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Credit Risk Models with Incomplete Information.
- Published in:
- Mathematics of Operations Research, 2009, v. 34, n. 2, p. 320, doi. 10.1287/moor.1080.0361
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- Article
A Reduced-Form Model for Warrant Valuation.
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- Financial Review, 2011, v. 46, n. 3, p. 413, doi. 10.1111/j.1540-6288.2011.00306.x
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- Article
On Model Testing in Financial Economics.
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- Financial Review, 2010, v. 45, n. 2, p. 277, doi. 10.1111/j.1540-6288.2010.00247.x
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- Article
Government Policies, Residential Mortgage Defaults and the Boom and Bust Cycle of Housing Prices.
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- Real Estate Economics, 2014, v. 42, n. 3, p. 627, doi. 10.1111/1540-6229.12041
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- Article
Commercial Mortgage-Backed Securities (CMBS) and Market Efficiency with Respect to Costly Information.
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- Real Estate Economics, 2008, v. 36, n. 3, p. 441, doi. 10.1111/j.1540-6229.2008.00219.x
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- Article
Interest Rate Caps “Smile” Too! But Can the LIBOR Market Models Capture the Smile?
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- Journal of Finance (Wiley-Blackwell), 2007, v. 62, n. 1, p. 345, doi. 10.1111/j.1540-6261.2007.01209.x
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- Article
Counterparty Risk and the Pricing of Defaultable Securities.
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- Journal of Finance (Wiley-Blackwell), 2001, v. 56, n. 5, p. 1765, doi. 10.1111/0022-1082.00389
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- Article
Pricing Derivatives on Financial Securities Subject to Credit Risk.
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- Journal of Finance (Wiley-Blackwell), 1995, v. 50, n. 1, p. 53, doi. 10.1111/j.1540-6261.1995.tb05167.x
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- Article
Primes and Scores: An Essay on Market Imperfections.
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- Journal of Finance (Wiley-Blackwell), 1989, v. 44, n. 5, p. 1263, doi. 10.1111/j.1540-6261.1989.tb02653.x
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- Article
Arbitrage, Continuous Trading, and Margin Requirements.
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- Journal of Finance (Wiley-Blackwell), 1987, v. 42, n. 5, p. 1129, doi. 10.1111/j.1540-6261.1987.tb04357.x
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- Article
The Relationship between Arbitrage and First Order Stochastic Dominance.
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- Journal of Finance (Wiley-Blackwell), 1986, v. 41, n. 4, p. 915, doi. 10.1111/j.1540-6261.1986.tb04556.x
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- Article
Consensus Beliefs Equilibrium and Market Efficiency.
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- Journal of Finance (Wiley-Blackwell), 1983, v. 38, n. 3, p. 903, doi. 10.1111/j.1540-6261.1983.tb02509.x
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- Article
Heterogeneous Expectations, Restrictions on Short Sales, and Equilibrium Asset Prices.
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- Journal of Finance (Wiley-Blackwell), 1980, v. 35, n. 5, p. 1105, doi. 10.1111/j.1540-6261.1980.tb02198.x
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- Article
Information reduction via level crossings in a credit risk model.
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- Finance & Stochastics, 2007, v. 11, n. 2, p. 195, doi. 10.1007/s00780-006-0033-1
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- Article
Liquidity risk and arbitrage pricing theory.
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- Finance & Stochastics, 2004, v. 8, n. 3, p. 311, doi. 10.1007/s00780-004-0123-x
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- Article
Hedging contingent claims on semimartingales.
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- Finance & Stochastics, 1999, v. 3, n. 1, p. 111, doi. 10.1007/s007800050054
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- Article
Asset Price Bubbles and the Land of Oz.
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- Journal of Portfolio Management, 2016, v. 42, n. 2, p. 37, doi. 10.3905/jpm.2016.42.2.037
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- Article
Option Pricing and Market Efficiency.
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- Journal of Portfolio Management, 2013, v. 40, n. 1, p. 88, doi. 10.3905/jpm.2013.40.1.088
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- Article
Is There a Bubble in LinkedIn's Stock Price?
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- Journal of Portfolio Management, 2011, v. 38, n. 1, p. 125, doi. 10.3905/jpm.2011.38.1.125
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- Article
Active Portfolio Management and Positive Alphas: Fact or Fantasy?
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- Journal of Portfolio Management, 2010, v. 36, n. 4, p. 17, doi. 10.3905/jpm.2010.36.4.017
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- Article
BOND PRICING AND THE TERM STRUCTURE OF INTEREST RATES: A NEW METHODOLOGY FOR CONTINGENT CLAIMS VALUATION.
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- Econometrica, 1992, v. 60, n. 1, p. 77, doi. 10.2307/2951677
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- Article
RELATING TOP-DOWN WITH BOTTOM-UP APPROACHES IN THE EVALUATION OF ABS WITH LARGE COLLATERAL POOLS.
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- International Journal of Theoretical & Applied Finance, 2012, v. 15, n. 2, p. 1250011-1, doi. 10.1142/S0219024912500112
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- Article
A DYSFUNCTIONAL ROLE OF HIGH FREQUENCY TRADING IN ELECTRONIC MARKETS.
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- International Journal of Theoretical & Applied Finance, 2012, v. 15, n. 3, p. 1250022-1, doi. 10.1142/S0219024912500227
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- Article
FORWARD AND FUTURES PRICES WITH BUBBLES.
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- International Journal of Theoretical & Applied Finance, 2009, v. 12, n. 7, p. 901, doi. 10.1142/S0219024909005518
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- Article
A Unified Approach for Pricing Contingent Claims on Multiple Term Structures.
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- Review of Quantitative Finance & Accounting, 1998, v. 10, n. 1, p. 5, doi. 10.1023/A:1008210812637
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- Article
Option Pricing with Random Volatilities in Complete Markets.
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- Review of Quantitative Finance & Accounting, 1994, v. 4, n. 1, p. 5, doi. 10.1007/BF01082661
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- Article
Risk‐neutral pricing techniques and examples.
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- Mathematical Finance, 2021, v. 31, n. 3, p. 857, doi. 10.1111/mafi.12307
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- Article
A rational asset pricing model for premiums and discounts on closed‐end funds: The bubble theory.
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- Mathematical Finance, 2019, v. 29, n. 4, p. 1157, doi. 10.1111/mafi.12207
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- Article
Optimal cash holdings under heterogeneous beliefs.
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- Mathematical Finance, 2018, v. 28, n. 2, p. 712, doi. 10.1111/mafi.12148
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- Article
THE EFFECT OF TRADING FUTURES ON SHORT SALE CONSTRAINTS.
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- Mathematical Finance, 2015, v. 25, n. 2, p. 311, doi. 10.1111/mafi.12013
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- Article
POSITIVE ALPHAS, ABNORMAL PERFORMANCE, AND ILLUSORY ARBITRAGE.
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- Mathematical Finance, 2013, v. 23, n. 1, p. 39, doi. 10.1111/j.1467-9965.2011.00489.x
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- Article
THE MEANING OF MARKET EFFICIENCY.
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- Mathematical Finance, 2012, v. 22, n. 1, p. 1, doi. 10.1111/j.1467-9965.2011.00497.x
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- Article
ASSET PRICE BUBBLES IN INCOMPLETE MARKETS.
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- Mathematical Finance, 2010, v. 20, n. 2, p. 145, doi. 10.1111/j.1467-9965.2010.00394.x
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- Article
MODELING THE RECOVERY RATE IN A REDUCED FORM MODEL.
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- Mathematical Finance, 2009, v. 19, n. 1, p. 73, doi. 10.1111/j.1467-9965.2008.00358.x
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- Article
DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS.
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- Mathematical Finance, 2005, v. 15, n. 1, p. 1, doi. 10.1111/j.0960-1627.2005.00208.x
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- Article
PUT OPTION PREMIUMS AND COHERENT RISK MEASURES.
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- Mathematical Finance, 2002, v. 12, n. 2, p. 135, doi. 10.1111/1467-9965.02003
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- Article
THE LIQUIDITY DISCOUNT.
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- Mathematical Finance, 2001, v. 11, n. 4, p. 447, doi. 10.1111/1467-9965.00124
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- Article
THE SECOND FUNDAMENTAL THEOREM OF ASSET PRICING.
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- Mathematical Finance, 1999, v. 9, n. 3, p. 255, doi. 10.1111/1467-9965.00070
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- Article
OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS.
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- Mathematical Finance, 1995, v. 5, n. 4, p. 311, doi. 10.1111/j.1467-9965.1995.tb00070.x
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- Article
PRICING OPTIONS ON RISKY ASSETS IN A STOCHASTIC INTEREST RATE ECONOMY.
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- Mathematical Finance, 1992, v. 2, n. 4, p. 217, doi. 10.1111/j.1467-9965.1992.tb00030.x
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- Article
ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS.
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- Mathematical Finance, 1992, v. 2, n. 2, p. 87, doi. 10.1111/j.1467-9965.1992.tb00040.x
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- Publication type:
- Article
A Characterization of Complete Security Markets On A Brownian Filtration.
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- Mathematical Finance, 1991, v. 1, n. 3, p. 31, doi. 10.1111/j.1467-9965.1991.tb00014.x
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- Article
Inferring financial bubbles from option data.
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- Journal of Applied Econometrics, 2021, v. 36, n. 7, p. 1013, doi. 10.1002/jae.2862
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- Article
Filtration reduction and incomplete markets.
- Published in:
- Frontiers of Mathematical Finance, 2024, v. 3, n. 1, p. 1, doi. 10.3934/fmf.2024001
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- Article
Asset price bubbles, wealth preserving, dominating, and replicating trading strategies.
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- Frontiers of Mathematical Finance, 2023, v. 2, n. 1, p. 1, doi. 10.3934/fmf.2023002
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- Article
ASSET PRICE BUBBLES: INVARIANCE THEOREMS.
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- Frontiers of Mathematical Finance, 2022, v. 1, n. 2, p. 161, doi. 10.3934/fmf.2021006
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- Article
Index Design: Hedging and Manipulation.
- Published in:
- Quarterly Journal of Finance, 2022, v. 12, n. 2, p. 1, doi. 10.1142/S2010139222500057
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- Article
Time-Invariance Coefficients Tests with the Adaptive Multi-Factor Model.
- Published in:
- Quarterly Journal of Finance, 2021, v. 11, n. 4, p. 1, doi. 10.1142/S2010139221500191
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- Article
Computing the probability of a financial market failure: a new measure of systemic risk.
- Published in:
- Annals of Operations Research, 2024, v. 336, n. 1/2, p. 481, doi. 10.1007/s10479-022-05146-9
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- Article
In Honor of the Nobel Laureates Robert C. Merton and Myron S. Scholes: A partial differential equation that changed the world.
- Published in:
- Journal of Economic Perspectives, 1999, v. 13, n. 4, p. 229, doi. 10.1257/jep.13.4.229
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- Article