| Publication | Date of Publication | Type |
|---|
Fitting dynamically consistent forward rate curves: algorithm and comparison
International Journal of Theoretical and Applied Finance | 2024-12-06 | Paper |
A study on asset price bubble dynamics: explosive trend or quadratic variation?
Quantitative Finance | 2024-08-14 | Paper |
Filtration reduction and incomplete markets
Frontiers of Mathematical Finance | 2024-06-04 | Paper |
Interest rate swaps: a comparison of compounded daily versus discrete reference rates
Review of Derivatives Research | 2024-03-19 | Paper |
| Peter Carr Gedenkschrift | 2024-02-07 | Paper |
THE LOW-VOLATILITY ANOMALY AND THE ADAPTIVE MULTI-FACTOR MODEL
International Journal of Theoretical and Applied Finance | 2024-01-23 | Paper |
Risk‐neutral pricing techniques and examples
Mathematical Finance | 2023-09-28 | Paper |
Media trading groups and short selling manipulation
Quantitative Finance | 2023-09-25 | Paper |
The no-arbitrage pricing of non-traded assets
Annals of Finance | 2023-09-22 | Paper |
Asset price bubbles, wealth preserving, dominating, and replicating trading strategies
Frontiers of Mathematical Finance | 2023-06-26 | Paper |
| Enlargement of Filtrations: An Exposition of Core Ideas with Financial Examples | 2023-03-06 | Paper |
Asset price bubbles: invariance theorems
Frontiers of Mathematical Finance | 2022-08-30 | Paper |
Funding shortages, expectations, and forward rate risk premium
Quantitative Finance | 2022-07-22 | Paper |
Applying the local martingale theory of bubbles to cryptocurrencies
International Journal of Theoretical and Applied Finance | 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. A martingale-based approach
Springer Finance | 2021-07-23 | Paper |
Asset price bubbles, market liquidity, and systemic risk
Mathematics and Financial Economics | 2021-05-05 | Paper |
Concavity, stochastic utility, and risk aversion
Finance and Stochastics | 2021-04-29 | Paper |
Informational efficiency with trading constraints: a characterization
SIAM Journal on Financial Mathematics | 2021-01-15 | Paper |
A rational asset pricing model for premiums and discounts on closed‐end funds: The bubble theory
Mathematical Finance | 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
Mathematics and Financial Economics | 2019-05-08 | Paper |
Exploring mispricing in the term structure of CDS spreads
Review of Finance | 2019-03-01 | Paper |
An empirical investigation of large trader market manipulation in derivatives markets
Review of Derivatives Research | 2019-01-23 | Paper |
Asset market equilibrium with liquidity risk
Annals of Finance | 2018-07-05 | Paper |
Optimal cash holdings under heterogeneous beliefs
Mathematical Finance | 2018-05-25 | Paper |
Continuous-time asset pricing theory. A martingale-based approach
Springer Finance | 2018-04-23 | Paper |
On aggregation and representative agent equilibria
Journal of Mathematical Economics | 2018-02-09 | Paper |
A CAPM with trading constraints and price bubbles
International Journal of Theoretical and Applied Finance | 2018-01-11 | Paper |
On the existence of competitive equilibrium in frictionless and incomplete stochastic asset markets
Mathematics and Financial Economics | 2017-12-29 | Paper |
Relative asset price bubbles
Annals of Finance | 2016-09-21 | Paper |
Bubbles and multiple-factor asset pricing models
International Journal of Theoretical and Applied Finance | 2016-04-01 | Paper |
Erratum to: ``Positive alphas and a generalized multiple-factor asset pricing model
Mathematics and Financial Economics | 2016-03-08 | Paper |
Positive alphas and a generalized multiple-factor asset pricing model
Mathematics and Financial Economics | 2016-03-08 | Paper |
A characterization theorem for unique risk neutral probability measures
Economics Letters | 2016-01-01 | Paper |
Beliefs and arbitrage pricing
Economics Letters | 2016-01-01 | Paper |
Specification tests of calibrated option pricing models
Journal of Econometrics | 2015-10-30 | Paper |
Informational efficiency under short sale constraints
SIAM Journal on Financial Mathematics | 2015-10-21 | Paper |
Liquidity suppliers and high frequency trading
SIAM Journal on Financial Mathematics | 2015-05-15 | Paper |
The effect of trading futures on short sale constraints
Mathematical Finance | 2015-04-24 | Paper |
Liquidity risk and the term structure of interest rates
Mathematics and Financial Economics | 2015-03-24 | Paper |
The impact of quantitative easing on the US term structure of interest rates
Review of Derivatives Research | 2014-11-26 | Paper |
A liquidity-based model for asset price bubbles
Quantitative Finance | 2014-01-24 | Paper |
Hedging derivatives with model error
Quantitative Finance | 2014-01-17 | Paper |
Capital adequacy rules, catastrophic firm failure, and systemic risk
Review of Derivatives Research | 2013-12-02 | Paper |
Options markets, self-fulfilling prophecies, and implied volatilities
Review of Derivatives Research | 2013-10-30 | Paper |
Option pricing using a binomial model with random time steps (A formal model of gamma hedging)
Review of Derivatives Research | 2013-10-29 | Paper |
| A short history of stochastic integration and mathematical finance: the early years, 1880--1970 | 2013-08-01 | Paper |
Discretely sampled variance and volatility swaps versus their continuous approximations
Finance and Stochastics | 2013-04-02 | Paper |
Positive alphas, abnormal performance, and illusory arbitrage
Mathematical Finance | 2013-02-28 | Paper |
The meaning of market efficiency
Mathematical Finance | 2013-02-28 | Paper |
A dysfunctional role of high frequency trading in electronic markets
International Journal of Theoretical and Applied Finance | 2012-06-25 | Paper |
Relating top-down with bottom-up approaches in the evaluation of ABS with large collateral pools
International Journal of Theoretical and Applied Finance | 2012-05-07 | Paper |
How to detect an asset bubble
SIAM Journal on Financial Mathematics | 2012-04-19 | Paper |
Downside Loss Aversion and Portfolio Management
Management Science | 2012-02-21 | Paper |
The cost of operational risk loss insurance
Review of Derivatives Research | 2011-06-07 | Paper |
Foreign currency bubbles
Review of Derivatives Research | 2011-05-27 | Paper |
Credit risk models with incomplete information
Mathematics of Operations Research | 2011-04-27 | Paper |
| The economic default time and the Arcsine law | 2010-12-03 | Paper |
Convenience yields
Review of Derivatives Research | 2010-04-26 | Paper |
Asset price bubbles in incomplete markets
Mathematical Finance | 2010-04-22 | Paper |
Forward and futures prices with bubbles
International Journal of Theoretical and Applied Finance | 2010-01-08 | Paper |
Distressed debt prices and recovery rate estimation
Review of Derivatives Research | 2009-07-10 | Paper |
No arbitrage without semimartingales
The Annals of Applied Probability | 2009-06-17 | Paper |
MODELING THE RECOVERY RATE IN A REDUCED FORM MODEL
Mathematical Finance | 2009-03-06 | Paper |
| Asset price bubbles in complete markets | 2009-01-28 | Paper |
| A tutorial on zero volatility and option adjusted spreads | 2009-01-28 | Paper |
The valuation of a firm's investment opportunities: a reduced form credit risk perspective
Review of Derivatives Research | 2008-09-02 | Paper |
| Financial derivatives pricing. Selected works of Robert Jarrow. With a foreword by Robert C. Merton | 2008-08-11 | Paper |
Tax liens: a novel application of asset pricing theory
Review of Derivatives Research | 2008-05-06 | Paper |
Restructuring risk in credit default swaps: an empirical analysis
Stochastic Processes and their Applications | 2007-12-17 | Paper |
Information reduction via level crossings in a credit risk models
Finance and Stochastics | 2007-12-16 | Paper |
Estimating the Interest Rate Term Structure of Corporate Debt With a Semiparametric Penalized Spline Model
Journal of the American Statistical Association | 2006-06-26 | Paper |
DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS
Mathematical Finance | 2005-08-17 | Paper |
Liquidity risk and arbitrage pricing theory
Finance and Stochastics | 2005-05-20 | Paper |
Bankruptcy Prediction with Industry Effects
European Finance Review | 2005-05-03 | Paper |
A model of the convenience yields in on-the-run treasuries
Review of Derivatives Research | 2005-01-12 | Paper |
Modeling credit risk with partial information.
The Annals of Applied Probability | 2004-09-15 | Paper |
Is Mean-Variance Analysis Vacuous: Or was Beta Still Born?
Review of Finance | 2003-03-12 | Paper |
| scientific article; zbMATH DE number 1870350 (Why is no real title available?) | 2003-02-18 | Paper |
| scientific article; zbMATH DE number 1869572 (Why is no real title available?) | 2003-02-17 | Paper |
| scientific article; zbMATH DE number 1865383 (Why is no real title available?) | 2003-02-06 | Paper |
| Bond pricing and the term structure of interest rates: a new methodology for contingent claims valuation. | 2002-01-03 | Paper |
Put Option Premiums and Coherent Risk Measures
Mathematical Finance | 2002-01-01 | Paper |
The second fundamental theorem of asset pricing
Mathematical Finance | 2001-11-26 | Paper |
The liquidity discount.
Mathematical Finance | 2001-01-01 | Paper |
Bayesian analysis of contingent claim model error
Journal of Econometrics | 2000-06-22 | Paper |
Hedging contingent claims on semimartingales
Finance and Stochastics | 1999-09-14 | Paper |
ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
Mathematical Finance | 1997-08-31 | Paper |
Pricing Options On Risky Assets In A Stochastic Interest Rate Economy1
Mathematical Finance | 1997-08-31 | Paper |
A Characterization of Complete Security Markets On A Brownian Filtration1
Mathematical Finance | 1997-08-31 | Paper |
OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS
Mathematical Finance | 1997-03-23 | Paper |
Delta, gamma and bucket hedging of interest rate derivatives
Applied Mathematical Finance | 1995-10-18 | Paper |
Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
Econometrica | 1992-09-26 | Paper |
Bribes, power, and managerial control in corporate voting games
Theory and Decision | 1989-01-01 | Paper |
Spanning and completeness in markets with contingent claims
Journal of Economic Theory | 1987-01-01 | Paper |
An integrated axiomatic approach to the existence of ordinal and cardinal utility functions
Theory and Decision | 1987-01-01 | Paper |
Filtration Reduction and Completeness in Jump-Diffusion Models
(available as arXiv preprint) | N/A | Paper |
