Publications

Browse or search publications from Stanford GSB faculty.

Academic Area
Centers & Initiatives
Results for

Management

Robert L. Joss
Australian Journal of Management August2001 Vol. 26 Pages 89-103.

Estimation of affine asset pricing models using the empirical characteristic function

Kenneth J. Singleton
Journal of Econometrics May2001 Vol. 102 Issue 1 Pages 111-141.

Floating-Fixed Credit Spreads

Darrell Duffie, Jun Liu
Financial Analysts Journal May2001 Vol. 57 Issue 3 Pages 76-87.

Term Structures of Credit Spreads with Incomplete Accounting Information

Darrell Duffie, David Lando
Econometrica May2001 Vol. 69 Issue 3 Pages 633-664.

Analytical Value-at-Risk with Jumps and Credit Risk

Darrell Duffie, Jun Pan
Finance and Stochastics April2001 Vol. 5 Issue 2 Pages 155-180.

Risk and Valuation of Collateralized Debt Obligations

Darrell Duffie, Nicolae Garleanu
Financial Analysts Journal January2001 Vol. 57 Issue 1 Pages 41-59.

A review of “Capital Ideas and Market Realities: Option Replication, Investor Behavior, and Stock Market Crashes,” by Bruce I. Jacobs

Anat R. Admati
Journal of Economic Literature December2000 Vol. 38 Issue 4 Pages 936-991.

Equilibrium with Time-to-Build: A Real-Options Approach

Steven Grenadier
Project Flexibility, Agency, and Competition: New Developments in the Theory and Applications of Real Options Oxford University Press 2000 Pages 275-296.

Forcing Firms to Talk: Financial Disclosure Regulation and Externalities

Anat R. Admati, Paul Pfleiderer
Review of Financial Studies 2000 Vol. 13 Issue 3 Pages 479–519.

Option Exercise Games: The Intersection of Real Options and Game Theory

Steven Grenadier
Journal of Applied Corporate Finance 2000 Vol. 13 Issue 2 Pages 99-107.

Sorting Out Sorts

Jonathan B. Berk
Journal of Finance 2000 Vol. 55 Pages 407-427.

Specification Analysis of Affine Term Structure Models

Qiang Dai, Kenneth J. Singleton
Journal of Finance 2000 Vol. 55 Issue 5 Pages 1943-1978.

Transform Analysis and Asset Pricing for Affine Jump-Diffusions

Darrell Duffie, Jun Pan, Kenneth J. Singleton
Econometrica 2000 Vol. 68 Issue 6 Pages 1343–1376.

Credit Swap Valuation

Darrell Duffie
Financial Analysts Journal January1999 Vol. 55 Issue 1 Pages 73-87.

Information Revelation Through Option Exercise

Steven Grenadier
Review of Financial Studies 1999 Vol. 12 Issue 1 Pages 95-129.

A Liquidity-Based Model of Security Design

Peter M. DeMarzo, Darrell Duffie
Econometrica 1999 Vol. 67 Issue 1 Pages 65–99.

Modeling Term Structures of Defaultable Bond Yields

Darrell Duffie, Kenneth J. Singleton
Review of Financial Studies 1999 Vol. 12 Issue 4 Pages 687-720.

On the Uniqueness of Fully Informative Rational Expectations Equilibria

Peter M. DeMarzo
Economic Theory 1999 Vol. 13 Pages 1-24.

Optimal Incentive Contracts When Agents Can Save, Borrow, and Default

Peter M. DeMarzo
Journal of Financial Intermediation 1999 Vol. 8 Pages 241-269.

Optimal Investment, Growth Options and Security Returns

Jonathan B. Berk, Richard C. Green, Vasant Naik
The Journal of Finance 1999 Vol. 54 Pages 1153-1607.