Returns on international equities are characterized by jumps; moreover, these jumps tend to
occur at the same time across countries leading to systemic risk. We capture these stylized …

An extensive empirical literature in finance has documented not only the presence of anomalies
in the Black-Scholes model, but also the term structures of these anomalies (for instance…

This paper develops a model for the pricing of credit-sensitive debt contracts. Over the past
two decades, the debt markets have seen a proliferation of contracts designed to reapportion …

Using a comprehensive and unique data set from Moody's, we examine correlations between
default risk for over 7,000 US public firms. This is the first paper to empirically document …

So far, practicality has kept researchers in the field from going beyond three-factor models.
The simple estimation method in this article should make the implementation of three-factor …

We assume that the instantaneous riskless rate reverts toward a central tendency which, in
turn, is changing stochastically over time. As a result, current short-term rates are not …

The fee structure used to compensate investment advisers is central to the study of fund
design, and affects investor welfare in at least three ways: (i) by influencing the portfolio-…

This monograph surveys the technology and empirics of text analytics in finance. I present
various tools of information extraction and basic text analytics. I survey a range of techniques …

A variety of realistic economic considerations make jump-diffusion models of interest rate
dynamics an appealing modeling choice to price interest-rate contingent claims. However, …

Little is known about the risk and return characteristics of private equity investments. In this
paper we examine 52,322 financing rounds in 23,208 unique firms, over the period 1980 …