Continuous-time methods in finance: A review and an assessment

Journal of Finance

Volumn 55, Issue 4, 2000, Pages 1569-1622

  Sundaresan, Suresh M ^a  

^a Och Spine at New York Presbyterian Hospitals   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0009751460     PISSN: 00221082     EISSN: None     Source Type: Journal    
DOI: 10.1111/0022-1082.00261     Document Type: Article

References (347)

1. Aït-Sahalia, Yacine, 1999a, Maximum likelihood estimation of discretely sampled diffusions: A closed-form approximation methods, Working paper, Princeton University.
2. Anderson, Ronald W., and Suresh M. Sundaresan, 1996, The design and valuation of debt contracts, Review of Financial Studies 9, 37-68.
3. Bachelier, L., 1900, Theorie de la speculation, Ann. Sci. Ecole Norm. Sup, 17, 21-86.
4. Back, Kerry, 1992, Insider trading in continuous time, Review of Financial Studies 5, 387-409.
5. Back, Kerry, 1993, Asymmetric information and options, Review of Financial Studies 6, 435-472.
6. Bhattacharya, Sudipto, and George M. Constantinides, eds., 1989, Theory of valuation: Frontiers of modern financial theory, Volume 1, (Rowman and Littlefield, Totowa, N.J.).
7. Black, Fischer, and Myron Scholes, 1973, The pricing of options and corporate liabilities, Journal of Political Economy 81, 637-654.
8. Breeden, Douglas T., 1979, An intertemporal asset pricing model with stochastic consumption and investment opportunities, Journal of Financial Economics 7, 265-296.
9. Brennan, Michael J., and Eduardo Schwartz, 1985, Evaluating natural resource investments, Journal of Business 58, 35-57.
10. Brennan, Michael J., and Yihong Xia, 1999, Assessing asset pricing anomalies, Working paper, Anderson School of Management, UCLA.
11. Campbell, John C., 2000, Review of asset pricing, Journal of Finance, this issue.
12. Campbell, John C., and John Cochrane, 1999, By force of habit: A consumption-based explanation of aggregate stock market behavior, Journal of Political Economy 107, 205-251.
13. Constantinides, George M., 1989, Theory of valuation: Overview and recent developments, in Sudipto Bhattacharya and George M. Constantinides, eds.: Theory of Valuation: Frontiers of Modern Financial Theory, Volume 1 (Rowman and Littlefield, Totowa, N.J.).
14. Constantinides, George M., 1990, Habit formation: A resolution of the equity premium puzzle, Journal of Political Economy 98, 519-543.
15. Cox, John C., and Chi-fu Huang, 1989a, Optimal consumption and portfolio policies when asset prices follow a diffusion process, Journal of Economic Theory 49, 33-83.
16. Cox, John C., and Chi-fu Huang, 1989b, Options pricing theory and its applications, in Sudipto Bhattacharya and George M. Constantinides, eds.: Theory of Valuation: Frontiers of Modern Financial Theory, Volume 1 (Rowman and Littlefield, Totowa, N.J.)
17. Cox, John C., Jon E. Ingersoll, and Stephen A. Ross, 1985a, An intertemporal general equilibrium model of asset prices, Econometrica 53, 363-384.
18. Cox, John C., Jon E. Ingersoll, and Stephen A. Ross, 1985b, A theory of the term structure of interest rates, Econometrica 53, 385-407.
19. Cox, John C., and Stephen A. Ross, 1976a, A survey of some new results in financial options pricing theory, Journal of Finance 31, 382-402.
20. Cox, John C., and Stephen A. Ross, 1976b, The valuation of options for alternative stochastic processes, Journal of Financial Economics 3, 145-166.
21. Detemple, Jerome, 1986, Asset pricing in a production economy with incomplete information, Journal of Finance 41, 383-391.
22. Dixit, Avinash, 1989a, Entry and exit decisions under uncertainty, Journal of Political Economy 97, 620-638.
23. Dixit, Avinash, 1989b, Hysteresis, import penetration, and exchange rate pass through, Quarterly Journal of Economics 104, 205-228.
24. Dixit, Avinash, 1991, Irrevisible investment with price ceiling, Journal of Political Economy 99, 541-557.
25. Dixit, Avinash, and R. Pindyck, 1994, Investment under Uncertainty (Princeton University Press, Princeton, N.J.).
26. Dothan, Michael, 1990, Prices in Financial Markets (Oxford University Press, New York).
27. Duffie, Darrell, 1988, Securities Markets: Stochastic Models (Academic Press, Boston).
28. Duffie, Darrell, 1996, Dynamic Asset Pricing Theory (Princeton University Press, Princeton, N.J.).
29. Duffie, Darrell, and Larry Epstein, 1992, Stochastic differential utility and asset pricing, Econometrica 60, 353-394.
30. Duffie, Darrell, and Chi-fu Huang, 1985, Implementing Arrow-Debreu equilibria by continuous trading of few long-lived securities, Econometrica 53, 1337-1356.
31. Duffie, Darrell, and Kenneth Singleton, 1993, Simulated moments estimation of Markov models of asset prices, Econometrica 61, 929-952.
32. Fan, Hua, and Suresh M. Sundaresan, 1999, Debt valuation, renegotiations and optimal dividend policy, Review of Financial Studies, forthcoming.
33. Grenadier, Steve R., 1999, Information revelation through option exercise, Review of Financial Studies 12, 95-130.
34. Hansen, Lars Peter, and Jose Alexandre Scheinkman, 1995, Back to the future: Generating moment implications for continuous-time Markov processes, Econometrica 63, 767-804.
35. Harrison, J. M., 1985, Brownian Motion and Stochastic Flow Systems (Wiley, New York).
36. Harrison, J. M., and D. Kreps, 1979, Martingales and arbitrage in multiperiod securities markets, Journal of Economic Theory 2, 381-408.
37. He, Hua, and N. D. Pearson, 1991, Consumption and portfolio with incomplete markets and shortsale constraints: The finite-dimension case, Journal of Economic Theory 54, 259-304.
38. Heath, David, Robert. A. Jarrow, and Andrew Morton, 1992, Bond pricing and the term structure of interest rates: A new methodology for contingent claims valuation, Econometrica 60, 77-105.
39. Ho, Thomas, and S. Lee, 1986, Term structure movements and the pricing of interest rate contingent claims, Journal of Finance 41, 1011-1029.
40. Holmstrom, Bengt, and Paul Milgrom, 1987, Aggregation and linearity in the provision of intertemporal incentives, Econometrica 55, 303-328.
41. Ingersoll, Jonathan, 1987, Theory of Financial Decision Making (Rowman and Littlefield, Totowa, N.J.).
42. Karatzas, I., J. P. Lehoczky, and S. E. Shreve, 1987, Optimal portfolio and consumption decisions for a small investor on a finite horizon, SIAM Journal of Control and Optimization 25, 1157-1186.
43. Karatzas, I., and S. E. Shreve, 1988, Brownian Motion and Stochastic Calculus, Graduate Texts in Mathematics, 113 (Springer-Verlag, New York).
44. Karatzas, I., and S. E. Shreve, 1998, Methods of Mathematical Finance, Applications of Mathematics, 39 (Springer-Verlag, New York).
45. Kogan, Leonid, 1998, Asset prices and irreversible investment, Working paper, Sloan School of Management.
46. Lintner, John, 1965, The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets, Review of Economics and Statistics 47, 13-37.
47. Long, John B., 1972, Consumption-Investment decisions and Equilibrium in the securities market, in Michael C. Jensen, ed.: Studies in the Theory of Capital Markets (Praeger, New York).
48. Lucas, Robert E., 1978, Asset prices in an exchange economy, Econometrica 46 1429-45.
49. Malliaris, A., 1982, Stochastic Methods in Economics and Finance (North-Holland, Amsterdam).
50. McDonald, Robert, and Dan Siegel, 1986, The value of waiting to invest, Quarterly Journal of Economics 101, 707-728.
51. Mella-Barral, P., and W. R. M. Perraudin, 1997, Strategic debt service, Journal of Finance 52, 531-556.
52. Merton, Robert C., 1969, Lifetime portfolio selection under uncertainty: The continuous time case, Review of Economics and Statistics 51, 247-257.
53. Merton, Robert C., 1971, Optimum consumption and portfolio rules in a continuous time model, Journal of Economic Theory 3, 373-413.
54. Merton, Robert C., 1973a, Theory of rational option pricing, Bell Journal of Economics 4, 141-183.
55. Merton, Robert C., 1973b, An intertemporal capital asset pricing model, Econometrica 41, 8678-87.
56. Merton, Robert C., 1990, Continuous-Time Finance (Oxford University Press, New York).
57. Samuelson, Paul, 1965, Rational theory of warrant prices, Industrial Management Review 6, 13-31.
58. Sharpe, William, 1964, Capital asset prices: A theory of market equilibrium under conditions of risk, Journal of Finance 19, 425-442.
59. Singleton, Kenneth, 1999, Estimation of affine diffusion models based on the empirical characteristic function, Working paper, Graduate School of Business, Stanford University.
60. Sundaresan, Suresh M., 1989, Intertemporally dependent preferences and the volatility of consumption and wealth, Review of Financial Studies 2, 73-89.
61. Veronesi, Pietro, 1999, How does information quality affect stock returns? Journal of Finance, forthcoming.
62. Amin, Kaushik, 1993, Jump diffusion option valuation in discrete time, Journal of Finance 48, 1833-1863.
63. Bakshi, G., C. Cao, and Z. Chen, 1997, Empirical performance of alternative option pricing models, Journal of Finance 52, 2003-2049.
64. Bates, David, 1996, Jumps and stochastic volatility: Exchange rate processes implicit in Deutche mark options, Review of Financial Studies 9, 69-107.
65. Brace, A., D. Gatarek, and M. Musiela, 1997, The market model of interest rate dynamics, Mathematical Finance 7, 127-154.
66. Cox, John C., Stephen A. Ross, and Mark Rubinstein, 1979, Option pricing: A simplified approach, Journal of Financial Economics 7, 229-263.
67. Dybvig, Philip H., and Chi-fu Huang, 1989, Non-negative wealth, absence of arbitrage, and feasible consumption plans, Review of Financial Studies 1, 377-401.
68. Geman, H., N. El Karoui, and J. C. Rochet, 1995, Changes of numeraire, changes of probability measures, and pricing of options, Journal of Applied Probability 32, 443-458.
69. Harrison, J. M., and S. Pliska, 1981, Martingales and stochastic integrals in the theory of continuous trading Stochastic Processes and Their Applications 11, 215-260.
70. Harrison, J. M., and S. Pliska, 1983, A stochastic calculus model of continuous trading: Complete markets, Stochastic Processes and Their Applications 15, 313-316.
71. Heston, Steve 1993, A closed form solution for options with stochastic volatility with applications to bond and currency options, Review of Financial Studies 6, 327-343.
72. Hobson, David G., and L. C. G. Rogers, 1988, Complete models with stochastic volatility, Mathematical Finance 8, 27-28.
73. Hull, John, and Alan White, 1987, The pricing of options on assets with stochastic volatilities, Journal of Finance 42, 281-300.
74. Jamshidian, Farshid, 1989, An exact bond options pricing formula, Journal of Finance 44, 205-209.
75. Jamshidian, Farshid, 1991, Bond and option evaluation in the Gaussian interest rate models, Research in Finance 9, 131-170.
76. Kallsen, Jan, and Murad S. Taqqu, 1998, Option pricing in ARCH-type models, Mathematical Finance 8, 13-26.
77. Lo, Andrew W., and Jiang Wang, 1995, Implementing option pricing models when asset returns are predictable, Journal of Finance 50, 87-129.
78. Melino, Angelo, and Stuart Turnbull, 1990, Pricing foreign currency options with stochastic volatility, Journal of Econometrics 45, 239-265.
79. Merton, Robert C., 1976, Option pricing when underlying stock returns are discontinuous, Journal of Financial Economics 3, 125-144.
80. Miltersen, K., K. Sandmann, and D. Sondermann, 1997, Closed form solutions for term structure derivatives with lognormal interest rates, Journal of Finance 52, 409-430.
81. Musiela, M., and M. Rutkowski, 1997, Continuous-time term structure models: Forward measure approach, Finance Stochastics 1, 261-291.
82. Scott, Louis, 1997, Pricing stock options in a jump-diffusion model with stochastic volatility and interest rates: Applications of Fourier inversion methods, Mathematical Finance 7, 413-426.
83. Akahori, J., 1995, Some formula for a new type of path-dependent option, Annals of Applied Probability 5, 383-388.
84. Black, Fischer, 1976, The pricing of commodity contracts, Journal of Financial Economics 3, 167-179.
85. Brenner, M., G. Courtadon, and M. Subrahmanyam, 1985, Options on the spot and options on futures, Journal of Finance 40, 1303-1317.
86. Briys, E., M. Bellalah, H. M. Mai, and F. De Varenne, 1998, Options, Futures and Exotic Derivatives: Theory, Application and Practice (John Wiley and Sons).
87. Clewlow, Cles, and Chris Strickland, eds., 1997, Exotic Options : The State of the Art, Conze, A., and Viswanathan, R., 1991, European path-dependent options: The case of geometric average, Finance 12, 7-22.
88. Cooper, Ian, and Antonio Mello, 1991, The default risk of swaps, Journal of Finance 46, 597-620.
89. Cox, John C., Jon E. Ingersoll, and Stephen A. Ross, 1981, The relation between forward prices and futures prices, Journal of Financial Economics 9, 321-346.
90. Cox, John C., and Mark Rubinstein, 1985, Options Markets, (Prentice-Hall, Englewood Cliffs, N.J.).
91. Dassios, A., 1995, The distribution of the quantile of a Brownian motion with drift and the pricing of path-dependent options, Annals of Applied Probability 5, 389-398.
92. Dempster, M. A. H., and S. R. Pliska, eds., 1997, Mathematics of Derivative Securities (Cambridge University Press, Cambridge).
93. Duffie, Darrell, and Ming Huang, 1996, Swap rates and credit quality, Journal of Finance 51, 921-950.
94. Duffie, Darrell, and Kenneth Singleton, 1997, An econometric model of the term structure of interest rate swap yields, Journal of Finance 52, 1287-1323.
95. Duffie, Darrell, and Richard Stanton, 1992, Pricing continuously resettled contingent claims, Journal of Economic Dynamics and Control 16, 561-574.
96. Geman, H., and M. Yor, 1996, Bessel processes, Asian options and perpetuities, Mathematical Finance 6, 365-378.
97. Geske, Robert, 1979, The valuation of compound options, Journal of Financial Economics 7, 63-81.
98. Goldman, M. A., H. B. Sosin, and M. Gatto, 1979, Path dependent options: Buy at the low, sell at the high, Journal of Finance 34, 1111-1127.
99. Haug, Espen Gaarder, 1997, The Complete Guide to Option Pricing Formulas (McGraw-Hill, New York).
100. Hull, John C., 1999, Options, Futures and Other Derivative Securities (Prentice-Hall, Englewood Cliffs, N.J.)
101. Hull, John, and Alan White, 1995, The impact of default risk on the prices of options and other derivative securities, Journal of Banking and Finance 19, 299-322.
102. Jarrow, Robert A., and George Oldfield, 1981, Forward contracts and futures contracts, Journal of Financial Economics 9, 373-382.
103. Kemna, A., and A. Vorst, 1990, A pricing method for options based on average asset value, Journal of Banking and Finance 14, 113-129.
104. Margrabe, William, 1978, The value of an option to exchange one asset for another, Journal of Finance 33, 177-186.
105. Marek, Musiela, and Marek Rutkowski, 1997, Martingale Methods in Financial Modelling (Springer-Verlag, Berlin).
106. Nielsen, Lars Tyge, 1999, Pricing and Hedging of Derivative Securities (Oxford University Press).
107. Ramaswamy, Krishna, and Suresh M. Sundaresan, 1985, The valuation of options on futures contracts, Journal of Finance 40, 1319-1340.
108. Reiner, Eric, 1992, Quanto mechanics, RISK 5, 59-63.
109. Richard, Scott F., and Suresh M. Sundaresan, 1981, A continuous-time equilibrium model of forward prices and futures prices in a multigood economy, Journal of Financial Economics 9, 347-371.
110. Rubinstein, Mark, 1991, Exotic options, Working paper, University of California, Berkeley.
111. Sundaresan, Suresh M., 1991, The valuation of swaps, in Sarkis Khoury, ed.: Recent Developments in International Banking and Finance (Elsevier Science Publishers, B.V., [North-Holland]).
112. Zhang, Peter G., 1998, Exotic Options: A Guide to Second Generation Options (World Scientific Publishing Company).
113. Anderson, Ronald W., and C. Tu, 1998, Numerical analysis of strategic contingent claims models, Journal of Computational Economics 11, 3-19.
114. Barone-Adesi, G., and R. Whaley, 1987, Efficient analytic approximations of American option values, Journal of Finance 42, 301-320.
115. Boyle, Phelim P., 1977, Options: A Monte Carlo approach, Journal of Financial Economics 4, 323-338.
116. Boyle, Phelim P., 1988, A lattice framework for option pricing with two state variables, Journal of Financial and Quantitative Analysis 23, 1-12.
117. Boyle, Phelim P., Mark Broadie, and Paul Glasserman, 1997, Monte-Carlo methods for security pricing, Journal of Economic Dynamics and Control 21, 1267-1321.
118. Brennan, Michael J. and Eduardo Schwartz, 1977, The valuation of American put options, Journal of Finance 32, 449-462.
119. Brennan, Michael J., and Eduardo Schwartz, 1978, Finite difference methods and jump processes arising in the pricing of contingent claims: A synthesis, Journal of Financial and Quantitative Analysis 13, 461-474.
120. Broadie, Mark, and Paul Glasserman, 1997a, Pricing American style securities using simulation, Journal of Economic Dynamics and Control 21, 1323-1352.
121. Broadie, Mark, and Paul Glasserman, 1997b, Monte Carlo methods for pricing high-dimensional American options: An overview, Working paper, Columbia University.
122. Broadie, Mark, and Jerome Detemple, 1996, American option valuation: New bounds, approximations, and a comparison of existing methods, Review of Financial Studies, 9, 1211-1250.
123. Broadie, Mark, and Paul Glasserman, 1997c, A stochastic mesh method for pricing high-dimensional American options, Research paper, Columbia Business School.
124. Broadie, Mark, and Paul Glasserman, 1998, Simulation for options pricing and risk management, in Carol Alexander, ed.: Risk Management and Analysis, Volume 1: Measuring and Modeling Financial Risk (John Wiley and Sons).
125. Broadie, Mark, Paul Glasserman, and Jain Gautam, 1997, Enhanced Monte-Carlo methods for American option prices, Journal of Derivatives 5, 25-44.
126. Carr, Peter, Robert Jarrow, and Ravi Myneni, 1992, Alternative characterization of American put options, Mathematical Finance 2, 87-106.
127. Clewlow, Les, and Chris Strickland, 1998, Implementing Derivatives Models: Numerical Methods (Wiley Series in Financial Engineering).
128. Geske, Robert, and H. Johnson, 1984, The American put option valued analytically, Journal of Finance 39, 1511-1524.
129. Hull, John C., and Alan White, 1990, Valuation derivative securities using the explicit finite difference method, Journal of Financial and Quantitative Analysis 25, 87-100.
130. Jacka, S. D., 1991, Optimal stopping and the American put, Mathematical Finance 1, 1-14.
131. Ju, N., 1998, Pricing the American option by approximating its early exercise boundary as a multipiece exponential function, Review of Financial Studies 11, 627-646.
132. Judd, Kenneth, 1998, Numerical Methods in Economics (MIT Press, Cambridge, Mass.).
133. Karatzas, I., 1988, On the pricing of American options, Applied Mathematics and Optimization 17, 37-60.
134. Kim, In Joon, 1990, The analytic valuation of American options, Review of Financial Studies 3, 547-572.
135. Kloeden, P. E., and E. Platen, 1992, Numerical Solution of Stochastic Differential Equations (Springer-Verlag, New York).
136. Longstaff, Francis, and Eduardo Schwartz, 1998, Valuing American options by simulation: A simple least-square approach, Working paper, UCLA.
137. MacMillan, L., 1986, Analytic approximation for the American put option, in F. Fabozzi, ed.: Advances in Futures and Options Research, Volume 1 (JAI Press, Greenwich, Conn.).
138. Nelson, Daniel B., and Krishna Ramaswamy, 1990, Simple binomial processes as diffusion approximations in financial models, Review of Financial Studies 3, 393-430.
139. Rogers, L. C. G., and D. Talay, eds., 1997, Numerical Methods in Finance (Publications of the Newton Institute).
140. Schwartz, Eduardo, 1977, The valuation of warrants: Implementing a new approach, Journal of Financial Economics 4, 79-93.
141. Boyle, Phelim P., and T. Vorst, 1992, Option replication in discrete time with transactions costs, Journal of Finance 47, 271-293.
142. Broadie, Mark, Jaksa Cvitanić, and Shreve Soner, 1998, Optimal replication of contingent claims under portfolio constraints, Review of Financial Studies 11, 59-79.
143. Constantinides, George M., and T. Zariphopoulou, 1999a, Bounds on prices of contingent claims in an intertemporal economy with proportional transactions costs and general preferences, Finance and Stochastics, forthcoming.
144. Constantinides, George M., and T. Zariphopoulou, 1999b, Bounds on derivative prices in an intertemporal setting with proportional transactions costs and multiple securities, Working paper Graduate School of Business, University of Chicago.
145. Cvitanić, Jaksa, and I. Karatzas, 1993, Hedging contingent claims with constrained portfolios Annals of Applied Probability 2, 767-818.
146. Cvitanić, Jaksa, and I. Karatzas, 1996, Hedging and portfolio optimization under transaction costs: A martingale approach, Mathematical Finance 6, 33-65.
147. Cvitanić, Jaksa, Huyen Pham, and Touzi Nizar, 1999, A closed-form solution to the problem of super-replication under transaction costs, Finance and Stochastics 3, 35-54.
148. Detemple, Jerome, and Suresh M. Sundaresan, 1999, Valuation of non traded options: A binomial approach, Review of Financial Studies 12, 835-872.
149. Leland, Hayne, 1985, Options pricing and replication with transactions costs, Journal of Finance 40, 1283-1301.
150. Naik, Vasant, and Raman Uppal, 1994, Leverage constraints and the optimal hedging of stock and bond options with transactions costs and trading restrictions, Journal of Financial and Quantitative Analysis 29, 199-222.
151. Soner, Shreve, and Jaksa Cvitanić, 1995, There is no nontrivial hedging portfolio for option pricing with transaction costs, Annals of Applied Probability 5, 327-355.
152. Aït-Sahalia, Yacine, 1996b, Nonparametric pricing of interest rate derivative securities, Econometrica 64, 527-560.
153. Back, Kerry, 1997, Yield curve models: A mathematical review, in Israel Nelken, ed.: Option Embedded Bonds (Irwin Professional Publishing, Chicago).
154. Black, Fischer, Emanuel Derman, and W. Toy, 1990, A one-factor model of interest rates and its application to treasury bond options, Financial Analysts Journal 46, 33-39.
155. Black, Fischer, and P. Karasinski, 1991, Bond and options pricing when short rates are lognormal, Financial Analysts Journal 47, 52-59.
156. Brennan, Michael J., and Eduardo Schwartz, 1979, A continuous time approach to the pricing of bonds, Journal of Banking and Finance 3, 133-155.
157. Brown, R. H., and Stephen M. Schaefer, 1994a, The term structure of real interest rates and the Cox, Ingersoll and Ross theory of the term structure of interest rates, Journal of Financial Economics 35, 3-42.
158. Brown, R. H., and Stephen M. Schaefer, 1994b, Interest rate volatility and the shape of the term structure, Philosophical Transactions of the Royal Society 347, 563-576.
159. Brown, Stephen J., and Phil Dybvig, 1986, The empirical implications of the CIR theory of the term structure of interest rates, Journal of Finance 41, 617-630.
160. K. C. Chan, G. Karolyi, F. Longstaff, and A. Sanders, 1992, An empirical comparison of alternative models of the short-term interest rate, Journal of Finance 47, 1209-1227.
161. Chen, L., 1996, Interest rate dynamics, derivatives pricing, and risk management, Lecture Notes in Economics and Mathematical Systems, 435 (Springer-Verlag, New York).
162. Chen, R., and L. Scott, 1992, Pricing interest rate options in a two factor CIR model of the term structure, Review of Financial Studies 5, 613-636.
163. Constantinides, George M., 1992, A theory of the nominal term structure of interest rates, Review of Financial Studies 5, 531-552.
164. Courtadon, George, 1982, A more accurate finite difference approximation for the valuation of options, Journal of Financial and Quantitative Analysis 17, 697-703.
165. Cox, John C., Jon E. Ingersoll, and Stephen A. Ross, 1980, An analysis of variable rate loan contracts, Journal of Finance 35, 389-403.
166. Dai, Quing, and Kenneth Singleton, 2000, Specification analysis of affine term structure models, Journal of Finance, forthcoming.
167. Dothan, Michael U., 1978, On the term structure of interest rates, Journal of Financial Economics 6, 59-69.
168. Duffee, Greg, 1998, The relation between Treasury yields and corporate bond yield spreads, Journal of Finance 53, 2225-2241.
169. Duffie, Darrell, and R. Kan, 1996, A yield factor model of interest rate, Mathematical Finance 6, 379-406.
170. Fong, H. G., and O. A. Vasicek, 1992, Interest rate volatility as a stochastic factor, Working paper, Gifford Fong Associates.
171. Gibbons, Michael, and Krishna Ramaswamy, 1993, A test of the Cox, Ingersoll, and Ross model of the term structure, Review of Financial Studies 6, 619-658.
172. Heath, David, Robert. A. Jarrow, and Andrew Morton, 1992, Bond pricing and the term structure of interest rates: A new methodology for contingent claims valuation, Econometrica 60, 77-105.
173. Ho, Thomas, and S. Lee, 1986, Term structure movements and pricing interest rate contingent claims, Journal of Finance 41, 1011-1029.
174. Hull, John C., and Alan White, 1990, Pricing interest rate derivative securities, Review of Financial Studies 3, 573-592.
175. Hull, John C., and Alan White, 1994, The pricing interest rate caps and floors using the Hull-White model, Journal of Financial Engineering 2, 287-296.
176. Jin, Yan, and Paul Glasserman, 1999, Equilibrium positive interest rates: A unified view, Working paper, Columbia Business School.
177. Kennedy, D. P., 1994, The term structure of interest rates as a Gaussian random field, Mathematical Finance 7, 107-118.
178. Kimmel, Bob, 1999, Affine stochastic volatility models: Evidence, estimation, and derivatives pricing, Working paper, Graduate School of Business, University of Chicago.
179. Langetieg, T. C., 1980, A multivariate model of the term structure, Journal of Finance 35, 71-97.
180. Longstaff, Francis, and Eduardo Schwartz, 1992, Interest rate volatility and the term structure: A two-factor general equilibrium model, Journal of Finance 47, 1259-1282.
181. Marsh, Terry, and Eric Rosenfeld, 1983, Stochastic processes for interest rates and equilibrium bond prices, Journal of Finance 38, 635-646.
182. Merton, Robert C., 1975, An asymptotic theory of growth under uncertainty, Review of Economic Studies 42, 375-393.
183. Pearson, Neil, and Tongsheng Sun, 1994, Exploiting the conditional density in estimating the term structure: An application to the CIR model, Journal of Finance 49, 1279-1304.
184. Rebonato, Riccardo, 1996, Interest-Rate Option Models: Understanding, Analysing, and Using Models for Exotic Interest-Rate Options, Wiley Series in Financial Engineering (John Wiley and Sons).
185. Richard, Scott F., 1978, An arbitrage model of the term structure of interest rates, Journal of Financial Economics 6, 33-57.
186. Santa-Clara, Pedro, and Didier Sornette, 1998, The dynamics of the forward interest rate curve with stochastic string shocks, Working paper, ULCA.
187. Schaefer, Stephen M., and Eduardo Schwartz, 1984, A two factor model of the term structure: An approximate analytical solution, Journal of Financial and Quantitative Analysis 19, 413-424.
188. Stanton, Richard, 1997, A nonparametric model of term structure dynamics and the market price of interest rate risk, Journal of Finance 52, 1973-2002.
189. Sundaresan, Suresh M., 1984, Consumption and interest rates in stochastic production economies, Journal of Finance 39, 77-92.
190. Wang, Jiang, 1996, The term structure of interest rates in a pure exchange economy with heterogenous investors, Journal of Financial Economics 41, 75-110.
191. Abel, Andrew, 1990, Asset prices under habit formation and catching up with the Joneses, American Economic Review 80, 38-42.
192. Abel, Andrew, 1999, Risk premia and term premia in general equilibrium, Journal of Monetary Economics 43, 3-33.
193. Basak, Suleyman, and Domenico Cuoco, 1998, An equilibrium model with restricted stock market participation, Review of Financial Studies 11, 309-341.
194. Chang, Ganlin, and Suresh M. Sundaresan, 1999, Asset prices and default-free term structure in an equilibrium model of default, Working paper, Columbia University.
195. Constantinides, George M., and Darrell Duffie, 1996, Asset pricing with heterogeneous consumer, Journal of Political Economy, 104, 219-240.
196. Detemple, Jerome, and Sashidar Murthy, 1994, Intertemporal asset pricing with heterogenous beliefs, Journal of Economic Theory 62, 294-320.
197. Detemple, Jerome, and Fernandeo Zapatero, 1991, Asset prices in an exchange economy with habit-formation, Econometrica 59, 1633-1657.
198. Duffie, Darrell, and Larry Epstein, 1992, Stochastic differential utility and asset pricing, Econometrica 60, 353-394.
199. Duffie, Darrell, and Costis Skiadas, 1994, Continuous-time security pricing: A utility gradient approach, Journal of Mathematical Economics 23, 107-131.
200. Duffie, Darrell, and William Zame, 1989, The consumption-based bapital asset pricing model, Econometrica 57, 1279-1297.
201. Dunn, Kenneth, and Kenneth Singleton, 1986, Modeling the term structure of interest rates with non-separable utility and durability of goods, Journal of Financial Economics 17, 27-55.
202. Epstein, L., and Stanley Zin, 1989, Substitution, risk aversion and the temporal behavior of consumption and asset returns I: A theoretical framework, Econometrica 5, 937-969.
203. Epstein, L., and Stanley Zin, 1991, Substitution, risk aversion, and the temporal behavior of consumption and asset returns: An empirical analysis, Journal of Political Economy 99, 263-286.
204. Grossman, Sanford, and Robert Shiller, 1982, Consumption correlatedness and risk measurement in economies with non-traded assets and heterogeneous information, Journal of Financial Economics 10, 195-210.
205. Heaton, John, 1993, The interaction between time-nonseparable preferences and time aggregation, Econometrica, 61, 353-385.
206. Hindy, Ayman, and Chi-fu Huang, 1992, Intertemporal preferences for uncertain consumption: A continuous time approach, Econometrica 60, 781-801.
207. Hindy, Ayman, and Chi-fu Huang, 1993, Optimal consumption and portfolio rules with durability and local substitution, Econometrica 61, 85-121.
208. Hindy, Ayman, Chi-fu Huang, and S. Zhu, 1997, Optimal consumption and portfolio rules with durability and habit formation, Journal of Economic Dynamics and Control 21, 525-550.
209. Huang, Chi-fu 1987, An intertemporal general equilibrium asset pricing model: The case of diffusion information, Econometrica 55, 117-142.
210. Mankiw, N. G., and Steve Zeldes, 1991, The consumption of stockholders and nonstockholders, Journal of Financial Economics 29, 97-112
211. Mehra, Rajnish, and Edward Prescott, 1985) The equity premium: A puzzle, Journal of Monetary Economics 15, 145-161.
212. Schroder, Mark, and Skiadas Costis, 1999a, An isomorphism between asset pricing models with and without linear habit formation, Working paper 247, Northwestern University.
213. Schroder, Mark, and Skiadas, Costis, 1999b, Optimal consumption and portfolio selection with stochastic differential utility, Working paper 226, Northwestern University.
214. Skiadas, Costis, 1998, Recursive utility and preferences for information, Economic Theory 12, 293-312.
215. Barberis, Nicholas, 1999, Investing for the long run when returns are predictable, Working paper, University of Chicago.
216. Basak, Suleyman, 1995, A general equilibrium model of portfolio insurance, Review of Financial Studies 8, 1059-1090.
217. Basak, Suleyman, 1999, On the fluctuations in consumption and market returns in the presence of labor and human capital: An equilibrium analysis, Journal of Economic Dynamics and Control 23, 1029-1064.
218. Brennan, Michael, J., Eduardo Schwartz, and R. Lagnado, 1997, Strategic asset allocation, Journal of Economic Dynamics and Control 21, 1377-1403.
219. Campbell, John Y., and Luis Viceira, 1999, Consumption and portfolio decisions when expected returns are time varying, Quarterly Journal of Economics 114, 433-495.
220. Campbell, John Y., and Luis Viceira, 2000, Who should buy long-term bonds? American Economic Review, forthcoming.
221. Chacko, George, and Luis Viceira, 1999, Dynamic consumption and portfolio choice with stochastic volatility in incomplete markets, Working paper, Harvard Business School.
222. Grossman, Sanford, and Z. Zhou, 1996, Equilibrium analysis of portfolio insurance, Journal of Finance 51, 1379-1403.
223. Karatzas, I., J. P. Lehoczky, S. P. Sethi, and S. E. Shreve, 1986, Explicit solutions of a general consumption/investment problem, Mathematics of Operations Research 11, 261-294.
224. Karatzas, I., J. P. Lehoczky, and S. E. Shreve, 1987, Optimal portfolio and consumption decisions for a small investor on a finite horizon, SIAM Journal of Control and Optimization 25, 1157-1186.
225. Karatzas, I., J. P. Lehoczky, and Stephen E. Shreve, 1990, Existence and uniqueness of multi-agent equilibrium in a stochastic, dynamic consumption/investment model, Mathematics of Operations Research, 15, 80-128.
226. Kim, T., and E. Omberg, 1996, Dynamic nonmyopic portfolio behavior, Review of Financial Studies 9, 141-161.
227. Kogan, L., and R. Uppal, 1999, Risk aversion and optimal portfolio policies in partial and general equilibrium economies, Working paper, Sloan School of Management, MIT.
228. Liu, Jin, 1998, Portfolio selection in stochastic environments, Working paper, Graduate School of Business, Stanford University.
229. Olney, Martha, 1999, Avoiding default: The role of credit in the consumption collapse of 1930, Quarterly Journal of Economics 319-335.
230. Pliska, Stanley, 1986, A stochastic calculus model of continuous trading: Optimal portfolios, Mathematics of Operations Research 11, 371-382.
231. Sethi, Suresh, P., 1997, Optimal Consumption and Investment with Bankruptcy (Dordrecht, Boston; and Kluwer Academic, London).
232. Sundaresan, Suresh M., and Fernando Zapatero, 1997, Valuation, asset allocation and retirement incentives of pension plans, Review of Financial Studies 10, 631-660.
233. Wachter, Jessica, 1999, Portfolio and consumption decisions under mean-reverting returns: An exact solution for complete markets, Working paper, Harvard University.
234. Black, Fischer, and John C. Cox, 1976, Valuing corporate securities: Some effects of bond indenture provisions, Journal of Finance 31, 351-367.
235. Brennan, Michael J., and Eduardo Schwartz, 1980, Analyzing convertible bonds, Journal of Financial and Quantitative Analysis 15, 907-929.
236. Duffie, Darrell, and David Lando, 1999, Term structure of credit spreads with incomplete accounting information, Working paper, Stanford University.
237. Ingersoll, Jon E., 1977, A contingent claims valuation of convertible securities, Journal of Financial Economics 4, 289-322.
238. John, Kose, 1993, Managing financial distress and valuing distressed securities: A survey and a research agenda, Financial Management Special Issue on Financial Distress.
239. Kim, In Joon, Krishna Ramaswamy, and Suresh M. Sundaresan, 1993, Valuation of corporate fixed-income securities, Financial Management Special Issue on Financial Distress, 117-131.
240. Leland, Hayne, 1998, Agency costs, risk management and capital structure, Journal of Finance 53, 1213-1243.
241. Leland, Hayne, 1994, Corporate debt value, bond covenants, and optimal capital structure, Journal of Finance 49, 1213-1252.
242. Leland, Hayne, and Hans R. Toft, 1996, Optimal capital structure, endogenous bankruptcy, and the term structure of credit spreads, Journal of Finance 51, 987-1019.
243. Longstaff, Francis, and Eduardo Schwartz, 1995, A simple approach to valuing risky fixed and floating rate debt, Journal of Finance 50, 789-819.
244. Merton, Robert C., 1974, On the pricing of corporate debt: The risk structure of interest rates, Journal of Finance 29, 449-469.
245. Zhou, Chunsheng, 1996, A jump-diffusion approach to modeling credit risk and valuing defaultable securities, The Board of Governors of the Federal Reserve System.
246. Artzner, P., and F. Delbaen, 1995, Default risk insurance and incomplete markets, Mathematical Finance 5, 187-195.
247. Das Sanjiv, R., and P. Tufano, 1995, Pricing credit sensitive debt when interest rates, credit ratings and credit spreads are stochastic, Journal of Financial Engineering 5, 161-198.
248. Duffie, Darrell, and Ming Huang, 1996, Swap rates and credit quality, Journal of Finance 51, 921-949.
249. Duffie, Darrell, M. Schroeder, and C. Skiadas, 1996, Recursive valuation of defaultable securities and the timing of resolution of uncertainty, Annals of Applied Probability 6, 1075-1090.
250. Duffie, Darrell, and Kenneth Singleton, 1999, Modeling term structure of defaultable bonds, Review of Financial Studies 12, 687-720.
251. Jarrow, Robert A., David Lando, and Stuart Turnbull, 1997, A Markov model for the term structure of credit spreads, Review of Financial Studies 10, 481-523.
252. Jarrow, Robert A., and Stuart Turnbull, 1995, Pricing options on financial securities subject to default risk, Journal of Finance 50, 53-85.
253. Lando, David, 1997, Modeling bonds and derivatives with credit risk, in M. Depster and S. Pliska, eds.: Mathematics of Derivative Securities (Cambridge University Press), 363-393.
254. Lando, David, 1998, On Cox processes and credit risky securities, Review of Derivatives Research 2, 99-120.
255. Madan, Dilip, and Haluk Unal, 1998, A two factor hazard rate model for pricing risky debt and term structure of credit spreads, Working paper, University of Maryland.
256. Anderson, Ronald, and Suresh M. Sundaresan, 1996, The design and valuation of debt contracts, Review of Financial Studies 9, 37-68.
257. Anderson, Ronald, Suresh M. Sundaresan, and Pierre Tychon, 1996, Strategic analysis of contingent claims, European Economic Review 40, 871-881.
258. Fan, H., and Suresh M. Sundaresan, 1999, Debt valuation, renegotiations and optimal dividend policy, Working paper, Columbia University.
259. Fries, S. M., M. Miller, and W. R. M. Perraudin, 1997, Debt pricing in industry equilibrium, Review of Financial Studies 10, 39-68.
260. Leland, Hayne, 1994, Risky debt, bond covenants and optimal capital structure, Journal of Finance 49, 1213-1252.
261. Leland, Hayne, and Klaus Toft, 1996, Optimal capital structure, endogenous bankruptcy and the term structure of credit spreads, Journal of Finance 51, 987-1019.
262. Mella-Barral, P. 1999, The dynamics of default and debt renegotiations, Review of Financial Studies 12, 535-578
263. Mella-Barral, P., and W. R. M. Perraudin, 1997, Strategic debt service, Journal of Finance 52, 531-556.
264. Abel, Andrew, Avinash Dixit, J. Eberly, and R. Pindyck, 1996, Options, the value of capital, and investment, Quarterly Journal of Economics 111, 753-777.
265. Abel, Andrew, and J. Eberly, 1994, A unified model of investment under uncertainty, American Economic Review 84, 1369-1384.
266. Abel, Andrew, and J. Eberly, 1996, Optimal investment with costly reversibility, Review of Financial Studies 63, 581-593.
267. Abel, Andrew, and J. Eberly, 1997, An exact solution for the investment and value of a firm facing uncertainty, adjustment costs, and irreversibility, Journal of Economic Dynamics and Control 21, 831-852.
268. Brennan, Michael J., and Lenos Trigeorgis, eds., 1999, Project Flexibility, Agency, and Product Market Competition: New Developments in the Theory and Application of Real Options Analysis (Oxford University Press).
269. Fischer, Edwin O., Robert Heinkel, and Josef Zechner, 1989, Dynamic capital structure choice: Theory and tests, Journal of Finance 44, N 19-40.
270. Grenadier, Steve R., 1995, Valuing lease contracts: A real options approach, Journal of Financial Economics 38, 297-331.
271. Grenadier, Steve R., 1996, The strategic exercise of options: Development cascades and over-building in real estate markets, Journal of Finance 51, 1653-1679.
272. He, Hua, and Robert Pindyck, 1992, Investments in flexible production capacity, Journal of Economic Dynamics and Control 16, 575-599.
273. Kalra, Raman, and Gautam Jain, 1997, A continuous-time model to determine the intervention policy for PBGC, Journal of Banking and Finance 21, 1159-2277.
274. Lambrecht, Bart, and William Perraudin, 1998, Real options and preemption under incomplete information, Working paper, Birkbeck College, London.
275. Majd, Saman, and Robert Pindyck, 1987, Time to build, option value, and investment decisions, Journal of Financial Economics 18, 7-27.
276. Mauer, David C., and Alexander J. Triantis, 1994, Interactions of corporate financing and investment decisions: A dynamic framework, Journal of Finance 49, 1253-1277.
277. Mello, Antonio S., and John E. Parsons, 1992, Measuring the agency cost of debt, Journal of Finance 47, 1887-1904.
278. Pindyck, Robert, 1988, Irreversible investment, capacity choice, and the value of the firm, American Economic Review 83, 273-277.
279. Triantis, Alex, and J. Hodder, 1990, Valuing flexibility as a complex option, Journal of Finance 45, 549-565.
280. Trigeorgis, Lenos, ed., 1996, Real Options: Managerial Flexibility and Strategy in Resource Allocation (Praeger).
281. Williams, Joseph T., 1993, Equilibrium and options on real assets, Review of Financial Studies 6, 191-208.
282. Cvitanić, Jaksa, and I. Karatzas, 1992, Convex duality in convex portfolio optimization, Annals of Applied Probability 2, 767-818.
283. Constantinides, George M., 1986, Capital market equilibrium with transaction costs, Journal of Political Economy 94, 842-862.
284. Constantinides, George M., and Jonathan Ingersoll, 1984, Optimal bond trading with personal taxes, Journal of Financial Economics 13, 299-336.
285. Cuoco, Domenico, 1997, Optimal consumption and equilibrium prices with portfolio constraints and stochastic income, Journal of Economic Theory 72, 33-73.
286. Davis, M., and A. Norman, 1990, Portfolio selection with transactions costs, Mathematics of Operations Research 15, 676-713.
287. Dothan, Michael, and David Feldman, 1986, Equilibrium interest rates and multiperiod bonds in a partially observed economy, Journal of Finance 41, 369-382.
288. Duffie, Darrell, W. H. Fleming, M. Soner, and T. Zariphopoulou, 1997, Hedging in incomplete markets with HARA utility, Journal of Economic Dynamics and Control 21, 753-782.
289. Duffie, Darrell, and Tongsheng Sun, 1990, Transactions costs and portfolio choice in a discrete-continuous time setting, Journal of Economic Dynamics and Control 14, 35-51.
290. Duffie, Darrell, and T. Zariphopoulou, 1993, Optimal investments with undiversifiable income risk, Mathematical Finance 3, 135-148.
291. Dumas, Bernard, and E. Luciano, 1991, An exact solution to the portfolio choice problem under transactions costs, Journal of Finance 46, 577-595.
292. Fleming, W. H., and T. Zariphopoulou, 1991, An optimal investment consumption model with borrowing, Mathematics of Operations Research 16, 802-822.
293. Gennotte, Gerrard, 1986, Optimal portfolio choice under incomplete information, Journal of Finance 41, 733-746.
294. Grossman, S., and G. Laroque, 1990, Asset pricing and optimal portfolio choice in the presence of illiquid durable consumption goods, Econometrica 58, 25-51.
295. Grossman, S., and J. L. Vila, 1992, Optimal dynamic trading strategies with leverage constraints, Journal of Financial and Quantitative Analysis 27, 151-168.
296. He, H., and H. Pages, 1993, Labor income, borrowing constraints and equilibrium asset prices: A duality approach, Economic Theory 3, 663-696.
297. Merton, Robert C., 1987, A simple model of capital market equilibrium with incomplete information, Journal of Finance 42, Papers and Proceedings of the Forty-Fifth Annual Meeting of the American Finance Association, New Orleans, Louisiana, December 28-30, 483-510.
298. Shapiro, Alexander, 1998, The investor recognition hypothesis in a dynamic general equilibrium: Theory and evidence, Working paper, Stern School of Business, New York University.
299. Vayanos, D., 1998, Transactions costs and asset prices: A dynamic equilibrium model, Review of Financial Studies 11, 1-58.
300. Veronesi, Pietro, 1999, Stock market overreaction to bad news in good times: A rational expectations equilibrium model, Review of Financial Studies 12, 975-1007.
301. Vila, J. L., and T. Zariphopoulou, 1997, Optimal consumption and portfolio choice with borrowing constraints, Journal of Economic Theory 77, 402-431.
302. Xia, Yihong, 1999, Learning and predictability: The effect of parameter uncertainty on optimal dynamic asset allocation, Working paper, Anderson School of Management, UCLA.
303. Zariphopoulou, T., 1994, Consumption investment models with constraints, SIAM Journal of Control and Optimization 32, 59-85.
304. Aït-Sahalia, Yacine, 1999a, Maximum likelihood estimation of discretely sampled diffusions: A closed-form approximation methods Working paper, Princeton University.
305. Aït-Sahalia, Yacine, 1999b, Transition densities for interest rates and other nonlinear diffusions, Journal of Finance 54, 499-547.
306. Chen, R., and L. Scott, 1993, Maximum likelihood estimation of a multifactor equilibrium model of the term structure of interest rates, Journal of Fixed Income 3, 14-31.
307. Lo, Andrew, 1988, Maximum likelihood estimation of generalized Ito processes with discretely sampled data, Econometric Theory 4, 231-47.
308. Pearson, Niel, and Tongsheng Sun, 1994, Exploiting the conditional density in estimating the term structure: An application to the CIR model, Journal of Finance 49, 1279-1304.
309. Chan, K. C., G. Karolyi, F. Longstaff, and A. Sanders, 1992, An empirical comparison of alternative models of the short-term interest rate, Journal of Finance 47, 1209-1227.
310. Andersen, Torben G., and Jesper, Lund, 1997, Estimating continuous-time stochastic volatility models of the short-term interest rate, Journal of Econometrics 77, 343-377.
311. Brandt, Michael, and Pedro Santa-Clara, 1999, Simulated likelihood estimation of multivariate diffusions with an application to interest rates and exchange rates with stochastic volatility, Working paper, UCLA.
312. Broze, Laurence, Olivier Scaillet, and Jean Michel Zakoian, 1998, Quasi-indirect inference for diffusion processes, Econometric Theory 14, 161-186.
313. Duffie, Darrell, and Kenneth Singleton, 1993, Simulated moments estimation of Markov models of asset prices, Econometrica 61, 929-952.
314. Gallant, A. Ronald, and George Tauchen, 1996, Which moments to match, Econometric Theory 12, 657-681.
315. Gallant, A. Ronald, and George Tauchen, 1997a, Estimation of continuous-time models for stock returns and interest rates, Macroeconomic Dynamics 1, 135-168.
316. Gallant, A. Ronald, and George Tauchen, 1997b, Estimation of continuous time models for stock returns and interest rates, Macroeconomic Dynamics 1, 135-168.
317. Gallant, A. Ronald, and George Tauchen, 1998, Reprojecting partially observed systems with application to interest rate diffusions, Journal of American Statistical Association 93, 1-24.
318. Gourieroux, C., A. Monfort, and E. Renault, 1993, Indirect inference, Journal of Applied Econometrics 8, S85-S118.
319. Gourieroux, C., and A. Monfort, 1996, Simulation Based Econometric Methods, CORE Lectures (Oxford University Press).
320. Aït-Sahalia, Yacine, 1996a, Testing continuous-time models of the spot interest rate, Review of Financial Studies 9, 385-342.
321. Aït-Sahalia, Yacine, 1996b, Nonparametric pricing of interest rate derivative securities, Econometrica 64, 527-560.
322. Aït-Sahalia, Yacine, and Andrew Lo, 1998, Nonparametric estimation of state price densities implicit in financial asset prices, Journal of Finance 53, 499-547.
323. Aït-Sahalia, Yacine, and Andrew Lo, 2000, Nonparametric risk management and implied risk aversion, Journal of Econometrics 94, 9-51.
324. Benzoni, Luca, 1999, Pricing options under stochastic volatility: An econometric analysis, Working paper University of Minnesota.
325. Jiang, George, J., 1998, Nonparametric modeling of U.S.interest rate term structure dynamics and implications on the prices of derivative securities, Journal of Financial and Quantitative Analysis 33, 465-497.
326. Jiang, George, J., and John Knight, 1997, A nonparametric approach to the estimation of diffusion processes, with an application to a short-term interest rate model, Econometric Theory 13, 615-645.
327. Pritsker, Matt, 1998, Nonparametric density estimation and tests of continuous time interest rate models, Review of Financial Studies 11, 449-487.
328. Eraker, B., 1998, MCMC analysis of diffusion models with applications to finance, Working paper, Norwegian School of Economics and Business Administration.
329. Jacquier, Eric, Nicholas Polson, and Peter Rossi, 1994, Bayesian analysis of stochastic volatility models, Journal of Business and Economic Statistics 12, 371-389.
330. Jones, Christopher, 1998, Bayesian estimation of continuous-time finance models, Working paper, Simon School of Business, University of Rochester.
331. Chacko, George, and Luis Viceira, 1999, Spectral GMM estimation of continuous-time processes, Working paper, Graduate School of Business, Harvard University.
332. Jiang, George, J., and John Knight, 1999, Efficient estimation of the continuous time stochastic volatility model via the empirical characteristic function, Working paper, York University, Canada.
333. Nelson, Daniel B., 1989, Modeling stock market volatility changes, Proceedings of the American Statistical Association, Business and Economics Statistics Section, 93-98.
334. Nelson, Daniel B., 1990, ARCH models as diffusion approximations, Journal of Econometrics 45, 7-39.
335. Nelson, Daniel B., 1991, Conditional heteroskedasticity in asset returns: A new approach, Econometrica 59, 347-370.
336. Adler, Michael, and Bernard Dumas, 1983, International portfolio choice and corporation finance: A synthesis, Journal of Finance 38, 925-984.
337. Dumas, Bernard, 1992, Dynamic equilibrium and the real exchange rate in a spatially separated world, Review of Financial Studies 5, 153-180.
338. Uppal, Raman, 1993, A general equilibrium model of international portfolio choice, Journal of Finance 48, 529-553.
339. Detemple, Jerome, and Suresh Govindaraj, 1999, Linear contracts and intertemporal incentives with hidden actions, Working paper, Boston University.
340. Govindaraj, Suresh, and Ram Ramakrishnan, 1999, Accounting earnings processes, intertemporal incentives and its implication for valuation, Working paper, University of Illinois at Chicago.
341. Kodres, Laura, and Matthew Pritsker, 1999, A rational expectations model of financial contagion, Working paper, Board of Governors of the Federal Reserve System.
342. Kyle, Albert, and Wei Xion, 1999, Contagion as a wealth effect of financial intermediaries, Working paper, Duke University.
343. Lo, Andrew W., Harry Mamaysky, and Jiang Wang, 1999, Asset prices and trading volume under fixed transaction vosts, Working paper, Sloan School of Management, MIT.
344. Muller, Holger M., 1998, The first-best sharing rule in the continuous-time principal-agent problem with exponential utility, Journal of Economic Theory 79, 276-280.
345. Ross, Stephen A., 1989, Intertemporal asset pricing (discussion), in S. Bhattacharga and G. M. Constantinides, eds., Theory of Valuation (Roman and Littlefield, New Jersey).
346. Schattler, Heinz, and Jaeyoung Sung, 1993, The first-order approach to continuous time principal agent problem with exponential utility, Journal of Economic Theory 61, 331-371.
347. Sung, Jaeyoung, 1995, Linearity with project selection and controllable diffusion rate in continuous-time principal-agent problems, Rand Journal of Economics 26, 720-743.