``Competitive Equilibria in General Choice Spaces,'' Journal of Mathematical Economics, vol. 14 (1986), pp. 1-23.
``Stochastic Equilibria: Existence, Spanning Number, and the `No Expected Financial Gains From Trade' Hypothesis,'' Econometrica, vol. 54 (1986), pp. 1161-1184. (.pdf file download),
``Predictable Representation of Martingale Spaces and Changes of Probability Measure,'' Séminaires de Probabilité XIX, edited by J. Azéma and M. Yor, Lecture Notes in Mathematics Number 1123, (1985) Springer-Verlag: Berin, pp. 278-285.
``Multiperiod Security Markets with Differential Information: Martingales and Resolution Times'' (with Chi-fu Huang), Journal of Mathematical Economics, vol. 15 (1986), pp. 283-303.
``Stochastic Equilibria with Incomplete Financial Markets,'' Journal of Economic Theory, vol. 41 (1987), pp. 405-416. Corrigendum, vol. 49 (1989), p. 384.
``Equilibrium in Incomplete Markets: I. A Basic Model of Generic Existence'' (with Wayne Shafer), Journal of Mathematical Economics, vol. 13 (1985), pp. 285-300, to be reprinted in General Equilibrium Theory, edited by Gerard Debreu, Edward Elgar Publishing, Cheltenham, England.
``Equilibrium in Incomplete Markets: II. Generic Existence in Stochastic Economies'' (with Wayne Shafer) Journal of Mathematical Economics, vol. 15 (1986), pp. 199-216, to be reprinted in General Equilibrium Theory, edited by Gerard Debreu, Edward Elgar Publishing, Cheltenham, England.
``Intertemporal Arbitrage and the Markov Valuation of Securities'' (with Mark Garman), Cuadernos Economicos de ICE, vol. 49 (1991), pp. 37-60.
``An Extension of the Black-Scholes Model of Security Valuation,'' Journal of Economic Theory, vol. 46 (1988), 194-204.
``Optimal Hedging and Equilibrium in a Dynamic Futures Market'' (with Matthew O. Jackson), Journal of Economic Dynamics and Control, vol. 14 (1990), 21-33.
``Optimal Innovation of Futures Contracts'' (with Matthew O. Jackson) Review of Financial Studies, vol. 2 (1989), pp. 275-296. (.pdf file download),
``Money in General Equilibrium Theory,'' Chapter 3, Handbook of Monetary Economics, volume 1 (1990), edited by B. M. Friedman and F. H. Hahn, Elsevier Science Publishers, Amsterdam, pp. 81-100.
``The Consumption-Based Capital Asset Pricing Model'' (with Bill Zame), Econometrica, vol. 57 (1989), pp. 1279-1298. (.pdf file download),
``Transactions Costs and Portfolio Choice in a Discrete-Continuous Time Setting'' (with Tong-Sheng Sun), Journal of Economic Dynamics and Control, vol. 14 (1990), 35-51.
``The Risk-Neutral Value of the Early Arbitrage Option'', Advances in Futures and Options Research, vol. 4 (1990), pp. 107-110.
``Arrow and General Equilibrium Theory'' (with Hugo Sonnenschein), Journal of Economic Literature, vol. 27 (1989), pp. 565-598. (.pdf file download),
``Corporate Financial Hedging with Proprietary Information'' (with Peter DeMarzo), Journal of Economic Theory, vol. 53 (1991), pp. 261-286.
``From Discrete to Continuous Time Finance: Weak Convergence of the Financial Gain Process'' (with Philip Protter), , Mathematical Finance, vol. 2 (1992), pp. 1-16.
``Mean-Variance Hedging in Continuous Time'' (with Henry Richardson), Annals of Applied Probability, vol. 1 (1991), 1-15. (.pdf file download),
``Pricing Continuously Resettled Contingent Claims'' (with Richard Stanton), Journal of Economic Dynamics and Control, vol. 16 (1992), pp. 561-574.
``Stochastic Differential Utility,'' (with Larry Epstein), Econometrica, vol. 60 (1992), pp. 353-394. (.pdf file download),
``The Theory of Value in Security Markets,'' The Handbook of Mathematical Economics, volume IV, Chapter 31, edited by Werner Hildenbrand and Hugo Sonnenschein, North-Holland (1991), 1615-1682.
``PDE Solutions of Stochastic Differential Utility'' (with P.-L. Lions) Journal of Mathematical Economics, vol. 21 (1992). 577-606.
``Asset Pricing with Stochastic Differential Utility'' (with Larry Epstein), Review of Financial Studies, vol. 5 (1992), pp. 411-436.
``Simulated Moments Estimation of Markov Models of Asset Prices'' (with Ken Singleton), Econometrica, vol. 61 (1993), pp. 929-952, reprinted in Financial Econometrics , edited by Andrew Lo, (Camberly, U.k.: Edward Elgar). (.pdf file download),
``Optimal Investment with Undiversifiable Income Risk'' (with Thaleia Zariphopoulou), Mathematical Finance, vol. 3 (1993), pp. 135-148.
``Arbitrage Pricing of Russian Options and Perpetual Lookback Options'' (with J. Michael Harrison), Annals of Applied Probability, vol. 3 (1993), 641-651. (.pdf file download),
``Continuous-Time Security Pricing: A Utility Gradient Approach'' (with Costis Skiadas), Journal of Mathematical Economics, vol. 23 (1994), 107-132.
``Efficient and Equilibrium Allocations with Stochastic Differential Utility,'' (with Pierre-Yves Geoffard and Costis Skiadas), Journal of Mathematical Economics, vol. 23 (1994), 133-146.
``Stationary Markov Equilibria'' (with John Geanakoplos, Andreu Mas-Colell, and Andy McLennan), Econometrica, vol. 62 (1994), 745-782. (.pdf file download),
``Black's Consol Rate Conjecture'' (with Jin Ma and Jiongmin Yong), Annals of Applied Probability, 1995, vol. 5, No. 2, 356-382. (.pdf file download),
``Hedging in Incomplete Markets with HARA Utility'' (with Wendell Fleming, Mete Soner, and Thaleia Zariphopoulou), Journal of Economic Dynamics and Control, vol. 21 (1997), 753-782.
``Efficient Monte Carlo Estimation of Security Prices'' (with Peter Glynn), Annals of Applied Probability, vol. 5 (1995), 897-905. (.pdf file download),
``Corporate Incentives for Hedging and Hedge Accounting'' (with Peter DeMarzo), Review of Financial Studies, vol. 8 (1995), 743-772. (.pdf file download),
``Asset Pricing with Heterogeneous Consumers'' (with George Constantinides), Journal of Political Economy, vol. 104 (1996), pp. 219-240. (.pdf file download),
``Special Repo Rates,'' Journal of Finance, vol. 51 (1996), pp. 493-526. (.pdf file download),
``A Term Structure Model with Preferences for the Timing of the Resolution of Uncertainty'' (with Mark Schroder and Costis Skiadas), Economic Theory, vol. 9 (1997), 3-22.
``A Yield-Factor Model of Interest Rates", (with Rui Kan), Mathematical Finance, vol. 6 (1996), no. 4, 379-406.
``Swap Rates and Credit Quality'' (with Ming Huang), Journal of Finance, vol. 51 (1996), 921-950. (.pdf file download),
``Recursive Valuation of Defaultable Securities and the Timing of the Resolution of Uncertainty'' (with Mark Schroder and Costis Skiadas), Annals of Applied Probability, vol. 6 (1996), 1075-1090. (.pdf file download),
``An Econometric Model of the Term Structure of Interest Rate Swap Yields'' (with Ken Singleton), Journal of Finance, vol. 52 (1997), pp. 1287-1323, winner of Smith-Breeden Prize. (.pdf file download),
``An Overview of Value at Risk'' (with Jun Pan), Journal of Derivatives , Spring 1997, vol. 4, 7-49, reprinted in Options Markets, edited by G. Constantinides and A. G. Malliaris, London: Edward Elgar , 2000.
"A Liquidity Based Model of Security Design" (with Peter DeMarzo), Econometrica, vol. 67 (1999), pp. 65-99.
``Modeling Term Structures of Defaultable Bonds'' (with Ken Singleton), Review of Financial Studies, vol. 12 (1999), pp. 687-720, winner, Smith-Breeden Award. (.pdf file download),
``Credit Swap Valuation,'' Financial Analysts Journal, January-February, 1999, pp. 73-87. (.pdf file download),
``Transform Analysis and Asset Pricing for Affine Jump Diffusions,'' (with Jun Pan and Kenneth Singleton), Econometrica, Vol. 68 (2000), pp. 1343-1376. (file download),
``Floating-Fixed Credit Spreads'' (.ps file download) (.pdf file download), (with Jun Liu), Financial Analysts Journal, Vol. 57, Number 3, May-June, 2001, pp. 76-87.
``Universal State Prices and Asymmetric Information,'' (with Rui Kan), Journal of Mathematical Economics, vol. 38 (2002), 191-196.
``Term Structure of Credit Spreads with Incomplete Accounting Information'' (.ps file download) (.pdf file download), (with David Lando), Econometrica, Vol. 69 (2001), pp. 633-664.
``Analytical Value at Risk with Jumps and Credit Risk,'' (.ps file download) (.pdf file download), with Jun Pan, Finance and Stochastics. Vol. 5 (2001), pp. 155-180.
``Risk and Valuation of Collateralized Debt Obligations,'' (with Nicolae Garleanu), Financial Analysts Journal Vol. 57 (2001), Number 1 (January-February), pp. 41-59, winner of 2001 Graham and Dodd Award of Excellence.
``Securities Lending, Shorting, and Pricing,'' (.pdf file download), (with Nicolae Garleanu and Lasse Pedersen), Journal of Financial Economics , Vol. 66 (2002), pp. 307-339, winner, 2002 New York Stock Exchange Award for The Best Paper on Equity Trading.
``Liquidation Risk,'' (with Alexandre Ziegler) (.pdf file download), Financial Analysts Journal , May-June 2003, pp 42-51.
``Modeling Sovereign Yield Spreads: A Case Study of Russian Debt,'' (.pdf file download), (with Lasse Pedersen and Ken Singleton) Journal of Finance , Vol. 58 (2003), pp. 119-160.
``Affine Processes and Applications in Finance,'' (.pdf file download), (with Damir Filipovic and Walter Schachermayer), Annals of Applied Probability , Volume 13, (2003), pp. 984-1053.
``Large Portfolio Losses,'' (.pdf file download), (with Amir Dembo and Jean-Dominique Deuschel), Finance and Stochastics , Volume 8 (2004), pp. 3-16.
``Market Pricing of Deposit Insurance,'' (.pdf file download), (with Robert Jarrow, Amiyatosh Purnanandam, and Wei Yang), Journal of Financial Services Research , Volume 24 (2003), pp. 93-119.
``Estimation of Continuous-Time Markov Processes Sampled at Random Times,'' (.pdf file download), (with Peter Glynn), Econometrica, Volume 72 (2004), pp. 1773-1808.
``Over-the-Counter Markets,'' (with Nicolae Garleanu and Lasse Pedersen), Econometrica . Volume 73 (2005), pp. 1815-1847.
``Common Failings: How Corporate Defaults are Correlated,'' (with Sanjiv Das, Nikunj Kapadia, and Leandro Saita), The Journal of Finance 2007, Vol. 62: 93-117.
``Multi-Period Corporate Default Prediction with Stochastic Covariates,'' (with Leandro Saita and Ke Wang), The Journal of Financial Economics .2007, Vol. 83, 635-665.
``Existence of Independent Random Matching,'' (with Yeneng Sun), Annals of Applied Probability, 2007, Vol. 17, No. 1, 386-419.
``Systemic Dynamics in the Federal Funds Market,'' (with Adam Ashcraft), American Economic Review, Papers and Proceedings, 2007, Vol. 97, pp. 221-225.
``Valuation in Over-the-Counter Markets,'' (with Nicolae Garleanu and Lasse Pedersen), Graduate School of Business, Stanford University, Review of Financial Studies, 2007, Vol. 20, pp. 1865-1900..
``Information Percolation in Large Markets,'' (with Gustavo Manso), American Economic Review, Papers and Proceedings 2007, Volume 97: 203-209.
``Frailty Correlated Default'' (.pdf file download), (with Andreas Eckner, Guillaume Horel, and Leandro Saita), Graduate School of Business, Stanford University, January, 2008, forthcoming, Journal of Finance .