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Details about George M. Constantinides

E-mail:
Homepage:http://faculty.chicagobooth.edu/george.constantinides/index.htm
Phone:(773) 702-7258
Postal address:The University of Chicago Booth School of Business 5807 South Woodlawn Avenue Chicago IL 60637
Workplace:Booth School of Business, University of Chicago, (more information at EDIRC)

Access statistics for papers by George M. Constantinides.

Last updated 2024-07-04. Update your information in the RePEc Author Service.

Short-id: pco144


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Working Papers

2023

  1. Sentiment, Productivity, and Economic Growth
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (1)

2021

  1. Welfare Costs of Idiosyncratic and Aggregate Consumption Shocks
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (1)

2017

  1. Mispriced Index Option Portfolios
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
    See also Journal Article Mispriced index option portfolios, Financial Management, Financial Management Association International (2020) Downloads View citations (9) (2020)
  2. The Past, Present, and Future of Economics: A Celebration of the 125-Year Anniversary of the JPE and of Chicago Economics
    Natural Field Experiments, The Field Experiments Website Downloads View citations (3)
  3. What Information Drives Asset Prices?
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (5)
    See also Journal Article What Information Drives Asset Prices?, The Review of Asset Pricing Studies, Society for Financial Studies (2021) Downloads (2021)

2015

  1. Asset Pricing with Countercyclical Household Consumption Risk
    2015 Meeting Papers, Society for Economic Dynamics Downloads View citations (1)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2014) Downloads View citations (19)

    See also Journal Article Asset Pricing with Countercyclical Household Consumption Risk, Journal of Finance, American Finance Association (2017) Downloads View citations (35) (2017)
  2. The Supply and Demand of S&P 500 Put Options
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (5)
    See also Journal Article The Supply and Demand of S&P 500 Put Options, Critical Finance Review, now publishers (2021) Downloads (2021)

2014

  1. Prices, Consumption, and Dividends Over the Business Cycle: A Tale of Two Regimes
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (1)

2012

  1. The Predictability of Returns with Regime Shifts in Consumption and Dividend Growth
    2012 Meeting Papers, Society for Economic Dynamics Downloads
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2010) Downloads View citations (6)
  2. The Puzzle of Index Option Returns
    Working Paper Series of the Department of Economics, University of Konstanz, Department of Economics, University of Konstanz Downloads View citations (15)
    Also in Working Paper Series of the Department of Economics, University of Konstanz, Department of Economics, University of Konstanz (2011) Downloads View citations (3)

    See also Journal Article The Puzzle of Index Option Returns, The Review of Asset Pricing Studies, Society for Financial Studies (2013) Downloads View citations (38) (2013)

2010

  1. Are Options on Index Futures Profitable for Risk Averse Investors? Empirical Evidence
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
    Also in CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE) (2008) Downloads

    See also Journal Article Are Options on Index Futures Profitable for Risk‐Averse Investors? Empirical Evidence, Journal of Finance, American Finance Association (2011) View citations (29) (2011)

2008

  1. Asset Pricing Tests with Long Run Risks in Consumption Growth
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (7)
    Also in FMG Discussion Papers, Financial Markets Group (2008) Downloads View citations (7)
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2008) Downloads View citations (7)

    See also Journal Article Asset Pricing Tests with Long-run Risks in Consumption Growth, The Review of Asset Pricing Studies, Society for Financial Studies (2011) Downloads View citations (67) (2011)
  2. Mispricing of S&P 500 Index Options
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (9)
    Also in CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE) (2005) Downloads View citations (2)

    See also Journal Article Mispricing of S&P 500 Index Options, The Review of Financial Studies, Society for Financial Studies (2009) Downloads View citations (40) (2009)

2007

  1. Option Pricing: Real and Risk-Neutral Distributions
    MPRA Paper, University Library of Munich, Germany Downloads View citations (10)
    Also in CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE) (2005) Downloads View citations (1)

2005

  1. Junior is Rich: Bequests as Consumption
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (2)
    See also Journal Article Junior is rich: bequests as consumption, Economic Theory, Springer (2007) Downloads View citations (15) (2007)
  2. Market Oganization and the prices of financial Assets
    Money Macro and Finance (MMF) Research Group Conference 2005, Money Macro and Finance Research Group Downloads
    See also Journal Article MARKET ORGANIZATION AND THE PRICES OF FINANCIAL ASSETS*, Manchester School, University of Manchester (2006) Downloads (2006)

2002

  1. Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (210)
    Also in Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research Downloads View citations (20)
    NBER Working Papers, National Bureau of Economic Research, Inc (1999) Downloads View citations (30)
    CRSP working papers, Center for Research in Security Prices, Graduate School of Business, University of Chicago (1999) Downloads View citations (20)

    See also Journal Article Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence, Journal of Political Economy, University of Chicago Press (2002) Downloads View citations (207) (2002)
  2. Junior Must Pay: Pricing the Implicit Put in Privatizing Social Security
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (6)
    See also Journal Article Junior must pay: pricing the implicit put in privatizing Social Security, Annals of Finance, Springer (2005) Downloads View citations (7) (2005)
  3. Rational Asset Prices
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (50)
    See also Journal Article Rational Asset Prices, Journal of Finance, American Finance Association (2002) Downloads View citations (40) (2002)
  4. Stochastic Dominance Bounds on Derivative Prices in a Multiperiod Economy with Proportional Transaction Costs
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (26)
    See also Journal Article Stochastic dominance bounds on derivatives prices in a multiperiod economy with proportional transaction costs, Journal of Economic Dynamics and Control, Elsevier (2002) Downloads View citations (30) (2002)

1998

  1. Junior Can't Borrow: A New Perspective on the Equity Premium Puzzle
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (26)
    Also in CRSP working papers, Center for Research in Security Prices, Graduate School of Business, University of Chicago View citations (2)
    Working Papers, Columbia - Graduate School of Business (1997) View citations (4)

    See also Journal Article Junior Can't Borrow: A New Perspective on the Equity Premium Puzzle, The Quarterly Journal of Economics, President and Fellows of Harvard College (2002) Downloads View citations (230) (2002)

1992

  1. Time Nonseparability in Aggregate Consumption: International Evidence
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (8)
    See also Journal Article Time nonseparability in aggregate consumption: International evidence, European Economic Review, Elsevier (1993) Downloads View citations (57) (1993)

1991

  1. Habit Persistence and Durability in Aggregate Consumption: Empirical Tests
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (210)
    See also Journal Article Habit persistence and durability in aggregate consumption: Empirical tests, Journal of Financial Economics, Elsevier (1991) Downloads View citations (275) (1991)

1990

  1. Habit formation: a resolution of the equity premium puzzle
    Levine's Working Paper Archive, David K. Levine Downloads View citations (1037)
    See also Journal Article Habit Formation: A Resolution of the Equity Premium Puzzle, Journal of Political Economy, University of Chicago Press (1990) Downloads View citations (1044) (1990)

1983

  1. Optimal Bond Trading with Personal Taxes: Implications for Bond Prices and Estimated Tax Brackets and Yield Curves
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (3)
    See also Journal Article Optimal Bond Trading with Personal Tax: Implications for Bond Prices and Estimated Tax Brackets and Yield Curves, Journal of Finance, American Finance Association (1982) Downloads View citations (5) (1982)
  2. Optimal Stock Trading with Personal Taxes: Implications for Prices and the Abnormal January Returns
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (44)
    See also Journal Article Optimal stock trading with personal taxes: Implications for prices and the abnormal January returns, Journal of Financial Economics, Elsevier (1984) Downloads View citations (113) (1984)

Undated

  1. Bounds on Derivative Prices in an Intertemporal Setting with Proportional Transaction Costs and Multiple Securities."
    CRSP working papers, Center for Research in Security Prices, Graduate School of Business, University of Chicago View citations (2)
    See also Journal Article Bounds on Derivative Prices in an Intertemporal Setting with Proportional Transaction Costs and Multiple Securities, Mathematical Finance, Wiley Blackwell (2001) Downloads View citations (28) (2001)
  2. Bounds on Prices of Contingent Claims in an Intertemporal Economy with Proportional Transaction Costs and General Preferences
    CRSP working papers, Center for Research in Security Prices, Graduate School of Business, University of Chicago
    See also Journal Article Bounds on prices of contingent claims in an intertemporal economy with proportional transaction costs and general preferences, Finance and Stochastics, Springer (1999) Downloads View citations (39) (1999)

Journal Articles

2021

  1. Mispricing of Index Options with Respect to Stochastic Dominance Bounds? A Reply
    Critical Finance Review, 2021, 10, (1), 57-63 Downloads
  2. The Supply and Demand of S&P 500 Put Options
    Critical Finance Review, 2021, 10, (1), 1-20 Downloads
    See also Working Paper The Supply and Demand of S&P 500 Put Options, NBER Working Papers (2015) Downloads View citations (5) (2015)
  3. What Information Drives Asset Prices?
    (Information quality and long-run risk: Asset pricing implications)
    The Review of Asset Pricing Studies, 2021, 11, (4), 837-885 Downloads
    See also Working Paper What Information Drives Asset Prices?, NBER Working Papers (2017) Downloads View citations (5) (2017)

2020

  1. Mispriced index option portfolios
    Financial Management, 2020, 49, (2), 297-330 Downloads View citations (9)
    See also Working Paper Mispriced Index Option Portfolios, NBER Working Papers (2017) Downloads (2017)

2017

  1. Asset Pricing with Countercyclical Household Consumption Risk
    Journal of Finance, 2017, 72, (1), 415-460 Downloads View citations (35)
    See also Working Paper Asset Pricing with Countercyclical Household Consumption Risk, 2015 Meeting Papers (2015) Downloads View citations (1) (2015)
  2. Asset Pricing: Models and Empirical Evidence
    Journal of Political Economy, 2017, 125, (6), 1782 - 1790 Downloads View citations (2)

2013

  1. The Puzzle of Index Option Returns
    The Review of Asset Pricing Studies, 2013, 3, (2), 229-257 Downloads View citations (38)
    See also Working Paper The Puzzle of Index Option Returns, Working Paper Series of the Department of Economics, University of Konstanz (2012) Downloads View citations (15) (2012)

2011

  1. Are Options on Index Futures Profitable for Risk‐Averse Investors? Empirical Evidence
    Journal of Finance, 2011, 66, (4), 1407-1437 View citations (29)
    See also Working Paper Are Options on Index Futures Profitable for Risk Averse Investors? Empirical Evidence, NBER Working Papers (2010) Downloads (2010)
  2. Asset Pricing Tests with Long-run Risks in Consumption Growth
    The Review of Asset Pricing Studies, 2011, 1, (1), 96-136 Downloads View citations (67)
    See also Working Paper Asset Pricing Tests with Long Run Risks in Consumption Growth, NBER Working Papers (2008) Downloads View citations (7) (2008)

2009

  1. Mispricing of S&P 500 Index Options
    The Review of Financial Studies, 2009, 22, (3), 1247-1277 Downloads View citations (40)
    Also in The Review of Financial Studies, 2009, 22, (3), 1247-1277 (2009) Downloads View citations (43)

    See also Working Paper Mispricing of S&P 500 Index Options, NBER Working Papers (2008) Downloads View citations (9) (2008)

2007

  1. Junior is rich: bequests as consumption
    Economic Theory, 2007, 32, (1), 125-155 Downloads View citations (15)
    See also Working Paper Junior is Rich: Bequests as Consumption, NBER Working Papers (2005) Downloads View citations (2) (2005)

2006

  1. MARKET ORGANIZATION AND THE PRICES OF FINANCIAL ASSETS*
    Manchester School, 2006, 74, (s1), 1-23 Downloads
    See also Working Paper Market Oganization and the prices of financial Assets, Money Macro and Finance (MMF) Research Group Conference 2005 (2005) Downloads (2005)

2005

  1. Junior must pay: pricing the implicit put in privatizing Social Security
    Annals of Finance, 2005, 1, (1), 1-34 Downloads View citations (7)
    See also Working Paper Junior Must Pay: Pricing the Implicit Put in Privatizing Social Security, NBER Working Papers (2002) Downloads View citations (6) (2002)

2002

  1. Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence
    Journal of Political Economy, 2002, 110, (4), 793-824 Downloads View citations (207)
    See also Working Paper Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence, NBER Working Papers (2002) Downloads View citations (210) (2002)
  2. Junior Can't Borrow: A New Perspective on the Equity Premium Puzzle
    The Quarterly Journal of Economics, 2002, 117, (1), 269-296 Downloads View citations (230)
    See also Working Paper Junior Can't Borrow: A New Perspective on the Equity Premium Puzzle, NBER Working Papers (1998) Downloads View citations (26) (1998)
  3. Rational Asset Prices
    Journal of Finance, 2002, 57, (4), 1567-1591 Downloads View citations (40)
    See also Working Paper Rational Asset Prices, NBER Working Papers (2002) Downloads View citations (50) (2002)
  4. Stochastic dominance bounds on derivatives prices in a multiperiod economy with proportional transaction costs
    Journal of Economic Dynamics and Control, 2002, 26, (7-8), 1323-1352 Downloads View citations (30)
    See also Working Paper Stochastic Dominance Bounds on Derivative Prices in a Multiperiod Economy with Proportional Transaction Costs, NBER Working Papers (2002) Downloads View citations (26) (2002)

2001

  1. Bounds on Derivative Prices in an Intertemporal Setting with Proportional Transaction Costs and Multiple Securities
    Mathematical Finance, 2001, 11, (3), 331-346 Downloads View citations (28)
    See also Working Paper Bounds on Derivative Prices in an Intertemporal Setting with Proportional Transaction Costs and Multiple Securities.", CRSP working papers View citations (2)
  2. Merton H. Miller
    Journal of Finance, 2001, 56, (4), 1177-1177 Downloads

1999

  1. Bounds on prices of contingent claims in an intertemporal economy with proportional transaction costs and general preferences
    Finance and Stochastics, 1999, 3, (3), 345-369 Downloads View citations (39)
    See also Working Paper Bounds on Prices of Contingent Claims in an Intertemporal Economy with Proportional Transaction Costs and General Preferences, CRSP working papers

1997

  1. Transaction Costs and the Pricing of Financial Assets
    Multinational Finance Journal, 1997, 1, (2), 93-99 Downloads View citations (6)

1996

  1. Asset Pricing with Heterogeneous Consumers
    Journal of Political Economy, 1996, 104, (2), 219-40 Downloads View citations (680)

1993

  1. Time nonseparability in aggregate consumption: International evidence
    European Economic Review, 1993, 37, (5), 897-920 Downloads View citations (57)
    See also Working Paper Time Nonseparability in Aggregate Consumption: International Evidence, NBER Working Papers (1992) Downloads View citations (8) (1992)

1992

  1. A Theory of the Nominal Term Structure of Interest Rates
    The Review of Financial Studies, 1992, 5, (4), 531-52 Downloads View citations (156)

1991

  1. Habit persistence and durability in aggregate consumption: Empirical tests
    Journal of Financial Economics, 1991, 29, (2), 199-240 Downloads View citations (275)
    See also Working Paper Habit Persistence and Durability in Aggregate Consumption: Empirical Tests, NBER Working Papers (1991) Downloads View citations (210) (1991)

1990

  1. Habit Formation: A Resolution of the Equity Premium Puzzle
    Journal of Political Economy, 1990, 98, (3), 519-43 Downloads View citations (1044)
    See also Working Paper Habit formation: a resolution of the equity premium puzzle, Levine's Working Paper Archive (1990) Downloads View citations (1037) (1990)

1988

  1. Optimal Population Growth and the Social Welfare Function
    Eastern Economic Journal, 1988, 14, (3), 229-238 Downloads View citations (2)

1986

  1. Capital Market Equilibrium with Transaction Costs
    Journal of Political Economy, 1986, 94, (4), 842-62 Downloads View citations (394)
    See also Chapter Capital Market Equilibrium with Transaction Costs, World Scientific Book Chapters, 2005, 207-227 (2005) Downloads View citations (1) (2005)

1985

  1. Debt and Taxes and Uncertainty: Discussion
    Journal of Finance, 1985, 40, (3), 657-58 Downloads
  2. The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence: Discussion
    Journal of Finance, 1985, 40, (3), 791-92 Downloads View citations (14)

1984

  1. Optimal bond trading with personal taxes
    Journal of Financial Economics, 1984, 13, (3), 299-335 Downloads View citations (52)
    See also Chapter OPTIMAL BOND TRADING WITH PERSONAL TAXES, World Scientific Book Chapters, 2005, 165-206 (2005) Downloads View citations (1) (2005)
  2. Optimal stock trading with personal taxes: Implications for prices and the abnormal January returns
    Journal of Financial Economics, 1984, 13, (1), 65-89 Downloads View citations (113)
    See also Working Paper Optimal Stock Trading with Personal Taxes: Implications for Prices and the Abnormal January Returns, NBER Working Papers (1983) Downloads View citations (44) (1983)
  3. Strategic analysis of the competitive exercise of certain financial options
    Journal of Economic Theory, 1984, 32, (1), 128-138 Downloads View citations (8)
  4. Warrant exercise and bond conversion in competitive markets
    Journal of Financial Economics, 1984, 13, (3), 371-397 Downloads View citations (17)

1983

  1. Capital Market Equilibrium with Personal Tax
    Econometrica, 1983, 51, (3), 611-36 Downloads View citations (125)

1982

  1. Intertemporal Asset Pricing with Heterogeneous Consumers and without Demand Aggregation
    The Journal of Business, 1982, 55, (2), 253-67 Downloads View citations (147)
  2. Optimal Bond Trading with Personal Tax: Implications for Bond Prices and Estimated Tax Brackets and Yield Curves
    Journal of Finance, 1982, 37, (2), 349-52 Downloads View citations (5)
    See also Working Paper Optimal Bond Trading with Personal Taxes: Implications for Bond Prices and Estimated Tax Brackets and Yield Curves, NBER Working Papers (1983) Downloads View citations (3) (1983)
  3. To Pay or Not to Pay Dividend: Discussion
    Journal of Finance, 1982, 37, (2), 470-72 Downloads

1980

  1. Admissible uncertainty in the intertemporal asset pricing model
    Journal of Financial Economics, 1980, 8, (1), 71-86 Downloads View citations (15)
  2. Optimal Liquidation of Assets in the Presence of Personal Taxes: Implications for Asset Pricing
    Journal of Finance, 1980, 35, (2), 439-49 Downloads View citations (19)

1979

  1. A Note on the Suboptimality of Dollar-Cost Averaging as an Investment Policy
    Journal of Financial and Quantitative Analysis, 1979, 14, (2), 443-450 Downloads View citations (19)
  2. Multiperiod Consumption and Investment Behavior with Convex Transactions Costs
    Management Science, 1979, 25, (11), 1127-1137 Downloads View citations (54)

1978

  1. Existence of Optimal Simple Policies for Discounted-Cost Inventory and Cash Management in Continuous Time
    Operations Research, 1978, 26, (4), 620-636 Downloads View citations (51)
  2. Market Risk Adjustment in Project Valuation
    Journal of Finance, 1978, 33, (2), 603-16 Downloads View citations (60)

1976

  1. Cash management: An inventory control limit approach: Richard Homonoff and David Wiley Mullins, Jr., (D.C. Heath, Lexington, 1975) pp. xv + 104
    Journal of Financial Economics, 1976, 3, (3), 299-300 Downloads
  2. Comment on Chen, Kim and Kon
    Journal of Financial Economics, 1976, 3, (3), 295-296 Downloads View citations (1)
  3. Note--Optimal Portfolio Revision with Proportional Transaction Costs: Extension to Hara Utility Functions and Exogenous Deterministic Income
    Management Science, 1976, 22, (8), 921-923 Downloads View citations (4)
  4. Portfolio selection with transactions costs
    Journal of Economic Theory, 1976, 13, (2), 245-263 Downloads View citations (142)
  5. Stochastic Cash Management with Fixed and Proportional Transaction Costs
    Management Science, 1976, 22, (12), 1320-1331 Downloads View citations (27)

Books

2015

  1. Financial Derivatives:Futures, Forwards, Swaps, Options, Corporate Securities, and Credit Default Swaps
    World Scientific Books, World Scientific Publishing Co. Pte. Ltd. Downloads

Edited books

2013

  1. Handbook of the Economics of Finance, vol 2, Part A
    Handbook of the Economics of Finance, Elsevier Downloads View citations (610)
  2. Handbook of the Economics of Finance, vol 2, Part B
    Handbook of the Economics of Finance, Elsevier Downloads View citations (610)

2005

  1. Theory of Valuation
    World Scientific Books, World Scientific Publishing Co. Pte. Ltd. Downloads View citations (1)

2003

  1. Handbook of the Economics of Finance, vol 1, Part 1
    Handbook of the Economics of Finance, Elsevier Downloads View citations (934)
  2. Handbook of the Economics of Finance, vol 1, Part 2
    Handbook of the Economics of Finance, Elsevier Downloads View citations (934)

2001

  1. Options Markets, vol Three volume set
    Books, Edward Elgar Publishing Downloads View citations (1)

Chapters

2015

  1. Binomial Option Pricing
    Chapter 7 in Financial Derivatives Futures, Forwards, Swaps, Options, Corporate Securities, and Credit Default Swaps, 2015, pp 107-122 Downloads
  2. Corporate Securities and Credit Risk
    Chapter 13 in Financial Derivatives Futures, Forwards, Swaps, Options, Corporate Securities, and Credit Default Swaps, 2015, pp 197-219 Downloads
  3. Empirical Evidence and Fixes
    Chapter 12 in Financial Derivatives Futures, Forwards, Swaps, Options, Corporate Securities, and Credit Default Swaps, 2015, pp 179-195 Downloads
  4. Interest Rate and Currency Swaps
    Chapter 3 in Financial Derivatives Futures, Forwards, Swaps, Options, Corporate Securities, and Credit Default Swaps, 2015, pp 39-60 Downloads
  5. Introduction to Forward and Futures Contracts
    Chapter 1 in Financial Derivatives Futures, Forwards, Swaps, Options, Corporate Securities, and Credit Default Swaps, 2015, pp 1-12 Downloads
  6. Introduction to Options and No-Arbitrage Restrictions
    Chapter 4 in Financial Derivatives Futures, Forwards, Swaps, Options, Corporate Securities, and Credit Default Swaps, 2015, pp 61-79 Downloads
  7. Optimal Early Exercise of American Options
    Chapter 6 in Financial Derivatives Futures, Forwards, Swaps, Options, Corporate Securities, and Credit Default Swaps, 2015, pp 95-105 Downloads
  8. Options on Futures
    Chapter 10 in Financial Derivatives Futures, Forwards, Swaps, Options, Corporate Securities, and Credit Default Swaps, 2015, pp 151-160 Downloads
  9. Pricing Forwards and Futures
    Chapter 2 in Financial Derivatives Futures, Forwards, Swaps, Options, Corporate Securities, and Credit Default Swaps, 2015, pp 13-37 Downloads
  10. Risk Management
    Chapter 11 in Financial Derivatives Futures, Forwards, Swaps, Options, Corporate Securities, and Credit Default Swaps, 2015, pp 161-178 Downloads
  11. The Black–Scholes–Merton Option Pricing Formula
    Chapter 9 in Financial Derivatives Futures, Forwards, Swaps, Options, Corporate Securities, and Credit Default Swaps, 2015, pp 139-150 Downloads
  12. Trading Strategies and Slope and Convexity Restrictions
    Chapter 5 in Financial Derivatives Futures, Forwards, Swaps, Options, Corporate Securities, and Credit Default Swaps, 2015, pp 81-94 Downloads
  13. Using the Binomial Model
    Chapter 8 in Financial Derivatives Futures, Forwards, Swaps, Options, Corporate Securities, and Credit Default Swaps, 2015, pp 123-137 Downloads

2005

  1. Capital Market Equilibrium with Transaction Costs
    Chapter 7 in Theory Of Valuation, 2005, pp 207-227 Downloads View citations (1)
    See also Journal Article Capital Market Equilibrium with Transaction Costs, University of Chicago Press (1986) Downloads View citations (394) (1986)
  2. OPTIMAL BOND TRADING WITH PERSONAL TAXES
    Chapter 6 in Theory Of Valuation, 2005, pp 165-206 Downloads View citations (1)
    See also Journal Article Optimal bond trading with personal taxes, Elsevier (1984) Downloads View citations (52) (1984)
  3. Theory of Valuation: Overview and Recent Developments
    Chapter 1 in Theory Of Valuation, 2005, pp 1-23 Downloads

Editor

  1. Handbook of the Economics of Finance
    Elsevier
  2. Handbook of the Economics of Finance
    Elsevier
 
Page updated 2024-07-12