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Publications

by alumni of

Anderson Graduate School of Management
University of California-Los Angeles (UCLA)
Los Angeles, California (United States)

These are publications listed in RePEc written by alumni of the above institution who are registered with the RePEc Author Service and listed in the RePEc Genealogy. List of alumni. For a list of publications by current members of the department, see here. Register yourself.

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

| Working papers | Journal articles | Chapters |

Working papers

2022

  1. Florian Ederer & Bruno Pellegrino, 2022. "A Tale of Two Networks: Common Ownership and Product Market Rivalry," NBER Working Papers 30004, National Bureau of Economic Research, Inc.
  2. P. Carr & A. Itkin & D. Muravey, 2022. "Semi-analytical pricing of barrier options in the time-dependent Heston model," Papers 2202.06177, arXiv.org.

2021

  1. Elias Albagli & Mario Canales & Chad Syverson & Matias Tapia & Juan Wlasiuk, 2021. "Productivity Growth and Workers’ Job Transitions: Evidence from Censal Microdata," NBER Working Papers 28657, National Bureau of Economic Research, Inc.
  2. Cusolito,Ana Paula,Garcia Marin,Alvaro Felipe,Maloney,William F., 2021. "Proximity to the Frontier, Markups, and the Response of Innovation to Foreign Competition : Evidence from Matched Production-Innovation Surveys in Chile," Policy Research Working Paper Series 9757, The World Bank.
  3. Bruno Pellegrino & Enrico Spolaore & Romain Wacziarg, 2021. "Barriers to Global Capital Allocation," NBER Working Papers 28694, National Bureau of Economic Research, Inc.
  4. Peter Carr & Roger Lee & Matthew Lorig, 2021. "Robust Replication of Volatility and Hybrid Derivatives on Jump Diffusions," Papers 2107.00554, arXiv.org.

2020

  1. Xingwei Hu, 2020. "Sorting Big Data by Revealed Preference with Application to College Ranking," Papers 2003.12198, arXiv.org.
  2. Arthur Hu & Xingwei Hu & Hui Tong, 2020. "Globalization? Trade War? A Counterbalance Perspective," Papers 2009.03436, arXiv.org, revised Oct 2022.
  3. Alvaro Garcia Marin & Andrei V. Potlogea & Nico Voigtländer & Yang Yang, 2020. "Cities, Productivity, and Trade," NBER Working Papers 28309, National Bureau of Economic Research, Inc.
  4. Ananyev, Maxim & Poyker, Michael & Tian, Yuan, 2020. "The Safest Time to Fly: Pandemic Response in the Era of Fox News," GLO Discussion Paper Series 742, Global Labor Organization (GLO).
  5. Thiemo R. Fetzer & Marc Witte & Lukas Hensel & Jon Jachimowicz & Johannes Haushofer & Andriy Ivchenko & Stefano Caria & Elena Reutskaja & Christopher P. Roth & Stefano Fiorin & Margarita Gómez & Gordo, 2020. "Global Behaviors and Perceptions at the Onset of the COVID-19 Pandemic," NBER Working Papers 27082, National Bureau of Economic Research, Inc.
  6. Caria, Stefano & Fetzer, Thiemo & Fiorin, Stefano & Goetz, Friedrich & Gomez, Margarita & Haushofer, Johannes & Hensel, Lukas & Ivchenko, Andriy & Jachimowicz, Jon M. & Kraft-Todd, Gordon & Reutskaja,, 2020. "Global Behaviors and Perceptions in the COVID-19 Pandemic," CEPR Discussion Papers 14631, C.E.P.R. Discussion Papers.
  7. Peter Carr & Andrey Itkin, 2020. "Semi-closed form solutions for barrier and American options written on a time-dependent Ornstein Uhlenbeck process," Papers 2003.08853, arXiv.org, revised Mar 2020.
  8. Peter Carr & Andrey Itkin & Dmitry Muravey, 2020. "Semi-closed form prices of barrier options in the time-dependent CEV and CIR models," Papers 2005.05459, arXiv.org.

2019

  1. Daniel A. Dias & Carlos Robalo Marques, 2019. "Every Cloud has a Silver Lining: Cleansing Effects of the Portuguese Financial Crisis," International Finance Discussion Papers 1250, Board of Governors of the Federal Reserve System (U.S.).
  2. Daniel A. Dias & Joao B. Duarte, 2019. "Monetary Policy, Housing Rents and Inflation Dynamics," International Finance Discussion Papers 1248, Board of Governors of the Federal Reserve System (U.S.).
  3. Shaghil Ahmed & Ricardo Correa & Daniel A. Dias & Nils M. Gornemann & Jasper Hoek & Anil K. Jain & Edith X. Liu & Anna Wong, 2019. "Global Spillovers of a China Hard Landing," International Finance Discussion Papers 1260, Board of Governors of the Federal Reserve System (U.S.).
  4. Carlos Robalo Marques & Daniel A. Dias, 2019. "From Micro to Macro: A Note on the Analysis of Aggregate Productivity Dynamics Using Firm-Level Data," Working Papers w201920, Banco de Portugal, Economics and Research Department.
  5. Mr. Jacques A Miniane & Ezequiel Cabezon & Mr. Sebastian Weber & Christine J. Richmond & Ms. Dora Benedek & Mr. James Roaf & Mr. Francisco J Parodi & Mr. Peter Dohlman & Rima Turk & Bobana Cegar & Mic, 2019. "Reassessing the Role of State-Owned Enterprises in Central, Eastern and Southeastern Europe," IMF Departmental Papers / Policy Papers 2019/010, International Monetary Fund.
  6. Alvaro Garcia-Marin & Santiago Justel & Tim Schmidt-Eisenlohr, 2019. "Trade Credit, Markups, and Relationships," CESifo Working Paper Series 7600, CESifo.
  7. Alvaro Garcia-Marin & Santiago Justel & Tim Schmidt-Eisenlohr, 2019. "Trade Credit and Markups," 2019 Meeting Papers 254, Society for Economic Dynamics.
  8. Christian Dippel & Michael Poyker, 2019. "Do Private Prisons Affect Criminal Sentencing?," NBER Working Papers 25715, National Bureau of Economic Research, Inc.
  9. Christian Dippel & Michael Poyker, 2019. "How Common are Electoral Cycles in Criminal Sentencing?," NBER Working Papers 25716, National Bureau of Economic Research, Inc.
  10. Maxim Ananyev & Michael Poyker, 2019. "State Capacity and Demand for Identity: Evidence from Political Instability in Mali," Working Papers Series 97, Institute for New Economic Thinking.
  11. Mikhail Poyker, 2019. "Economic Consequences of the U.S. Convict Labor System," 2019 Meeting Papers 319, Society for Economic Dynamics.
  12. Bruno Pellegrino, 2019. "Product Differentiation, Oligopoly, and Resource Allocation," 2019 Papers ppe860, Job Market Papers.
  13. Peter Carr & Liuren Wu & Zhibai Zhang, 2019. "Using Machine Learning to Predict Realized Variance," Papers 1909.10035, arXiv.org.
  14. Peter Carr & Andrey Itkin & Sasha Stoikov, 2019. "A model-free backward and forward nonlinear PDEs for implied volatility," Papers 1907.07305, arXiv.org.
  15. Peter Carr & Andrey Itkin, 2019. "ADOL - Markovian approximation of rough lognormal model," Papers 1904.09240, arXiv.org.
  16. Peter Carr & Sander Willems, 2019. "A lognormal type stochastic volatility model with quadratic drift," Papers 1908.07417, arXiv.org.

2018

  1. Carlos Robalo Marques & Daniel A. Dias, 2018. "Every cloud has a silver lining: micro-level evidence on the cleansing effects of the portuguese financial crisis," Working Papers w201818, Banco de Portugal, Economics and Research Department.
  2. Hu, Xingwei, 2018. "A Dichotomous Analysis Of Unemployment Welfare," MPRA Paper 88662, University Library of Munich, Germany.
  3. Rina Bhattacharya & Pranav Gupta & Xingwei Hu & Peter Pedroni, 2018. "How do Structural Features Affect Corporate Exposures to Macro-financial Shocks in Open Economies?," Department of Economics Working Papers 2018-10, Department of Economics, Williams College.
  4. Alvaro Garcia Marin & Nico Voigtländer, 2018. "Product-Level Efficiency and Core Competence in Multi-Product Plants," 2018 Meeting Papers 737, Society for Economic Dynamics.
  5. Mario Canales & Álvaro García Marín, 2018. "Productividad, Tamaño y Empresas Súper-Estrella: Evidencia Microeconómica para Chile," Working Papers wp458, University of Chile, Department of Economics.
  6. Peter Carr & Andrey Itkin, 2018. "Geometric Local Variance Gamma model," Papers 1809.07727, arXiv.org, revised Dec 2018.
  7. Peter Carr & Zhibai Zhang, 2018. "Generalizing Geometric Brownian Motion," Papers 1809.02245, arXiv.org.
  8. Peter Carr & Andrey Itkin, 2018. "An Expanded Local Variance Gamma model," Papers 1802.09611, arXiv.org, revised Dec 2018.

2017

  1. Hu, Xingwei, 2017. "A Theory of Dichotomous Valuation with Applications to Variable Selection," MPRA Paper 80457, University Library of Munich, Germany.
  2. Roberto Álvarez & Álvaro García Marín & Sebastián Ilabaca, 2017. "Commodity Prices Shocks and Poverty Reduction in Chile," Working Papers wp449, University of Chile, Department of Economics.
  3. Yang, Yang, 2017. "Transport Infrastructure, City Productivity Growth and Sectoral Reallocation: Evidence from China," RIEI Working Papers 2017-08, Xi'an Jiaotong-Liverpool University, Research Institute for Economic Integration.
  4. Leonardo Bursztyn & Bruno Ferman & Stefano Fiorin & Martin Kanz & Gautam Rao, 2017. "Status Goods: Experimental Evidence from Platinum Credit Cards," NBER Working Papers 23414, National Bureau of Economic Research, Inc.
  5. Leonardo Bursztyn & Georgy Egorov & Stefano Fiorin, 2017. "From Extreme to Mainstream: How Social Norms Unravel," NBER Working Papers 23415, National Bureau of Economic Research, Inc.
  6. Bruno Pellegrino & Luigi Zingales, 2017. "Diagnosing the Italian Disease," NBER Working Papers 23964, National Bureau of Economic Research, Inc.
  7. Peter Carr & Roger Lee & Matthew Lorig, 2017. "Pricing Variance Swaps on Time-Changed Markov Processes," Papers 1705.01069, arXiv.org, revised Nov 2019.

2016

  1. Bastos,Paulo S. R. & Dias,Daniel & Timoshenko,Olga A. & Bastos,Paulo S. R. & Dias,Daniel & Timoshenko,Olga A., 2016. "Learning, Prices, and firm dynamics," Policy Research Working Paper Series 7667, The World Bank.
  2. Daniel A. Dias & Joao B. Duarte, 2016. "The Effect of Monetary Policy on Housing Tenure Choice as an Explanation for the Price Puzzle," International Finance Discussion Papers 1171, Board of Governors of the Federal Reserve System (U.S.).
  3. Carlos Robalo Marques & Daniel Dias & Christine Richmond, 2016. "A tale of two sectors: why is misallocation higher in services than in manufacturing?," Working Papers w201614, Banco de Portugal, Economics and Research Department.
  4. Mr. Geremia Palomba & Lorenzo Forni & Ms. Joana Pereira & Christine J. Richmond, 2016. "Sovereign Debt Restructuring and Growth," IMF Working Papers 2016/147, International Monetary Fund.
  5. Diogo Britto & Stefano Fiorin, 2016. "Corruption and Legislature Size: Evidence from Brazil," DISCE - Working Papers del Dipartimento di Economia e Finanza def054, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE).

2015

  1. Joao Bernardo Duarte & Daniel A. Dias, 2015. "Housing and Monetary Policy in the Business Cycle: What do Housing Rents have to Say?," 2015 Papers pdu385, Job Market Papers.
  2. Daniel A. Dias & Mark L. J. Wright, 2015. "Debt Statistics a la Carte : Alternative Recipes for Measuring Government Indebtedness," IFDP Notes 2015-11-17, Board of Governors of the Federal Reserve System (U.S.).
  3. Dias, Daniel A. & Duarte, João B., 2015. "Monetary Policy and Homeownership: Empirical Evidence, Theory, and Policy Implications," MPRA Paper 112252, University Library of Munich, Germany, revised 05 Mar 2021.
  4. Verdugo-Yepes, Concepción & Pedroni, Peter & Hu, Xingwei, 2015. "Crime and the Economy in Mexican States : Heterogeneous Panel Estimates (1993-2012)," MPRA Paper 64930, University Library of Munich, Germany.
  5. Budina, Nina & Gracia, Borja & Hu, Xingwei & Saksonovs, Sergejs, 2015. "Recognizing the Bias: Financial Cycles and Fiscal Policy," MPRA Paper 68052, University Library of Munich, Germany.
  6. Sebastian Edwards & Francis A. Longstaff & Alvaro Garcia Marin, 2015. "The U.S. Debt Restructuring of 1933: Consequences and Lessons," NBER Working Papers 21694, National Bureau of Economic Research, Inc.
  7. Bursztyn,Leonardo A. & Fiorin,Stefano & Gottlieb,Daniel Wolf & Kanz,Martin & Bursztyn,Leonardo A. & Fiorin,Stefano & Gottlieb,Daniel Wolf & Kanz,Martin, 2015. "Moral incentives : experimental evidence from repayments of an Islamic credit card," Policy Research Working Paper Series 7420, The World Bank.
  8. Leonardo Bursztyn & Stefano Fiorin & Daniel Gottlieb & Martin Kanz, 2015. "Moral Incentives in Credit Card Debt Repayment: Evidence from a Field Experiment," NBER Working Papers 21611, National Bureau of Economic Research, Inc.
  9. Gili Rosenberg & Poya Haghnegahdar & Phil Goddard & Peter Carr & Kesheng Wu & Marcos L'opez de Prado, 2015. "Solving the Optimal Trading Trajectory Problem Using a Quantum Annealer," Papers 1508.06182, arXiv.org, revised Aug 2016.
  10. Peter Carr & Roger Lee & Matthew Lorig, 2015. "Robust replication of barrier-style claims on price and volatility," Papers 1508.00632, arXiv.org, revised Jan 2022.
  11. Peter Carr & Zura Kakushadze, 2015. "FX Options in Target Zone," Papers 1512.01527, arXiv.org, revised Jul 2016.

2014

  1. Carlos Robalo Marques & Daniel Dias & Christine Richmond, 2014. "Misallocation and productivity in the lead up to the Eurozone crisis," Working Papers w201411, Banco de Portugal, Economics and Research Department.
  2. Sebastian Edwards & Alvaro Garcia Marin, 2014. "Constitutional Rights and Education: An International Comparative Study," NBER Working Papers 20475, National Bureau of Economic Research, Inc.
  3. Peter P. Carr & Marcos Lopez de Prado, 2014. "Determining Optimal Trading Rules without Backtesting," Papers 1408.1159, arXiv.org, revised Sep 2014.

2013

  1. Mark Wright & Christine Richmond & Daniel Dias, 2013. "In for a Penny, In for a 100 Billion Pounds: Quantifying the Welfare Benefits from Debt Relief," 2013 Meeting Papers 646, Society for Economic Dynamics.
  2. Klapper, Leora & Richmond, Christine & Tran, Trang, 2013. "Civil conflict and firm performance : evidence from Cote d'Ivoire," Policy Research Working Paper Series 6640, The World Bank.
  3. Irene Yackovlev & Ms. Susan S. Yang & Christine J. Richmond, 2013. "Investing Volatile Oil Revenues in Capital-Scarce Economies: An Application to Angola," IMF Working Papers 2013/147, International Monetary Fund.
  4. Wlasiuk, Juan Marcos, 2013. "The Mechanics of Real Undervaluation and Growth," MPRA Paper 56628, University Library of Munich, Germany.
  5. Alvaro Garcia Marin & Nico Voigtländer, 2013. "Exporting and Plant-Level Efficiency Gains: It's in the Measure," NBER Working Papers 19033, National Bureau of Economic Research, Inc.
  6. Peter Carr & Sergey Nadtochiy, 2013. "Local Variance Gamma and Explicit Calibration to Option Prices," Papers 1308.2326, arXiv.org, revised Jan 2014.

2012

  1. Carlos Robalo Marques & Fernando Martins & Daniel Dias, 2012. "Wage rigidity and employment adjustment at the firm level: evidence from survey data," Working Papers w201212, Banco de Portugal, Economics and Research Department.
  2. Carlos Robalo Marques & Fernando Martins & Daniel Dias, 2012. "Identifying the determinants of downward wage rigidity: some methodological considerations and new empirical evidence," Working Papers w201215, Banco de Portugal, Economics and Research Department.
  3. Mark Wright & Christine Richmond & Daniel Dias, 2012. "On The Stock of External Sovereign Debt," 2012 Meeting Papers 490, Society for Economic Dynamics.
  4. Mr. Marcos Poplawski Ribeiro & Christine J. Richmond & Mr. Thomas Baunsgaard & Mr. Mauricio Villafuerte, 2012. "Fiscal Frameworks for Resource Rich Developing Countries," IMF Staff Discussion Notes 2012/004, International Monetary Fund.
  5. Peter Carr & Travis Fisher & Johannes Ruf, 2012. "Why are quadratic normal volatility models analytically tractable?," Papers 1202.6187, arXiv.org, revised Mar 2013.
  6. Peter Carr & Travis Fisher & Johannes Ruf, 2012. "On the Hedging of Options On Exploding Exchange Rates," Papers 1202.6188, arXiv.org, revised Nov 2013.

2011

  1. Robalo Marques, Carlos & Dias, Daniel & Santos Silva, João M. C. & Martins, Fernando, 2011. "Why are some prices stickier than others? Firm-data evidence on price adjustment lags," Working Paper Series 1306, European Central Bank.
  2. Robalo Marques, Carlos & Dias, Daniel & Martins, Fernando, 2011. "Choosing between time and state dependence: micro evidence on firms' price-reviewing strategies," Working Paper Series 1305, European Central Bank.
  3. Diana Bonfim & Daniel Dias & Christine Richmond, 2011. "What Happens After Default? Stylized Facts on Access to Credit," Working Papers w201101, Banco de Portugal, Economics and Research Department.
  4. Daniel A. Dias & Christine J. Richmond & Mark L.J. Wright, 2011. "The Stock of External Sovereign Debt: Can We Take the Data At 'Face Value'?," NBER Working Papers 17551, National Bureau of Economic Research, Inc.
  5. Klapper, Leora & Richmond, Christine, 2011. "Patterns of business creation, survival and growth : evidence from Africa," Policy Research Working Paper Series 5828, The World Bank.
  6. Sam Schulhofer-Wohl & Yang Yang, 2011. "Modeling the evolution of age and cohort effects in social research," Staff Report 461, Federal Reserve Bank of Minneapolis.

2010

  1. Andrey Itkin & Peter Carr, 2010. "Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models," Papers 1002.1995, arXiv.org.

2009

  1. Pablo Pincheira Brown & Álvaro García Marín, 2009. "Forecasting Inflation in Chile With an Accurate Benchmark," Working Papers Central Bank of Chile 514, Central Bank of Chile.
  2. Luis A. Ahumada & Álvaro García & Luis Opazo & Jorge Selaive, 2009. "Interbank Rate and the Liquidity of the Market," Working Papers Central Bank of Chile 516, Central Bank of Chile.

2008

  1. Claudio Bravo Ortega & Álvaro García Marín, 2008. "Exploring the Relationship Between R&D and Productivity: A Country-Level Study," Working Papers Central Bank of Chile 472, Central Bank of Chile.
  2. Roberto Álvarez & Álvaro García, 2008. "Productivity, Innovations and Exports in the Chilean Manufacturing Industry," Working Papers Central Bank of Chile 476, Central Bank of Chile.
  3. Roberto Álvarez & Álvaro García & Pablo García, 2008. "Energy Costs and Productivity in Chilean Manufacturing Industry," Working Papers Central Bank of Chile 482, Central Bank of Chile.

2007

  1. Philip Vermeulen & Daniel Dias & Maarten Dossche & Erwan Gautier & Ignacio Hernando & Roberto Sabbatini & Harald Stahl, 2007. "Price setting in the euro area: some stylised facts from individual producer price data," Working Papers 0703, Banco de España.
  2. Dias, D. & Dossche, M. & Gautier, E. & Hernando, I. & Sabbatini , R. & Stahl , H. & Vermeulen, P., 2007. "Macro Price setting in the euro area: Some stylised facts from Individual Producer Price," Working papers 164, Banque de France.
  3. Pablo Pincheira & Álvaro García, 2007. "Oil Shocks and Inflation The Case of Chile and a Sample of Industrial Countries," Working Papers Central Bank of Chile 413, Central Bank of Chile.

2006

  1. Carlos Robalo Marques & Daniel Dias & J.M.C.Santos Silva, 2006. "Measuring the Importance of the Uniform Nonsynchronization Hypothesis," Working Papers w200603, Banco de Portugal, Economics and Research Department.
  2. Kenji Kutsuna & Janet Kiholm Smith & Richard L. Smith, 2006. "Public Information, IPO Price Formation, and Long-run Returns: Japanese Evidence," Discussion Papers 2006-22, Kobe University, Graduate School of Business Administration.
  3. Álvaro García & Valentina Paredes, 2006. "Sovereign Spreads and Contagion Effect," Working Papers Central Bank of Chile 385, Central Bank of Chile.

2005

  1. Emmanuel Dhyne & Luis J. Álvarez & Hervé le Bihan & Giovanni Veronese & Daniel Dias & Johannes Hoffmann & Nicole Jonker & Patrick Lünnemann & Fabio Rumler & Jouko Vilmunen, 2005. "Price setting in the euro area: Some stylized facts from Individual Consumer Price Data," Working Papers 0528, Banco de España.
  2. Carlos Robalo Marques & Daniel Dias & J.M.C.Santos Silva, 2005. "Time or State Dependent Price Setting Rules? Evidence from Portuguese Micro Data," Working Papers w200508, Banco de Portugal, Economics and Research Department.
  3. Carlos Robalo Marques & Daniel Dias, 2005. "Using Mean Reversion as a Measure of Persistence," Working Papers w200503, Banco de Portugal, Economics and Research Department.

2004

  1. Carlos Robalo Marques & Daniel Dias & Pedro Duarte Neves & J.M.C.Santos Silva, 2004. "On the Fisher-Konieczny Index of Price Changes Synchronization," Working Papers w200407, Banco de Portugal, Economics and Research Department.
  2. Mónica Dias & Daniel Dias & Pedro Duarte Neves, 2004. "Stylised Features of Price Setting Behaviour in Portugal: 1992-2001," Working Papers w200405, Banco de Portugal, Economics and Research Department.
  3. Peter Carr & Liuren Wu, 2004. "Static Hedging of Standard Options," Finance 0409016, University Library of Munich, Germany.
  4. Peter Carr & Liuren Wu, 2004. "Stochastic Skew in Currency Options," Finance 0409014, University Library of Munich, Germany.
  5. Peter Carr & Liuren Wu, 2004. "Variance Risk Premia," Finance 0409015, University Library of Munich, Germany.

2003

  1. Helyette Geman & P. Carr & D. Madan & Marc Yor, 2003. "Stochastic Volatility for Levy Processes," Post-Print halshs-00144385, HAL.
  2. M. Schroder & P. Carr, 2003. "Bessel processes, the integral of geometric Brownian motion, and Asian options," Papers math/0311280, arXiv.org.

2002

  1. Peter Carr & Liuren Wu, 2002. "What Type of Process Underlies Options? A Simple Robust Test," Finance 0207019, University Library of Munich, Germany.
  2. Peter Carr & Liuren Wu, 2002. "Time-Changed Levy Processes and Option Pricing," Finance 0207011, University Library of Munich, Germany.
  3. Peter Carr & Liuren Wu, 2002. "The Finite Moment Log Stable Process and Option Pricing," Finance 0207012, University Library of Munich, Germany.

2001

  1. Peter Carr & Michael Schroder, 2001. "On the valuation of arithmetic-average Asian options: the Geman-Yor Laplace transform revisited," Papers math/0102080, arXiv.org.

1998

  1. Saphores, Jean-Daniel M. & Carr, Peter, 1998. "Pollution Reduction, Environmental Uncertainty, and the Irreversibility Effect," Cahiers de recherche 9827, Université Laval - Département d'économique.

1996

  1. Peter Carr, 1996. "Randomization and the American Put," Finance 9610003, University Library of Munich, Germany.
  2. Peter Carr, 1996. "Valuing Finite-Lived Options as Perpetual," Finance 9607002, University Library of Munich, Germany.

Journal articles

2022

  1. Luís F. Costa & Daniel Dias & Steffen Hoernig & Miguel Portela & Paulo Rodrigues, 2022. "Special issue: 20th anniversary of the Portuguese Economic Journal. Editors’ introduction," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 21(3), pages 267-269, September.
  2. Shaghil Ahmed & Ricardo Correa & Daniel A. Dias & Nils Gornemann & Jasper Hoek & Anil Jain & Edith Liu & Anna Wong, 2022. "Global Spillovers of a Chinese Growth Slowdown," JRFM, MDPI, vol. 15(12), pages 1-23, December.
  3. Hensel, Lukas & Witte, Marc & Caria, A. Stefano & Fetzer, Thiemo & Fiorin, Stefano & Götz, Friedrich M. & Gomez, Margarita & Haushofer, Johannes & Ivchenko, Andriy & Kraft-Todd, Gordon & Reutskaja, El, 2022. "Global Behaviors, Perceptions, and the Emergence of Social Norms at the Onset of the COVID-19 Pandemic," Journal of Economic Behavior & Organization, Elsevier, vol. 193(C), pages 473-496.

2021

  1. Luís F. Costa & Daniel A. Dias, 2021. "Editors’ note," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 20(1), pages 1-3, January.
  2. Daniel A. Dias & Carlos Robalo Marques, 2021. "Every Cloud Has a Silver Lining: Cleansing Effects of the Portuguese Financial Crisis," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 83(2), pages 352-376, April.
  3. Daniel A. Dias & Carlos Robalo Marques, 2021. "From micro to macro: a note on the analysis of aggregate productivity dynamics using firm-level data," Journal of Productivity Analysis, Springer, vol. 56(1), pages 1-14, August.
  4. Álvarez, Roberto & García-Marín, Álvaro & Ilabaca, Sebastián, 2021. "Commodity price shocks and poverty reduction in Chile," Resources Policy, Elsevier, vol. 70(C).
  5. Ananyev, Maxim & Poyker, Michael, 2021. "Christian missions and anti-gay attitudes in Africa," Journal of Economic Behavior & Organization, Elsevier, vol. 184(C), pages 359-374.
  6. Maxim Ananyev & Michael Poyker & Yuan Tian, 2021. "The safest time to fly: pandemic response in the era of Fox News," Journal of Population Economics, Springer;European Society for Population Economics, vol. 34(3), pages 775-802, July.
  7. Dippel, Christian & Poyker, Michael, 2021. "Rules versus norms: How formal and informal institutions shape judicial sentencing cycles," Journal of Comparative Economics, Elsevier, vol. 49(3), pages 645-659.
  8. Peter Carr & Roger Lee & Matthew Lorig, 2021. "Robust replication of volatility and hybrid derivatives on jump diffusions," Mathematical Finance, Wiley Blackwell, vol. 31(4), pages 1394-1422, October.
  9. Sébastien Bossu & Peter Carr & Andrew Papanicolaou, 2021. "A functional analysis approach to the static replication of European options," Quantitative Finance, Taylor & Francis Journals, vol. 21(4), pages 637-655, April.
  10. Peter Carr & Lorenzo Torricelli, 2021. "Additive logistic processes in option pricing," Finance and Stochastics, Springer, vol. 25(4), pages 689-724, October.
  11. P. Carr & A. Itkin, 2021. "An Expanded Local Variance Gamma Model," Computational Economics, Springer;Society for Computational Economics, vol. 57(4), pages 949-987, April.

2020

  1. Daniel A. Dias & Carlos Robalo Marques & Christine Richmond, 2020. "A Tale of Two Sectors: Why is Misallocation Higher in Services than in Manufacturing?," Review of Income and Wealth, International Association for Research in Income and Wealth, vol. 66(2), pages 361-393, June.
  2. Xingwei Hu, 2020. "A theory of dichotomous valuation with applications to variable selection," Econometric Reviews, Taylor & Francis Journals, vol. 39(10), pages 1075-1099, November.
  3. Leonardo Bursztyn & Georgy Egorov & Stefano Fiorin, 2020. "From Extreme to Mainstream: The Erosion of Social Norms," American Economic Review, American Economic Association, vol. 110(11), pages 3522-3548, November.
  4. Britto, Diogo G.C. & Fiorin, Stefano, 2020. "Corruption and legislature size: Evidence from Brazil," European Journal of Political Economy, Elsevier, vol. 65(C).
  5. Peter Carr & Gianna Figà-Talamanca, 2020. "Spiking the Volatility Punch," Applied Mathematical Finance, Taylor & Francis Journals, vol. 27(6), pages 495-520, November.
  6. Peter Carr & Liuren Wu, 2020. "Option Profit and Loss Attribution and Pricing: A New Framework," Journal of Finance, American Finance Association, vol. 75(4), pages 2271-2316, August.

2019

  1. Daniel A. Dias & João B. Duarte, 2019. "Monetary policy, housing rents, and inflation dynamics," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(5), pages 673-687, August.
  2. Mario Canales & Álvaro García, 2019. "Empresas de crecimiento acelerado y productividad: evidencia microeconómica para Chile," Estudios Públicos, Centro de Estudios Públicos, vol. 0(153), pages 57-93.
  3. Alvaro Garcia-Marin & Nico Voigtländer, 2019. "Exporting and Plant-Level Efficiency Gains: It's in the Measure," Journal of Political Economy, University of Chicago Press, vol. 127(4), pages 1777-1825.
  4. Leonardo Bursztyn & Stefano Fiorin & Daniel Gottlieb & Martin Kanz, 2019. "Moral Incentives in Credit Card Debt Repayment: Evidence from a Field Experiment," Journal of Political Economy, University of Chicago Press, vol. 127(4), pages 1641-1683.
  5. Bruno Pellegrino, 2019. "Social Capital and Informal Contracting: Experimental Evidence," Economics Bulletin, AccessEcon, vol. 39(2), pages 1259-1265.

2018

  1. Paulo Bastos & Daniel A. Dias & Olga A. Timoshenko, 2018. "Learning, prices and firm dynamics," Canadian Journal of Economics, Canadian Economics Association, vol. 51(4), pages 1257-1311, November.
  2. Leonardo Bursztyn & Bruno Ferman & Stefano Fiorin & Martin Kanz & Gautam Rao, 2018. "Status Goods: Experimental Evidence from Platinum Credit Cards," The Quarterly Journal of Economics, Oxford University Press, vol. 133(3), pages 1561-1595.
  3. Nicholas A. J. Graham & Shaun K. Wilson & Peter Carr & Andrew S. Hoey & Simon Jennings & M. Aaron MacNeil, 2018. "Seabirds enhance coral reef productivity and functioning in the absence of invasive rats," Nature, Nature, vol. 559(7713), pages 250-253, July.

2017

  1. Peter Carr & Sergey Nadtochiy, 2017. "Local Variance Gamma And Explicit Calibration To Option Prices," Mathematical Finance, Wiley Blackwell, vol. 27(1), pages 151-193, January.
  2. Carr, Peter & Wu, Liuren, 2017. "Leverage Effect, Volatility Feedback, and Self-Exciting Market Disruptions," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 52(5), pages 2119-2156, October.
  3. Peter P. Carr & Zura Kakushadze, 2017. "FX options in target zones," Quantitative Finance, Taylor & Francis Journals, vol. 17(10), pages 1477-1486, October.
  4. Peter Carr, 2017. "Bounded Brownian Motion," Risks, MDPI, vol. 5(4), pages 1-11, November.

2016

  1. Daniel A. Dias & Mark L. J. Wright, 2016. "Debt Statistics a La Carte: Alternative Recipes for Measuring Government Indebtedness," Chicago Fed Letter, Federal Reserve Bank of Chicago.
  2. Carlos Robalo Marques & Daniel Dias & Christine Richmond, 2016. "Comparing misallocation between sectors in Portugal," Economic Bulletin and Financial Stability Report Articles and Banco de Portugal Economic Studies, Banco de Portugal, Economics and Research Department.
  3. Dias, Daniel A. & Robalo Marques, Carlos & Richmond, Christine, 2016. "Misallocation and productivity in the lead up to the Eurozone crisis," Journal of Macroeconomics, Elsevier, vol. 49(C), pages 46-70.
  4. Kutsuna, Kenji & Smith, Janet Kiholm & Smith, Richard & Yamada, Kazuo, 2016. "Supply-chain spillover effects of IPOs," Journal of Banking & Finance, Elsevier, vol. 64(C), pages 150-168.
  5. Carr, Peter & Worah, Pratik, 2016. "Optimal rates from eigenvalues," Finance Research Letters, Elsevier, vol. 16(C), pages 230-238.
  6. Carr, Peter & Madan, Dilip B. & Melamed, Michael & Schoutens, Wim, 2016. "Hedging insurance books," Insurance: Mathematics and Economics, Elsevier, vol. 70(C), pages 364-372.
  7. Carr, Peter & Wu, Liuren, 2016. "Analyzing volatility risk and risk premium in option contracts: A new theory," Journal of Financial Economics, Elsevier, vol. 120(1), pages 1-20.

2015

  1. Daniel Dias & Carlos Marques & Fernando Martins, 2015. "A replication note on downward nominal and real wage rigidity: survey evidence from European firms," Empirical Economics, Springer, vol. 49(3), pages 1143-1152, November.
  2. Daniel A. Dias & Carlos Robalo Marques & Fernando Martins & J. M. C. Santos Silva, 2015. "Understanding Price Stickiness: Firm-level Evidence on Price Adjustment Lags and Their Asymmetries," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 77(5), pages 701-718, October.
  3. Christine Richmond & Irene Yackovlev & Shu-Chun S. Yang, 2015. "Investing Volatile Resource Revenues in Capital-Scarce Economies," Pacific Economic Review, Wiley Blackwell, vol. 20(1), pages 193-221, February.
  4. Sebastián Edwards & Álvaro García Marín, 2015. "Educación y derechos constitucionales," Estudios Públicos, Centro de Estudios Públicos, vol. 0(139), pages 67-104.
  5. Edwards, Sebastian & Garcia Marin, Alvaro, 2015. "Constitutional rights and education: An international comparative study," Journal of Comparative Economics, Elsevier, vol. 43(4), pages 938-955.

2014

  1. Dias, Daniel A. & Richmond, Christine & Wright, Mark L.J., 2014. "The stock of external sovereign debt: Can we take the data at ‘face value’?," Journal of International Economics, Elsevier, vol. 94(1), pages 1-17.
  2. Carlos Robalo Marques & Daniel Dias & Christine Richmond, 2014. "Resource allocation, productivity and growth in Portugal," Economic Bulletin and Financial Stability Report Articles and Banco de Portugal Economic Studies, Banco de Portugal, Economics and Research Department.
  3. Peter Carr & Travis Fisher & Johannes Ruf, 2014. "On the hedging of options on exploding exchange rates," Finance and Stochastics, Springer, vol. 18(1), pages 115-144, January.
  4. Peter Carr & Liuren Wu, 2014. "Static Hedging of Standard Options," The Journal of Financial Econometrics, Society for Financial Econometrics, vol. 12(1), pages 3-46.
  5. Peter Carr & Dilip B. Madan, 2014. "Joint modeling of VIX and SPX options at a single and common maturity with risk management applications," IISE Transactions, Taylor & Francis Journals, vol. 46(11), pages 1125-1131, November.
  6. Peter Carr, 2014. "First-order calculus and option pricing," Journal of Financial Engineering (JFE), World Scientific Publishing Co. Pte. Ltd., vol. 1(01), pages 1-19.

2013

  1. Dias, Daniel A. & Marques, Carlos Robalo & Martins, Fernando, 2013. "Wage rigidity and employment adjustment at the firm level: Evidence from survey data," Labour Economics, Elsevier, vol. 23(C), pages 40-49.
  2. Carlos Robalo Marques & Fernando Martins & Daniel Dias, 2013. "The determinants of downward wage rigidity: Some methodological considerations and new empirical evidence," Economic Bulletin and Financial Stability Report Articles and Banco de Portugal Economic Studies, Banco de Portugal, Economics and Research Department.
  3. Daniel A. Dias & Carlos Robalo Marques & Fernando Martins, 2013. "Choosing between Time and State Dependence: Micro Evidence on Firms' Price-Reviewing Strategies," Scandinavian Journal of Economics, Wiley Blackwell, vol. 115(3), pages 756-780, July.
  4. Peter Carr & Roger Lee, 2013. "Variation and share-weighted variation swaps on time-changed Lévy processes," Finance and Stochastics, Springer, vol. 17(4), pages 685-716, October.

2012

  1. Carlos Robalo Marques & Fernando Martins & Daniel Dias, 2012. "Labour cost-cutting strategies microeconomic evidence from survey data," Economic Bulletin and Financial Stability Report Articles and Banco de Portugal Economic Studies, Banco de Portugal, Economics and Research Department.
  2. Bonfim, Diana & Dias, Daniel A. & Richmond, Christine, 2012. "What happens after corporate default? Stylized facts on access to credit," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 2007-2025.
  3. Philip Vermeulen & Daniel A. Dias & Maarten Dossche & Erwan Gautier & Ignacio Hernando & Roberto Sabbatini & Harald Stahl, 2012. "Price Setting in the Euro Area: Some Stylized Facts from Individual Producer Price Data," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44(8), pages 1631-1650, December.
  4. Pincheira, Pablo & García, Álvaro, 2012. "En busca de un buen marco de referencia predictivo para la inflación en Chile," El Trimestre Económico, Fondo de Cultura Económica, vol. 0(313), pages 85-123, enero-mar.
  5. Peter Carr & Roger Lee & Liuren Wu, 2012. "Variance swaps on time-changed Lévy processes," Finance and Stochastics, Springer, vol. 16(2), pages 335-355, April.
  6. Andrey Itkin & Peter Carr, 2012. "Using Pseudo-Parabolic and Fractional Equations for Option Pricing in Jump Diffusion Models," Computational Economics, Springer;Society for Computational Economics, vol. 40(1), pages 63-104, June.
  7. Peter Carr & Dilip Madan, 2012. "Factor Models for Option Pricing," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 19(4), pages 319-329, November.

2011

  1. Klapper, Leora & Richmond, Christine, 2011. "Patterns of business creation, survival and growth: Evidence from Africa," Labour Economics, Elsevier, vol. 18(S1), pages 32-44.
  2. Eric Ball & Hsin Hui Chiu & Richard Smith, 2011. "Can VCs Time the Market? An Analysis of Exit Choice for Venture-backed Firms," Review of Financial Studies, Society for Financial Studies, vol. 24(9), pages 3105-3138.
  3. Richard Smith & Robert Pedace & Vijay Sathe, 2011. "VC Fund Financial Performance: The Relative Importance of IPO and M&A Exits and Exercise of Abandonment Options," Financial Management, Financial Management Association International, vol. 40(4), pages 1029-1065, December.
  4. Bravo-Ortega, Claudio & García Marín, Álvaro, 2011. "R&D and Productivity: A Two Way Avenue?," World Development, Elsevier, vol. 39(7), pages 1090-1107, July.
  5. Peter Carr, 2011. "Semi-Static Hedging Of Barrier Options Under Poisson Jumps," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 14(07), pages 1091-1111.
  6. Peter Carr & Helyette Geman & Dilip Madan & Marc Yor, 2011. "Options on realized variance and convex orders," Quantitative Finance, Taylor & Francis Journals, vol. 11(11), pages 1685-1694.
  7. Peter Carr & Hongzhong Zhang & Olympia Hadjiliadis, 2011. "Maximum Drawdown Insurance," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 14(08), pages 1195-1230.
  8. Peter Carr & Liuren Wu, 2011. "A Simple Robust Link Between American Puts and Credit Protection," Review of Financial Studies, Society for Financial Studies, vol. 24(2), pages 473-505.
  9. Peter Carr & Laurent Cousot, 2011. "A PDE approach to jump-diffusions," Quantitative Finance, Taylor & Francis Journals, vol. 11(1), pages 33-52.

2010

  1. Dias, Daniel A. & Marques, Carlos Robalo, 2010. "Using mean reversion as a measure of persistence," Economic Modelling, Elsevier, vol. 27(1), pages 262-273, January.
  2. Carlos Robalo Marques & Fernando Martins & Daniel Dias, 2010. "Understanding Price-reviewing Strategies Using Firm-level Data," Economic Bulletin and Financial Stability Report Articles and Banco de Portugal Economic Studies, Banco de Portugal, Economics and Research Department.
  3. Diana Bonfim & Daniel Dias & Christine Richmond, 2010. "Access to Bank Credit after Corporate Default," Economic Bulletin and Financial Stability Report Articles and Banco de Portugal Economic Studies, Banco de Portugal, Economics and Research Department.
  4. Álvarez, Roberto & García, Álvaro, 2010. "Productividad, innovación y exportaciones en la industria manufacturera chilena," El Trimestre Económico, Fondo de Cultura Económica, vol. 0(305), pages 155-184, enero-mar.
  5. Andrey Itkin & Peter Carr, 2010. "Pricing swaps and options on quadratic variation under stochastic time change models—discrete observations case," Review of Derivatives Research, Springer, vol. 13(2), pages 141-176, July.
  6. Peter Carr & Liuren Wu, 2010. "Stock Options and Credit Default Swaps: A Joint Framework for Valuation and Estimation," The Journal of Financial Econometrics, Society for Financial Econometrics, vol. 8(4), pages 409-449, Fall.
  7. Peter Carr & Roger Lee, 2010. "Hedging variance options on continuous semimartingales," Finance and Stochastics, Springer, vol. 14(2), pages 179-207, April.
  8. Peter Carr & John Crosby, 2010. "A class of Levy process models with almost exact calibration to both barrier and vanilla FX options," Quantitative Finance, Taylor & Francis Journals, vol. 10(10), pages 1115-1136.

2009

  1. Carlos Robalo Marques & Fernando Martins & Daniel Dias & J.M.C.Santos Silva, 2009. "Price Adjustment Lags: Evidence from Firm-Level Data," Economic Bulletin and Financial Stability Report Articles and Banco de Portugal Economic Studies, Banco de Portugal, Economics and Research Department.
  2. Kenji Kutsuna & Janet Kiholm Smith & Richard L. Smith, 2009. "Public Information, IPO Price Formation, and Long‐Run Returns: Japanese Evidence," Journal of Finance, American Finance Association, vol. 64(1), pages 505-546, February.
  3. Peter Carr & Roger Lee, 2009. "Volatility Derivatives," Annual Review of Financial Economics, Annual Reviews, vol. 1(1), pages 319-339, November.
  4. Peter Carr & Liuren Wu, 2009. "Variance Risk Premiums," Review of Financial Studies, Society for Financial Studies, vol. 22(3), pages 1311-1341, March.

2008

  1. Mónica Costa Dias & Daniel Dias & Pedro Duarte Neves, 2008. "Stylised features of consumer price setting behaviour in Portugal: 1992–2001," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 7(2), pages 75-99, August.
  2. Carr, Peter & Ewald, Christian-Oliver & Xiao, Yajun, 2008. "On the qualitative effect of volatility and duration on prices of Asian options," Finance Research Letters, Elsevier, vol. 5(3), pages 162-171, September.
  3. Bakshi, Gurdip & Carr, Peter & Wu, Liuren, 2008. "Stochastic risk premiums, stochastic skewness in currency options, and stochastic discount factors in international economies," Journal of Financial Economics, Elsevier, vol. 87(1), pages 132-156, January.
  4. Peter Carr & Wim Schoutens, 2008. "Hedging Under The Heston Model With Jump-To-Default," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 11(04), pages 403-414.

2007

  1. Dias, D.A. & Marques, C. Robalo & Santos Silva, J.M.C., 2007. "Time- or state-dependent price setting rules? Evidence from micro data," European Economic Review, Elsevier, vol. 51(7), pages 1589-1613, October.
  2. J.M.C. Santos Silva & Carlos Robalo Marques & Daniel Dias, 2007. "A note on measuring the importance of the uniform nonsynchronization hypothesis," Economics Bulletin, AccessEcon, vol. 4(6), pages 1-8.
  3. Kutsuna, Kenji & Smith, Janet Kiholm & Smith, Richard L., 2007. "Banking relationships and access to equity capital markets: Evidence from Japan's main bank system," Journal of Banking & Finance, Elsevier, vol. 31(2), pages 335-360, February.
  4. Kerins, Frank & Kutsuna, Kenji & Smith, Richard, 2007. "Why are IPOs underpriced? Evidence from Japan's hybrid auction-method offerings," Journal of Financial Economics, Elsevier, vol. 85(3), pages 637-666, September.
  5. John Angus & William O. Brown & Janet Kiholm Smith & Richard Smith, 2007. "What's in Your 403(b)? Academic Retirement Plans and the Costs of Underdiversification," Financial Management, Financial Management Association International, vol. 36(2), pages 1-38, July.
  6. Pablo Pincheira B & Álvaro García M, 2007. "Oil Shocks and Inflation The Case Of Chile and a Sample of Industrial Countries," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 10(1), pages 5-36, April.
  7. Peter Carr & Hélyette Geman & Dilip B. Madan & Marc Yor, 2007. "Self‐Decomposability And Option Pricing," Mathematical Finance, Wiley Blackwell, vol. 17(1), pages 31-57, January.
  8. Carr, Peter & Wu, Liuren, 2007. "Theory and evidence on the dynamic interactions between sovereign credit default swaps and currency options," Journal of Banking & Finance, Elsevier, vol. 31(8), pages 2383-2403, August.
  9. Carr, Peter & Wu, Liuren, 2007. "Stochastic skew in currency options," Journal of Financial Economics, Elsevier, vol. 86(1), pages 213-247, October.
  10. Peter Carr & Anita Mayo, 2007. "On the Numerical Evaluation of Option Prices in Jump Diffusion Processes," The European Journal of Finance, Taylor & Francis Journals, vol. 13(4), pages 353-372.
  11. Peter Carr & Jian Sun, 2007. "A new approach for option pricing under stochastic volatility," Review of Derivatives Research, Springer, vol. 10(2), pages 87-150, May.

2006

  1. Emmanuel Dhyne & Luis J. Alvarez & Herve Le Bihan & Giovanni Veronese & Daniel Dias & Johannes Hoffmann & Nicole Jonker & Patrick Lunnemann & Fabio Rumler & Jouko Vilmunen, 2006. "Price Changes in the Euro Area and the United States: Some Facts from Individual Consumer Price Data," Journal of Economic Perspectives, American Economic Association, vol. 20(2), pages 171-192, Spring.
  2. Xingwei Hu, 2006. "An Asymmetric Shapley–Shubik Power Index," International Journal of Game Theory, Springer;Game Theory Society, vol. 34(2), pages 229-240, August.
  3. Peter Carr & Vadim Linetsky, 2006. "A jump to default extended CEV model: an application of Bessel processes," Finance and Stochastics, Springer, vol. 10(3), pages 303-330, September.

2005

  1. Dias, D.A. & Robalo Marques, C. & Neves, P.D. & Santos Silva, J.M.C., 2005. "On the Fisher-Konieczny index of price changes synchronization," Economics Letters, Elsevier, vol. 87(2), pages 279-283, May.
  2. Pedro Duarte Neves & Mónica Dias & Daniel Dias, 2005. "Price (in)flexibility in Portugal: evidence from micro data-part II," Economic Bulletin and Financial Stability Report Articles and Banco de Portugal Economic Studies, Banco de Portugal, Economics and Research Department.
  3. Peter Carr & Hélyette Geman & Dilip Madan & Marc Yor, 2005. "Pricing options on realized variance," Finance and Stochastics, Springer, vol. 9(4), pages 453-475, October.
  4. Peter Carr & Alireza Javaheri, 2005. "The Forward Pde For European Options On Stocks With Fixed Fractional Jumps," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 8(02), pages 239-253.
  5. Carr, Peter & Madan, Dilip B., 2005. "A note on sufficient conditions for no arbitrage," Finance Research Letters, Elsevier, vol. 2(3), pages 125-130, September.

2004

  1. Kenji Kutsuna, 2004. "Why Does Book Building Drive Out Auction Methods of IPO Issuance? Evidence from Japan," Review of Financial Studies, Society for Financial Studies, vol. 17(4), pages 1129-1166.
  2. Kerins, Frank & Smith, Janet Kiholm & Smith, Richard, 2004. "Opportunity Cost of Capital for Venture Capital Investors and Entrepreneurs," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 39(2), pages 385-405, June.
  3. Peter Carr & Helyette Geman & Dilip Madan & Marc Yor, 2004. "From local volatility to local Levy models," Quantitative Finance, Taylor & Francis Journals, vol. 4(5), pages 581-588.
  4. Carr, Peter & Wu, Liuren, 2004. "Time-changed Levy processes and option pricing," Journal of Financial Economics, Elsevier, vol. 71(1), pages 113-141, January.

2003

  1. Hu, Xingwei & Shapley, Lloyd S., 2003. "On authority distributions in organizations: equilibrium," Games and Economic Behavior, Elsevier, vol. 45(1), pages 132-152, October.
  2. Hu, Xingwei & Shapley, Lloyd S., 2003. "On authority distributions in organizations: controls," Games and Economic Behavior, Elsevier, vol. 45(1), pages 153-170, October.
  3. Peter Carr & Hélyette Geman & Dilip B. Madan & Marc Yor, 2003. "Stochastic Volatility for Lévy Processes," Mathematical Finance, Wiley Blackwell, vol. 13(3), pages 345-382, July.
  4. Peter Carr & Liuren Wu, 2003. "What Type of Process Underlies Options? A Simple Robust Test," Journal of Finance, American Finance Association, vol. 58(6), pages 2581-2610, December.
  5. Peter Carr & Liuren Wu, 2003. "The Finite Moment Log Stable Process and Option Pricing," Journal of Finance, American Finance Association, vol. 58(2), pages 753-777, April.

2002

  1. Peter Carr & Helyette Geman, 2002. "The Fine Structure of Asset Returns: An Empirical Investigation," The Journal of Business, University of Chicago Press, vol. 75(2), pages 305-332, April.

2001

  1. Hertzel, Michael & Smith, Janet Kiholm & Smith, Richard L, 2001. "Competitive Impact of Strategic Restructuring: Evidence from the Telecommunications Industry," Industrial and Corporate Change, Oxford University Press, vol. 10(1), pages 207-246, March.
  2. Dilip B. Madan & Xing Jin & Peter Carr, 2001. "Optimal investment in derivative securities," Finance and Stochastics, Springer, vol. 5(1), pages 33-59.
  3. Carr, Peter & Geman, Helyette & Madan, Dilip B., 2001. "Pricing and hedging in incomplete markets," Journal of Financial Economics, Elsevier, vol. 62(1), pages 131-167, October.
  4. P. Carr & D. Madan, 2001. "Optimal positioning in derivative securities," Quantitative Finance, Taylor & Francis Journals, vol. 1(1), pages 19-37.

2000

  1. Peter Carr & Vadim Linetsky, 2000. "The Valuation of Executive Stock Options in an Intensity-Based Framework," Review of Finance, European Finance Association, vol. 4(3), pages 211-230.

1998

  1. Lin, Timothy H. & Smith, Richard L., 1998. "Insider reputation and selling decisions: the unwinding of venture capital investments during equity IPOs," Journal of Corporate Finance, Elsevier, vol. 4(3), pages 241-263, September.
  2. Carr, Peter, 1998. "Randomization and the American Put," Review of Financial Studies, Society for Financial Studies, vol. 11(3), pages 597-626.
  3. Dilip B. Madan & Peter P. Carr & Eric C. Chang, 1998. "The Variance Gamma Process and Option Pricing," Review of Finance, European Finance Association, vol. 2(1), pages 79-105.

1996

  1. Ng, Chee K & Smith, Richard L, 1996. "Determinants of Contract Choice: The Use of Warrants to Compensate Underwriters of Seasoned Equity Issues," Journal of Finance, American Finance Association, vol. 51(1), pages 363-380, March.

1995

  1. Griggs, Frank T & Kim, Dong Man & Smith, Richard L, 1995. "Announcement and Publication Decisions and the Use of Prediction Errors in Cross-Sectional Analysis: Evidence on Seasoned Equity Issues," The Financial Review, Eastern Finance Association, vol. 30(1), pages 139-174, February.
  2. P. Carr, 1995. "Two extensions to barrier option valuation," Applied Mathematical Finance, Taylor & Francis Journals, vol. 2(3), pages 173-209.

1994

  1. Smith, Richard L & Kim, Joo-Hyun, 1994. "The Combined Effects of Free Cash Flow and Financial Slack on Bidder and Target Stock Returns," The Journal of Business, University of Chicago Press, vol. 67(2), pages 281-310, April.

1993

  1. Hertzel, Michael G & Smith, Richard L, 1993. "Market Discounts and Shareholder Gains for Placing Equity Privately," Journal of Finance, American Finance Association, vol. 48(2), pages 459-485, June.

1992

  1. Peter Carr & Robert Jarrow & Ravi Myneni, 1992. "Alternative Characterizations Of American Put Options," Mathematical Finance, Wiley Blackwell, vol. 2(2), pages 87-106, April.

1990

  1. Smith, Janet Kiholm & Smith, Richard L, 1990. "Contract Law, Mutual Mistake, and Incentives to Produce and Disclose Information," The Journal of Legal Studies, University of Chicago Press, vol. 19(2), pages 467-488, June.
  2. Carr, Peter P & Jarrow, Robert A, 1990. "The Stop-Loss Start-Gain Paradox and Option Valuation: A New Decomposition into Intrinsic and Time Value," Review of Financial Studies, Society for Financial Studies, vol. 3(3), pages 469-492.

1988

  1. Karl L. Guntermann & Richard L. Smith, 1988. "Licensing Requirements, Enforcement Effort and Complaints Against Real Estate Agents," Journal of Real Estate Research, American Real Estate Society, vol. 3(2), pages 11-20.

1987

  1. Smith, Richard L, 1987. "The Choice of Issuance Procedure and the Cost of Competitive and Negotiated Underwriting: An Examination of the Impact of Rule 50," Journal of Finance, American Finance Association, vol. 42(3), pages 703-720, July.
  2. Karl L. Guntermann & Richard L. Smith, 1987. "Derivation of Cost of Capital and Equity Rates from Market Data," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 15(2), pages 98-109, June.
  3. Karl L. Guntermann & Richard L. Smith, 1987. "Efficiency of the Market for Residential Real Estate," Land Economics, University of Wisconsin Press, vol. 63(1), pages 34-45.
  4. Michael D. Joehnk & Richard L. Smith, 1987. "From The Editor," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 10(4), pages 1-1, December.
  5. James R. Booth & Richard L. Smith, 1987. "An Examination Of The Small-Firm Effect On The Basis Of Skewness Preference," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 10(1), pages 77-86, March.
  6. Carr, Peter, 1987. "A Note on the Pricing of Commodity-Linked Bonds," Journal of Finance, American Finance Association, vol. 42(4), pages 1071-1076, September.

1986

  1. Booth, James R. & Smith, Richard II, 1986. "Capital raising, underwriting and the certification hypothesis," Journal of Financial Economics, Elsevier, vol. 15(1-2), pages 261-281.
  2. Dennis T. Officer & Richard L. Smith II, 1986. "Announcement Effects Of Withdrawn Security Offerings: Evidence On The Wealth Redistribution Hypothesis," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 9(3), pages 229-238, September.

1985

  1. Smith, Janet K & Smith, Richard L, 1985. "A Theory of Ex Post versus Ex Ante Price Determination," Economic Inquiry, Western Economic Association International, vol. 23(1), pages 57-67, January.
  2. Booth, James R. & Smith, Richard L., 1985. "The Application of Errors-in-Variables Methodology to Capital Market Research: Evidence on the Small-Firm Effect," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 20(4), pages 501-515, December.
  3. Richard L. Smith & James R. Booth, 1985. "The Risk Structure Of Interest Rates And Interdependent Borrowing Costs: The Impact Of Major Defaults," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 8(2), pages 83-94, June.

1984

  1. Smith, Richard L & Dhatt, Manjeet, 1984. "Direct Equity Financing; A Resolution of a Paradox: A Comment," Journal of Finance, American Finance Association, vol. 39(5), pages 1615-1618, December.
  2. Janet Kiholm Smith & Richard L. Smith, 1984. "State and Local Fiscal Policy: Implications for Property Values and Economic Growth," Public Finance Review, , vol. 12(1), pages 51-76, January.

1982

  1. Smith, Richard L, II, 1982. "Franchise Regulation: An Economic Analysis of State Restrictions on Automobile Distribution," Journal of Law and Economics, University of Chicago Press, vol. 25(1), pages 125-157, April.

1981

  1. Smith, Richard L, II, 1981. "Efficiency Gains from Strategic Investment," Journal of Industrial Economics, Wiley Blackwell, vol. 30(1), pages 1-23, September.

1980

  1. Smith, Richard L, II, 1980. "The 1958 Automobile Information Disclosure Act: A Study of the Impact of Regulation," Journal of Industrial Economics, Wiley Blackwell, vol. 28(4), pages 387-403, June.

Chapters

2008

  1. Peter P. Carr & Robert A. Jarrow, 2008. "The Stop-Loss Start-Gain Paradox and Option Valuation: A new Decomposition into Intrinsic and Time Value," World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 4, pages 61-84, World Scientific Publishing Co. Pte. Ltd..
  2. Peter Carr & Robert Jarrow & Ravi Myneni, 2008. "Alternative Characterizations Of American Put Options," World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 5, pages 85-103, World Scientific Publishing Co. Pte. Ltd..

2002

  1. Peter Carr & Alex Lipton & Dilip Madan, 2002. "An Alternative Approach For Valuing Continuous Cash Flows," World Scientific Book Chapters, in: Marco Avellaneda (ed.), Quantitative Analysis In Financial Markets Collected Papers of the New York University Mathematical Finance Seminar(Volume III), chapter 5, pages 110-130, World Scientific Publishing Co. Pte. Ltd..

2001

  1. Peter Carr & Guang Yang, 2001. "Simulating Bermudan Interest Rate Derivatives," World Scientific Book Chapters, in: Marco Avellaneda (ed.), Quantitative Analysis In Financial Markets Collected Papers of the New York University Mathematical Finance Seminar(Volume II), chapter 11, pages 295-316, World Scientific Publishing Co. Pte. Ltd..
  2. Peter Carr & Dilip Madan, 2001. "Determining Volatility Surfaces And Option Values From An Implied Volatility Smile," World Scientific Book Chapters, in: Marco Avellaneda (ed.), Quantitative Analysis In Financial Markets Collected Papers of the New York University Mathematical Finance Seminar(Volume II), chapter 6, pages 163-191, World Scientific Publishing Co. Pte. Ltd..

1999

  1. Peter Carr & Katrina Ellis & Vishal Gupta, 1999. "Static Hedging Of Exotic Options," World Scientific Book Chapters, in: Marco Avellaneda (ed.), Quantitative Analysis In Financial Markets Collected Papers of the New York University Mathematical Finance Seminar, chapter 5, pages 152-176, World Scientific Publishing Co. Pte. Ltd..

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