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Fixed Income Markets and their Derivatives.
0 references·16 citing·50 second hopsampled
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  • 2006Search and endogenous concentration of liquidity in asset markets259 cited
  • 2003Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model211 cited
  • 2014Interest‐Rate Modelling190 cited
  • 2004ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications183 cited
  • 2013Money and liquidity in financial markets83 cited
  • 2003Multiple Unit Auctions and Short Squeezes82 cited
  • 2007Underpricing in Discriminatory and Uniform-Price Treasury Auctions80 cited
  • 2011The Economics of Credit Default Swaps69 cited
  • 2005A Search-Based Theory of the On-the-Run Phenomenon69 cited
  • 2010Interest Rate Modelling64 cited
  • 2007The Causal Effect of Mortgage Refinancing on Interest Rate Volatility: Empirical Evidence and Theoretical Implications54 cited
  • 2021Liquidity of the Government of Canada Securities Market: Stylized Facts and Some Market Microstructure Comparisons to the United States Treasury Market42 cited
  • 1996Arbitrage Opportunities in Arbitrage-Free Models of Bond Pricing41 cited
  • 2001Many Faces of Liquidity and Asset Pricing: Evidence from the U.S. Treasury Securities Market37 cited

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  • 1998Pricing corporate debt36 cited
  • 2003Underpricing in Discriminatory and Uniform-Price Treasury Auctions35 cited