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THE RELATIONSHIP BETWEEN YIELD, RISK, AND RETURN OF CORPORATE BONDS.
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- Journal of Finance (Wiley-Blackwell), 1978, v. 33, n. 4, p. 1235, doi. 10.1111/j.1540-6261.1978.tb02061.x
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- Article
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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- 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
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
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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- 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
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
OPTION PRICING AND IMPLICIT VOLATILITIES.
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- Journal of Economic Surveys, 1989, v. 3, n. 1, p. 59, doi. 10.1111/j.1467-6419.1989.tb00058.x
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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
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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- 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
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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- 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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- Article
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
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
Credit Risk Models with Incomplete Information.
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- Mathematics of Operations Research, 2009, v. 34, n. 2, p. 320, doi. 10.1287/moor.1080.0361
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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
ESTIMATING THE VALUE OF DELIVERY OPTIONS IN FUTURES CONTRACTS.
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- Journal of Financial Research, 2005, v. 28, n. 3, p. 363, doi. 10.1111/j.1475-6803.2005.00129.x
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- Article
Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model.
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- Journal of Financial & Quantitative Analysis, 2003, v. 38, n. 2, p. 337, doi. 10.2307/4126754
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- Article
Market Manipulation, Price Bubbles, and a Model of the U.S. Treasury Securities Auction Market.
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- Journal of Financial & Quantitative Analysis, 1998, v. 33, n. 2, p. 255, doi. 10.2307/2331310
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- Article
Derivative Security Markets, Market Manipulation, and Option Pricing Theory.
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- Journal of Financial & Quantitative Analysis, 1994, v. 29, n. 2, p. 241, doi. 10.2307/2331224
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- Article
Market Manipulation, Bubbles, Corners, and Short Squeezes.
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- Journal of Financial & Quantitative Analysis, 1992, v. 27, n. 3, p. 311, doi. 10.2307/2331322
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- Article
The Relevance of Fiduciary Conflict-of-Interests in Control versus Issue Proxy Contests.
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- Journal of Financial & Quantitative Analysis, 1991, v. 26, n. 4, p. 533, doi. 10.2307/2331410
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- Article
Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation.
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- Journal of Financial & Quantitative Analysis, 1990, v. 25, n. 4, p. 419, doi. 10.2307/2331009
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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
Downside Loss Aversion and Portfolio Management.
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- Management Science, 2006, v. 52, n. 4, p. 558, doi. 10.1287/mnsc.1050.0486
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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
THE THIRD FUNDAMENTAL THEOREM OF ASSET PRICING.
- Published in:
- Annals of Financial Economics, 2012, v. 7, n. 2, p. -1, doi. 10.1142/S2010495212500078
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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
The second fundamental theorem of asset pricing: a new approach.
- Published in:
- Review of Financial Studies, 1999, v. 12, n. 5, doi. 10.1093/rfs/12.5.1219
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- Article
A Markov model for the term structure of credit risk spreads.
- Published in:
- Review of Financial Studies, 1997, v. 10, n. 2, doi. 10.1093/rfs/10.2.481
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- Article
Risk‐neutral pricing techniques and examples.
- Published in:
- 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.
- Published in:
- 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