| Publication | Date of Publication | Type |
|---|
| Interest rate swaps: a comparison of compounded daily versus discrete reference rates | 2024-03-19 | Paper |
| Peter Carr Gedenkschrift | 2024-02-07 | Paper |
| THE LOW-VOLATILITY ANOMALY AND THE ADAPTIVE MULTI-FACTOR MODEL | 2024-01-23 | Paper |
| Risk‐neutral pricing techniques and examples | 2023-09-28 | Paper |
| Media trading groups and short selling manipulation | 2023-09-25 | Paper |
| The no-arbitrage pricing of non-traded assets | 2023-09-22 | Paper |
| Asset price bubbles, wealth preserving, dominating, and replicating trading strategies | 2023-06-26 | Paper |
| Enlargement of Filtrations: An Exposition of Core Ideas with Financial Examples | 2023-03-06 | Paper |
| Asset price bubbles: invariance theorems | 2022-08-30 | Paper |
| Funding shortages, expectations, and forward rate risk premium | 2022-07-22 | Paper |
| APPLYING THE LOCAL MARTINGALE THEORY OF BUBBLES TO CRYPTOCURRENCIES | 2022-07-13 | Paper |
| Computing the Probability of a Financial Market Failure: A New Measure of Systemic Risk | 2021-10-21 | Paper |
| Continuous-Time Asset Pricing Theory | 2021-07-23 | Paper |
| Asset price bubbles, market liquidity, and systemic risk | 2021-05-05 | Paper |
| Concavity, stochastic utility, and risk aversion | 2021-04-29 | Paper |
| Informational Efficiency with Trading Constraints: A Characterization | 2021-01-15 | Paper |
| A rational asset pricing model for premiums and discounts on closed‐end funds: The bubble theory | 2019-12-05 | Paper |
| Modeling Fixed Income Securities and Interest Rate Options | 2019-09-11 | Paper |
| Capital asset market equilibrium with liquidity risk, portfolio constraints, and asset price bubbles | 2019-05-08 | Paper |
| Exploring Mispricing in the Term Structure of CDS Spreads* | 2019-03-01 | Paper |
| An empirical investigation of large trader market manipulation in derivatives markets | 2019-01-23 | Paper |
| Asset market equilibrium with liquidity risk | 2018-07-05 | Paper |
| Optimal cash holdings under heterogeneous beliefs | 2018-05-25 | Paper |
| Continuous-time asset pricing theory. A martingale-based approach | 2018-04-23 | Paper |
| On aggregation and representative agent equilibria | 2018-02-09 | Paper |
| A CAPM WITH TRADING CONSTRAINTS AND PRICE BUBBLES | 2018-01-11 | Paper |
| On the existence of competitive equilibrium in frictionless and incomplete stochastic asset markets | 2017-12-29 | Paper |
| Relative asset price bubbles | 2016-09-21 | Paper |
| BUBBLES AND MULTIPLE-FACTOR ASSET PRICING MODELS | 2016-04-01 | Paper |
| Erratum to: ``Positive alphas and a generalized multiple-factor asset pricing model | 2016-03-08 | Paper |
| Positive alphas and a generalized multiple-factor asset pricing model | 2016-03-08 | Paper |
| A characterization theorem for unique risk neutral probability measures | 2016-01-01 | Paper |
| Beliefs and arbitrage pricing | 2016-01-01 | Paper |
| Specification tests of calibrated option pricing models | 2015-10-30 | Paper |
| Informational Efficiency under Short Sale Constraints | 2015-10-21 | Paper |
| Liquidity Suppliers and High Frequency Trading | 2015-05-15 | Paper |
| THE EFFECT OF TRADING FUTURES ON SHORT SALE CONSTRAINTS | 2015-04-24 | Paper |
| Liquidity risk and the term structure of interest rates | 2015-03-24 | Paper |
| The impact of quantitative easing on the US term structure of interest rates | 2014-11-26 | Paper |
| A liquidity-based model for asset price bubbles | 2014-01-24 | Paper |
| Hedging derivatives with model error | 2014-01-17 | Paper |
| Capital adequacy rules, catastrophic firm failure, and systemic risk | 2013-12-02 | Paper |
| Options markets, self-fulfilling prophecies, and implied volatilities | 2013-10-30 | Paper |
| Option pricing using a binomial model with random time steps (A formal model of gamma hedging) | 2013-10-29 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5326928 | 2013-08-01 | Paper |
| Discretely sampled variance and volatility swaps versus their continuous approximations | 2013-04-02 | Paper |
| POSITIVE ALPHAS, ABNORMAL PERFORMANCE, AND ILLUSORY ARBITRAGE | 2013-02-28 | Paper |
| THE MEANING OF MARKET EFFICIENCY | 2013-02-28 | Paper |
| A DYSFUNCTIONAL ROLE OF HIGH FREQUENCY TRADING IN ELECTRONIC MARKETS | 2012-06-25 | Paper |
| RELATING TOP-DOWN WITH BOTTOM-UP APPROACHES IN THE EVALUATION OF ABS WITH LARGE COLLATERAL POOLS | 2012-05-07 | Paper |
| How to Detect an Asset Bubble | 2012-04-19 | Paper |
| Downside Loss Aversion and Portfolio Management | 2012-02-21 | Paper |
| The cost of operational risk loss insurance | 2011-06-07 | Paper |
| Foreign currency bubbles | 2011-05-27 | Paper |
| Credit Risk Models with Incomplete Information | 2011-04-27 | Paper |
| The economic default time and the Arcsine law | 2010-12-03 | Paper |
| Convenience yields | 2010-04-26 | Paper |
| ASSET PRICE BUBBLES IN INCOMPLETE MARKETS | 2010-04-22 | Paper |
| FORWARD AND FUTURES PRICES WITH BUBBLES | 2010-01-08 | Paper |
| Distressed debt prices and recovery rate estimation | 2009-07-10 | Paper |
| No arbitrage without semimartingales | 2009-06-17 | Paper |
| MODELING THE RECOVERY RATE IN A REDUCED FORM MODEL | 2009-03-06 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5506185 | 2009-01-28 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5506186 | 2009-01-28 | Paper |
| The valuation of a firm's investment opportunities: a reduced form credit risk perspective | 2008-09-02 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3518677 | 2008-08-11 | Paper |
| Tax liens: a novel application of asset pricing theory | 2008-05-06 | Paper |
| Restructuring risk in credit default swaps: an empirical analysis | 2007-12-17 | Paper |
| Information reduction via level crossings in a credit risk models | 2007-12-16 | Paper |
| Estimating the Interest Rate Term Structure of Corporate Debt With a Semiparametric Penalized Spline Model | 2006-06-26 | Paper |
| DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS | 2005-08-17 | Paper |
| Liquidity risk and arbitrage pricing theory | 2005-05-20 | Paper |
| Bankruptcy Prediction with Industry Effects | 2005-05-03 | Paper |
| A model of the convenience yields in on-the-run treasuries | 2005-01-12 | Paper |
| Modeling credit risk with partial information. | 2004-09-15 | Paper |
| Is Mean-Variance Analysis Vacuous: Or was Beta Still Born? | 2003-03-12 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4792978 | 2003-02-18 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4794267 | 2003-02-17 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4791400 | 2003-02-06 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2760384 | 2002-01-03 | Paper |
| Put Option Premiums and Coherent Risk Measures | 2002-01-01 | Paper |
| The Second Fundamental Theorem of Asset Pricing | 2001-11-26 | Paper |
| The Liquidity Discount | 2001-01-01 | Paper |
| Bayesian analysis of contingent claim model error | 2000-06-22 | Paper |
| Hedging contingent claims on semimartingales | 1999-09-14 | Paper |
| A Characterization of Complete Security Markets On A Brownian Filtration1 | 1997-08-31 | Paper |
| ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS | 1997-08-31 | Paper |
| Pricing Options On Risky Assets In A Stochastic Interest Rate Economy1 | 1997-08-31 | Paper |
| OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS | 1997-03-23 | Paper |
| Delta, gamma and bucket hedging of interest rate derivatives | 1995-10-18 | Paper |
| Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation | 1992-09-26 | Paper |
| Bribes, power, and managerial control in corporate voting games | 1989-01-01 | Paper |
| An integrated axiomatic approach to the existence of ordinal and cardinal utility functions | 1987-01-01 | Paper |
| Spanning and completeness in markets with contingent claims | 1987-01-01 | Paper |
