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Articles from Foundations and Trends in Finance (September 1, 2005)

1-151 out of 151 article(s)
Title Author Type Words
1: Introduction. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. 792
11000000 General theory. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Recommended readings 216
11010000 Rational bounds on derivative prices. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Recommended readings 297
11020000 Binomial and multinomial models. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Brief article 279
11030000 Risk-neutral pricing. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Recommended readings 264
11030100 State-price densities and equivalent Martingale measures. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Recommended readings 332
11030200 Implied binomial trees. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Recommended readings 199
11030300 Implied risk aversion. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Brief article 153
11030400 Simulation and Monte Carlo techniques. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Recommended readings 272
11040000 Dynamic spanning and market completeness. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Recommended readings 186
11040100 Convergence results. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Recommended readings 114
11040200 Approximation results. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Brief article 205
11050000 Implied volatility. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Brief article 224
11060000 Equilibrium models. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Recommended readings 647
11060100 Stochastic volatility models. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Recommended readings 416
11060200 Jump processes. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Recommended readings 438
11060300 Other incomplete-market models. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Recommended readings 217
11060400 Discrete-Time Models. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Brief article 344
11060500 Term Structure of Interest Rates. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Recommended readings 675
11070000 Option pricing and hedging with transaction costs. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Recommended readings 449
11080000 Numerical methods, solution of PDE's. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Recommended readings 356
11090000 Nonparametric pricing. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Recommended readings 170
11100000 Mathematics of derivatives. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Recommended readings 632
11110000 Dynamic hedging. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Recommended readings 610
11120000 Security design. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Recommended readings 274
11130000 Optimal exercise. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Brief article 271
12000000 Financial-market applications. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Brief article 227
12010000 Derivatives. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Brief article 123
12010100 Compound derivatives. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Recommended readings 347
12010200 Exotic derivatives. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Brief article 579
12010300 Fixed income derivatives. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Recommended readings 656
12010400 Foreign exchange derivatives. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Recommended readings 914
12010500 Commodity derivatives. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Recommended readings 707
12010600 Equity derivatives. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Brief article 203
12010700 Index derivatives. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Recommended readings 316
12010810 Mortgages and mortgage-backed securities. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Recommended readings 985
12010820 Other asset-backed securities. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Brief article 120
12010900 Swaps and swaptions. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Brief article 125
12011100 Credit derivatives. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Recommended readings 330
12020000 Corporate finance. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Recommended readings 465
12020100 Risk management. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Recommended readings 517
12020200 Debt, equity, and other corporate liabilities. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Recommended readings 553
12020210 Debt and limited liability. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Recommended readings 253
12020211 Bankruptcy and default. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Recommended readings 769
12020212 Credit spreads and risk. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Recommended readings 211
12020213 Bond indenture provisions. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Brief article 130
12020220 Warrants. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Recommended readings 217
12020230 Convertible securities. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Recommended readings 311
12020240 Optimal capital structure. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Recommended readings 554
12020241 SEO's, IPO's, underwriting. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Brief article 276
12020250 Corporate control. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Recommended readings 406
12020251 Tender offers. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Brief article 142
12020252 Corporate restructuring. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Recommended readings 211
12020300 Executive compensation. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Recommended readings 1003
12020310 Employee stock options. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Recommended readings 573
12020400 Venture capital. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Recommended readings 110
12020500 Asset leasing. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Recommended readings 214
12030000 Insurance. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Recommended readings 463
12030100 Loan guarantees. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Recommended readings 239
12030110 Expropriation risk. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Recommended readings 195
12030200 Non-life insurance. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Brief article 204
12030210 Home equity insurance. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Recommended readings 135
12030230 Deposit insurance. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Recommended readings 983
12030240 Health insurance. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Recommended readings 137
12030260 Catastrophe insurance. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Brief article 195
12030300 Portfolio insurance. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Recommended readings 373
12030400 Life insurance. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Brief article 285
12030500 Re-insurance. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Bibliography 240
12030600 Terrorism insurance. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Bibliography 111
12040000 Investment management. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Bibliography 263
12040100 Performance analysis and attribution. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Bibliography 1149
12040110 Asset allocation and market timing. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Bibliography 639
12040120 Risk measurement. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Recommended readings 394
12040130 Portfolio efficciency. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Recommended readings 225
12040140 Hedge funds analysis. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Brief article 138
12040200 Market microstructure. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Recommended readings 113
12040210 Limit orders. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Recommended readings 119
12040220 Bid-ask spreads. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Brief article 148
12040250 Market making. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Recommended readings 116
12040300 Derivative trading strategies. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Recommended readings 591
13000000 General economic applications. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Recommended readings 288
13010000 Real options. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Brief article 189
13010100 Investment under uncertainty. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Bibliography 304
13010110 Capacity planning. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Bibliography 152
13010120 Infrastructure investment. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Bibliography 118
13010200 Options to invest. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Bibliography 293
13010300 Research and development. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Bibliography 272
13010400 Inventories. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Bibliography 109
13010500 Entry and exit. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Bibliography 108
13010600 Exhaustible resources. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Bibliography 253
13010610 Oil, coal, natural gas, mineral deposits. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Brief article 156
13010620 Pollution rights. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Bibliography 157
13010700 Abandonment options. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Bibliography 154
13010800 Strategic options. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Bibliography 367
13010900 Patents. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Brief article 109
13011000 Vacant land options. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Bibliography 205
13011100 Real estate. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Bibliography 473
13020000 Macroeconomics. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Bibliography 936
13020100 Economic derivatives. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Bibliography 183
13020200 Stabilization policies. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Bibliography 359
13030000 Political science. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Brief article 107
13050000 Labor economics. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Bibliography 120
13050200 Academic tenure. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Bibliography 128
13050300 Retirement benefits. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Bibliography 354
13060000 Agency theory, incentives and contracts. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Bibliography 401
13070000 Game theory. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Brief article 266
13080000 Development economics. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Bibliography 221
13090000 Trade. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Bibliography 245
13090100 Trade credit. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Bibliography 133
13100000 Asset pricing. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Bibliography 345
13110000 Financial innovation. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Bibliography 252
13120000 Organizational behavior. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Bibliography 112
14000000 Other applications. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Bibliography 147
14010000 Legal. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Bibliography 318
14010200 Taxation. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Bibliography 590
14010300 Quota licenses. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Bibliography 128
14010500 Regulation. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Bibliography 631
14030000 Biomedical research. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Brief article 119
14050000 Agriculture. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Bibliography 318
14050100 Farm price supports. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Bibliography 139
14060000 Marketing. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Bibliography 179
14070000 Environment. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Bibliography 183
14080000 Social sciences. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Bibliography 190
14090000 Accounting. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Bibliography 276
14100000 Weather derivatives. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Bibliography 170
15000000 Empirical analysis. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Bibliography 176
15010000 Estimation of stochastic processes. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Bibliography 456
15010100 Estimation of volatility. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Bibliography 371
15010110 GARCH models. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Bibliography 177
15010200 Jump process estimation. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Brief article 142
15020000 Tests of derivative pricing models. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Bibliography 1027
15020100 Term structure tests. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Bibliography 349
15020300 Implied volatility tests. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Bibliography 798
15020400 Implied risk aversion tests. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Bibliography 201
15020500 Tests of market efficiency. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Recommended readings 621
15020510 Arbitrage relations. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Recommended readings 199
15020530 Nonparametric Tests. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Recommended readings 155
15020540 Option exercise tests. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Brief article 207
15060000 Forecasting. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Recommended readings 327
15070000 Empirical studies. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Brief article 381
15070100 Event studies. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Recommended readings 244
15070200 Market crashes. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Recommended readings 201
15070300 Option listing. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Brief article 153
15070400 Seasonalities. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Recommended readings 183
15070500 Announcement reactions. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Recommended readings 123
15070600 Informational transmission and trading. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Recommended readings 170
16000000 Historical. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Recommended readings 355
2: Applications of option-pricing theory: twenty-five years later. *. Merton, Robert C. 17112
3: Derivatives in a dynamic environment. *. Scholes, Myron S. 14564
4: Classification categories. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Recommended readings 724
The derivatives sourcebook. Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S. Recommended readings 134

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