Downloadable Papers (sorted by date) I've put a gray background on the top five most browsed papers in this category. (Oct-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 of Princeton University, and Knut Sølna of the University of California, 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 Multivariable Prognostic Models: Issues in developing models, evaluating assumptions and adequacy, and measuring and reducing errors by Frank E. Harrell, Jr. of the Duke University Medical Center, Kerry L. Lee of the Duke University Medical Center, and Daniel B. Mark of the Duke University Medical Center (3,560K PDF) -- 27 pages -- February 1996 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 of CNA Insurance Companies, 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 |