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Investor Information Choice with Macro and Micro Information.
- Published in:
- Review of Asset Pricing Studies, 2024, v. 14, n. 3, p. 1, doi. 10.1093/rapstu/raac009
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- Publication type:
- Article
Investor Information Choice with Macro and Micro Information.
- Published in:
- Review of Asset Pricing Studies, 2023, v. 13, n. 1, p. 1, doi. 10.1093/rapstu/raac009
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- Publication type:
- Article
Equilibrium positive interest rates: a unified view.
- Published in:
- Review of Financial Studies, 2001, v. 14, n. 1, doi. 10.1093/rfs/14.1.187
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- Publication type:
- Article
THE TERM STRUCTURE OF SIMPLE FORWARD RATES WITH JUMP RISK.
- Published in:
- Mathematical Finance, 2003, v. 13, n. 3, p. 383, doi. 10.1111/1467-9965.00021
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- Publication type:
- Article
PORTFOLIO VALUE-AT-RISK WITH HEAVY-TAILED RISK FACTORS.
- Published in:
- Mathematical Finance, 2002, v. 12, n. 3, p. 239, doi. 10.1111/1467-9965.00141
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- Publication type:
- Article
ASYMPTOTICALLY OPTIMAL IMPORTANCE SAMPLING AND STRATIFICATION FOR PRICING PATH-DEPENDENT OPTIONS.
- Published in:
- Mathematical Finance, 1999, v. 9, n. 2, p. 117, doi. 10.1111/1467-9965.00065
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- Publication type:
- Article
A CONTINUITY CORRECTION FOR DISCRETE BARRIER OPTIONS.
- Published in:
- Mathematical Finance, 1997, v. 7, n. 4, p. 325, doi. 10.1111/1467-9965.00035
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- Publication type:
- Article
Assessing Look-Ahead Bias in Stock Return Predictions Generated by GPT Sentiment Analysis.
- Published in:
- Journal of Financial Data Science, 2024, v. 6, n. 1, p. 25, doi. 10.3905/jfds.2023.1.143
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- Publication type:
- Article
Uniformly Efficient Importance Sampling for the Tail Distribution of Sums of Random Variables.
- Published in:
- Mathematics of Operations Research, 2008, v. 33, n. 1, p. 36, doi. 10.1287/moor.1070.0276
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- Publication type:
- Article
CORRECTED DIFFUSION APPROXIMATIONS FOR A MULTISTAGE PRODUCTION-INVENTORY SYSTEM.
- Published in:
- Mathematics of Operations Research, 1997, v. 22, n. 1, p. 186, doi. 10.1287/moor.22.1.186
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- Publication type:
- Article
MONOTONE OPTIMAL CONTROL OF PERMUTABLE GSMPs.
- Published in:
- Mathematics of Operations Research, 1994, v. 19, n. 2, p. 449, doi. 10.1287/moor.19.2.449
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- Publication type:
- Article
FILTERED MONTE CARLO.
- Published in:
- Mathematics of Operations Research, 1993, v. 18, n. 3, p. 610, doi. 10.1287/moor.18.3.610
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- Publication type:
- Article
GENERALIZED SEMI-MARKOV PROCESSES: ANTIMATROID STRUCTURE AND SECOND-ORDER PROPERTIES.
- Published in:
- Mathematics of Operations Research, 1992, v. 17, n. 2, p. 444, doi. 10.1287/moor.17.2.444
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- Publication type:
- Article
MONOTONICITY IN GENERALIZED SEMI-MARKOV PROCESSES.
- Published in:
- Mathematics of Operations Research, 1992, v. 17, n. 1, p. 1, doi. 10.1287/moor.17.1.1
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- Publication type:
- Article
Dynamic Information Regimes in Financial Markets.
- Published in:
- Management Science, 2024, v. 70, n. 9, p. 6069, doi. 10.1287/mnsc.2021.01213
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- Publication type:
- Article
Collateralized Networks.
- Published in:
- Management Science, 2022, v. 68, n. 3, p. 2202, doi. 10.1287/mnsc.2020.3938
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- Publication type:
- Article
Swing Pricing for Mutual Funds: Breaking the Feedback Loop Between Fire Sales and Fund Redemptions.
- Published in:
- Management Science, 2020, v. 66, n. 8, p. 3581, doi. 10.1287/mnsc.2019.3353
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- Publication type:
- Article
Submodular Risk Allocation.
- Published in:
- Management Science, 2019, v. 65, n. 10, p. 4656, doi. 10.1287/mnsc.2018.3156
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- Publication type:
- Article
Persistence and Procyclicality in Margin Requirements.
- Published in:
- Management Science, 2018, v. 64, n. 12, p. 5705, doi. 10.1287/mnsc.2017.2915
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- Publication type:
- Article
Contagion in Financial Networks.
- Published in:
- Journal of Economic Literature, 2016, v. 54, n. 3, p. 779, doi. 10.1257/jel.20151228
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- Publication type:
- Article
Tail Approximations for Portfolio Credit Risk.
- Published in:
- Journal of Derivatives, 2004, v. 12, n. 2, p. 24, doi. 10.3905/jod.2004.450966
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- Publication type:
- Article
Importance Sampling in the Health-Jarrow-Morton Framework.
- Published in:
- Journal of Derivatives, 1999, v. 7, n. 1, p. 32, doi. 10.3905/jod.1999.319109
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- Publication type:
- Article
ENHANCED MONTE CARLO ESTIMATES FOR AMERICAN OPTION PRICES.
- Published in:
- Journal of Derivatives, 1997, v. 5, n. 1, p. 25, doi. 10.3905/jod.1997.407983
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- Publication type:
- Article
Total positivity and relative convexity of option prices.
- Published in:
- Frontiers of Mathematical Finance, 2023, v. 2, n. 1, p. 1, doi. 10.3934/fmf.2023001
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- Publication type:
- Article
Does Unusual News Forecast Market Stress?
- Published in:
- Journal of Financial & Quantitative Analysis, 2019, v. 54, n. 5, p. 1937, doi. 10.1017/S0022109019000127
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- Publication type:
- Article
BOUNDING WRONG‐WAY RISK IN CVA CALCULATION.
- Published in:
- Mathematical Finance, 2018, v. 28, n. 1, p. 268, doi. 10.1111/mafi.12141
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- Publication type:
- Article
RISK HORIZON AND REBALANCING HORIZON IN PORTFOLIO RISK MEASUREMENT.
- Published in:
- Mathematical Finance, 2012, v. 22, n. 2, p. 215, doi. 10.1111/j.1467-9965.2010.00465.x
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- Publication type:
- Article
MOMENT EXPLOSIONS AND STATIONARY DISTRIBUTIONS IN AFFINE DIFFUSION MODELS.
- Published in:
- Mathematical Finance, 2010, v. 20, n. 1, p. 1, doi. 10.1111/j.1467-9965.2009.00387.x
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- Publication type:
- Article
LARGE DEVIATIONS IN MULTIFACTOR PORTFOLIO CREDIT RISK.
- Published in:
- Mathematical Finance, 2007, v. 17, n. 3, p. 345, doi. 10.1111/j.1467-9965.2006.00307.x
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- Publication type:
- Article
THE EFFECT OF "REGULAR AND PREDICTABLE" ISSUANCE ON TREASURY BILL FINANCING.
- Published in:
- Economic Policy Review (19320426), 2017, v. 23, n. 1, p. 43
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- Publication type:
- Article
FORWARD AND FUTURE IMPLIED VOLATILITY.
- Published in:
- International Journal of Theoretical & Applied Finance, 2011, v. 14, n. 3, p. 407, doi. 10.1142/S0219024911006590
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- Publication type:
- Article
SOME GUIDELINES AND GUARANTEES FOR COMMON RANDOM NUMBERS.
- Published in:
- Management Science, 1992, v. 38, n. 6, p. 884, doi. 10.1287/mnsc.38.6.884
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- Publication type:
- Article
SMOOTHING COMPLEMENTS AND RANDOMIZED SCORE FUNCTIONS.
- Published in:
- Annals of Operations Research, 1992, v. 39, n. 1-4, p. 41, doi. 10.1007/BF02060935
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- Publication type:
- Article
Process Systems Engineering as a Modeling Paradigm for Analyzing Systemic Risk in Financial Networks.
- Published in:
- Journal of Investing, 2015, v. 24, n. 2, p. 147, doi. 10.3905/joi.2015.24.2.147
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- Publication type:
- Article
Maximum Entropy Distributions with Applications to Graph Simulation.
- Published in:
- Operations Research, 2023, v. 71, n. 5, p. 1908, doi. 10.1287/opre.2022.2323
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- Publication type:
- Article
Preface to the Special Issue on Systemic Risk: Models and Mechanisms.
- Published in:
- Operations Research, 2016, v. 64, n. 5, p. 1053, doi. 10.1287/opre.2016.1562
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- Publication type:
- Article
Hidden Illiquidity with Multiple Central Counterparties.
- Published in:
- Operations Research, 2016, v. 64, n. 5, p. 1143, doi. 10.1287/opre.2015.1420
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- Publication type:
- Article
OR Forum--Design of Risk Weights.
- Published in:
- Operations Research, 2014, v. 62, n. 6, p. 1204, doi. 10.1287/opre.2014.1308
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- Publication type:
- Article
Robust Portfolio Control with Stochastic Factor Dynamics.
- Published in:
- Operations Research, 2013, v. 61, n. 4, p. 874, doi. 10.1287/opre.2013.1180
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- Publication type:
- Article
Sensitivity Estimates from Characteristic Functions.
- Published in:
- Operations Research, 2010, v. 58, n. 6, p. 1611, doi. 10.1287/opre.1100.0837
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- Publication type:
- Article
Fast Simulation of Multifactor Portfolio Credit Risk.
- Published in:
- Operations Research, 2008, v. 56, n. 5, p. 1200, doi. 10.1287/opre.1080.0558
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- Publication type:
- Article
Fast Pricing of Basket Default Swaps.
- Published in:
- Operations Research, 2008, v. 56, n. 2, p. 286, doi. 10.1287/opre.1070.0456
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- Publication type:
- Article
Large Sample Properties of Weighted Monte Carlo Estimators.
- Published in:
- Operations Research, 2005, v. 53, n. 2, p. 298, doi. 10.1287/opre.1040.0148
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- Publication type:
- Article
RESOURCE ALLOCATION AMONG SIMULATION TIME STEPS.
- Published in:
- Operations Research, 2003, v. 51, n. 6, p. 908, doi. 10.1287/opre.51.6.908.24922
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- Publication type:
- Article
CONDITIONING IN ONE-STEP SURVIVAL FOR BARRIER OPTION SIMULATIONS.
- Published in:
- Operations Research, 2001, v. 49, n. 6, p. 923, doi. 10.1287/opre.49.6.923.10018
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- Publication type:
- Article
MULTILEVEL SPLITTING FOR ESTIMATING RARE EVENT PROBABILITIES.
- Published in:
- Operations Research, 1999, v. 47, n. 4, p. 585, doi. 10.1287/opre.47.4.585
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- Publication type:
- Article
LEADTIME-INVENTORY TRADE-OFFS IN ASSEMBLE-TO-ORDER SYSTEMS.
- Published in:
- Operations Research, 1998, v. 46, n. 6, p. 858, doi. 10.1287/opre.46.6.858
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- Publication type:
- Article
Bounds and asymptotics for planning critical safety stocks.
- Published in:
- Operations Research, 1997, v. 45, n. 2, p. 244, doi. 10.1287/opre.45.2.244
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- Publication type:
- Article
Allocating production capacity among multiple products.
- Published in:
- Operations Research, 1996, v. 44, n. 5, p. 724, doi. 10.1287/opre.44.5.724
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- Publication type:
- Article
The stability of a capacitated, multi-echelon production-inventory system under a base-stock policy.
- Published in:
- Operations Research, 1994, v. 42, n. 5, p. 913, doi. 10.1287/opre.42.5.913
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- Publication type:
- Article