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Market Risk Premium for Unsecured Consumer Credit Risk.
- Published in:
- Review of Financial Studies, 2022, v. 35, n. 10, p. 4756, doi. 10.1093/rfs/hhac002
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- Article
Renting Balance Sheet Space: Intermediary Balance Sheet Rental Costs and the Valuation of Derivatives.
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- Review of Financial Studies, 2020, v. 33, n. 11, p. 5051, doi. 10.1093/rfs/hhaa033
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- Article
Valuing Thinly Traded Assets.
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- Management Science, 2018, v. 64, n. 8, p. 3868, doi. 10.1287/mnsc.2016.2718
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- Article
Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities.
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- Review of Financial Studies, 2018, v. 31, n. 3, p. 1132, doi. 10.1093/rfs/hhx140
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- Article
Deflation Risk.
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- Review of Financial Studies, 2017, v. 30, n. 8, p. 2719, doi. 10.1093/rfs/hhx021
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- Article
The Halos and Environments of Nearby Galaxies (HERON) Survey.
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- Proceedings of the International Astronomical Union, 2016, v. 11, p. 186, doi. 10.1017/S1743921316011881
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- Article
How Does the Market Value Toxic Assets?
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- Journal of Financial & Quantitative Analysis, 2014, v. 49, n. 2, p. 297, doi. 10.1017/S0022109014000222
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- Article
Asset Pricing and the Credit Market.
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- Review of Financial Studies, 2012, v. 25, n. 11, p. 3169, doi. 10.1093/rfs/hhs086
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- Article
Portfolio Claustrophobia: Asset Pricing in Markets with Illiquid Assets.
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- American Economic Review, 2009, v. 99, n. 4, p. 1119, doi. 10.1257/aer.99.4.1119
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- Article
An Empirical Analysis of the Pricing of Collateralized Debt Obligations.
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- Journal of Finance (Wiley-Blackwell), 2008, v. 63, n. 2, p. 529, doi. 10.1111/j.1540-6261.2008.01330.x
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- Article
Two Trees.
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- Review of Financial Studies, 2008, v. 21, n. 1, p. 347, doi. 10.1093/rfs/hhm059
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- Article
The U.S. Treasury Buyback Auctions: The Cost of Retiring Illiquid Bonds.
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- Journal of Finance (Wiley-Blackwell), 2007, v. 62, n. 6, p. 2673, doi. 10.1111/j.1540-6261.2007.01289.x
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- Publication type:
- Article
Risk and Return in Fixed-Income Arbitrage: Nickels in Front of a Steamroller?
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- Review of Financial Studies, 2007, v. 20, n. 3, p. 769, doi. 10.1093/rfs/hhl026
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- Article
Borrower Credit and the Valuation of Mortgage-Backed Securities.
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- Real Estate Economics, 2005, v. 33, n. 4, p. 619, doi. 10.1111/j.1540-6229.2005.00133.x
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- Article
Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market.
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- Journal of Finance (Wiley-Blackwell), 2005, v. 60, n. 5, p. 2213, doi. 10.1111/j.1540-6261.2005.00797.x
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- Article
Losing Money on Arbitrage: Optimal Dynamic Portfolio Choice in Markets with Arbitrage Opportunities.
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- Review of Financial Studies, 2004, v. 17, n. 3, p. 611, doi. 10.1093/rfs/hhg029
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- Article
Electricity Forward Prices: A High-Frequency Empirical Analysis.
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- Journal of Finance (Wiley-Blackwell), 2004, v. 59, n. 4, p. 1877, doi. 10.1111/j.1540-6261.2004.00682.x
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- Publication type:
- Article
Dynamic Asset Allocation with Event Risk.
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- Journal of Finance (Wiley-Blackwell), 2003, v. 58, n. 1, p. 231, doi. 10.1111/1540-6261.00523
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- Article
The Relative Valuation of Caps and Swaptions: Theory and Empirical Evidence.
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- Journal of Finance (Wiley-Blackwell), 2001, v. 56, n. 6, p. 2067, doi. 10.1111/0022-1082.00399
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- Article
Optimal portfolio choice and the valuation of illiquid securities.
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- Review of Financial Studies, 2001, v. 14, n. 2, doi. 10.1093/rfs/14.2.407
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- Publication type:
- Article
Valuing American options by simulation: a simple least-squares approach.
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- Review of Financial Studies, 2001, v. 14, n. 1, doi. 10.1093/rfs/14.1.113
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- Publication type:
- Article
Financial Innovation and the Role of Derivative Securities: An Empirical Analysis of the Treasury STRIPS Program.
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- Journal of Finance (Wiley-Blackwell), 2000, v. 55, n. 3, p. 1415, doi. 10.1111/0022-1082.00252
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- Article
Arbitrage and the Expectations Hypothesis.
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- Journal of Finance (Wiley-Blackwell), 2000, v. 55, n. 2, p. 989, doi. 10.1111/0022-1082.00234
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- Article
Throwing Good Money After Bad? Cash Infusions and Distressed Real Estate.
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- Real Estate Economics, 1996, v. 24, n. 1, p. 23, doi. 10.1111/1540-6229.00678
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- Article
How Much Can Marketability Affect Security Values?
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- Journal of Finance (Wiley-Blackwell), 1995, v. 50, n. 5, p. 1767, doi. 10.1111/j.1540-6261.1995.tb05197.x
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- Article
Option pricing and the martingale restriction.
- Published in:
- Review of Financial Studies, 1995, v. 8, n. 4, doi. 10.1093/rfs/8.4.1091
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- Article
A Simple Approach to Valuing Risky Fixed and Floating Rate Debt.
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- Journal of Finance (Wiley-Blackwell), 1995, v. 50, n. 3, p. 789, doi. 10.1111/j.1540-6261.1995.tb04037.x
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- Article
Bid-Ask Spreads and Trading Activity in the S&P 100 Index Options Market.
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- Journal of Financial & Quantitative Analysis, 1993, v. 28, n. 3, p. 381, doi. 10.2307/2331420
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- Article
Finance in Continuous Time: A Primer.
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- 1992
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- Publication type:
- Book Review
An Empirical Comparison of Alternative Models of the Short-Term Interest Rate.
- Published in:
- Journal of Finance (Wiley-Blackwell), 1992, v. 47, n. 3, p. 1209, doi. 10.1111/j.1540-6261.1992.tb04011.x
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- Article
Dual Trading in Future Markets.
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- Journal of Finance (Wiley-Blackwell), 1992, v. 47, n. 2, p. 643, doi. 10.1111/j.1540-6261.1992.tb04404.x
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- Publication type:
- Article
General Equilibrium Stock Index Futures Prices: Theory and Empirical Evidence.
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- Journal of Financial & Quantitative Analysis, 1991, v. 26, n. 3, p. 287, doi. 10.2307/2331208
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- Article
Time Varying Term Premia and Traditional Hypotheses about the Term Structure.
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- Journal of Finance (Wiley-Blackwell), 1990, v. 45, n. 4, p. 1307, doi. 10.1111/j.1540-6261.1990.tb02439.x
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- Article
Pricing Options with Extendible Maturities: Analysis and Applications.
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- Journal of Finance (Wiley-Blackwell), 1990, v. 45, n. 3, p. 935, doi. 10.1111/j.1540-6261.1990.tb05113.x
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- Article
Temporal Aggregation and the Continuous-Time Capital Asset Pricing Model.
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- Journal of Finance (Wiley-Blackwell), 1989, v. 44, n. 4, p. 871, doi. 10.1111/j.1540-6261.1989.tb02628.x
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- Publication type:
- Article