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Downloadable Papers (sorted by date)

I've put a gray background on the top five most browsed papers in this category.   (Oct-1)

On the Tail Behavior of Sums of Dependent Risks
by Philippe Barbe Centre National de la Recherche Scientifique,
Anne-Laure Fougères of Équipe Modal'X & Université Paris X, and
Christian Genest of the Université Laval
(433K PDF) -- 13 pages -- November 2006

Explicit Formulas for Laplace Transforms of Stochastic Integrals
by Tom R. Hurd of McMaster University, and
Alexey Kuznetsov of McMaster University
(200K PDF) -- 19 pages -- July 3, 2006

Firm Specific Information and the Cost of Equity Capital
by Philip G. Berger of the University of Chicago,
Huafeng (Jason) Chen of the University of British Columbia, and
Feng Li of the University of Michigan
(203K PDF) -- 36 pages -- January 7, 2006

On Approximation of Functions by Exponential Sums
by Gregory Beylkin of the University of Colorado, and
Lucas Monzón of the University of Colorado
(350K PDF) -- 32 pages -- March 2005

The t Copula and Related Copulas
by Stefano Demarta of ETH Zentrum, and
Alexander J. McNeil of ETH Zentrum
(897K PDF) -- 20 pages -- May 2004

Multiscale Stochastic Volatility Asymptotics
by Jean-Pierre Fouque of North Carolina State University,
George Papanicolaou of Stanford University,
Ronnie Sircar of Princeton University, and
Knut Sølna of the University of California, Irvine
(247K PDF) -- 21 pages -- October 2003

Risks For the Long Run: A Potential Resolution of Asset Pricing Puzzles
by Ravi Bansal of Duke University, and
Amir Yaron of the University of Pennsylvania
(260K PDF) -- 52 pages -- January 2003

Using Brownian Bridge for Fast Simulation of Jump-Diffusion Processes and Barrier Options
by Steve A.K. Metwally of Lehman Brothers, and
Amir F. Atiya of Cairo University
(519K PDF) -- 12 pages -- Fall 2002

A Fault Tree Analysis Strategy Using Binary Decision Diagrams
by Karen A. Reay of Loughborough University, and
John D. Andrews of Loughborough University
(308K PDF) -- 20 pages -- February 2002

Term Structure of Interest Rates with Regime Shifts
by Ravi Bansal of Duke University, and
Hao Zhou of the Federal Reserve Board
(730K PDF) -- 58 pages -- August 2001

Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk
by John Y. Campbell of Harvard University,
Martin Lettau of the Federal Reserve Bank of New York,
Burton G. Malkiel of Princeton University, and
Yexiao Xu of the University of Texas
(877K PDF) -- 43 pages -- February 2001

How Big Are the Tax Benefits of Debt?
by John R. Graham of Duke University
(303K PDF) -- 42 pages -- October 2000

Debt Valuation, Renegotiation, and Optimal Dividend Policy
by Hua Fan of Columbia University and Goldman Sachs, and
Suresh M. Sundaresan of Columbia University
(597K PDF) -- 43 pages -- Winter 2000

The Twin Crises: The Causes of Banking and Balance-of-Payments Problems
by Graciela L. Kaminsky of George Washington University, and
Carmen M. Reinhart of the University of Maryland
(221K PDF) -- 28 pages -- June 1999

Regimes of Volatility: Some observations on the variation of S&P 500 implied volatilities
by Emanuel Derman of Goldman Sachs
(2,464K PDF) -- 30 pages -- January 1999

Multivariable Prognostic Models: Issues in developing models, evaluating assumptions and adequacy, and measuring and reducing errors
by Frank E. Harrell, Jr. of the Duke University Medical Center,
Kerry L. Lee of the Duke University Medical Center, and
Daniel B. Mark of the Duke University Medical Center
(3,560K PDF) -- 27 pages -- February 1996

Bounds for the Distribution of a Multivariate Sum
by Haijun Li of Washington State University,
Marco Scarsini of the Università d'Annunzio, and
Moshe Shaked of the University of Arizona
(1,117K PDF) -- 15 pages -- 1996

An Empirical Comparison of Alternative models of the Short-term Interest Rate
by K. C. Chan of Ohio State University,
G. Andrew Karolyi of Ohio State University,
Francis A. Longstaff  of Ohio State University, and
Anthony B. Sanders of Ohio State University
(1,899K PDF) -- 19 pages -- July 1992

The Computation of Aggregate Loss Distributions
by John P. Robertson
(3,164K PDF) -- 77 pages -- 1992

Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A theoretical framework
by Larry G. Epstein of the University of Rochester, and
Stanley E. Zin of Carnegie Mellon University
(824K PDF) -- 36 pages -- July 1989

The Calculation of Aggregate Loss Distributions from Claim Severity and Claim Count Distributions
by Philip E. Heckman of CNA Insurance Companies, and
Glenn G. Meyers
(1,781K PDF) -- 40 pages -- 1983

Recursive Evaluation of a Family of Compound Distributions
by Harry H. Panjer of the University of Waterloo
(135K PDF) -- 5 pages -- 1981

The Bankruptcy Decision
by Jeremy I. Bulow of the Massachusetts Institute of Technology, and
John B. Shoven of Stanford University
(1,696K PDF) -- 20 pages -- Autumn 1978

Verification of Forecasts Expressed in Terms of Probability
by Glenn W. Brie of the U. S. Weather Bureau
(256K PDF) -- 3 pages -- January 1950

Additional References (sorted by author)

Anderson, Ronald W. and Suresh Sundaresan, "