| Publication | Date of Publication | Type |
|---|
Augmenting markets with mechanisms
Review of Economic Studies | 2022-11-16 | Paper |
Credit risk modeling with affine processes
Journal of Banking & Finance | 2019-08-01 | Paper |
Common failings: how corporate defaults are correlated
| 2019-08-01 | Paper |
scientific article; zbMATH DE number 6800899 (Why is no real title available?)
| 2017-10-27 | Paper |
Reprint of: ``Information percolation in segmented markets
Journal of Economic Theory | 2015-12-15 | Paper |
Information percolation in segmented markets
Journal of Economic Theory | 2014-09-08 | Paper |
Book Review: Stochastic calculus for finance
Bulletin of the American Mathematical Society | 2014-07-29 | Paper |
Capital mobility and asset pricing
Econometrica | 2013-11-08 | Paper |
The exact law of large numbers for independent random matching
Journal of Economic Theory | 2012-05-14 | Paper |
The relative contributions of private information sharing and public information releases to information aggregation
Journal of Economic Theory | 2010-07-08 | Paper |
Information percolation with equilibrium search dynamics
Econometrica | 2009-12-21 | Paper |
Information Percolation
| 2008-11-18 | Paper |
Existence of independent random matching
The Annals of Applied Probability | 2008-01-18 | Paper |
Over-the-Counter Markets
Econometrica | 2006-10-24 | Paper |
Estimation of Continuous-Time Markov Processes Sampled at Random Time Intervals
Econometrica | 2006-06-16 | Paper |
scientific article; zbMATH DE number 2174797 (Why is no real title available?)
| 2005-06-10 | Paper |
Large portfolio losses
Finance and Stochastics | 2004-11-24 | Paper |
Affine processes and applications in finance
The Annals of Applied Probability | 2004-03-21 | Paper |
Universal state prices and asymmetric information.
Journal of Mathematical Economics | 2003-04-02 | Paper |
scientific article; zbMATH DE number 1869272 (Why is no real title available?)
| 2003-02-17 | Paper |
Transform Analysis and Asset Pricing for Affine Jump-diffusions
Econometrica | 2002-05-28 | Paper |
Term Structures of Credit Spreads with Incomplete Accounting Information
Econometrica | 2002-05-28 | Paper |
A yield-factor model of interest rates.
| 2002-01-06 | Paper |
Analytical value-at-risk with jumps and credit risk
Finance and Stochastics | 2001-07-11 | Paper |
A YIELD‐FACTOR MODEL OF INTEREST RATES
Mathematical Finance | 1999-02-23 | Paper |
A Liquidity-based Model of Security Design
Econometrica | 1999-01-01 | Paper |
Black, Merton and Scholes - Their Central Contributions to Economics
Scandinavian Journal of Economics | 1998-12-15 | Paper |
Hedging in incomplete markets with HARA utility
Journal of Economic Dynamics and Control | 1998-07-23 | Paper |
scientific article; zbMATH DE number 1154010 (Why is no real title available?)
| 1998-05-18 | Paper |
Optimal Investment With Undiversifiable Income Risk
Mathematical Finance | 1998-01-21 | Paper |
Efficient Monte Carlo simulation of security prices
The Annals of Applied Probability | 1997-11-27 | Paper |
From Discrete‐ to Continuous‐Time Finance: Weak Convergence of the Financial Gain Process1
Mathematical Finance | 1997-08-31 | Paper |
Recursive valuation of defaultable securities and the timing of resolution of uncertainty
The Annals of Applied Probability | 1997-05-12 | Paper |
A term structure model with preferences for the timing of resolution of uncertainty
Economic Theory | 1997-02-04 | Paper |
Incomplete security markets with infinitely many states: An introduction
Journal of Mathematical Economics | 1996-12-01 | Paper |
scientific article; zbMATH DE number 912570 (Why is no real title available?)
| 1996-08-01 | Paper |
scientific article; zbMATH DE number 850209 (Why is no real title available?)
| 1996-07-24 | Paper |
Stationary Markov Equilibria
Econometrica | 1996-01-17 | Paper |
Black's consol rate conjecture
The Annals of Applied Probability | 1996-01-15 | Paper |
Financial market innovation and security design: An introduction
Journal of Economic Theory | 1995-05-15 | Paper |
Multi-factor term structure models
Philosophical Transactions of the Royal Society of London. Series A: Physical and Engineering Sciences | 1995-05-14 | Paper |
scientific article; zbMATH DE number 727407 (Why is no real title available?)
| 1995-02-23 | Paper |
Continuous-time security pricing. A utility gradient approach
Journal of Mathematical Economics | 1994-05-05 | Paper |
Efficient and equilibrium allocations with stochastic differential utility
Journal of Mathematical Economics | 1994-05-05 | Paper |
Arbitrage pricing of Russian options and perpetual lookback options
The Annals of Applied Probability | 1994-03-17 | Paper |
Simulated Moments Estimation of Markov Models of Asset Prices
Econometrica | 1993-12-20 | Paper |
PDE solutions of stochastic differential utility
Journal of Mathematical Economics | 1993-06-29 | Paper |
Pricing continuously resettled contingent claims
Journal of Economic Dynamics and Control | 1993-01-16 | Paper |
Stochastic Differential Utility
Econometrica | 1992-09-26 | Paper |
Mean-variance hedging in continuous time
The Annals of Applied Probability | 1992-06-25 | Paper |
Corporate financial hedging with proprietary information
Journal of Economic Theory | 1991-01-01 | Paper |
Transactions costs and portfolio choice in a discrete-continuous-time setting
Journal of Economic Dynamics and Control | 1990-01-01 | Paper |
Optimal hedging and equilibrium in a dynamic futures market
Journal of Economic Dynamics and Control | 1990-01-01 | Paper |
The Consumption-Based Capital Asset Pricing Model
Econometrica | 1989-01-01 | Paper |
scientific article; zbMATH DE number 4081235 (Why is no real title available?)
| 1988-01-01 | Paper |
An extension of the Black-Scholes model of security valuation
Journal of Economic Theory | 1988-01-01 | Paper |
Stochastic equilibria with incomplete financial markets
Journal of Economic Theory | 1987-01-01 | Paper |
Equilibrium in incomplete markets. I: A basic model of generic existence
Journal of Mathematical Economics | 1986-01-01 | Paper |
Equilibrium in incomplete markets. II: Generic existence in stochastic economies
Journal of Mathematical Economics | 1986-01-01 | Paper |
Multiperiod security markets with differential information
Journal of Mathematical Economics | 1986-01-01 | Paper |
Competitive equilibria in general choice spaces
Journal of Mathematical Economics | 1986-01-01 | Paper |
Stochastic Equilibria: Existence, Spanning Number, and the `No Expected Financial Gain from Trade' Hypothesis
Econometrica | 1986-01-01 | Paper |
Diffusion Approximation in Arrow’s Model of Exhaustable Resources
Journal of Information and Optimization Sciences | 1986-01-01 | Paper |
Implementing Arrow-Debreu Equilibria by Continuous Trading of Few Long-Lived Securities
Econometrica | 1985-01-01 | Paper |
scientific article; zbMATH DE number 3896022 (Why is no real title available?)
| 1985-01-01 | Paper |
