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Computing the probability of a financial market failure: a new measure of systemic risk.
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- Annals of Operations Research, 2024, v. 336, n. 1/2, p. 481, doi. 10.1007/s10479-022-05146-9
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Filtration reduction and incomplete markets.
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- Frontiers of Mathematical Finance, 2024, v. 3, n. 1, p. 1, doi. 10.3934/fmf.2024001
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- Article
The no-arbitrage pricing of non-traded assets.
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- Annals of Finance, 2023, v. 19, n. 3, p. 401, doi. 10.1007/s10436-023-00434-1
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A Practical Guide to the Valuation of Coupon-Bearing Fixed Income Securities.
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- Journal of Fixed Income, 2023, v. 33, n. 1, p. 80, doi. 10.3905/jfi.2023.1.157
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- Article
THE LOW-VOLATILITY ANOMALY AND THE ADAPTIVE MULTI-FACTOR MODEL.
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- International Journal of Theoretical & Applied Finance, 2023, v. 26, n. 4/5, p. 1, doi. 10.1142/S0219024923500206
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An explosion time characterization of asset price bubbles.
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- International Review of Finance, 2023, v. 23, n. 2, p. 469, doi. 10.1111/irfi.12404
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- Article
A bottom-up, reduced form credit risk model approach for the determination of collateralised loan obligation capital.
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- Journal of Risk Management in Financial Institutions, 2023, v. 16, n. 3, p. 237
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- Article
Interest rate swaps: a comparison of compounded daily versus discrete reference rates.
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- Review of Derivatives Research, 2023, v. 26, n. 1, p. 1, doi. 10.1007/s11147-022-09191-1
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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.
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- Quarterly Journal of Finance, 2022, v. 12, n. 2, p. 1, doi. 10.1142/S2010139222500057
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- Article
APPLYING THE LOCAL MARTINGALE THEORY OF BUBBLES TO CRYPTOCURRENCIES.
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- International Journal of Theoretical & Applied Finance, 2022, v. 25, n. 3, p. 1, doi. 10.1142/S0219024922500133
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- Article
Time-Invariance Coefficients Tests with the Adaptive Multi-Factor Model.
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- Quarterly Journal of Finance, 2021, v. 11, n. 4, p. 1, doi. 10.1142/S2010139221500191
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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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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
Concavity, stochastic utility, and risk aversion.
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- Finance & Stochastics, 2021, v. 25, n. 2, p. 311, doi. 10.1007/s00780-021-00448-5
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- Article
High-Dimensional Estimation, Basis Assets, and the Adaptive Multi-Factor Model.
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- Quarterly Journal of Finance, 2020, v. 10, n. 4, p. N.PAG, doi. 10.1142/S2010139220500172
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- Article
Credit Risk, Liquidity, and Bubbles.
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- International Review of Finance, 2020, v. 20, n. 3, p. 737, doi. 10.1111/irfi.12239
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- Article
The Effects of Yield Control Monetary Policy: A Helicopter Money Drop to Financial Institutions.
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- Quarterly Journal of Finance, 2020, v. 10, n. 01, p. N.PAG, doi. 10.1142/S2010139220500044
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- Article
Fair Microfinance Loan Rates.
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- International Review of Finance, 2019, v. 19, n. 4, p. 909, doi. 10.1111/irfi.12195
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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
Volatility Uncertainty, Time Decay, and Option Bid-Ask Spreads in an Incomplete Market.
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- Management Science, 2019, v. 65, n. 4, p. 1833, doi. 10.1287/mnsc.2017.2867
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Exploring Mispricing in the Term Structure of CDS Spreads *.
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- Review of Finance, 2019, v. 23, n. 1, p. 161, doi. 10.1093/rof/rfy014
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An empirical investigation of large trader market manipulation in derivatives markets.
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- Review of Derivatives Research, 2018, v. 21, n. 3, p. 331, doi. 10.1007/s11147-018-9143-0
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An Equilibrium Capital Asset Pricing Model in Markets with Price Jumps and Price Bubbles.
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- Quarterly Journal of Finance, 2018, v. 8, n. 2, p. -1, doi. 10.1142/S2010139218500052
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- Article
Asset market equilibrium with liquidity risk.
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- Annals of Finance, 2018, v. 14, n. 2, p. 253, doi. 10.1007/s10436-017-0316-x
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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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A CAPM WITH TRADING CONSTRAINTS AND PRICE BUBBLES.
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- International Journal of Theoretical & Applied Finance, 2017, v. 20, n. 8, p. -1, doi. 10.1142/S0219024917500534
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Relative asset price bubbles.
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- Annals of Finance, 2016, v. 12, n. 2, p. 135, doi. 10.1007/s10436-016-0274-8
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- Article
BUBBLES AND MULTIPLE-FACTOR ASSET PRICING MODELS.
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- International Journal of Theoretical & Applied Finance, 2016, v. 19, n. 1, p. -1, doi. 10.1142/S0219024916500072
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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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Simulating and validating a multi-factor Heath, Jarrow and Morton model with negative interest rates.
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- Journal of Risk Management in Financial Institutions, 2015, v. 8, n. 4, p. 332
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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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The impact of quantitative easing on the US term structure of interest rates.
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- Review of Derivatives Research, 2014, v. 17, n. 3, p. 287, doi. 10.1007/s11147-014-9099-7
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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
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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Capital adequacy rules, catastrophic firm failure, and systemic risk.
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- Review of Derivatives Research, 2013, v. 16, n. 3, p. 219, doi. 10.1007/s11147-013-9088-2
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Discretely sampled variance and volatility swaps versus their continuous approximations.
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- Finance & Stochastics, 2013, v. 17, n. 2, p. 305, doi. 10.1007/s00780-012-0183-2
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A Simple, Transparent, and Accurate Mortgage Valuation Yield Curve.
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- Journal of Fixed Income, 2013, v. 22, n. 3, p. 37
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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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THE THIRD FUNDAMENTAL THEOREM OF ASSET PRICING.
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- Annals of Financial Economics, 2012, v. 7, n. 2, p. -1, doi. 10.1142/S2010495212500078
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Detecting Asset Price Bubbles.
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- Journal of Derivatives, 2012, v. 20, n. 1, p. 30, doi. 10.3905/jod.2012.20.1.030
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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
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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The Dangers of Calibration and Hedging the Greeks in Option Pricing.
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- Journal of Financial Education, 2012, v. 38, n. 1/2, p. 1
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- Article
Problems with Using CDS to Infer Default Probabilities.
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- Journal of Fixed Income, 2012, v. 21, n. 4, p. 6, doi. 10.3905/jfi.2012.21.4.006
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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
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
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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Risk Management Models: Construction, Testing, Usage.
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- Journal of Derivatives, 2011, v. 18, n. 4, p. 89, doi. 10.3905/jod.2011.18.4.089
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- Article