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Funding Value Adjustments
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Funding Value Adjustments (2017)Funding Value AdjustmentsDeviations from Covered Interest Rate Parity (2018)Deviations from Covered Inter…Financial Intermediaries and the Cross‐Section of Asset Returns (2014)Financial Intermediaries and …Price dispersion in OTC markets: A new measure of liquidity (2010)Price dispersion in OTC marke…Market Liquidity and Funding Liquidity (2007)Market Liquidity and Funding …Financial Intermediation and the Costs of Trading in an Opaque Market (2006)Financial Intermediation and …Stochastic Integration and Differential Equations (2005)Stochastic Integration and Di…Theory of the firm; managerial Behavior, Agency Costs, and Ownership Structure (1996)Theory of the firm; manageria…Swap Rates and Credit Quality (1996)Swap Rates and Credit QualityPricing Swap Default Risk (1994)Pricing Swap Default RiskOne-Factor Interest-Rate Models and the Valuation of Interest-Rate Derivative Securities (1993)One-Factor Interest-Rate Mode…Dynamic Asset Pricing Theory. (1993)Dynamic Asset Pricing Theory.A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time (1992)A Hilbert space proof of the …Equivalent martingale measures and no-arbitrage in stochastic securities market models (1990)Equivalent martingale measure…Prices of State-Contingent Claims Implicit in Option Prices (1978)Prices of State-Contingent Cl…Determinants of corporate borrowing (1977)Determinants of corporate bor…The Cost of Capital, Corporation Finance and the Theory of Investment (1958)The Cost of Capital, Corporat…Dividend Policy, Growth, and the Valuation of Shares (1961)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Corporate financing and investment decisions when firms have information that investors do not have (1984)The Capital Structure Puzzle (1984)A Survey of Corporate Governance (1997)Theory of Value (1959)Implied Binomial Trees (1994)Implied Volatility Functions: Empirical Tests (1998)Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying (2001)Theory of rational option pricing (2005)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Efficient Procedures for Valuing European and American Path-Dependent Options (1993)Valuing American Options in a Path Simulation Model (2002)Term Structure Dynamics in Theory and Reality (2003)The Pricing of Options and Corporate Liabilities (1973)Prospect theory: An analysis of decision under risk (1988)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Introductory Econometrics for Finance (2008)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Law and Finance (1998)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Modeling Sovereign Yield Spreads: A Case Study of Russian Debt (2003)An Empirical Analysis of the Dynamic Relationship between Investment Grade Bonds and Credit Default Swaps (2004)Affine Term Structure Models (2010)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Intermediary asset pricing: New evidence from many asset classes (2017)Taming the Factor Zoo: A Test of New Factors (2020)Agency Costs, Net Worth, And Business Fluctuations (1988)The Limits of Arbitrage (1995)Market Liquidity and Funding Liquidity (2008)When Selling Becomes Viral: Disruptions in Debt Markets in the COVID-19 Crisis and the Fed’s Response (2020)Exchange Rate Disconnect in General Equilibrium (2021)Foreign Safe Asset Demand and the Dollar Exchange Rate (2021)Modeling Term Structures of Defaultable Bonds (1999)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The distribution of realized stock return volatility (2001)INFORMATIONAL ASYMMETRIES, FINANCIAL STRUCTURE, AND FINANCIAL INTERMEDIATION (1977)Reputation Acquisition in Debt Markets (1989)Finance and Growth: Theory and Evidence (2004)
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References

  • 1958The Cost of Capital, Corporation Finance and the Theory of Investment14,494 cited
  • 1977Determinants of corporate borrowing13,160 cited
  • 2005Stochastic Integration and Differential Equations4,594 cited
  • 1996Theory of the firm; managerial Behavior, Agency Costs, and Ownership Structure4,245 cited
  • 1993Dynamic Asset Pricing Theory.2,891 cited
  • 1978Prices of State-Contingent Claims Implicit in Option Prices2,209 cited
  • 2014Financial Intermediaries and the Cross‐Section of Asset Returns847 cited
  • 2018Deviations from Covered Interest Rate Parity722 cited
  • 1996Swap Rates and Credit Quality480 cited
  • 1993One-Factor Interest-Rate Models and the Valuation of Interest-Rate Derivative Securities470 cited
  • 1990Equivalent martingale measures and no-arbitrage in stochastic securities market models421 cited
  • 2006Financial Intermediation and the Costs of Trading in an Opaque Market379 cited
  • 2007Market Liquidity and Funding Liquidity356 cited
  • 1994Pricing Swap Default Risk210 cited
  • 2010Price dispersion in OTC markets: A new measure of liquidity203 cited
  • 1992

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A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time
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