Downloadable Papers (sorted by date) I've put a gray background on the top five most browsed papers in this category.   (November-1) On the Tail Behavior of Sums of Dependent Risks by Philippe Barbe Centre National de la Recherche Scientifique, Anne-Laure Fougères of Équipe Modal'X & Université Paris X, and Christian Genest of the Université Laval (433K PDF) -- 13 pages -- November 2006 Explicit Formulas for Laplace Transforms of Stochastic Integrals by Tom R. Hurd of McMaster University, and Alexey Kuznetsov of McMaster University (200K PDF) -- 19 pages -- July 3, 2006 Firm Specific Information and the Cost of Equity Capital by Philip G. Berger of the University of Chicago, Huafeng (Jason) Chen of the University of British Columbia, and Feng Li of the University of Michigan (203K PDF) -- 36 pages -- January 7, 2006 On Approximation of Functions by Exponential Sums by Gregory Beylkin of the University of Colorado, and Lucas Monzón of the University of Colorado (350K PDF) -- 32 pages -- March 2005 The t Copula and Related Copulas by Stefano Demarta of ETH Zentrum, and Alexander J. McNeil of ETH Zentrum (897K PDF) -- 20 pages -- May 2004 Multiscale Stochastic Volatility Asymptotics by Jean-Pierre Fouque of North Carolina State University, George Papanicolaou of Stanford University, Ronnie Sircar Princeton University, and Knut Sølna of the University of California at Irvine (247K PDF) -- 21 pages -- October 2003 Risks For the Long Run: A Potential Resolution of Asset Pricing Puzzles by Ravi Bansal of Duke University, and Amir Yaron of the University of Pennsylvania (260K PDF) -- 52 pages -- January 2003 Using Brownian Bridge for Fast Simulation of Jump-Diffusion Processes and Barrier Options by Steve A.K. Metwally of Lehman Brothers, and Amir F. Atiya of Cairo University (519K PDF) -- 12 pages -- Fall 2002 A Fault Tree Analysis Strategy Using Binary Decision Diagrams by Karen A. Reay of Loughborough University, and John D. Andrews of Loughborough University (308K PDF) -- 20 pages -- February 2002 Term Structure of Interest Rates with Regime Shifts by Ravi Bansal of Duke University, and Hao Zhou of the Federal Reserve Board (730K PDF) -- 58 pages -- August 2001 Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk by John Y. Campbell of Harvard University, Martin Lettau of the Federal Reserve Bank of New York, Burton G. Malkiel of Princeton University, and Yexiao Xu of the University of Texas (877K PDF) -- 43 pages -- February 2001 How Big Are the Tax Benefits of Debt? by John R. Graham of Duke University (303K PDF) -- 42 pages -- October 2000 Debt Valuation, Renegotiation, and Optimal Dividend Policy by Hua Fan of Columbia University and Goldman Sachs, and Suresh M. Sundaresan of Columbia University (597K PDF) -- 43 pages -- Winter 2000 The Twin Crises: The Causes of Banking and Balance-of-Payments Problems by Graciela L. Kaminsky of George Washington University, and Carmen M. Reinhart of the University of Maryland (221K PDF) -- 28 pages -- June 1999 Regimes of Volatility: Some observations on the variation of S&P 500 implied volatilities by Emanuel Derman of Goldman Sachs (2,464K PDF) -- 30 pages -- January 1999 Bounds for the Distribution of a Multivariate Sum by Haijun Li of Washington State University, Marco Scarsini of the Università d'Annunzio, and Moshe Shaked of the University of Arizona (1,117K PDF) -- 15 pages -- 1996 An Empirical Comparison of Alternative models of the Short-term Interest Rate by K. C. Chan of Ohio State University, G. Andrew Karolyi of Ohio State University, Francis A. Longstaff  of Ohio State University, and Anthony B. Sanders of Ohio State University (1,899K PDF) -- 19 pages -- July 1992 The Computation of Aggregate Loss Distributions by John P. Robertson (3,164K PDF) -- 77 pages -- 1992 Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A theoretical framework by Larry G. Epstein of the University of Rochester, and Stanley E. Zin of Carnegie Mellon University (824K PDF) -- 36 pages -- July 1989 The Calculation of Aggregate Loss Distributions from Claim Severity and Claim Count Distributions by Philip E. Heckman, and Glenn G. Meyers (1,781K PDF) -- 40 pages -- 1983 Recursive Evaluation of a Family of Compound Distributions by Harry H. Panjer of the University of Waterloo (135K PDF) -- 5 pages -- 1981 The Bankruptcy Decision by Jeremy I. Bulow of the Massachusetts Institute of Technology, and John B. Shoven of Stanford University (1,696K PDF) -- 20 pages -- Autumn 1978 Verification of Forecasts Expressed in Terms of Probability by Glenn W. Brie of the U. S. Weather Bureau (256K PDF) -- 3 pages -- January 1950

Additional References (sorted by author)

Anderson, Ronald W. and Suresh Sundaresan, "Design and Valuation of Debt Contracts", Review of Financial Studies, Vol. 9, No. 1, (Spring 1996), pp. 37-68.  [Abstract]

Amihud, Yakov and Haim Mendelson, "Asset Pricing and the Bid-Ask Spread", Journal of Financial Economics, Vol. 17, No. 2, (December 1986), pp. 223-249.  [Abstract]

Black, Fischer, Piotr Karasinski, "Bond and Option Pricing When Short Rates are Lognormal", Financial Analysts Journal, Vol. 47, No. 4, (July-August 1991), pp. 52-59.  [Abstract]

Campbell, John Y. and John Cochrane, "By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior", Journal of Political Economy, Vol. 107, No. 2, (April 1999), pp. 205-251.  [Abstract]

de Hoog, Frank R., J. H. Knight, and A. N. Stokes, "An Improved Method for Numerical Inversion of Laplace Transforms", SIAM Journal of Scientific Computing, Vol. 3, No. 3, (September 1982), pp. 357-366.  [Abstract]

Duan, Jin-Chuan, "Maximum Likelihood Estimation Using Price Data of the Derivative Contract", Mathematical Finance, Vol. 4, No. 2, (April 1994), pp. 155-167.  [Abstract]

Duffie, Darrell, Jun Pan, and Kenneth Singleton, "Transform Analysis And Asset Pricing For Affine Jump-Diffusions", Econometrica, Vol. 68, No. 6, (November 2000), pp. 1343-1376.  [Abstract]

Fama, Eugene F. and Kenneth R. French, "Multifactor Explanations of Asset Pricing Anomalies", Journal of Finance, Vol. 51, No. 1, (March 1996), pp. 55-84.  [Abstract]

Flannery, Mark J., "Asymmetric Information and Risky Debt Maturity Choice", Journal of Finance, Vol. 41, No. 1, (March 1986), pp. 19-37.  [Abstract]

Hausman, Jerry A., "Specification Tests in Econometrics", Econometrica, Vol. 46, No. 6, (November 1978), pp. 1251-1271.  [Abstract]

Heston, Steven L., "A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options", Review of Financial Studies, Vol. 6, No. 2, (Summer 1993), pp. 327-343.  [Abstract]

Hull, John and Alan White, "Numerical procedures for implementing term structure models II: Two-Factor Models", Journal of Derivatives, Vol. 2, No. 2, (Winter 1994), pp. 37-49.

Hull, John and Alan White, "Numerical procedures for implementing term structure models I: Single-Factor Models", Journal of Derivatives, Vol. 2, No. 1, (Fall 1993), pp. 7-16.

Hull, John and Alan White, "Pricing Interest-Rate-Derivative Securities", Review of Financial Studies, Vol. 3, No. 4, (Winter 1990), pp. 573-592.

Jamshidian, Farshid and Yu Zhu, "Scenario Simulation: Theory and methodology", Finance and Stochastics, Vol. 1, No. 1, (December 1996), pp. 43-67.  [Abstract]

Kane, Alex, Alan J. Marcus, and Robert L. McDonald, "Debt Policy and the Rate of Return Premium to Leverage", Journal of Financial and Quantitative Analysis, Vol. 20, No. 4, (December 1985), pp. 479-499.  [Abstract]

Longstaff, Francis A. and Eduardo S. Schwartz, "Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model", Journal of Finance, Vol. 47, No. 4, (September 1992), pp. 1259-82.  [Abstract]

Mella-Barral, Pierre and William Perraudin, "Strategic Debt Service", Journal of Finance, Vol. 52, No. 2, (June 1997), pp. 531-556.  [Abstract]

Merton, Robert C., "A Simple Model of Capital Market Equilibrium with Incomplete Information", Journal of Finance, Vol. 42, No. 3, (July 1987), pp. 483-510.  [Abstract]

Merton, Robert C., "Option Pricing when Underlying Stock Returns Are Discontinuous", Journal of Financial Economics, Vol. 3, No. 1-2, (January-March 1976), pp. 125-144.  [Abstract]

Merton, Robert C., "Theory of Rational Option Pricing", Bell Journal of Economics and Management Science, Vol. 4, No. 1, (Spring 1973), pp. 141-183.  [Abstract]

Morck, Randall, Bernard Yeung, and Wayne Yu, "The Information Content of Stock Markets: Why do emerging markets have synchronous stock price movements?", Journal of Financial Economics, Vol. 58, No. 1, (October 2000), pp. 215-260.  [Abstract]

Mullahy, John, "Specification and Testing of Some Modified Count Data Models", Journal of Econometrics, Vol. 33, No. 3, (December 1986), pp. 341-365.  [Abstract]

Sun, Tong-sheng, Surech Sundaresan, and Ching Wang, "Interest Rate Swaps: An empirical investigation", Journal of Financial Economics, Vol. 34, No. 1, (August 1993), pp. 77-99.  [Abstract]

White, Halbert, "Maximum Likelihood Estimation of Misspecified Models", Econometrica, Vol. 50, No. 1, (January 1982), pp. 1-25.  [Abstract]

Vasicek, Oldrich, "An Equilibrium Characterization of the Term Structure", Journal of Financial Economics, Vol. 5, No. 2, (November 1977), pp. 177-188.  [Abstract]