This paper examines the optimal consumption and portfolio-choice problem of long-horizon
investors who have access to a riskless asset with constant return and a risky asset (“stocks”…

This paper derives a methodology for the estimation of continuous-time stochastic models
based on the characteristic function. The estimation method does not require discretization of …

We present a new measure of liquidity known as “latent liquidity” and apply it to a unique
corporate bond database. Latent liquidity is defined as the weighted average turnover of …

Combining their corporate and academic experiences, Jamil Baz and George Chacko offer
financial analysts a complete, succinct account of the principles of financial derivatives pricing…

The relationship between affine stochastic processes and bond pricing equations in exponential
term structure models has been well established. We connect this result to the pricing of …

This paper derives an approximate solution to a continuous-time intertemporal portfolio and
consumption choice problem. The problem is the continuous-time equivalent of the discrete-…

Stimulation of the B cell Ag receptor (BCR) has been reported to induce tyrosine
phosphorylation of a 145-kDa protein and its association with the adapter protein Shc. We have …

The ability of a T cell to be activated is critically regulated by the number of TCRs expressed
on the plasma membrane. Cell surface TCR expression is influenced by dynamic processes …

This paper models transaction costs as the rents that a monopolistic market maker extracts
from impatient investors who trade via limit orders. We show that limit orders are American …

Recently, Wu, Wang, and Evans (2019) proposed a new family of indicators, which measure
whether a scientific publication is disruptive to a field or tradition of research. Such …