and the Boom and Bust Cycle of Housing Prices |
0 |
0 |
0 |
9 |
0 |
0 |
2 |
62 |
| Hedging contingent claims on semimartingales |
0 |
0 |
0 |
176 |
0 |
0 |
2 |
690 |
| Hedging derivatives with model error |
0 |
0 |
0 |
10 |
0 |
0 |
0 |
45 |
| Hedging in a HJM model |
0 |
0 |
0 |
71 |
0 |
0 |
0 |
193 |
| Heterogeneous Expectations, Restrictions on Short Sales, and Equilibrium Asset Prices |
0 |
0 |
0 |
141 |
1 |
1 |
1 |
349 |
| High frequency trading and standard asset pricing models |
0 |
0 |
2 |
9 |
1 |
2 |
4 |
19 |
| High-Dimensional Estimation, Basis Assets, and the Adaptive Multi-Factor Model |
0 |
0 |
0 |
8 |
2 |
4 |
7 |
51 |
| Housing prices and the optimal time-on-the-market decision |
0 |
0 |
0 |
8 |
1 |
1 |
1 |
60 |
| In Honor of the Nobel Laureates Robert C. Merton and Myron S. Scholes: A Partial Differential Equation That Changed the World |
0 |
0 |
1 |
527 |
1 |
4 |
8 |
1,655 |
| Index Design: Hedging and Manipulation |
0 |
0 |
1 |
2 |
0 |
1 |
5 |
13 |
| Inferring financial bubbles from option data |
1 |
1 |
2 |
11 |
1 |
3 |
8 |
35 |
| Inflation-Adjusted Bonds, Swaps, and Derivatives |
0 |
0 |
2 |
2 |
1 |
2 |
10 |
10 |
| Information reduction via level crossings in a credit risk model |
0 |
0 |
0 |
26 |
1 |
1 |
1 |
89 |
| Interest Rate Caps “Smile” Too! But Can the LIBOR Market Models Capture the Smile? |
0 |
0 |
0 |
75 |
0 |
1 |
3 |
253 |
| Interest rate swaps: a comparison of compounded daily versus discrete reference rates |
1 |
2 |
4 |
13 |
1 |
3 |
10 |
32 |
| Is Mean-Variance Analysis Vacuous: Or was Beta Still Born? |
0 |
0 |
2 |
11 |
0 |
0 |
2 |
39 |
| Jump Risks and the Intertemporal Capital Asset Pricing Model |
0 |
0 |
1 |
245 |
0 |
2 |
6 |
618 |
| Large traders, hidden arbitrage, and complete markets |
0 |
0 |
0 |
57 |
0 |
1 |
4 |
160 |
| Liquidity risk and arbitrage pricing theory |
0 |
0 |
1 |
56 |
0 |
1 |
7 |
242 |
| MODELING THE RECOVERY RATE IN A REDUCED FORM MODEL |
0 |
0 |
2 |
42 |
1 |
2 |
5 |
141 |
| Market Manipulation and Corporate Finance: A New Perspective |
0 |
0 |
0 |
0 |
0 |
0 |
10 |
327 |
| Market Manipulation, Bubbles, Corners, and Short Squeezes |
1 |
2 |
8 |
343 |
1 |
4 |
16 |
828 |
| Market Manipulation, Price Bubbles, and a Model of the U.S. Treasury Securities Auction Market |
0 |
0 |
0 |
55 |
0 |
0 |
1 |
159 |
| Market Pricing of Deposit Insurance |
0 |
0 |
1 |
78 |
0 |
0 |
1 |
193 |
| Media trading groups and short selling manipulation |
0 |
0 |
0 |
1 |
0 |
0 |
4 |
7 |
| Modeling loan commitments |
0 |
0 |
2 |
187 |
0 |
0 |
6 |
375 |
| No arbitrage for a special class of filtration expansions |
0 |
1 |
1 |
1 |
0 |
2 |
3 |
3 |
| OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS1 |
0 |
1 |
1 |
56 |
0 |
1 |
1 |
113 |
| On Model Testing in Financial Economics |
0 |
0 |
0 |
17 |
0 |
0 |
1 |
54 |
| On aggregation and representative agent equilibria |
1 |
1 |
1 |
14 |
1 |
3 |
4 |
41 |
| Operational risk |
0 |
1 |
6 |
231 |
1 |
2 |
16 |
580 |
| Optimal cash holdings under heterogeneous beliefs |
0 |
0 |
0 |
5 |
0 |
0 |
0 |
17 |
| Option Pricing and Implicit Volatilities |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
171 |
| Option Pricing in an Incomplete Market |
0 |
2 |
3 |
3 |
0 |
5 |
10 |
10 |
| Portfolio balance effects and the Federal Reserve’s large-scale asset purchases |
0 |
0 |
1 |
5 |
0 |
0 |
1 |
15 |
| Preferences, Continuity, and the Arbitrage Pricing Theory |
0 |
0 |
0 |
51 |
0 |
2 |
3 |
261 |
| Pricing Derivatives on Financial Securities Subject to Credit Risk |
2 |
7 |
39 |
1,732 |
8 |
25 |
92 |
3,512 |
| Pricing Options On Risky Assets In A Stochastic Interest Rate Economy1 |
0 |
0 |
0 |
92 |
0 |
0 |
1 |
202 |
| Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence |
0 |
0 |
0 |
201 |
0 |
0 |
1 |
473 |
| Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model |
0 |
1 |
7 |
196 |
2 |
3 |
21 |
494 |
| Pricing foreign currency options under stochastic interest rates |
0 |
0 |
2 |
1,023 |
2 |
4 |
7 |
1,667 |
| Put Option Premiums and Coherent Risk Measures |
0 |
0 |
0 |
54 |
0 |
1 |
1 |
147 |
| RELATING TOP-DOWN WITH BOTTOM-UP APPROACHES IN THE EVALUATION OF ABS WITH LARGE COLLATERAL POOLS |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
9 |
| Reduced-form valuation of callable corporate bonds: Theory and evidence |
0 |
1 |
3 |
138 |
1 |
4 |
11 |
454 |
| Relative asset price bubbles |
0 |
0 |
1 |
26 |
0 |
1 |
3 |
111 |
| Restructuring risk in credit default swaps: An empirical analysis |
0 |
0 |
1 |
15 |
0 |
1 |
3 |
79 |
| Review of John E. Gilster, Jr. "Option Pricing Theory: Is "Risk Free" Hedging Feasible? |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
203 |
| Risk measures and the impact of asset price bubbles |
0 |
1 |
1 |
1 |
0 |
1 |
1 |
1 |
| Risk premia, asset price bubbles, and monetary policy |
0 |
0 |
1 |
9 |
0 |
0 |
2 |
25 |
| Risky coupon bonds as a portfolio of zero-coupon bonds |
0 |
0 |
2 |
80 |
1 |
1 |
8 |
257 |
| Risk‐neutral pricing techniques and examples |
0 |
0 |
1 |
6 |
0 |
0 |
5 |
29 |
| Simulating and validating a multi-factor Heath, Jarrow and Morton model with negative interest rates |
0 |
0 |
4 |
7 |
0 |
1 |
9 |
16 |
| Spanning and completeness in markets with contingent claims |
0 |
0 |
7 |
243 |
1 |
3 |
14 |
416 |
| Specification tests of calibrated option pricing models |
0 |
0 |
1 |
6 |
0 |
1 |
2 |
57 |
| THE EFFECT OF TRADING FUTURES ON SHORT SALE CONSTRAINTS |
0 |
0 |
0 |
6 |
0 |
0 |
1 |
45 |
| THE LOW-VOLATILITY ANOMALY AND THE ADAPTIVE MULTI-FACTOR MODEL |
0 |
1 |
1 |
2 |
1 |
4 |
6 |
8 |
| THE THIRD FUNDAMENTAL THEOREM OF ASSET PRICING |
0 |
0 |
0 |
7 |
1 |
1 |
2 |
43 |
| Tax liens: a novel application of asset pricing theory |
0 |
0 |
0 |
36 |
0 |
0 |
4 |
129 |
| Testing market efficiency using statistical arbitrage with applications to momentum and value strategies |
0 |
0 |
1 |
370 |
0 |
1 |
18 |
913 |
| The Economics of Credit Default Swaps |
0 |
0 |
5 |
65 |
0 |
0 |
8 |
192 |
| The Economics of Insurance: A Derivatives-Based Approach |
0 |
0 |
0 |
5 |
1 |
1 |
4 |
26 |
| The Effects of Yield Control Monetary Policy: A Helicopter Money Drop to Financial Institutions |
0 |
0 |
2 |
41 |
1 |
4 |
8 |
110 |
| The Impact of a Central Bank's Bond Market Intervention on Foreign Exchange Rates |
0 |
0 |
2 |
15 |
0 |
0 |
3 |
58 |
| The Liquidity Discount |
0 |
2 |
3 |
224 |
1 |
6 |
10 |
779 |
| The Relationship between Arbitrage and First Order Stochastic Dominance |
0 |
0 |
1 |
48 |
0 |
1 |
4 |
187 |
| The Relationship between Yield, Risk and Return of Corporate Bonds |
0 |
1 |
1 |
138 |
0 |
1 |
4 |
556 |
| The Relevance of Fiduciary Conflict-of-Interests in Control versus Issue Proxy Contests |
0 |
0 |
0 |
1 |
0 |
0 |
0 |
34 |
| The Second Fundamental Theorem of Asset Pricing |
0 |
1 |
1 |
16 |
0 |
1 |
3 |
84 |
| The Second Fundamental Theorem of Asset Pricing: A New Approach |
0 |
0 |
0 |
2 |
0 |
1 |
5 |
825 |
| The Stop-Loss Start-Gain Paradox and Option Valuation: A New Decomposition into Intrinsic and Time Value |
0 |
0 |
4 |
457 |
2 |
3 |
20 |
1,310 |
| The Term Structure of Interest Rates |
0 |
1 |
8 |
315 |
1 |
3 |
24 |
951 |
| The arbitrage-free valuation and hedging of demand deposits and credit card loans |
0 |
4 |
28 |
759 |
2 |
11 |
57 |
1,424 |
| The cost of operational risk loss insurance |
0 |
0 |
0 |
28 |
0 |
1 |
4 |
100 |
| The economic default time and the arcsine law |
0 |
0 |
0 |
3 |
0 |
0 |
5 |
32 |
| The error learning hypothesis: The evidence reexamined |
0 |
0 |
0 |
8 |
0 |
0 |
0 |
60 |
| The impact of quantitative easing on the US term structure of interest rates |
1 |
1 |
2 |
71 |
1 |
2 |
7 |
230 |
| The intersection of market and credit risk |
0 |
1 |
6 |
717 |
1 |
2 |
17 |
1,312 |
| The no-arbitrage pricing of non-traded assets |
0 |
0 |
1 |
6 |
0 |
3 |
6 |
13 |
| The valuation of a firm’s investment opportunities: a reduced form credit risk perspective |
0 |
0 |
0 |
48 |
0 |
0 |
4 |
160 |
| The zero-lower bound on interest rates: Myth or reality? |
0 |
0 |
0 |
39 |
0 |
0 |
1 |
104 |
| Time-Invariance Coefficients Tests with the Adaptive Multi-Factor Model |
0 |
0 |
0 |
2 |
1 |
2 |
2 |
10 |
| Understanding the risk of leveraged ETFs |
0 |
2 |
7 |
272 |
3 |
7 |
16 |
610 |
| Volatility Uncertainty, Time Decay, and Option Bid-Ask Spreads in an Incomplete Market |
0 |
0 |
0 |
28 |
1 |
1 |
2 |
83 |
| Total Journal Articles |
21 |
70 |
360 |
22,250 |
105 |
295 |
1,226 |
59,131 |
| Chapter |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A Markov Model for the Term Structure of Credit Risk Spreads |
1 |
1 |
16 |
111 |
1 |
4 |
30 |
291 |
| ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS |
2 |
2 |
2 |
14 |
3 |
5 |
6 |
53 |
| APPROXIMATE OPTION VALUATION FOR ARBITRARY STOCHASTIC PROCESSES |
0 |
0 |
7 |
60 |
2 |
4 |
17 |
154 |
| Arbitrage and Trading |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
2 |
| Arbitrage, Continuous Trading, and Margin Requirements |
0 |
0 |
0 |
3 |
0 |
0 |
0 |
22 |
| Asset Price Bubbles, Wealth Preserving, Dominating and Replicating Trading Strategies |
0 |
0 |
0 |
11 |
0 |
1 |
4 |
25 |
| BOND PRICING AND THE TERM STRUCTURE OF INTEREST RATES: A NEW METHODOLOGY FOR CONTINGENT CLAIMS VALUATION |
0 |
1 |
5 |
65 |
2 |
5 |
15 |
201 |
| Bankruptcy Prediction with Industry Effects |
1 |
1 |
5 |
27 |
3 |
3 |
15 |
94 |
| Banks |
0 |
0 |
0 |
0 |
0 |
0 |
3 |
27 |
| Barings Bank (1995) |
0 |
0 |
1 |
4 |
0 |
1 |
3 |
17 |
| Counterparty Risk and the Pricing of Defaultable Securities |
0 |
0 |
0 |
12 |
0 |
1 |
3 |
85 |
| Credit Risk |
0 |
0 |
0 |
17 |
1 |
1 |
3 |
56 |
| DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS |
0 |
0 |
0 |
5 |
0 |
0 |
1 |
22 |
| Derivative Security Markets, Market Manipulation, and Option Pricing Theory |
0 |
0 |
0 |
7 |
0 |
0 |
0 |
38 |
| Derivatives |
0 |
0 |
0 |
11 |
0 |
0 |
0 |
29 |
| Derivatives and Risk Management |
1 |
2 |
6 |
7 |
1 |
6 |
14 |
19 |
| Diversification |
0 |
0 |
0 |
3 |
0 |
0 |
0 |
6 |
| Dynamic Hedging |
0 |
0 |
2 |
4 |
0 |
0 |
2 |
9 |
| Ex-Dividend Stock Price Behavior and Arbitrage Opportunities |
0 |
0 |
2 |
6 |
0 |
0 |
4 |
34 |
| FORWARD CONTRACTS AND FUTURES CONTRACTS |
0 |
0 |
8 |
133 |
0 |
2 |
15 |
341 |
| Financial Engineering and Swaps |
2 |
2 |
3 |
3 |
2 |
2 |
3 |
4 |
| Firms |
0 |
0 |
0 |
1 |
0 |
0 |
0 |
5 |
| Forwards and Futures |
0 |
0 |
0 |
0 |
1 |
2 |
3 |
3 |
| Forwards and Futures Markets |
0 |
0 |
0 |
0 |
0 |
1 |
2 |
3 |
| Futures Hedging |
0 |
0 |
1 |
2 |
0 |
0 |
2 |
4 |
| Futures Regulations |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
1 |
| Futures Trading |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
3 |
| Individuals |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
4 |
| Interest Rate Swaps |
0 |
0 |
1 |
1 |
0 |
0 |
5 |
5 |
| Interest Rates |
1 |
1 |
1 |
1 |
2 |
2 |
2 |
2 |
| Introduction |
0 |
0 |
1 |
2 |
1 |
1 |
3 |
4 |
| LIQUIDITY PREMIUMS AND THE EXPECTATIONS HYPOTHESIS |
0 |
0 |
0 |
4 |
0 |
0 |
2 |
18 |
| Liquidity Risk |
0 |
0 |
1 |
2 |
0 |
0 |
1 |
14 |
| Liquidity risk and arbitrage pricing theory |
0 |
1 |
1 |
10 |
0 |
3 |
6 |
70 |
| Long Term Capital Management (1998) |
0 |
0 |
0 |
2 |
0 |
0 |
0 |
6 |
| MODELING CREDIT RISK WITH PARTIAL INFORMATION |
0 |
0 |
0 |
3 |
0 |
0 |
0 |
29 |
| Market Manipulation, Bubbles, Corners, and Short Squeezes |
0 |
1 |
2 |
43 |
1 |
2 |
6 |
113 |
| Market Pricing of Deposit Insurance |
0 |
0 |
0 |
4 |
1 |
1 |
1 |
25 |
| Market Risk (Equities, FX, Commodities) |
0 |
0 |
1 |
2 |
0 |
0 |
1 |
15 |
| Market Risk (Interest Rates) |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
5 |
| Metallgesellschaft (1993) |
0 |
0 |
0 |
3 |
0 |
0 |
1 |
15 |
| Multiperiod Binomial HJM Model |
0 |
0 |
0 |
0 |
0 |
2 |
2 |
2 |
| Multiperiod Binomial Model |
0 |
0 |
1 |
1 |
0 |
0 |
5 |
6 |
| Operational Risk |
0 |
0 |
0 |
8 |
1 |
1 |
4 |
41 |
| Option Relations |
0 |
0 |
1 |
1 |
0 |
0 |
1 |
3 |
| Option Trading Strategies |
0 |
0 |
5 |
5 |
0 |
0 |
10 |
10 |
| Options |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
2 |
| Options Markets and Trading |
0 |
0 |
1 |
1 |
1 |
2 |
6 |
6 |
| Orange County (1994) |
0 |
0 |
1 |
2 |
1 |
1 |
4 |
7 |
| PRICING OPTIONS ON RISKY ASSETS IN A STOCHASTIC INTEREST RATE ECONOMY |
0 |
0 |
0 |
8 |
0 |
0 |
0 |
48 |
| Penn Square Bank (1982) |
0 |
0 |
1 |
1 |
0 |
0 |
3 |
13 |
| Pricing Derivatives on Financial Securities Subject to Credit Risk |
1 |
4 |
15 |
137 |
2 |
5 |
28 |
363 |
| Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence |
0 |
0 |
0 |
3 |
1 |
1 |
2 |
28 |
| Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model |
0 |
0 |
3 |
18 |
0 |
0 |
7 |
70 |
| Pricing foreign currency options under stochastic interest rates |
0 |
0 |
0 |
17 |
2 |
2 |
2 |
65 |
| Primary Assets |
0 |
1 |
2 |
3 |
0 |
2 |
3 |
5 |
| Risk Management Models |
0 |
0 |
10 |
12 |
1 |
1 |
35 |
46 |
| Single-Period Binomial Heath–Jarrow–Morton Model |
0 |
1 |
1 |
1 |
0 |
1 |
3 |
4 |
| Single-Period Binomial Model |
0 |
0 |
1 |
1 |
0 |
0 |
3 |
4 |
| Static Hedging |
0 |
0 |
1 |
1 |
0 |
1 |
2 |
5 |
| Stocks |
1 |
1 |
2 |
2 |
1 |
1 |
3 |
4 |
| THE PRICING OF COMMODITY OPTIONS WITH STOCHASTIC INTEREST RATES |
0 |
0 |
1 |
9 |
0 |
0 |
1 |
29 |
| The Black–Scholes–Merton Model |
0 |
0 |
0 |
0 |
0 |
1 |
3 |
3 |
| The Cost-of-Carry Model |
0 |
0 |
1 |
1 |
0 |
3 |
8 |
9 |
| The Credit Crisis (2007) |
0 |
0 |
0 |
2 |
0 |
0 |
1 |
7 |
| The Extended Cost-of-Carry Model |
0 |
0 |
1 |
1 |
0 |
1 |
3 |
5 |
| The Heath–Jarrow–Morton Libor Model |
0 |
0 |
0 |
1 |
0 |
0 |
3 |
5 |
| The Stop-Loss Start-Gain Paradox and Option Valuation: A new Decomposition into Intrinsic and Time Value |
2 |
2 |
3 |
30 |
3 |
5 |
9 |
132 |
| Trading Constraints |
0 |
0 |
0 |
1 |
0 |
0 |
1 |
9 |
| Using the Black–Scholes–Merton Model |
0 |
0 |
1 |
1 |
0 |
1 |
2 |
3 |
| Washington Mutual (2008) |
0 |
0 |
0 |
2 |
0 |
0 |
0 |
5 |
| Yields and Forward Rates |
0 |
0 |
1 |
2 |
1 |
1 |
2 |
3 |
| Total Chapters |
12 |
21 |
119 |
855 |
35 |
79 |
337 |
2,815 |
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