Bendheim Center for Finance

Research output

Research output per year 1972 2004 2006 2007 2008 2009 2010 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2024

• 762 Article
• 163 Conference contribution
• 80 Chapter
• 46 Comment/debate
• 164 More
  • 46 Review article
  • 42 Conference article
  • 25 Paper
  • 17 Editorial
  • 15 Letter
  • 13 Book
  • 6 Foreword/postscript

Research output per year

Research output per year

Search results

• 2011

  Duration-enhancing overlay strategies for defined benefit pension plans

  Mulvey, J. M., Kim, W. C. & Ma, Y., Mar 29 2011, Asset and Liability Management Handbook. Palgrave Macmillan, p. 280-307 28 p.

  Research output: Chapter in Book/Report/Conference proceeding › Chapter

  Open Access

  • Performance Improvement 100%
  • Defined Benefit Pension Plans 100%
  • Economic Conditions 100%
  • Risk Reduction 100%
  • Projection System 100%

• Macroeconomics with financial frictions: A survey

  Brunnermeier, M. K., Eisenbach, T. M. & Sannikov, Y., Jan 1 2011, Advances in Economics and Econometrics: Tenth World Congress, Volume II: Applied Economics. Cambridge University Press, p. 3-94 92 p.

  Research output: Chapter in Book/Report/Conference proceeding › Chapter

  Open Access

  • Macroeconomics 100%
  • Financial Frictions 100%
  • Monetary Theory 33%
  • Financial Stability 33%
  • Financial System 33%
  45 Scopus citations

• Multistage financial planning models: Integrating stochastic programs and policy simulators

  Mulvey, J. M. & Kim, W. C., 2011, International Series in Operations Research and Management Science. Springer New York LLC, p. 257-275 19 p. (International Series in Operations Research and Management Science; vol. 150).

  Research output: Chapter in Book/Report/Conference proceeding › Chapter

  • Stochastic Policy 100%
  • Financial Planning 100%
  2 Scopus citations

• Performance enhancements for defined benefit pension plans

  Mulvey, J. M., Bauerfeind, T., Simsek, K. D. & Vural, M. T., 2011, International Series in Operations Research and Management Science. Springer New York LLC, p. 43-71 29 p. (International Series in Operations Research and Management Science; vol. 163).

  Research output: Chapter in Book/Report/Conference proceeding › Chapter

  • Performance Improvement 100%
  • Defined Benefit Pension Plans 100%
  • Performance Enhancement 100%
  • Financial Planning 100%
  • Model Management 100%
• 2010

  Estimating Continuous-Time models with discretely sampled data

  Aït-Sahalia, Y., Jan 1 2010, Advances in Economics and Econometrics: Theory and Applications, Ninth World Congress, Volume III. Cambridge University Press, p. 261-327 67 p.

  Research output: Chapter in Book/Report/Conference proceeding › Chapter

  • Continuous-time Model 100%
  • Continuous Time Model 100%
  • Continuous Time 100%
  • Discrete Time 66%
  • Continuous-time 33%
  8 Scopus citations

• Operator Methods for Continuous-Time Markov Processes

  Aït-Sahalia, Y., Hansen, L. P. & Scheinkman, J. A. A., 2010, Handbook of Financial Econometrics, Vol 1. Elsevier Inc., p. 1-66 66 p.

  Research output: Chapter in Book/Report/Conference proceeding › Chapter

  Open Access

  • Forecast Horizon 100%
  • Markov Structure 100%
  • Local Characterization 100%
  • Nonlinear Markov Processes 100%
  • Conditional Expectation Operators 100%
  25 Scopus citations

• The Evolution of National and Regional Factors in US Housing Construction

  Stock, J. H. & Watson, M. W., May 1 2010, Volatility and Time Series Econometrics: Essays in Honor of Robert Engle. Oxford University Press

  Research output: Chapter in Book/Report/Conference proceeding › Chapter

  Open Access

  • Building Permits 100%
  • U.S. Housing 100%
  • National Factors 100%
  • Housing Construction 100%
  • Residential Unit 100%
  10 Scopus citations
• 2009

  An enterprise risk management model for supply chains

  Mulvey, J. M. & Erkan, H. G., 2009, Springer Optimization and Its Applications. Springer International Publishing, p. 177-189 13 p. (Springer Optimization and Its Applications; vol. 30).

  Research output: Chapter in Book/Report/Conference proceeding › Chapter

  • Supply Chain 100%
  • Enterprise Risk Management 100%
  • Risk Management Model 100%
  • Risk Management 100%
  • Supply Chain Management 100%
  2 Scopus citations

• Forecasting in Dynamic Factor Models Subject to Structural Instability

  Stock, J. H. & Watson, M. W., Sep 1 2009, The Methodology and Practice of Econometrics: A Festschrift in Honour of David F. Hendry. Oxford University Press

  Research output: Chapter in Book/Report/Conference proceeding › Chapter

  • Structural Instability 100%
  • Dynamic Factor Model 100%
  • Factor Model 100%
  • Dynamic Factor 100%
  • Structural Change 25%
  109 Scopus citations
• 2008

  Applications to weather derivatives and energy contracts

  Carmona, R., Dec 29 2008, Indifference Pricing: Theory and Applications. Princeton University Press, p. 241-264 24 p.

  Research output: Chapter in Book/Report/Conference proceeding › Chapter

  • Energy Contracts 100%
  • Energy Engineering 100%
  3 Scopus citations

• Coordinating expectations in monetary policy

  Morris, S. & Shin, H. S., 2008, Central Banks as Economic Institutions. Edward Elgar Publishing Ltd., p. 88-104 17 p.

  Research output: Chapter in Book/Report/Conference proceeding › Chapter

  • Monetary Policy 100%
  16 Scopus citations

• Credit derivatives and risk aversion

  Leung, T., Sircar, R. & Zariphopoulou, T., 2008, Econometrics and Risk Management. Fouque, J.-P., Fomby, T. & Solna, K. (eds.). p. 275-291 17 p. (Advances in Econometrics; vol. 22).

  Research output: Chapter in Book/Report/Conference proceeding › Chapter

  Open Access

  • Risk Aversion 100%
  • Credit Risk 100%
  • Credit Derivatives 100%
  • Credit Derivative 100%
  • Payoff 50%
  10 Scopus citations

• Dynamic Financial Analysis for Multinational Insurance Companies

  Mulvey, J. M., Pauling, B., Britt, S. & Morin, F., 2008, Handbook of Asset and Liability Management - Set. Elsevier, Vol. 2. p. 543-590 48 p.

  Research output: Chapter in Book/Report/Conference proceeding › Chapter

  • Dynamic Financial Analysis 100%
  • Insurance Companies 100%
  • Capital Structure 100%
  • Insurance Company 100%
  • Insurance 66%
  7 Scopus citations

• From markovian to partially observable models

  Carmona, R., Dec 29 2008, Indifference Pricing: Theory and Applications. Princeton University Press, p. 147-180 34 p.

  Research output: Chapter in Book/Report/Conference proceeding › Chapter

  • Observable Model 100%
  1 Scopus citations

• Round table discussion: Monetary policy in the new international environment

  Artus, P., Blinder, A. S., Buiter, W., Issing, O. & Solow, R. M., 2008, Central Banks as Economic Institutions. Edward Elgar Publishing Ltd., p. 177-206 30 p.

  Research output: Chapter in Book/Report/Conference proceeding › Chapter

  • Monetary Policy 100%
  • New International 100%
  • International Environment 100%
  • Roundtable Discussion 100%
  2 Scopus citations
• 2007

  Comment

  Kiyotaki, N., 2007, NBER Macroeconomics Annual. Acemoglu, D., Rogoff, K. & Woodford, M. (eds.). p. 71-77 7 p. (NBER Macroeconomics Annual; vol. 22).

  Research output: Chapter in Book/Report/Conference proceeding › Chapter

• HJM: A unified approach to dynamic models for fixed income, credit and equity markets

  Carmona, R. A., 2007, Paris-Princeton Lectures on Mathematical Finance 2004. Springer Verlag, p. 1-50 50 p. (Lecture Notes in Mathematics; vol. 1919).

  Research output: Chapter in Book/Report/Conference proceeding › Chapter

  • Unified Approach 100%
  • Dynamic Model 100%
  • Market Model 100%
  • Fixed Income Markets 100%
  • Equity Markets 100%
  10 Scopus citations

• Utility valuation of credit derivatives: Single and two-name cases

  Sircar, R. & Zariphopoulou, T., 2007, Applied and Numerical Harmonic Analysis. 9780817645441 ed. Springer International Publishing, p. 279-301 23 p. (Applied and Numerical Harmonic Analysis; no. 9780817645441).

  Research output: Chapter in Book/Report/Conference proceeding › Chapter

  • Credit Derivatives 100%
  • Credit Derivative 100%
  • Yield Spread 66%
  • Yield Curve 66%
  • Risk Impact 33%
  13 Scopus citations
• 2006

  Chapter 10 Forecasting with Many Predictors

  Stock, J. H. & Watson, M. W., 2006, Handbook of Economic Forecasting. Elliott, G., Granger, C. W. J. & Timmermann, G. (eds.). p. 515-554 40 p. (Handbook of Economic Forecasting; vol. 1).

  Research output: Chapter in Book/Report/Conference proceeding › Chapter

  • Economic Variables 100%
  • Chapter 10 100%
  • Time Series 100%
  • Factor Model 100%
  • Predictor Variables 66%
  311 Scopus citations

• Comment

  Sims, C., 2006, NBER Macroeconomics Annual. Acemoglu, D., Rogoff, K. & Woodford, M. (eds.). p. 307-312 6 p. (NBER Macroeconomics Annual; vol. 21).

  Research output: Chapter in Book/Report/Conference proceeding › Chapter

• Comment

  Watson, M. W., 2006, NBER Macroeconomics Annual. Acemoglu, D., Rogoff, K. & Woodford, M. (eds.). p. 97-102 6 p. (NBER Macroeconomics Annual; vol. 21).

  Research output: Chapter in Book/Report/Conference proceeding › Chapter
  1 Scopus citations

• Likelihood inference for diffusions: A survey

  Aït-Sahalia, Y., Jan 1 2006, Frontiers in Statistics: Dedicated to Peter John Bickel in Honor of his 65th Birthday. Imperial College Press, p. 369-405 37 p.

  Research output: Chapter in Book/Report/Conference proceeding › Chapter

  • Likelihood-free Inference 100%
  • Facilitated Diffusion 100%
  • Multivariate Process 50%
  • Discretely Sampled Diffusions 50%
  • Closed-form Expansion 50%
  7 Scopus citations
• 2005

  Applying financial engineering to the health services industry

  Mulvey, J. M., Sep 20 2005, Building a Better Delivery System: A New Engineering/Health Care Partnership. National Academies Press, p. 173-176 4 p.

  Research output: Chapter in Book/Report/Conference proceeding › Chapter

  • Service Industry 100%

• Policy conditionality

  Coate, S. & Morris, S., Sep 29 2005, Globalization and the Nation State: The impact of the IMF and the World Bank. Routledge Taylor & Francis Group, p. 36-50 15 p.

  Research output: Chapter in Book/Report/Conference proceeding › Chapter

  • Policy Conditionality 100%
  8 Scopus citations
• 2003

  Approximation schemes for degree-restricted MST and Red-Blue Separation Problem

  Arora, S. & Chang, K. L., 2003, Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics). Baeten, J. C. M., Lenstra, J. K., Parrow, J. & Woeginger, G. J. (eds.). Springer Verlag, p. 176-188 13 p. (Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics); vol. 2719).

  Research output: Chapter in Book/Report/Conference proceeding › Chapter

  • Approximation Scheme 100%
  • Separation Problem 100%
  • Polynomial Time 100%
  • Minimum Spanning Tree 100%
  • Spanning Tree 50%
  3 Scopus citations

• Commentary

  Sims, C. A., Jan 1 2003, Evolution and Procedures in Central Banking. Cambridge University Press, p. 60-64 5 p.

  Research output: Chapter in Book/Report/Conference proceeding › Chapter

  • Conventional Wisdom 100%
  • Developed Countries 100%
  • Macroeconomics 100%
  • Number of Individuals 50%
  • Inflation 50%

• Comments on papers by Stefania Albanesi, V. V. Chari, and Lawrence J. Christiano and by Jordi Gali

  Sims, C. A., Jan 1 2003, Advances in Economics and Econometrics: Theory and Applications, Eighth World Congress, Volume III. Cambridge University Press, p. 198-208 11 p.

  Research output: Chapter in Book/Report/Conference proceeding › Chapter

  • V(V) 100%
  • General Equilibrium Model 100%
  • Optimal Monetary Policy 100%
  • Charis 100%
  • Welfare 100%

• Global games: Theory and applications

  Morris, S. & Shin, H. S., Jan 1 2003, Advances in Economics and Econometrics: Theory and Applications, Eighth World Congress, Volume 1. Cambridge University Press, p. 56-114 59 p.

  Research output: Chapter in Book/Report/Conference proceeding › Chapter

  Open Access

  • Game Theory 100%
  • Player Actions 100%
  • Hierarchies of Beliefs 100%
  • Global Games 100%
  • Game Application 100%
  447 Scopus citations

• Macroeconomic forecasting using many predictors

  Watson, M. W., Jan 1 2003, Advances in Economics and Econometrics: Theory and Applications, Eighth World Congress, Volume III. Cambridge University Press, p. 87-114 28 p.

  Research output: Chapter in Book/Report/Conference proceeding › Chapter

  • Vector Autoregression 100%
  • Macroeconomic Forecasting 100%
  • Macroeconometric Model 75%
  • Overstatement 50%
  • Policy Making 25%
  25 Scopus citations

• Proving integrality gaps without knowing the linear program

  Arora, S., 2003, Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics). Lingas, A. & Nilsson, B. J. (eds.). Springer Verlag, p. 1 1 p. (Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics); vol. 2751).

  Research output: Chapter in Book/Report/Conference proceeding › Chapter

  • Linear Programming 100%
  • Integrality Gap 100%
  1 Scopus citations