Similar Search Results

Throwing away a billion dollars : the cost of suboptimal exercise strategies in the swaptions market

Longstaff, Francis A.; Santa-Clara, Pedro; Schwartz, … - In: Journal of financial economics 62 (2001) 1, pp. 39-66

Persistent link: https://www.econbiz.de/10001608810

Electronic screen trading and the transmission of information : an empirical examination

Grünbichler, Andreas - In: Journal of financial intermediation 3 (1994) 2, pp. 166-187

Persistent link: https://www.econbiz.de/10001166034

Corporate earnings and the equity premium

Longstaff, Francis A.; Piazzesi, Monika - 2003

Persistent link: https://www.econbiz.de/10001816584

The relative valuation of caps and swaptions : theory and empirical evidence

Longstaff, Francis A.; Santa-Clara, Pedro; Schwartz, … - In: The journal of finance : the journal of the American … 56 (2001) 6, pp. 2067-2109

Persistent link: https://www.econbiz.de/10001631728

Two Trees

Cochrane, John H.; Longstaff, Francis A.; Santa-Clara, Pedro - In: Review of Financial Studies 21 (2008) 1, pp. 347-385

We solve a model with two i.i.d. Lucas trees. Although the corresponding one-tree model produces a constant price-dividend ratio and i.i.d. returns, the two-tree model produces interesting asset-pricing dynamics. Investors want to rebalance their portfolios after any change in value. Because the...

Persistent link: https://www.econbiz.de/10005569847

Systemic sovereign credit risk: Lessons from the U.S. and Europe

Ang, Andrew; Longstaff, Francis A. - In: Journal of monetary economics 60 (2013) 5, pp. 493-510

Persistent link: https://www.econbiz.de/10010155519

Risk and Return in Fixed-Income Arbitrage: Nickels in Front of a Steamroller?

Duarte, Jefferson; Longstaff, Francis A.; Yu, Fan - In: The review of financial studies 20 (2013) 3, pp. 769-768

Persistent link: https://www.econbiz.de/10010113637

Two Trees

Cochrane, John H.; Longstaff, Francis A.; Santa-Clara, Pedro - In: The review of financial studies 21 (2013) 1, pp. 347-346

Persistent link: https://www.econbiz.de/10010113682

Losing Money on Arbitrage: Optimal Dynamic Portfolio Choice in Markets with Arbitrage Opportunities

Liu, Jun; Longstaff, Francis A. - In: The review of financial studies 17 (2013) 3, pp. 611-610

Persistent link: https://www.econbiz.de/10010114524

Asset Pricing and the Credit Market

Longstaff, Francis A.; Wang, Jiang - In: The review of financial studies 25 (2013) 11, pp. 3169-3168

Persistent link: https://www.econbiz.de/10010114763