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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
42202001
A simple approach to valuing risky fixed and floating rate debt
FA Longstaff, ES Schwartz
The Journal of Finance 50 (3), 789-819, 1995
31271995
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
25442005
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
24561992
How sovereign is sovereign credit risk?
FA Longstaff, J Pan, LH Pedersen, KJ Singleton
American Economic Journal: Macroeconomics 3 (2), 75-103, 2011
13192011
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
13161992
The flight-to-liquidity premium in US Treasury bond prices
FA Longstaff
National bureau of economic research, 2002
8432002
The subprime credit crisis and contagion in financial markets
FA Longstaff
Journal of financial economics 97 (3), 436-450, 2010
8362010
Systemic sovereign credit risk: Lessons from the US and Europe
A Ang, FA Longstaff
Journal of Monetary Economics 60 (5), 493-510, 2013
5352013
Electricity forward prices: a high‐frequency empirical analysis
FA Longstaff, AW Wang
The journal of finance 59 (4), 1877-1900, 2004
5232004
Dynamic asset allocation with event risk
J Liu, FA Longstaff, J Pan
The Journal of Finance 58 (1), 231-259, 2003
5222003
How much can marketability affect security values?
FA Longstaff
The Journal of Finance 50 (5), 1767-1774, 1995
5111995
Optimal portfolio choice and the valuation of illiquid securities
FA Longstaff
The Review of Financial Studies 14 (2), 407-431, 2001
4392001
An empirical analysis of the pricing of collateralized debt obligations
FA Longstaff, A Rajan
The Journal of Finance 63 (2), 529-563, 2008
4352008
Counterparty credit risk and the credit default swap market
N Arora, P Gandhi, FA Longstaff
Journal of Financial Economics 103 (2), 280-293, 2012
3952012
Losing money on arbitrage: Optimal dynamic portfolio choice in markets with arbitrage opportunities
J Liu, FA Longstaff
Review of Financial studies, 611-641, 2004
3862004
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
3692011
Option pricing and the martingale restriction
FA Longstaff
The Review of Financial Studies 8 (4), 1091-1124, 1995
3641995
A nonlinear general equilibrium model of the term structure of interest rates
FA Longstaff
Journal of financial economics 23 (2), 195-224, 1989
3611989
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
3492007
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