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Dynamic Asset Pricing Theory
"Dynamic Asset Pricing Theory" is a textbook for doctoral students and researchers on the theory of asset pricing and portfolio selection in multiperiod settings under uncertainty. The asset pricingExpand
Modeling term structures of defaultable bonds
This article presents convenient reduced-form models of the valuation of contingent claims subject to default risk, focusing on applications to the term structure of interest rates for corporate orExpand
Term Structures of Credit Spreads with Incomplete Accounting Information
We study the implications of imperfect information for term structures of credit spreads on corporate bonds. We suppose that bond investors cannot observe the issuer's assets directly, and receiveExpand
This paper presents a consistent and arbitrage-free multifactor model of the term structure of interest rates in which yields at selected fixed maturities follow a parametric muitivariate MarkovExpand
Asset Pricing with Heterogeneous Consumers
Empirical difficulties encountered by representative-consumer models are resolved in an economy with heterogeneity in the form of uninsurable, persistent, and heteroscedastic labor income shocks.Expand
Bank Lines of Credit in Corporate Finance: An Empirical Analysis
I empirically examine the factors that determine whether firms use bank lines of credit or cash in corporate liquidity management. Bank lines of credit, also known as revolving credit facilities, areExpand
Stochastic differential utility
A stochastic differential formulation of recursive utility is given sufficient conditions for existence, uniqueness, time consistency, monotonicity, continuity, risk aversion, concavity, and otherExpand
Affine Processes and Application in Finance
We provide the definition and a complete characterization of regular affine processes. This type of process unifies the concepts of continuousstate branching processes with immigration andExpand
Credit Swap Valuation
This review of the pricing of credit swaps, a form of derivative security that can be viewed as default insurance on loans or bonds, begins with a description of the credit swap contract, turns toExpand
Over-the-Counter Markets
We study how intermediation and asset prices in over-the-counter markets are affected by illiquidity associated with search and bargaining. We compute explicitly the prices at which investors tradeExpand