| 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 |
2 |
5 |
2 |
4 |
12 |
26 |
| A Characterization of Complete Security Markets On A Brownian Filtration1 |
0 |
1 |
1 |
13 |
0 |
1 |
2 |
46 |
| A Critique of Revised Basel II |
0 |
0 |
0 |
230 |
0 |
0 |
6 |
528 |
| A DYSFUNCTIONAL ROLE OF HIGH FREQUENCY TRADING IN ELECTRONIC MARKETS |
1 |
1 |
7 |
15 |
2 |
3 |
16 |
38 |
| A Markov Model for the Term Structure of Credit Risk Spreads |
0 |
0 |
0 |
6 |
13 |
25 |
73 |
2,962 |
| A Model of the Convenience Yields in On-the-Run Treasuries |
0 |
0 |
1 |
154 |
0 |
0 |
6 |
577 |
| A Reduced‐Form Model for Warrant Valuation |
0 |
0 |
0 |
0 |
0 |
1 |
4 |
46 |
| A Unified Approach for Pricing Contingent Claims on Multiple Term Structures |
0 |
0 |
1 |
150 |
0 |
0 |
4 |
267 |
| A characterization theorem for unique risk neutral probability measures |
0 |
0 |
0 |
25 |
1 |
1 |
3 |
103 |
| A comparison of the APT and CAPM a note |
0 |
0 |
7 |
1,258 |
0 |
1 |
13 |
3,241 |
| A generalized coherent risk measure: The firm's perspective |
0 |
0 |
0 |
85 |
0 |
0 |
2 |
180 |
| A leverage ratio rule for capital adequacy |
0 |
1 |
3 |
156 |
0 |
4 |
20 |
478 |
| A liquidity-based model for asset price bubbles |
0 |
0 |
0 |
26 |
0 |
0 |
1 |
63 |
| A rational asset pricing model for premiums and discounts on closed‐end funds: The bubble theory |
0 |
0 |
2 |
2 |
1 |
3 |
8 |
8 |
| A simple robust model for Cat bond valuation |
1 |
1 |
7 |
187 |
1 |
7 |
26 |
400 |
| ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS |
0 |
0 |
0 |
27 |
0 |
0 |
4 |
93 |
| Abnormal Profit Opportunities and the Informational Advantage of High Frequency Trading |
1 |
1 |
4 |
8 |
3 |
4 |
10 |
25 |
| An Equilibrium Capital Asset Pricing Model in Markets with Price Jumps and Price Bubbles |
1 |
2 |
3 |
10 |
2 |
5 |
12 |
45 |
| An autoregressive jump process for common stock returns |
0 |
1 |
3 |
131 |
0 |
2 |
5 |
247 |
| An empirical investigation of large trader market manipulation in derivatives markets |
0 |
1 |
4 |
14 |
2 |
3 |
23 |
49 |
| An improved test for statistical arbitrage |
0 |
0 |
2 |
73 |
2 |
6 |
14 |
199 |
| Approximate option valuation for arbitrary stochastic processes |
0 |
1 |
11 |
916 |
1 |
4 |
34 |
1,473 |
| Arbitrage, Continuous Trading, and Margin Requirements |
0 |
0 |
0 |
44 |
0 |
1 |
4 |
207 |
| Asset Price Bubbles |
0 |
1 |
4 |
48 |
3 |
6 |
21 |
116 |
| Asset market equilibrium with liquidity risk |
0 |
0 |
2 |
5 |
1 |
5 |
14 |
32 |
| BUBBLES AND MULTIPLE-FACTOR ASSET PRICING MODELS |
0 |
0 |
2 |
6 |
0 |
0 |
9 |
30 |
| Bank runs and self-insured bank deposits |
0 |
0 |
1 |
7 |
0 |
3 |
9 |
42 |
| Bankruptcy Prediction with Industry Effects |
2 |
3 |
13 |
29 |
3 |
20 |
51 |
106 |
| Bayesian analysis of contingent claim model error |
0 |
1 |
9 |
109 |
0 |
1 |
20 |
275 |
| Beliefs and arbitrage pricing |
0 |
0 |
2 |
16 |
0 |
0 |
3 |
43 |
| Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation |
2 |
4 |
5 |
103 |
4 |
9 |
21 |
286 |
| Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation |
3 |
16 |
40 |
4,992 |
8 |
38 |
150 |
10,202 |
| CMBS market efficiency: The crisis and the recovery |
0 |
1 |
3 |
11 |
0 |
1 |
10 |
41 |
| Capital adequacy rules, catastrophic firm failure, and systemic risk |
0 |
0 |
0 |
9 |
0 |
0 |
2 |
55 |
| Commercial Mortgage‐Backed Securities (CMBS) and Market Efficiency with Respect to Costly Information |
0 |
0 |
0 |
92 |
1 |
1 |
5 |
318 |
| Computing present values: Capital budgeting done correctly |
0 |
0 |
1 |
12 |
0 |
0 |
3 |
41 |
| Consensus Beliefs Equilibrium and Market Efficiency |
0 |
0 |
0 |
27 |
0 |
0 |
6 |
105 |
| Convenience yields |
0 |
0 |
1 |
35 |
0 |
0 |
13 |
129 |
| Counterparty Risk and the Pricing of Defaultable Securities |
0 |
0 |
0 |
186 |
0 |
4 |
13 |
547 |
| Credit Risk Models |
2 |
4 |
7 |
212 |
2 |
7 |
20 |
427 |
| Credit Risk Models with Incomplete Information |
0 |
0 |
1 |
4 |
0 |
3 |
7 |
18 |
| Credit market equilibrium theory and evidence: Revisiting the structural versus reduced form credit risk model debate |
0 |
0 |
5 |
126 |
0 |
1 |
15 |
305 |
| DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS |
1 |
2 |
4 |
106 |
1 |
3 |
18 |
271 |
| Delta, gamma and bucket hedging of interest rate derivatives |
1 |
4 |
5 |
84 |
1 |
5 |
12 |
278 |
| Derivative Security Markets, Market Manipulation, and Option Pricing Theory |
0 |
1 |
4 |
85 |
1 |
3 |
15 |
210 |
| Designing catastrophic bonds for catastrophic risks in agriculture: Macro hedging long and short rains in Kenya |
1 |
1 |
1 |
5 |
1 |
3 |
8 |
32 |
| Discrete versus continuous time models: Local martingales and singular processes in asset pricing theory |
0 |
0 |
3 |
62 |
0 |
0 |
10 |
199 |
| Discretely sampled variance and volatility swaps versus their continuous approximations |
0 |
0 |
2 |
8 |
0 |
0 |
5 |
40 |
| Distressed debt prices and recovery rate estimation |
0 |
0 |
0 |
85 |
0 |
1 |
4 |
275 |
| Downside Loss Aversion and Portfolio Management |
0 |
0 |
2 |
23 |
0 |
2 |
13 |
100 |
| ESTIMATING THE VALUE OF DELIVERY OPTIONS IN FUTURES CONTRACTS |
0 |
0 |
0 |
19 |
0 |
0 |
2 |
74 |
| Estimating the Interest Rate Term Structure of Corporate Debt With a Semiparametric Penalized Spline Model |
0 |
0 |
1 |
48 |
0 |
0 |
5 |
118 |
| Ex-dividend Stock Price Behavior and Arbitrage Opportunities |
0 |
0 |
3 |
477 |
0 |
1 |
15 |
1,825 |
| Exploring Mispricing in the Term Structure of CDS Spreads |
0 |
0 |
1 |
3 |
0 |
3 |
13 |
18 |
| FORWARD AND FUTURES PRICES WITH BUBBLES |
0 |
0 |
1 |
2 |
0 |
0 |
3 |
7 |
| Fair Microfinance Loan Rates |
3 |
3 |
5 |
5 |
4 |
5 |
22 |
22 |
| Financial crises and economic growth |
1 |
2 |
4 |
31 |
2 |
5 |
11 |
81 |
| Foreign currency bubbles |
0 |
0 |
0 |
23 |
0 |
0 |
3 |
86 |
| Forward Rate Curve Smoothing |
1 |
1 |
2 |
8 |
1 |
2 |
7 |
59 |
| Forward contracts and futures contracts |
0 |
4 |
35 |
526 |
2 |
9 |
72 |
1,220 |
| Government Policies, Residential Mortgage Defaults and the Boom and Bust Cycle of Housing Prices |
0 |
0 |
0 |
7 |
1 |
1 |
7 |
50 |
| Hedging contingent claims on semimartingales |
0 |
0 |
0 |
176 |
1 |
1 |
2 |
682 |
| Hedging derivatives with model error |
0 |
0 |
0 |
10 |
0 |
0 |
0 |
41 |
| Hedging in a HJM model |
1 |
1 |
1 |
68 |
1 |
2 |
7 |
184 |
| Heterogeneous Expectations, Restrictions on Short Sales, and Equilibrium Asset Prices |
0 |
1 |
3 |
131 |
0 |
1 |
8 |
323 |
| Housing prices and the optimal time-on-the-market decision |
0 |
0 |
0 |
6 |
1 |
4 |
7 |
50 |
| 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 |
0 |
0 |
15 |
1,633 |
| Information reduction via level crossings in a credit risk model |
0 |
0 |
0 |
25 |
0 |
0 |
3 |
82 |
| Interest Rate Caps “Smile” Too! But Can the LIBOR Market Models Capture the Smile? |
0 |
0 |
1 |
75 |
0 |
0 |
10 |
238 |
| Is Mean-Variance Analysis Vacuous: Or was Beta Still Born? |
0 |
0 |
1 |
6 |
0 |
0 |
1 |
21 |
| Jump Risks and the Intertemporal Capital Asset Pricing Model |
0 |
0 |
4 |
231 |
1 |
2 |
10 |
581 |
| Large traders, hidden arbitrage, and complete markets |
0 |
1 |
2 |
52 |
0 |
5 |
10 |
143 |
| Liquidity risk and arbitrage pricing theory |
0 |
0 |
1 |
44 |
0 |
0 |
8 |
199 |
| MODELING THE RECOVERY RATE IN A REDUCED FORM MODEL |
1 |
1 |
1 |
37 |
1 |
1 |
5 |
126 |
| Market Manipulation and Corporate Finance: A New Perspective |
0 |
0 |
0 |
0 |
0 |
0 |
13 |
284 |
| Market Manipulation, Bubbles, Corners, and Short Squeezes |
0 |
3 |
18 |
265 |
1 |
9 |
47 |
617 |
| Market Manipulation, Price Bubbles, and a Model of the U.S. Treasury Securities Auction Market |
0 |
0 |
0 |
49 |
0 |
0 |
2 |
140 |
| Market Pricing of Deposit Insurance |
0 |
0 |
1 |
72 |
0 |
1 |
6 |
178 |
| Modeling loan commitments |
0 |
0 |
4 |
156 |
1 |
2 |
18 |
319 |
| OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS1 |
0 |
0 |
2 |
49 |
0 |
0 |
5 |
101 |
| On Model Testing in Financial Economics |
0 |
0 |
0 |
16 |
0 |
0 |
1 |
50 |
| On aggregation and representative agent equilibria |
0 |
0 |
3 |
8 |
0 |
0 |
6 |
25 |
| Operational risk |
0 |
1 |
10 |
163 |
3 |
8 |
32 |
399 |
| Optimal cash holdings under heterogeneous beliefs |
0 |
0 |
1 |
4 |
0 |
2 |
7 |
15 |
| Option Pricing and Implicit Volatilities |
0 |
0 |
0 |
0 |
0 |
1 |
1 |
163 |
| Portfolio balance effects and the Federal Reserve’s large-scale asset purchases |
0 |
0 |
0 |
0 |
1 |
1 |
1 |
1 |
| Preferences, Continuity, and the Arbitrage Pricing Theory |
0 |
0 |
0 |
48 |
0 |
0 |
1 |
248 |
| Pricing Derivatives on Financial Securities Subject to Credit Risk |
9 |
22 |
97 |
1,425 |
19 |
60 |
236 |
2,738 |
| Pricing Options On Risky Assets In A Stochastic Interest Rate Economy1 |
0 |
1 |
1 |
90 |
0 |
3 |
8 |
181 |
| Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence |
1 |
1 |
6 |
194 |
1 |
4 |
18 |
447 |
| Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model |
1 |
2 |
6 |
154 |
1 |
4 |
15 |
390 |
| Pricing foreign currency options under stochastic interest rates |
1 |
2 |
3 |
1,006 |
4 |
7 |
19 |
1,606 |
| Put Option Premiums and Coherent Risk Measures |
0 |
0 |
0 |
49 |
0 |
2 |
3 |
130 |
| RELATING TOP-DOWN WITH BOTTOM-UP APPROACHES IN THE EVALUATION OF ABS WITH LARGE COLLATERAL POOLS |
0 |
0 |
0 |
0 |
1 |
1 |
2 |
6 |
| Reduced-form valuation of callable corporate bonds: Theory and evidence |
0 |
0 |
4 |
119 |
1 |
3 |
19 |
389 |
| Relative asset price bubbles |
0 |
0 |
1 |
21 |
1 |
6 |
15 |
87 |
| Restructuring risk in credit default swaps: An empirical analysis |
0 |
0 |
0 |
13 |
0 |
1 |
8 |
69 |
| Review of John E. Gilster, Jr. "Option Pricing Theory: Is "Risk Free" Hedging Feasible? |
0 |
0 |
0 |
0 |
1 |
1 |
3 |
192 |
| Risky coupon bonds as a portfolio of zero-coupon bonds |
0 |
0 |
2 |
71 |
0 |
2 |
7 |
220 |
| Spanning and completeness in markets with contingent claims |
2 |
4 |
10 |
176 |
2 |
4 |
13 |
290 |
| Specification tests of calibrated option pricing models |
0 |
0 |
0 |
5 |
0 |
0 |
4 |
51 |
| THE EFFECT OF TRADING FUTURES ON SHORT SALE CONSTRAINTS |
0 |
0 |
0 |
5 |
0 |
2 |
6 |
38 |
| THE THIRD FUNDAMENTAL THEOREM OF ASSET PRICING |
0 |
0 |
1 |
5 |
0 |
3 |
6 |
15 |
| Tax liens: a novel application of asset pricing theory |
0 |
0 |
0 |
35 |
0 |
2 |
4 |
117 |
| Testing market efficiency using statistical arbitrage with applications to momentum and value strategies |
0 |
1 |
4 |
351 |
1 |
4 |
15 |
840 |
| The Economics of Credit Default Swaps |
1 |
3 |
4 |
43 |
2 |
5 |
13 |
137 |
| The Effects of Yield Control Monetary Policy: A Helicopter Money Drop to Financial Institutions |
1 |
4 |
9 |
9 |
1 |
7 |
24 |
24 |
| The Impact of a Central Bank's Bond Market Intervention on Foreign Exchange Rates |
0 |
0 |
1 |
4 |
1 |
5 |
9 |
24 |
| The Liquidity Discount |
0 |
0 |
1 |
214 |
0 |
0 |
4 |
738 |
| The Relationship between Arbitrage and First Order Stochastic Dominance |
0 |
0 |
4 |
45 |
0 |
3 |
12 |
168 |
| The Relationship between Yield, Risk and Return of Corporate Bonds |
0 |
1 |
4 |
118 |
1 |
3 |
13 |
512 |
| The Relevance of Fiduciary Conflict-of-Interests in Control versus Issue Proxy Contests |
0 |
0 |
0 |
1 |
0 |
0 |
2 |
29 |
| The Second Fundamental Theorem of Asset Pricing |
0 |
0 |
0 |
13 |
0 |
3 |
7 |
73 |
| The Second Fundamental Theorem of Asset Pricing: A New Approach |
0 |
0 |
0 |
2 |
0 |
1 |
7 |
806 |
| The Stop-Loss Start-Gain Paradox and Option Valuation: A New Decomposition into Intrinsic and Time Value |
0 |
1 |
2 |
436 |
0 |
2 |
19 |
1,225 |
| The Term Structure of Interest Rates |
5 |
7 |
20 |
259 |
10 |
26 |
73 |
811 |
| The arbitrage-free valuation and hedging of demand deposits and credit card loans |
4 |
15 |
75 |
550 |
9 |
33 |
122 |
1,009 |
| The cost of operational risk loss insurance |
0 |
0 |
0 |
28 |
0 |
3 |
6 |
87 |
| The economic default time and the arcsine law |
0 |
0 |
0 |
1 |
0 |
0 |
5 |
8 |
| The error learning hypothesis: The evidence reexamined |
0 |
0 |
0 |
8 |
0 |
0 |
1 |
55 |
| The impact of quantitative easing on the US term structure of interest rates |
0 |
0 |
5 |
56 |
0 |
0 |
18 |
185 |
| The intersection of market and credit risk |
1 |
2 |
4 |
664 |
3 |
6 |
21 |
1,199 |
| The valuation of a firm’s investment opportunities: a reduced form credit risk perspective |
0 |
0 |
0 |
48 |
0 |
2 |
5 |
149 |
| The zero-lower bound on interest rates: Myth or reality? |
0 |
0 |
2 |
34 |
1 |
2 |
9 |
89 |
| Understanding the risk of leveraged ETFs |
0 |
5 |
25 |
216 |
3 |
14 |
56 |
501 |
| Volatility Uncertainty, Time Decay, and Option Bid-Ask Spreads in an Incomplete Market |
0 |
0 |
0 |
0 |
2 |
2 |
2 |
2 |
| Total Journal Articles |
49 |
137 |
571 |
19,854 |
142 |
483 |
1,994 |
51,864 |
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