Published Papers -

“Multidimensional Security Pricing,” Journal of Financial and Quantitative Analysis, December 1975, v. 10, pp. 785-798

“A Theoretical and Empirical Investigation of the Dual Purpose Funds: An Application of Contingent Claims Analysis,” Journal of Financial Economics, Jan-Mar 1976, v. 3, pp. 83- 123.

“Using the Black-Scholes Option Model in Investment Decision Making: Designing a Convertible Preferred Issue,” Proceedings: Seminar on the Analysis of Security Prices, CRSP, May 1976.

“A Contingent-Claims Valuation of Convertible Securities,” Journal of Financial Economics, May 1977, v. 4, pp. 289- 321.

“An Examination of Corporate Call Policies on Convertible Securities,” Journal of Finance, May 1977, v. 32, pp. 463- 478.

“Duration Forty Years Later,” (with J. Skelton and R. Weil) Journal of Financial and Quantitative Analysis, November 1978, v. pp. 627- 648.

“Duration and the Measurement of Basis Risk,” (with J. Cox and S. Ross) Journal of Business, January 1979, v. 52 pp. 51-61.

“Discussion of ‘Dynamics of Borrower-Lender Interaction: Partitioning Final Payoff in Venture Capital Finance’,” by I. A. Cooper and W. T. Carleton, Journal of Finance, May 1979, v. 34, pp. 531-533.

“An Analysis of Variable Rate Loan Contracts,” (with J. Cox and S. Ross) Journal of Finance, May 1980, v. 35, pp. 389- 403.

“A Re-examination of Traditional Hypotheses About the Term Structure of Interest Rates,” (with J. Cox and S. Ross) Journal of Finance, September 1981, v. 36, 769-799.

“The Relation Between Forward Prices and Futures Prices,” (with J. Cox and S. Ross) Journal of Financial Economics, December 1981, v. 9, pp. 321-346.

“Mean-Variance Theory in Complete Markets,” (with P. Dybvig), Journal of Business, April 1982, v. 55, pp. 233-251.

“Optimal Bond Trading With Personal Tax: Implications For Bond Prices And Estimated Tax Brackets And Yield Curves,” (with George Constantinides) Journal of Finance, May 1982, v. 37, pp. 349-352.

“Discussion of ‘The Pricing of Commodity-Linked Bonds’,” by E. Schwartz, Journal of Finance, May 1982, v. 37, pp. 540-541.

“Is Immunization Feasible? Evidence from the CRSP Data,” Innovations in Bond Portfolio Management: Immunization and Duration Analysis, JAI Press, 1983.

“Exact Pricing in Linear Factor Models with Finitely Many Assets,” (with N. Chen) Journal of Finance, June 1983, v. 38, pp. 985-988.

“Some Results in the Theory of Arbitrage Pricing,” Journal of Finance, September 1984, v. 39, pp. 1021-1039.

“Optimal Bond Trading with Personal Tax” (with G. Constantinides) Journal of Financial Economics, September 1984, v. 13, pp. 299-335.

“An Intertemporal General Equilibrium Model of Asset Prices,” (with J. Cox and S. Ross) Econometrica, March 1985, v. 53, pp. 363-384.

“A Theory of the Term Structure of Interest Rates,” (with J. Cox and S. Ross) Econometrica, March 1985, v. 53, pp. 385-407.

“Investment and Uncertainty: Waiting to Invest,” (with S. Ross) Journal of Business, January 1992, v. 65, pp. 1-29.

“Optimal Consumption and Portfolio Rules with Intertemporally Dependent Utility of Consumption,” Journal of Economic Dynamics and Control, 1992 v. 16, 681?712.

“Long Forward Rates Can Never Fall,” (with P. Dybvig and S. Ross) Journal of Business, 1996 v. 69 pp. 1-25.

“Valuing Foreign Exchange Options with a Bounded Exchange Rate Process,” Review of Derivatives Research, v. 1 pp. 159-181

“An Approximation for Valuing American Puts and Other Financial Derivatives Using Barrier Options,” Journal of Computational Finance, v. 2 pp. 85-112.

“Digital Options: A Simple Approach to Pricing Complex Derivatives,” Journal of Business January 2000

“Monthly Measurement of Daily Timers,” (with William Goetzmann and Zoran Ivkovich) Journal of Financial and Quantitative Analysis, v. 35 pp 257-290.

Working Papers -

High Water Marks - June 1998

Valuation of Derivative Contracts Using Payoff Event Approximation - April 2000