|
2025
|
The Valuation of Corporate Coupon Bonds
|
Journal of Financial and Quantitative Analysis
|
B
|
3
|
|
2025
|
Testing for Asset Price Bubbles Using Options Data
|
Journal of Business & Economic Statistics
|
A
|
3
|
|
2021
|
Inferring financial bubbles from option data
|
Journal of Applied Econometrics
|
B
|
2
|
|
2019
|
Exploring Mispricing in the Term Structure of CDS Spreads
|
Review of Finance
|
B
|
4
|
|
2018
|
On aggregation and representative agent equilibria
|
Journal of Mathematical Economics
|
B
|
2
|
|
2015
|
Specification tests of calibrated option pricing models
|
Journal of Econometrics
|
A
|
2
|
|
2013
|
A leverage ratio rule for capital adequacy
|
Journal of Banking & Finance
|
B
|
1
|
|
2010
|
Reduced-form valuation of callable corporate bonds: Theory and evidence
|
Journal of Financial Economics
|
A
|
4
|
|
2008
|
Operational risk
|
Journal of Banking & Finance
|
B
|
1
|
|
2007
|
Interest Rate Caps “Smile” Too! But Can the LIBOR Market Models Capture the Smile?
|
Journal of Finance
|
A
|
3
|
|
2006
|
Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence
|
The Review of Financial Studies
|
A
|
4
|
|
2005
|
Large traders, hidden arbitrage, and complete markets
|
Journal of Banking & Finance
|
B
|
2
|
|
2004
|
Bankruptcy Prediction with Industry Effects
|
Review of Finance
|
B
|
2
|
|
2004
|
Testing market efficiency using statistical arbitrage with applications to momentum and value strategies
|
Journal of Financial Economics
|
A
|
4
|
|
2003
|
Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model
|
Journal of Financial and Quantitative Analysis
|
B
|
2
|
|
2001
|
Counterparty Risk and the Pricing of Defaultable Securities
|
Journal of Finance
|
A
|
2
|
|
2000
|
Bayesian analysis of contingent claim model error
|
Journal of Econometrics
|
A
|
2
|
|
2000
|
The intersection of market and credit risk
|
Journal of Banking & Finance
|
B
|
2
|
|
1999
|
The Second Fundamental Theorem of Asset Pricing: A New Approach.
|
The Review of Financial Studies
|
A
|
2
|
|
1998
|
Market Manipulation, Price Bubbles, and a Model of the U.S. Treasury Securities Auction Market
|
Journal of Financial and Quantitative Analysis
|
B
|
2
|
|
1998
|
The arbitrage-free valuation and hedging of demand deposits and credit card loans
|
Journal of Banking & Finance
|
B
|
2
|
|
1997
|
Is Mean-Variance Analysis Vacuous: Or was Beta Still Born?
|
Review of Finance
|
B
|
2
|
|
1997
|
A Markov Model for the Term Structure of Credit Risk Spreads.
|
The Review of Financial Studies
|
A
|
3
|
|
1995
|
Pricing Derivatives on Financial Securities Subject to Credit Risk.
|
Journal of Finance
|
A
|
2
|
|
1994
|
Derivative Security Markets, Market Manipulation, and Option Pricing Theory
|
Journal of Financial and Quantitative Analysis
|
B
|
1
|
|
1992
|
Market Manipulation, Bubbles, Corners, and Short Squeezes
|
Journal of Financial and Quantitative Analysis
|
B
|
1
|
|
1991
|
The Relevance of Fiduciary Conflict-of-Interests in Control versus Issue Proxy Contests
|
Journal of Financial and Quantitative Analysis
|
B
|
2
|
|
1991
|
Pricing foreign currency options under stochastic interest rates
|
Journal of International Money and Finance
|
B
|
2
|
|
1990
|
The Stop-Loss Start-Gain Paradox and Option Valuation: A New Decomposition into Intrinsic and Time Value.
|
The Review of Financial Studies
|
A
|
2
|
|
1990
|
Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation
|
Journal of Financial and Quantitative Analysis
|
B
|
3
|
|
1989
|
Option Pricing and Implicit Volatilities.
|
Journal of Economic Surveys
|
C
|
2
|
|
1989
|
repec:bla:jfinan:v:44:y:1989:i:5:p:1263-87
|
Journal of Finance
|
A
|
1
|
|
1988
|
Preferences, Continuity, and the Arbitrage Pricing Theory
|
The Review of Financial Studies
|
A
|
1
|
|
1987
|
Spanning and completeness in markets with contingent claims
|
Journal of Economic Theory
|
A
|
2
|
|
1987
|
Arbitrage, Continuous Trading, and Margin Requirements.
|
Journal of Finance
|
A
|
2
|
|
1987
|
Beliefs and arbitrage pricing
|
Economics Letters
|
C
|
1
|
|
1986
|
The Relationship between Arbitrage and First Order Stochastic Dominance.
|
Journal of Finance
|
A
|
1
|
|
1986
|
A characterization theorem for unique risk neutral probability measures
|
Economics Letters
|
C
|
1
|
|
1983
|
Consensus Beliefs Equilibrium and Market Efficiency.
|
Journal of Finance
|
A
|
2
|
|
1983
|
A comparison of the APT and CAPM a note
|
Journal of Banking & Finance
|
B
|
2
|
|
1982
|
Approximate option valuation for arbitrary stochastic processes
|
Journal of Financial Economics
|
A
|
2
|
|
1981
|
Forward contracts and futures contracts
|
Journal of Financial Economics
|
A
|
2
|
|
1980
|
Heterogeneous Expectations, Restrictions on Short Sales, and Equilibrium Asset Prices.
|
Journal of Finance
|
A
|
1
|
|
1978
|
The Relationship between Yield, Risk and Return of Corporate Bonds.
|
Journal of Finance
|
A
|
1
|
|
1977
|
An autoregressive jump process for common stock returns
|
Journal of Financial Economics
|
A
|
3
|