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Publications

by members of

Department of Finance
Questrom School of Business
Boston University
Boston, Massachusetts (United States)

These are publications listed in RePEc written by members of the above institution who are registered with the RePEc Author Service. Thus this compiles the works all those currently affiliated with this institution, not those affilated at the time of publication. List of registered members. Register yourself. Citation analysis. Find also a compilation of publications from alumni here.

This page is updated in the first days of each month.

| Working papers | Journal articles |

Working papers

Undated material is listed at the end

2023

  1. Tony Berrada & Jerome Detemple & Marcel Rindisbacher, 2023. "Volatility during the COVID-19 Pandemic," Swiss Finance Institute Research Paper Series 23-95, Swiss Finance Institute.

2022

  1. Jerome Detemple & Scott Robertson, 2022. "Dynamic Equilibrium with Insider Information and General Uninformed Agent Utility," Papers 2211.15573, arXiv.org, revised Mar 2024.

2020

  1. Jerôme Detemple & Souleymane Laminou Abdou & Franck Moraux, 2020. "American Step Options," Post-Print halshs-02283374, HAL.

2018

  1. Hackbarth, Dirk & Taub, Bart, 2018. "Does the Potential to Merge Reduce Competition?," CEPR Discussion Papers 12732, C.E.P.R. Discussion Papers.
  2. Hackbarth, Dirk & Rivera, Alejandro & Wong, Tak-Yuen, 2018. "Optimal Short-Termism," CEPR Discussion Papers 12588, C.E.P.R. Discussion Papers.

2017

  1. Hackbarth, Dirk & Gu, Lifeng & Johnson, Timothy, 2017. "Inflexibility and Stock Returns," CEPR Discussion Papers 12441, C.E.P.R. Discussion Papers.
  2. Zechner, Josef & Choi, Jaewon & Hackbarth, Dirk, 2017. "Corporate Debt Maturity Profiles," CEPR Discussion Papers 12289, C.E.P.R. Discussion Papers.
  3. Jerome Detemple & Yerkin Kitapbayev, 2017. "American Options with Discontinuous Two-Level Caps," Papers 1707.06138, arXiv.org.

2016

  1. Jerome Detemple & Yerkin Kitapbayev, 2016. "On American VIX options under the generalized 3/2 and 1/2 models," Papers 1606.00530, arXiv.org, revised Jul 2017.

2015

  1. Fulghieri, Paolo & Hackbarth, Dirk & Garcia, Diego, 2015. "Asymmetric information, security design, and the pecking (dis)order," CEPR Discussion Papers 10660, C.E.P.R. Discussion Papers.
  2. Rui Albuquerque & Martin Eichenbaum & Dimitris Papanikolaou & Sergio Rebelo, 2015. "Long-run Bulls and Bears," NBER Working Papers 20858, National Bureau of Economic Research, Inc.

2014

  1. Vayanos, Dimitri & Woolley, Paul & ,, 2014. "Asset Management Contracts and Equilibrium Prices," CEPR Discussion Papers 10152, C.E.P.R. Discussion Papers.

2013

  1. Tony Berrada & Jerome Detemple & Marcel Rindisbacher, 2013. "Asset Pricing with Regime-Dependent Preferences and Learning," Swiss Finance Institute Research Paper Series 13-44, Swiss Finance Institute, revised Oct 2013.
  2. Arnold, Marc & Hackbarth, Dirk & Puhan, Tatjana-Xenia, 2013. "Financing Asset Sales and Business Cycles," Working Papers on Finance 1320, University of St. Gallen, School of Finance.
  3. Choi, Jaewon & Hackbarth, Dirk & Zechner, Josef, 2013. "Granularity of corporate debt," CFS Working Paper Series 2013/26, Center for Financial Studies (CFS).

2012

  1. Murillo Campello & Dirk Hackbarth, 2012. "The Firm-Level Credit Multiplier," NBER Working Papers 17805, National Bureau of Economic Research, Inc.
  2. Albuquerque, Rui & Schroth, Enrique, 2012. "The Value of Control and the Costs of Illiquidity," CEPR Discussion Papers 9090, C.E.P.R. Discussion Papers.
  3. Rui Albuquerque & Martin S. Eichenbaum & Sergio Rebelo, 2012. "Valuation Risk and Asset Pricing," NBER Working Papers 18617, National Bureau of Economic Research, Inc.

2011

  1. Heitor Almeida & Murillo Campello & Dirk Hackbarth, 2011. "Liquidity Mergers," NBER Working Papers 16724, National Bureau of Economic Research, Inc.
  2. Albuquerque, Rui & Watugala, Sumudu, 2011. "Trade Credit and International Return Comovement," CEPR Discussion Papers 8222, C.E.P.R. Discussion Papers.

2010

  1. Albuquerque, Rui, 2010. "Skewness in Stock Returns:Reconciling the Evidence on Firm versus Aggregate Returns," CEPR Discussion Papers 7896, C.E.P.R. Discussion Papers.

2009

  1. Albuquerque, Rui & Schroth, Enrique, 2009. "Quantifying private benefits of control from a structural model of block trades," CEPR Discussion Papers 7358, C.E.P.R. Discussion Papers.
  2. Albuquerque, Rui, 2009. "Skewness in Stock Returns, Periodic Cash Payouts, and Investor Heterogeneity," CEPR Discussion Papers 7573, C.E.P.R. Discussion Papers.

2008

  1. Albuquerque, Rui & Schroth, Enrique, 2008. "Determinants of the Block Premium and of Private Benefits of Control," CEPR Discussion Papers 6742, C.E.P.R. Discussion Papers.

2007

  1. Dirk Hackbarth & Jianjun Maio, 2007. "The Dynamics of Mergers and Acquisitions in Oligopolistic Industries," Boston University - Department of Economics - Working Papers Series WP2007-017, Boston University - Department of Economics.

2006

  1. Andrea Buffa & Giovanna Nicodano, 2006. "Should Insider Trading be Prohibited when Share Repurchases are Allowed?," Carlo Alberto Notebooks 16, Collegio Carlo Alberto.
  2. Andrea Buffa & Chiara Monticone, 2006. "Do European Pension Reforms Improve the Adequacy of Saving?," CeRP Working Papers 50, Center for Research on Pensions and Welfare Policies, Turin (Italy).
  3. Dirk Hackbarth & Erwan Morellec, 2006. "Stock Returns in Mergers and Acquisitions," Swiss Finance Institute Research Paper Series 06-01, Swiss Finance Institute.
  4. Rui Albuquerque & Jianjun Miao, 2006. "CEO Power, Compensation, and Governance," Boston University - Department of Economics - Working Papers Series WP2006-034, Boston University - Department of Economics.
  5. Albuquerque, Rui & Vega, Clara, 2006. "Asymmetric Information in the Stock Market: Economic News and Co-movement," CEPR Discussion Papers 5598, C.E.P.R. Discussion Papers.
  6. Albuquerque, Rui & Marques, Luis & de Francisco, Eva, 2006. "Marketwide Private Information in Stocks: Forecasting Currency Returns," CEPR Discussion Papers 5604, C.E.P.R. Discussion Papers.
  7. Schneider, Martin & Albuquerque, Rui & ,, 2006. "Global Private Information in International Equity Markets," CEPR Discussion Papers 5819, C.E.P.R. Discussion Papers.

2005

  1. Tony Berrada & Julien Hugonnier & Marcel Rindisbacher, 2005. "Trading Volumes in Dynamically Efficient Markets," FAME Research Paper Series rp139, International Center for Financial Asset Management and Engineering.
  2. Albuquerque, Rui & Wang, Neng, 2005. "Agency Conflicts, Investment and Asset Pricing," CEPR Discussion Papers 4955, C.E.P.R. Discussion Papers.
  3. Mark Loewenstein & Jerome Detemple & Suresh Govindaraj, 2005. "Wealth-Robust Intertemporal Incentive Contracts," Computing in Economics and Finance 2005 171, Society for Computational Economics.

2004

  1. Dirk Hackbarth & Jianjun Miao & Erwan Morellec, 2004. "Capital Structure, Credit Risk, and Macroeconomic Conditions," FAME Research Paper Series rp125, International Center for Financial Asset Management and Engineering.
  2. Rui Albuquerque & Gregory Bauer & Martin Schneider, 2004. "International Equity Flows and Returns: A Quantitative Equilibrium Approach," Staff Working Papers 04-42, Bank of Canada.
  3. Neng Wang & Rui Albuquerque, 2004. "Investor Protection and Exchange Rates," 2004 Meeting Papers 685, Society for Economic Dynamics.
  4. Rui Albuquerque, 2004. "Optimal Currency Hedging," Finance 0405010, University Library of Munich, Germany.
  5. Rui Albuquerque, 2004. "The Composition of International Capital Flows: Risk Sharing Through Foreign Direct Investment," International Finance 0405004, University Library of Munich, Germany.
  6. Rui Albuquerque & Gregory Bauer & Martin Schneider, 2004. "Characterizing Asymmetric Information in International Equity Markets," International Finance 0405005, University Library of Munich, Germany.
  7. Rui Albuquerque, 2004. "The Forward Premium Puzzle in a Model of Imperfect Information: Theory and Evidence," International Finance 0405007, University Library of Munich, Germany.

2003

  1. Jérôme Detemple & René Garcia & Marcel Rindisbacher, 2003. "Asymptotic Properties of Monte Carlo Estimators of Diffusion Processes," CIRANO Working Papers 2003s-11, CIRANO.
  2. Albuquerque,Rui Andre Pinto De & Loayza,Norman V. & Serven,Luis & Albuquerque, Rui*Loayza, Norman*Serven, Luis, 2003. "World market integration through the lens of foreign direct investors," Policy Research Working Paper Series 3060, The World Bank.

2002

  1. Rui Albuquerque & Hugo Hopenhayn, 2002. "Optimal Lending Contracts and Firm Dynamics," RCER Working Papers 493, University of Rochester - Center for Economic Research (RCER).

2000

  1. Jérôme Detemple & René Garcia & Marcel Rindisbacher, 2000. "A Monte-Carlo Method for Optimal Portfolios," CIRANO Working Papers 2000s-05, CIRANO.

1999

  1. Jérôme Detemple & Suresh Sundaresan, 1999. "Non-Traded Asset Valuation with Portfolio Constraints: A Binomial Approach," CIRANO Working Papers 99s-08, CIRANO.
  2. Jérôme Detemple & Carlton Osakwe, 1999. "The Valuation of Volatility Options," CIRANO Working Papers 99s-43, CIRANO.
  3. Jérôme Detemple, 1999. "American Options: Symmetry Properties," CIRANO Working Papers 99s-45, CIRANO.

1998

  1. Rui Albuquerque & Sergio Rebelo, 1998. "On the Dynamics of Trade Reform," NBER Working Papers 6700, National Bureau of Economic Research, Inc.
  2. Jérôme Detemple & Angel Serrat, 1998. "Dynamic Equilibrium with Liquidity Constraints," CIRANO Working Papers 98s-41, CIRANO.

1997

  1. Albuquerque, R. & Hopenhayn, H.A., 1997. "Optimal Dynamic Lending Contracts with Imperfect Enforceability," RCER Working Papers 439, University of Rochester - Center for Economic Research (RCER).
  2. Jérôme Detemple & Piero Gottardi, 1997. "Aggregation, Efficiency and Mutual Fund Separation in Incomplete Markets," CIRANO Working Papers 97s-11, CIRANO.
  3. Jérôme Detemple & Shashidhar Murthy, 1997. "Equilibrium Asset Prices and No-Arbitrage with Portfolio Constraints," CIRANO Working Papers 97s-12, CIRANO.

1996

  1. Mark Broadie & Jérôme Detemple, 1996. "American Options on Dividend-Paying Assets," CIRANO Working Papers 96s-16, CIRANO.
  2. Mark Broadie & Jérôme Detemple, 1996. "Recent Advances in Numerical Methods for Pricing Derivative Securities," CIRANO Working Papers 96s-17, CIRANO.
  3. Mark Broadie & Jérôme Detemple & Eric Ghysels & Olivier Torrès, 1996. "Nonparametric Estimation of American Options Exercise Boundaries and Call Prices," CIRANO Working Papers 96s-24, CIRANO.
  4. Mark Broadie & Jérôme Detemple & Eric Ghysels & Olivier Torrès, 1996. "American Options with Stochastic Dividends and Volatility: A Nonparametric Investigation," CIRANO Working Papers 96s-26, CIRANO.

1995

  1. Jérôme Detemple & Christos I. Giannikos, 1995. "Asset and Commodity Prices with Multiattribute Durable Goods," CIRANO Working Papers 95s-47, CIRANO.

1994

  1. Mark Broadie & Jérôme Detemple, 1994. "American Capped Call Options on Dividend Paying Assets," CIRANO Working Papers 94s-01, CIRANO.
  2. Mark Broadie & Jérôme Detemple, 1994. "American Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methods," CIRANO Working Papers 94s-07, CIRANO.
  3. Mark Broadie & Jérôme Detemple, 1994. "The Valuation of American Options on Multiple Assets," CIRANO Working Papers 94s-08, CIRANO.

1993

  1. Broadie, M. & Detemple, J., 1993. "Bounds and Approximations for American Option Values," Papers 93-07, Columbia - Graduate School of Business.

1990

  1. Detemple, J. & Gottardi, P. & Polemarchakis, H., 1990. "The relevance of financial policy," LIDAM Discussion Papers CORE 1990011, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).

1989

  1. Detemple, J.B., 1989. "Financial Innovation, Values And Volatilities When Markets Are Incomplete," Papers fb-89-12, Columbia - Graduate School of Business.
  2. Detemple, J.B. & Jorion, P., 1989. "Option Listing And Stock Returns," Papers fb-_89-13, Columbia - Graduate School of Business.
  3. Brennan, M. & Detemple, J. & Kalay, A., 1989. "Boud Covenants And The Valuation Of Risk Debt: A New Approach," Papers fb-_90-01, Columbia - Graduate School of Business.
  4. Detemple, J. & Zapatero, F., 1989. "Optimal Consumption-Portfolio Policies With Habit Formation," Papers fb-_90-02, Columbia - Graduate School of Business.

Undated

  1. Dirk Hackbarth & Jianjun Miao, "undated". "The Timing and Returns of Mergers and Acquisitions in Oligopolistic Industries," Boston University - Department of Economics - Working Papers Series wp2008-022, Boston University - Department of Economics.
  2. Rui Albuquerque & Jianjun Miao, "undated". "Advance Information and Asset Prices," Boston University - Department of Economics - Working Papers Series wp2009-017, Boston University - Department of Economics.

Journal articles

2022

  1. Detemple, Jerome & Rindisbacher, Marcel & Robertson, Scott, 2022. "Dynamic noisy rational expectations equilibrium with insider information: Welfare and regulation," Journal of Economic Dynamics and Control, Elsevier, vol. 141(C).
  2. Detemple, Jerome & Kitapbayev, Yerkin, 2022. "Optimal technology adoption for power generation," Energy Economics, Elsevier, vol. 111(C).
  3. Jerome Detemple, 2022. "Asset Prices and Pandemics: The Effects of Lockdowns," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 12(01), pages 1-43, March.

2021

  1. Jerome Detemple & Yerkin Kitapbayev, 2021. "Optimal Power Investment and Pandemics: A Micro-Economic Analysis," Energies, MDPI, vol. 14(4), pages 1-25, February.
  2. Jerome Detemple & Yerkin Kitapbayev, 2021. "Callable barrier reverse convertible securities," Quantitative Finance, Taylor & Francis Journals, vol. 21(9), pages 1519-1532, September.

2020

  1. Jerome Detemple & Marcel Rindisbacher & Scott Robertson, 2020. "Dynamic Noisy Rational Expectations Equilibrium With Insider Information," Econometrica, Econometric Society, vol. 88(6), pages 2697-2737, November.
  2. Detemple, Jérôme & Laminou Abdou, Souleymane & Moraux, Franck, 2020. "American step options," European Journal of Operational Research, Elsevier, vol. 282(1), pages 363-385.
  3. Detemple, Jerome & Kitapbayev, Yerkin, 2020. "The value of green energy under regulation uncertainty," Energy Economics, Elsevier, vol. 89(C).
  4. Jerome Detemple & Yerkin Kitapbayev & Philip Strahan, 2020. "The Value of Green Energy: Optimal Investment in Mutually Exclusive Projects and Operating Leverage," The Review of Financial Studies, Society for Financial Studies, vol. 33(7), pages 3307-3347.

2018

  1. Berrada, Tony & Detemple, Jérôme & Rindisbacher, Marcel, 2018. "Asset pricing with beliefs-dependent risk aversion and learning," Journal of Financial Economics, Elsevier, vol. 128(3), pages 504-534.
  2. Jérôme Detemple & Yerkin Kitapbayev, 2018. "On American VIX options under the generalized 3/2 and 1/2 models," Mathematical Finance, Wiley Blackwell, vol. 28(2), pages 550-581, April.
  3. Jerome Detemple & Yerkin Kitapbayev, 2018. "Optimal Investment under Cost Uncertainty," Risks, MDPI, vol. 6(1), pages 1-19, January.

2017

  1. Rüdiger Fahlenbrach & Dirk Hackbarth & Jörg Rocholl & Erik Theissen & Marliese Uhrig-Homburg, 2017. "The Future of Corporate Financing in Europe," Schmalenbach Business Review, Springer;Schmalenbach-Gesellschaft, vol. 18(3), pages 179-180, August.

2015

  1. Dirk Hackbarth & Rainer Haselmann & David Schoenherr, 2015. "Financial Distress, Stock Returns, and the 1978 Bankruptcy Reform Act," The Review of Financial Studies, Society for Financial Studies, vol. 28(6), pages 1810-1847.
  2. Dirk Hackbarth & Timothy Johnson, 2015. "Real Options and Risk Dynamics," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 82(4), pages 1449-1482.

2014

  1. Dirk Hackbarth & Richmond Mathews & David Robinson, 2014. "Capital Structure, Product Market Dynamics, and the Boundaries of the Firm," Management Science, INFORMS, vol. 60(12), pages 2971-2993, December.
  2. Jérôme Detemple, 2014. "Optimal Exercise for Derivative Securities," Annual Review of Financial Economics, Annual Reviews, vol. 6(1), pages 459-487, December.
  3. Jérôme Detemple, 2014. "Portfolio Selection: A Review," Journal of Optimization Theory and Applications, Springer, vol. 161(1), pages 1-21, April.

2013

  1. Jérome Detemple & Marcel Rindisbacher, 2013. "A Structural Model of Dynamic Market Timing," The Review of Financial Studies, Society for Financial Studies, vol. 26(10), pages 2492-2547.
  2. Lifeng Gu & Dirk Hackbarth, 2013. "Governance and Equity Prices: Does Transparency Matter?," Review of Finance, European Finance Association, vol. 17(6), pages 1989-2033.

2012

  1. Dirk Hackbarth & David C. Mauer, 2012. "Optimal Priority Structure, Capital Structure, and Investment," The Review of Financial Studies, Society for Financial Studies, vol. 25(3), pages 747-796.
  2. Hackbarth, Dirk & Miao, Jianjun, 2012. "The dynamics of mergers and acquisitions in oligopolistic industries," Journal of Economic Dynamics and Control, Elsevier, vol. 36(4), pages 585-609.
  3. Campello, Murillo & Hackbarth, Dirk, 2012. "The firm-level credit multiplier," Journal of Financial Intermediation, Elsevier, vol. 21(3), pages 446-472.
  4. Rui Albuquerque, 2012. "Skewness in Stock Returns: Reconciling the Evidence on Firm Versus Aggregate Returns," The Review of Financial Studies, Society for Financial Studies, vol. 25(5), pages 1630-1673.
  5. Jérôme Detemple & Weidong Tian & Jie Xiong, 2012. "An optimal stopping problem with a reward constraint," Finance and Stochastics, Springer, vol. 16(3), pages 423-448, July.

2011

  1. Almeida, Heitor & Campello, Murillo & Hackbarth, Dirk, 2011. "Liquidity mergers," Journal of Financial Economics, Elsevier, vol. 102(3), pages 526-558.

2010

  1. Jérome Detemple & Marcel Rindisbacher, 2010. "Dynamic Asset Allocation: Portfolio Decomposition Formula and Applications," The Review of Financial Studies, Society for Financial Studies, vol. 23(1), pages 25-100, January.
  2. Güntay, Levent & Hackbarth, Dirk, 2010. "Corporate bond credit spreads and forecast dispersion," Journal of Banking & Finance, Elsevier, vol. 34(10), pages 2328-2345, October.
  3. Gençay, Ramo & Yaron, Amir & Hackbarth, Dirk & Eisfeldt, Andrea, 2010. "Editorial for Challenge," Finance Research Letters, Elsevier, vol. 7(1), pages 1-1, March.
  4. Albuquerque, Rui & Schroth, Enrique, 2010. "Quantifying private benefits of control from a structural model of block trades," Journal of Financial Economics, Elsevier, vol. 96(1), pages 33-55, April.
  5. Albuquerque, Rui, 2010. "Comment on: "Optimal taxation in the presence of bailouts"," Journal of Monetary Economics, Elsevier, vol. 57(1), pages 117-119, January.

2009

  1. Zvi Bodie & Jérôme Detemple & Marcel Rindisbacher, 2009. "Life-Cycle Finance and the Design of Pension Plans," Annual Review of Financial Economics, Annual Reviews, vol. 1(1), pages 249-286, November.
  2. Hackbarth, Dirk, 2009. "Determinants of corporate borrowing: A behavioral perspective," Journal of Corporate Finance, Elsevier, vol. 15(4), pages 389-411, September.
  3. Albuquerque, Rui & H. Bauer, Gregory & Schneider, Martin, 2009. "Global private information in international equity markets," Journal of Financial Economics, Elsevier, vol. 94(1), pages 18-46, October.
  4. Rui Albuquerque & Clara Vega, 2009. "Economic News and International Stock Market Co-movement," Review of Finance, European Finance Association, vol. 13(3), pages 401-465.
  5. Detemple, Jérôme & Emmerling, Thomas, 2009. "American chooser options," Journal of Economic Dynamics and Control, Elsevier, vol. 33(1), pages 128-153, January.

2008

  1. Detemple, Jérôme & Rindisbacher, Marcel, 2008. "Dynamic asset liability management with tolerance for limited shortfalls," Insurance: Mathematics and Economics, Elsevier, vol. 43(3), pages 281-294, December.
  2. Andrea M. Buffa & Giovanna Nicodano, 2008. "Should Insider Trading be Prohibited when Share Repurchases are Allowed?," Review of Finance, European Finance Association, vol. 12(4), pages 735-765.
  3. Dirk Hackbarth & Erwan Morellec, 2008. "Stock Returns in Mergers and Acquisitions," Journal of Finance, American Finance Association, vol. 63(3), pages 1213-1252, June.
  4. Hackbarth, Dirk, 2008. "Managerial Traits and Capital Structure Decisions," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 43(4), pages 843-881, December.
  5. Rui Albuquerue & Neng Wang, 2008. "Agency Conflicts, Investment, and Asset Pricing," Journal of Finance, American Finance Association, vol. 63(1), pages 1-40, February.
  6. Rui Albuquerque & Eva De Francisco & Luis B. Marques, 2008. "Marketwide Private Information in Stocks: Forecasting Currency Returns," Journal of Finance, American Finance Association, vol. 63(5), pages 2297-2343, October.
  7. Albuquerque, Rui, 2008. "The forward premium puzzle in a model of imperfect information," Economics Letters, Elsevier, vol. 99(3), pages 461-464, June.

2007

  1. Detemple, Jerome & Rindisbacher, Marcel, 2007. "Monte Carlo methods for derivatives of options with discontinuous payoffs," Computational Statistics & Data Analysis, Elsevier, vol. 51(7), pages 3393-3417, April.
  2. Berrada, Tony & Hugonnier, Julien & Rindisbacher, Marcel, 2007. "Heterogeneous preferences and equilibrium trading volume," Journal of Financial Economics, Elsevier, vol. 83(3), pages 719-750, March.
  3. Dirk Hackbarth & Christopher A. Hennessy & Hayne E. Leland, 2007. "Can the Trade-off Theory Explain Debt Structure?," The Review of Financial Studies, Society for Financial Studies, vol. 20(5), pages 1389-1428, 2007 04.
  4. Albuquerque, Rui, 2007. "Optimal currency hedging," Global Finance Journal, Elsevier, vol. 18(1), pages 16-33.

2006

  1. Detemple, Jerome & Garcia, Rene & Rindisbacher, Marcel, 2006. "Asymptotic properties of Monte Carlo estimators of diffusion processes," Journal of Econometrics, Elsevier, vol. 134(1), pages 1-68, September.
  2. Hackbarth, Dirk & Miao, Jianjun & Morellec, Erwan, 2006. "Capital structure, credit risk, and macroeconomic conditions," Journal of Financial Economics, Elsevier, vol. 82(3), pages 519-550, December.

2005

  1. Detemple, Jérôme & Garcia, René & Rindisbacher, Marcel, 2005. "Intertemporal asset allocation: A comparison of methods," Journal of Banking & Finance, Elsevier, vol. 29(11), pages 2821-2848, November.
  2. Jér^me Detemple & Marcel Rindisbacher, 2005. "Closed‐Form Solutions For Optimal Portfolio Selection With Stochastic Interest Rate And Investment Constraints," Mathematical Finance, Wiley Blackwell, vol. 15(4), pages 539-568, October.
  3. Jérôme Detemple & René Garcia & Marcel Rindisbacher, 2005. "Representation formulas for Malliavin derivatives of diffusion processes," Finance and Stochastics, Springer, vol. 9(3), pages 349-367, July.
  4. Jérôme Detemple & René Garcia & Marcel Rindisbacher, 2005. "Asymptotic Properties of Monte Carlo Estimators of Derivatives," Management Science, INFORMS, vol. 51(11), pages 1657-1675, November.
  5. Albuquerque, Rui & Loayza, Norman & Serven, Luis, 2005. "World market integration through the lens of foreign direct investors," Journal of International Economics, Elsevier, vol. 66(2), pages 267-295, July.

2004

  1. Andrea Marcello Buffa, 2004. "Strategic Insider Trading with Imperfect Information: A Trading Volume Analysis," Rivista di Politica Economica, SIPI Spa, vol. 94(6), pages 101-143, November-.
  2. Bodie, Zvi & Detemple, Jerome B. & Otruba, Susanne & Walter, Stephan, 2004. "Optimal consumption-portfolio choices and retirement planning," Journal of Economic Dynamics and Control, Elsevier, vol. 28(6), pages 1115-1148, March.
  3. Mark Broadie & Jerome B. Detemple, 2004. "ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications," Management Science, INFORMS, vol. 50(9), pages 1145-1177, September.

2003

  1. Jérôme B. Detemple & Ren Garcia & Marcel Rindisbacher, 2003. "A Monte Carlo Method for Optimal Portfolios," Journal of Finance, American Finance Association, vol. 58(1), pages 401-446, February.
  2. Albuquerque, Rui, 2003. "The composition of international capital flows: risk sharing through foreign direct investment," Journal of International Economics, Elsevier, vol. 61(2), pages 353-383, December.
  3. Detemple, Jerome B. & Karatzas, Ioannis, 2003. "Non-addictive habits: optimal consumption-portfolio policies," Journal of Economic Theory, Elsevier, vol. 113(2), pages 265-285, December.
  4. Jérôme Detemple & Angel Serrat, 2003. "Dynamic Equilibrium with Liquidity Constraints," The Review of Financial Studies, Society for Financial Studies, vol. 16(2), pages 597-629.

2002

  1. Detemple, Jerome B., 2002. "Asset pricing in an intertemporal partially-revealing rational expectations equilibrium," Journal of Mathematical Economics, Elsevier, vol. 38(1-2), pages 219-248, September.
  2. Jérôme Detemple & Weidong Tian, 2002. "The Valuation of American Options for a Class of Diffusion Processes," Management Science, INFORMS, vol. 48(7), pages 917-937, July.
  3. J. B. Detemple, 2002. "Book Reviews," Journal of Economics, Springer, vol. 75(2), pages 189-194, March.

2000

  1. Albuquerque, Rui & Rebelo, Sergio, 2000. "On the dynamics of trade reform," Journal of International Economics, Elsevier, vol. 51(1), pages 21-47, June.
  2. Broadie, Mark & Detemple, Jerome & Ghysels, Eric & Torres, Olivier, 2000. "Nonparametric estimation of American options' exercise boundaries and call prices," Journal of Economic Dynamics and Control, Elsevier, vol. 24(11-12), pages 1829-1857, October.
  3. Broadie, Mark & Detemple, Jerome & Ghysels, Eric & Torres, Olivier, 2000. "American options with stochastic dividends and volatility: A nonparametric investigation," Journal of Econometrics, Elsevier, vol. 94(1-2), pages 53-92.
  4. Jérôme Detemple & Carlton Osakwe, 2000. "The Valuation of Volatility Options," Review of Finance, European Finance Association, vol. 4(1), pages 21-50.

1999

  1. Detemple, Jerome & Sundaresan, Suresh, 1999. "Nontraded Asset Valuation with Portfolio Constraints: A Binomial Approach," The Review of Financial Studies, Society for Financial Studies, vol. 12(4), pages 835-872.

1998

  1. Jérôme Detemple, 1998. "Generalized optimal stopping problems and financial markets, by Dennis Wong," International Journal of Stochastic Analysis, Hindawi, vol. 11, pages 1-2, January.
  2. JÊrÆme B. Detemple & Piero Gottardi, 1998. "Aggregation, efficiency and mutual fund separation in incomplete markets," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 11(2), pages 443-455.

1997

  1. Mark Broadie & Jérôme Detemple, 1997. "The Valuation of American Options on Multiple Assets," Mathematical Finance, Wiley Blackwell, vol. 7(3), pages 241-286, July.
  2. Detemple, Jerome & Murthy, Shashidhar, 1997. "Equilibrium Asset Prices and No-Arbitrage with Portfolio Constraints," The Review of Financial Studies, Society for Financial Studies, vol. 10(4), pages 1133-1174.

1996

  1. Detemple, Jerome B. & Giannikos, Christos I., 1996. "Asset and commodity prices with multi-attribute durable goods," Journal of Economic Dynamics and Control, Elsevier, vol. 20(8), pages 1451-1504, August.
  2. Broadie, Mark & Detemple, Jerome, 1996. "American Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methods," The Review of Financial Studies, Society for Financial Studies, vol. 9(4), pages 1211-1250.

1995

  1. Detemple, J. & Gottardi, P. & Polemarchakis, H. M., 1995. "The relevance of financial policy," European Economic Review, Elsevier, vol. 39(6), pages 1133-1154, June.
  2. Broadie, Mark & Detemple, Jerome, 1995. "American Capped Call Options on Dividend-Paying Assets," The Review of Financial Studies, Society for Financial Studies, vol. 8(1), pages 161-191.

1994

  1. Guido Kürsteiner & Marcel Rindisbacher, 1994. "Real Business Cycle Models - Some Evidence for Switzerland," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 130(I), pages 21-43, March.
  2. Detemple Jerome & Murthy Shashidhar, 1994. "Intertemporal Asset Pricing with Heterogeneous Beliefs," Journal of Economic Theory, Elsevier, vol. 62(2), pages 294-320, April.

1993

  1. Detemple, Jérôme, 1993. "Demande de portefeuille et politique de couverture de risque sous information incomplète," L'Actualité Economique, Société Canadienne de Science Economique, vol. 69(1), pages 45-70, mars.

1992

  1. Jerome B. Detemple & Fernando Zapatero, 1992. "Optimal Consumption‐Portfolio Policies With Habit Formation1," Mathematical Finance, Wiley Blackwell, vol. 2(4), pages 251-274, October.

1991

  1. Detemple, Jerome B & Zapatero, Fernando, 1991. "Asset Prices in an Exchange Economy with Habit Formation," Econometrica, Econometric Society, vol. 59(6), pages 1633-1657, November.
  2. Detemple, Jerome B., 1991. "Further results on asset pricing with incomplete information," Journal of Economic Dynamics and Control, Elsevier, vol. 15(3), pages 425-453, July.
  3. Detemple, Jerome B & Selden, Larry, 1991. "A General Equilibrium Analysis of Option and Stock Market Interactions," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 32(2), pages 279-303, May.

1990

  1. Detemple, Jerome & Jorion, Philippe, 1990. "Option listing and stock returns : An empirical analysis," Journal of Banking & Finance, Elsevier, vol. 14(4), pages 781-801, October.
  2. Jerome B. Detemple, 1990. "Financial Innovation, Values and Volatilities when Markets Are Incomplete*," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 15(1), pages 47-53, March.

1988

  1. Michael Adler & Jerome Detemple, 1988. "Hedging with futures in an intertemporal portfolio context," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 8(3), pages 249-269, June.

1987

  1. Detemple, Jérôme B. & Kihlstrom, Richard E., 1987. "Acquisition d’information dans un modèle intertemporel en temps continu," L'Actualité Economique, Société Canadienne de Science Economique, vol. 63(2), pages 118-137, juin et s.

1986

  1. Detemple, Jerome B, 1986. "Asset Pricing in a Production Economy with Incomplete Information," Journal of Finance, American Finance Association, vol. 41(2), pages 383-391, June.

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