Downloadable Papers (sorted by date)

I've put a gray background on the top five most browsed papers in this category.   (June-1)

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

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

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 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]

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 I: Single-Factor Models", Journal of Derivatives, Vol. 2, No. 1, (Fall 1993), pp. 7-16.  [Abstract]

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

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

Jones, E. Philip, Scott P. Mason, and Eric Rosenfeld, "Contingent Claims Analysis of Corporate Capital Structures: an Empirical Investigation", Journal of Finance, Vol. 39, No. 3, (July 1984), pp. 611-625.  [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]

Myers, Stewart C., "Determinants of Corporate Borrowing", Journal of Financial Economics, Vol. 5, No. 2, (November 1977), pp. 147-175.  [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]