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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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- Article
Investor Information Choice with Macro and Micro Information.
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- Review of Asset Pricing Studies, 2024, v. 14, n. 3, p. 1, doi. 10.1093/rapstu/raac009
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- Article
Assessing Look-Ahead Bias in Stock Return Predictions Generated by GPT Sentiment Analysis.
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- Journal of Financial Data Science, 2024, v. 6, n. 1, p. 25, doi. 10.3905/jfds.2023.1.143
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- Article
Maximum Entropy Distributions with Applications to Graph Simulation.
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- Operations Research, 2023, v. 71, n. 5, p. 1908, doi. 10.1287/opre.2022.2323
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- Article
Total positivity and relative convexity of option prices.
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- Frontiers of Mathematical Finance, 2023, v. 2, n. 1, p. 1, doi. 10.3934/fmf.2023001
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- Article
Investor Information Choice with Macro and Micro Information.
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- Review of Asset Pricing Studies, 2023, v. 13, n. 1, p. 1, doi. 10.1093/rapstu/raac009
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- Publication type:
- Article
Collateralized Networks.
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- Management Science, 2022, v. 68, n. 3, p. 2202, doi. 10.1287/mnsc.2020.3938
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- Article
Swing Pricing for Mutual Funds: Breaking the Feedback Loop Between Fire Sales and Fund Redemptions.
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- Management Science, 2020, p. 3581, doi. 10.1287/mnsc.2019.3353
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- Article
Does Unusual News Forecast Market Stress?
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- Journal of Financial & Quantitative Analysis, 2019, v. 54, n. 5, p. 1937, doi. 10.1017/S0022109019000127
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- Article
Submodular Risk Allocation.
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- Management Science, 2019, v. 65, n. 10, p. 4656, doi. 10.1287/mnsc.2018.3156
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- Article
Persistence and Procyclicality in Margin Requirements.
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- Management Science, 2018, v. 64, p. 5705, doi. 10.1287/mnsc.2017.2915
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- Article
BOUNDING WRONG‐WAY RISK IN CVA CALCULATION.
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- Mathematical Finance, 2018, v. 28, n. 1, p. 268, doi. 10.1111/mafi.12141
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- Article
Contingent Capital, Tail Risk, and Debt-Induced Collapse.
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- Review of Financial Studies, 2017, v. 30, n. 11, p. 3921, doi. 10.1093/rfs/hhx067
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- Article
THE EFFECT OF "REGULAR AND PREDICTABLE" ISSUANCE ON TREASURY BILL FINANCING.
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- Economic Policy Review (19320426), 2017, v. 23, n. 1, p. 43
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- Article
Market-Triggered Changes in Capital Structure: Equilibrium Price Dynamics.
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- Econometrica, 2016, v. 84, n. 6, p. 2113, doi. 10.3982/ECTA11206
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- Article
Preface to the Special Issue on Systemic Risk: Models and Mechanisms.
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- Operations Research, 2016, v. 64, n. 5, p. 1053, doi. 10.1287/opre.2016.1562
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- Article
Hidden Illiquidity with Multiple Central Counterparties.
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- Operations Research, 2016, v. 64, n. 5, p. 1143, doi. 10.1287/opre.2015.1420
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- Article
Contagion in Financial Networks.
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- Journal of Economic Literature, 2016, v. 54, n. 3, p. 779, doi. 10.1257/jel.20151228
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- Article
Are the Federal Reserve's Stress Test Results Predictable?
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- Journal of Alternative Investments, 2016, v. 18, n. 4, p. 82, doi. 10.3905/jai.2016.18.4.082
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- Article
Process Systems Engineering as a Modeling Paradigm for Analyzing Systemic Risk in Financial Networks.
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- Journal of Investing, 2015, v. 24, n. 2, p. 147, doi. 10.3905/joi.2015.24.2.147
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- Article
OR Forum--Design of Risk Weights.
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- Operations Research, 2014, v. 62, n. 6, p. 1204, doi. 10.1287/opre.2014.1308
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- Article
Stress tests to promote financial stability: Assessing progress and looking to the future.
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- Journal of Risk Management in Financial Institutions, 2014, v. 7, n. 1, p. 16
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- Article
Robust Portfolio Control with Stochastic Factor Dynamics.
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- Operations Research, 2013, v. 61, n. 4, p. 874, doi. 10.1287/opre.2013.1180
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- Article
RISK HORIZON AND REBALANCING HORIZON IN PORTFOLIO RISK MEASUREMENT.
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- Mathematical Finance, 2012, v. 22, n. 2, p. 215, doi. 10.1111/j.1467-9965.2010.00465.x
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- Article
Gamma expansion of the Heston stochastic volatility model.
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- Finance & Stochastics, 2011, v. 15, n. 2, p. 267, doi. 10.1007/s00780-009-0115-y
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- Article
Valuing the Treasury's Capital Assistance Program.
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- Management Science, 2011, v. 57, n. 7, p. 1195, doi. 10.1287/mnsc.1110.1351
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- Article
FORWARD AND FUTURE IMPLIED VOLATILITY.
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- International Journal of Theoretical & Applied Finance, 2011, v. 14, n. 3, p. 407, doi. 10.1142/S0219024911006590
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- Article
Gamma expansion of the Heston stochastic volatility model.
- Published in:
- Finance & Stochastics, 2011, v. 15, n. 2, p. 267, doi. 10.1007/s00780-009-0115-y
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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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- Article
MOMENT EXPLOSIONS AND STATIONARY DISTRIBUTIONS IN AFFINE DIFFUSION MODELS.
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- Mathematical Finance, 2010, v. 20, n. 1, p. 1, doi. 10.1111/j.1467-9965.2009.00387.x
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- Article
Sensitivity estimates for portfolio credit derivatives using Monte Carlo.
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- Finance & Stochastics, 2008, v. 12, n. 4, p. 507, doi. 10.1007/s00780-008-0071-y
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- Article
Fast Simulation of Multifactor Portfolio Credit Risk.
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- Operations Research, 2008, v. 56, n. 5, p. 1200, doi. 10.1287/opre.1080.0558
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- Article
Fast Pricing of Basket Default Swaps.
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- Operations Research, 2008, v. 56, n. 2, p. 286, doi. 10.1287/opre.1070.0456
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- Article
Uniformly Efficient Importance Sampling for the Tail Distribution of Sums of Random Variables.
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- Mathematics of Operations Research, 2008, v. 33, n. 1, p. 36, doi. 10.1287/moor.1070.0276
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- Article
LARGE DEVIATIONS IN MULTIFACTOR PORTFOLIO CREDIT RISK.
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- Mathematical Finance, 2007, v. 17, n. 3, p. 345, doi. 10.1111/j.1467-9965.2006.00307.x
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- Article
Additive and multiplicative duals for American option pricing.
- Published in:
- Finance & Stochastics, 2007, v. 11, n. 2, p. 153, doi. 10.1007/s00780-006-0031-3
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- Article
Importance Sampling for Portfolio Credit Risk.
- Published in:
- Management Science, 2005, v. 51, n. 11, p. 1643, doi. 10.1287/mnsc.1050.0415
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- Article
Large Sample Properties of Weighted Monte Carlo Estimators.
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- Operations Research, 2005, v. 53, n. 2, p. 298, doi. 10.1287/opre.1040.0148
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- Article
Tail Approximations for Portfolio Credit Risk.
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- Journal of Derivatives, 2004, v. 12, n. 2, p. 24, doi. 10.3905/jod.2004.450966
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- 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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- 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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- Article
Numerical solution of jump-diffusion LIBOR market models.
- Published in:
- Finance & Stochastics, 2003, v. 7, n. 1, p. 1, doi. 10.1007/s007800200076
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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
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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- 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
Variance Reduction Techniques for Estimating Value-at-Risk.
- Published in:
- Management Science, 2000, v. 46, n. 10, p. 1349, doi. 10.1287/mnsc.46.10.1349.12274
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- Publication type:
- Article
Introduction to the Special Issue on Stochastic Models and Simulation.
- Published in:
- Management Science, 2000, v. 46, n. 9, p. iii, doi. 10.1287/mnsc.46.9.0.12237
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- Publication type:
- Article
Arbitrage-free discretization of lognormal forward Libor and swap rate models.
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- Finance & Stochastics, 2000, v. 4, n. 1, p. 35, doi. 10.1007/s007800050002
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- Article
Importance Sampling in the Health-Jarrow-Morton Framework.
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- Journal of Derivatives, 1999, v. 7, n. 1, p. 32, doi. 10.3905/jod.1999.319109
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- 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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- Article