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Francis Longstaff
Francis Longstaff
Verified email at anderson.ucla.edu
Title
Cited by
Cited by
Year
Valuing American options by simulation: a simple least-squares approach
FA Longstaff, ES Schwartz
The review of financial studies 14 (1), 113-147, 2001
46402001
A simple approach to valuing risky fixed and floating rate debt
FA Longstaff, ES Schwartz
The Journal of Finance 50 (3), 789-819, 1995
33201995
Corporate yield spreads: Default risk or liquidity? New evidence from the credit default swap market
FA Longstaff, S Mithal, E Neis
The journal of finance 60 (5), 2213-2253, 2005
27622005
An empirical comparison of alternative models of the short‐term interest rate
KC Chan, GA Karolyi, FA Longstaff, AB Sanders
The journal of finance 47 (3), 1209-1227, 1992
26081992
How sovereign is sovereign credit risk?
FA Longstaff, J Pan, LH Pedersen, KJ Singleton
American Economic Journal: Macroeconomics 3 (2), 75-103, 2011
15392011
Interest rate volatility and the term structure: A two‐factor general equilibrium model
FA Longstaff, ES Schwartz
The Journal of Finance 47 (4), 1259-1282, 1992
13591992
The subprime credit crisis and contagion in financial markets
FA Longstaff
Journal of financial economics 97 (3), 436-450, 2010
9442010
The flight-to-liquidity premium in US Treasury bond prices
FA Longstaff
National bureau of economic research, 2002
9422002
Systemic sovereign credit risk: Lessons from the US and Europe
A Ang, FA Longstaff
Journal of Monetary Economics 60 (5), 493-510, 2013
6162013
Dynamic asset allocation with event risk
J Liu, FA Longstaff, J Pan
The Journal of Finance 58 (1), 231-259, 2003
5672003
Electricity forward prices: a high‐frequency empirical analysis
FA Longstaff, AW Wang
The journal of finance 59 (4), 1877-1900, 2004
5562004
How much can marketability affect security values?
FA Longstaff
The Journal of Finance 50 (5), 1767-1774, 1995
5231995
An empirical analysis of the pricing of collateralized debt obligations
FA Longstaff, A Rajan
The Journal of Finance 63 (2), 529-563, 2008
4532008
Optimal portfolio choice and the valuation of illiquid securities
FA Longstaff
The Review of Financial Studies 14 (2), 407-431, 2001
4482001
Counterparty credit risk and the credit default swap market
N Arora, P Gandhi, FA Longstaff
Journal of Financial Economics 103 (2), 280-293, 2012
4432012
Corporate bond default risk: A 150-year perspective
K Giesecke, FA Longstaff, S Schaefer, I Strebulaev
Journal of financial Economics 102 (2), 233-250, 2011
4372011
Losing money on arbitrage: Optimal dynamic portfolio choice in markets with arbitrage opportunities
J Liu, FA Longstaff
Review of Financial studies, 611-641, 2004
4062004
Risk and return in fixed-income arbitrage: Nickels in front of a steamroller?
J Duarte, FA Longstaff, F Yu
The Review of Financial Studies 20 (3), 769-811, 2007
3872007
A nonlinear general equilibrium model of the term structure of interest rates
FA Longstaff
Journal of financial economics 23 (2), 195-224, 1989
3821989
Option pricing and the martingale restriction
FA Longstaff
The Review of Financial Studies 8 (4), 1091-1124, 1995
3681995
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