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Macroeconomic-driven prepayment risk and the valuation of mortgage-backed securities
Chernov, Mikhail; Dunn, Brett R.; Longstaff, Francis A. - In: The review of financial studies 31 (2018) 3, pp. 1132-1183
Persistent link: https://www.econbiz.de/10011925304
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Risk and return in fixed-income arbitrage : nickels in front of a streamroller?
Duarte, Jefferson; Longstaff, Francis A.; Yu, Fan - In: The review of financial studies 20 (2007) 3, pp. 769-811
Persistent link: https://www.econbiz.de/10003554634
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Asset pricing and the credit market
Longstaff, Francis A.; Wang, Jiang - In: The review of financial studies 25 (2012) 11, pp. 3169-3215
Persistent link: https://www.econbiz.de/10009681917
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Option pricing and the martingale restriction
Longstaff, Francis A. - In: The review of financial studies 8 (1995) 4, pp. 1091-1124
Persistent link: https://www.econbiz.de/10001198365
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Renting balance sheet space : intermediary balance sheet rental costs and the valuation of derivatives
Fleckenstein, Matthias; Longstaff, Francis A. - In: The review of financial studies 33 (2020) 11, pp. 5051-5091
Persistent link: https://www.econbiz.de/10012387416
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Deflation risk
Fleckenstein, Matthias; Longstaff, Francis A.; Lustig, Hanno - In: The review of financial studies 30 (2017) 8, pp. 2719-2760
Persistent link: https://www.econbiz.de/10011755601
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The market risk premium for unsecured consumer credit risk
Fleckenstein, Matthias; Longstaff, Francis A. - In: The review of financial studies 35 (2022) 10, pp. 4756-4801
Persistent link: https://www.econbiz.de/10013400137