| Working Paper |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A Dynamic Equilibrium Model of Real Exchange Rates with General Transaction Costs |
0 |
0 |
0 |
361 |
1 |
1 |
14 |
1,261 |
| A no-arbitrage analysis of economic determinants of the credit spread term structure |
0 |
0 |
0 |
272 |
1 |
2 |
21 |
819 |
| Accouting for Biases in Black-Scholes |
0 |
1 |
1 |
643 |
0 |
3 |
16 |
2,637 |
| Are Interest Rate Derivatives Spanned by the Term Structure of Interest Rates? |
0 |
0 |
0 |
486 |
1 |
3 |
12 |
1,250 |
| Asset Pricing Under The Quadratic Class |
0 |
0 |
1 |
396 |
0 |
0 |
23 |
873 |
| Contagion in Financial Markets |
0 |
0 |
0 |
533 |
1 |
1 |
11 |
1,205 |
| Dampened Power Law: Reconciling the Tail Behavior of Financial Security Returns |
0 |
0 |
0 |
241 |
0 |
2 |
17 |
785 |
| Design and Estimation of Affine Yield Models |
0 |
0 |
0 |
221 |
0 |
0 |
11 |
656 |
| Design and Estimation of Affine Yield Models |
0 |
0 |
0 |
173 |
0 |
0 |
7 |
460 |
| Design and Estimation of Quadratic Term Structure Models |
0 |
0 |
0 |
480 |
0 |
5 |
19 |
1,327 |
| Macroeconomic Foundations of Higher Moments in Bond Yields |
0 |
0 |
0 |
0 |
0 |
0 |
12 |
169 |
| Markov Chain Approximations For Term Structure Models |
0 |
0 |
0 |
588 |
0 |
1 |
9 |
1,434 |
| Predictable Changes in Yields and Forward Rates |
0 |
0 |
0 |
456 |
0 |
0 |
17 |
1,950 |
| Specification Analysis of Option Pricing Models Based on Time- Changed Levy Processes |
0 |
0 |
0 |
494 |
0 |
1 |
16 |
1,410 |
| Specification Analysis of Option Pricing Models Based on Time-Changed Levy Processes |
0 |
0 |
0 |
146 |
0 |
0 |
20 |
560 |
| Static Hedging of Standard Options |
1 |
1 |
3 |
1,233 |
2 |
7 |
51 |
3,727 |
| Stochastic Skew in Currency Options |
0 |
0 |
0 |
529 |
0 |
2 |
25 |
1,663 |
| Taking Positive Interest Rates Seriously |
0 |
0 |
0 |
113 |
0 |
1 |
11 |
404 |
| Term Structure of Interest Rates, Yield Curve Residuals, and the Consistent Pricing of Interest Rates and Interest Rate Derivatives |
0 |
0 |
1 |
1,522 |
0 |
0 |
18 |
6,106 |
| The Finite Moment Log Stable Process and Option Pricing |
0 |
0 |
1 |
482 |
1 |
2 |
27 |
1,294 |
| The Potential Approach to Bond and Currency Pricing |
0 |
0 |
0 |
488 |
1 |
4 |
12 |
1,609 |
| Time-Changed Levy Processes and Option Pricing |
0 |
0 |
1 |
1,207 |
0 |
2 |
22 |
2,495 |
| Time-Varying Arrival Rates of Informed and Uninformed Trades |
0 |
0 |
1 |
610 |
2 |
4 |
28 |
1,588 |
| Uncovered Interest Rate Parity Over the Past Two Centuries |
0 |
1 |
3 |
1,694 |
0 |
1 |
22 |
6,067 |
| Using Machine Learning to Predict Realized Variance |
0 |
0 |
2 |
65 |
0 |
2 |
28 |
113 |
| Variance Risk Premia |
0 |
3 |
12 |
566 |
7 |
23 |
100 |
1,509 |
| What Constitutes a Good Model? An Analysis of Models for Mortgage Backed Securities |
0 |
0 |
0 |
591 |
0 |
0 |
5 |
1,206 |
| What Type of Process Underlies Options? A Simple Robust Test |
0 |
2 |
2 |
334 |
1 |
6 |
31 |
761 |
| Total Working Papers |
1 |
8 |
28 |
14,924 |
18 |
73 |
605 |
45,338 |
| Journal Article |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A Joint Framework for Consistently Pricing Interest Rates and Interest Rate Derivatives |
0 |
0 |
0 |
32 |
0 |
0 |
9 |
107 |
| A No-Arbitrage Analysis of Macroeconomic Determinants of the Credit Spread Term Structure |
0 |
0 |
1 |
24 |
0 |
1 |
11 |
94 |
| A Simple Robust Link Between American Puts and Credit Protection |
0 |
0 |
2 |
38 |
0 |
3 |
11 |
132 |
| A comprehensive analysis of the short-term interest-rate dynamics |
0 |
0 |
0 |
45 |
0 |
0 |
8 |
171 |
| Analyzing volatility risk and risk premium in option contracts: A new theory |
0 |
1 |
12 |
131 |
3 |
9 |
58 |
486 |
| Anchoring Credit Default Swap Spreads to Firm Fundamentals |
0 |
0 |
1 |
18 |
1 |
3 |
13 |
73 |
| Asset Pricing under the Quadratic Class |
0 |
1 |
1 |
46 |
0 |
2 |
13 |
146 |
| Common Pricing of Decentralized Risk: A Linear Option Pricing Model |
0 |
0 |
12 |
18 |
2 |
4 |
37 |
57 |
| Cross-Sectional Variation of Option-Implied Volatility Skew |
0 |
3 |
9 |
16 |
0 |
9 |
50 |
71 |
| Dampened Power Law: Reconciling the Tail Behavior of Financial Security Returns |
0 |
0 |
0 |
62 |
0 |
0 |
4 |
401 |
| Decomposing Long Bond Returns: A Decentralized Theory* |
0 |
0 |
0 |
12 |
2 |
2 |
12 |
39 |
| Design and Estimation of Quadratic Term Structure Models |
0 |
0 |
0 |
2 |
0 |
1 |
7 |
24 |
| Dynamic Interactions Between Interest-Rate and Credit Risk: Theory and Evidence on the Credit Default Swap Term Structure-super-* |
0 |
0 |
0 |
21 |
0 |
1 |
10 |
84 |
| Estimating risk-return relations with analysts price targets |
0 |
0 |
0 |
6 |
0 |
2 |
12 |
52 |
| Imports, Exports, Dollar Exposures, and Stock Returns |
0 |
1 |
1 |
11 |
0 |
2 |
18 |
93 |
| International capital asset pricing: Evidence from options |
0 |
0 |
0 |
21 |
0 |
1 |
5 |
172 |
| Jumps and Dynamic Asset Allocation |
0 |
0 |
0 |
57 |
0 |
0 |
9 |
230 |
| Leverage Effect, Volatility Feedback, and Self-Exciting Market Disruptions |
1 |
2 |
4 |
17 |
2 |
3 |
16 |
70 |
| Limits of Arbitrage and Primary Risk-Taking in Derivative Securities |
0 |
2 |
7 |
11 |
0 |
3 |
29 |
39 |
| Macroeconomic releases and the interest rate term structure |
1 |
1 |
2 |
88 |
1 |
2 |
12 |
259 |
| Market Anticipation of Fed Policy Changes and the Term Structure of Interest Rates |
0 |
0 |
0 |
13 |
0 |
1 |
6 |
70 |
| Monetary-Policy Rule as a Bridge: Predicting Inflation without Predictive Regressions |
0 |
0 |
0 |
7 |
0 |
0 |
4 |
33 |
| Option Profit and Loss Attribution and Pricing: A New Framework |
1 |
2 |
6 |
55 |
5 |
11 |
40 |
286 |
| Predictability of Interest Rates and Interest-Rate Portfolios |
0 |
0 |
2 |
35 |
0 |
0 |
8 |
136 |
| Predictable changes in yields and forward rates |
0 |
0 |
0 |
186 |
0 |
0 |
13 |
527 |
| Price discovery in the U.S. stock and stock options markets: A portfolio approach |
0 |
0 |
0 |
60 |
2 |
2 |
5 |
223 |
| Simple Robust Hedging with Nearby Contracts |
0 |
0 |
2 |
17 |
0 |
1 |
13 |
63 |
| Static Hedging of Standard Options |
1 |
1 |
2 |
7 |
2 |
2 |
19 |
53 |
| Static Hedging of Standard Options |
0 |
0 |
0 |
16 |
2 |
2 |
26 |
85 |
| Staying on Top of the Curve: A Cascade Model of Term Structure Dynamics |
0 |
0 |
0 |
12 |
0 |
0 |
15 |
65 |
| Stochastic risk premiums, stochastic skewness in currency options, and stochastic discount factors in international economies |
0 |
0 |
0 |
80 |
0 |
2 |
7 |
344 |
| Stochastic skew in currency options |
0 |
2 |
2 |
135 |
0 |
9 |
20 |
480 |
| Stock Options and Credit Default Swaps: A Joint Framework for Valuation and Estimation |
0 |
0 |
2 |
89 |
2 |
3 |
15 |
392 |
| Targets, Predictability, and Performance |
0 |
0 |
0 |
2 |
0 |
1 |
10 |
14 |
| The Behavior of Risk and Market Prices of Risk Over the Nasdaq Bubble Period |
0 |
0 |
0 |
22 |
0 |
2 |
8 |
99 |
| The Finite Moment Log Stable Process and Option Pricing |
0 |
0 |
2 |
7 |
2 |
7 |
24 |
51 |
| The Term Structure of Variance Swap Rates and Optimal Variance Swap Investments |
1 |
3 |
4 |
56 |
4 |
13 |
24 |
198 |
| The role of exchange rates in intertemporal risk-return relations |
0 |
0 |
1 |
12 |
0 |
0 |
8 |
77 |
| The shale revolution and shifting crude dynamics |
0 |
0 |
0 |
2 |
1 |
2 |
7 |
25 |
| Theory and evidence on the dynamic interactions between sovereign credit default swaps and currency options |
0 |
0 |
0 |
50 |
0 |
0 |
10 |
182 |
| Time-Varying Arrival Rates of Informed and Uninformed Trades |
0 |
0 |
1 |
110 |
0 |
7 |
27 |
434 |
| Time-changed Levy processes and option pricing |
1 |
1 |
3 |
246 |
4 |
4 |
45 |
781 |
| Uncovered interest-rate parity over the past two centuries |
0 |
0 |
2 |
354 |
1 |
1 |
20 |
1,028 |
| Variance Risk Premiums |
0 |
1 |
3 |
36 |
5 |
18 |
40 |
155 |
| Variance Risk Premiums |
4 |
15 |
37 |
196 |
46 |
104 |
217 |
754 |
| Variance dynamics: Joint evidence from options and high-frequency returns |
0 |
0 |
0 |
37 |
0 |
0 |
8 |
163 |
| Variance swaps on time-changed Lévy processes |
0 |
0 |
0 |
12 |
0 |
1 |
13 |
77 |
| What Type of Process Underlies Options? A Simple Robust Test |
0 |
0 |
0 |
41 |
1 |
1 |
9 |
229 |
| Total Journal Articles |
10 |
36 |
121 |
2,571 |
88 |
242 |
1,005 |
9,824 |
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