Based on courses developed by the author over several years, this book provides access to
a broad area of research that is not available in separate articles or books of readings. …

… In this section, we briefly review and specialize the general equilibrium model of Cox,
Ingersoll, and Ross [6]. The model is a complete intertemporal description of a continuous time …

This paper develops a continuous time general equilibrium model of a simple but complete
economy and uses it to examine the behavior of asset prices. In this model, asset prices and …

This paper consolidates the results of some recent work on the relation between forward
prices and futures prices. It develops a number of propositions characterizing the two prices. …

This paper examines the pricing of convertible bonds and preferred stocks. The optimal policies
for call and conversion of these securities are determined via the criterion of dominance. …

… This process restricts the one in Cox, Ingersoll, and Ross (1985b) to a zero-expected change
rather than their more general mean-reverting drift. We have chosen this special case of …

… Cox, Ingersoll, and Ross9 provide one such model and in a subsequent paper10 discuss …
second is a production-exchange economy of the Cox, Ingersoll, Ross9 type. As we shall see, …

Incentive fees for money managers are frequently accompanied by high‐water mark
provisions that condition the payment of the performance fee upon exceeding the previously …

This paper derives a stronger version of Huberman's recent “preference free” pricing theorem.
This pricing result relates the expected return on an asset to its factor responses and the …

… The Cox, Ingersoll, Ross method was derived from a general model of the term structure
based on the assumption that the shortest, or spot, rate of interest follows a GaussMarkov …