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Throwing away a billion dollars: the cost of suboptimal exercise strategies in the swaptions market

Longstaff, Francis A.; Santa-Clara, Pedro; Schwartz, … - In: Journal of Financial Economics 62 (2001) 1, pp. 39-66

Persistent link: https://www.econbiz.de/10005477892

Throwing Good Money After Bad? Cash Infusions and Distressed Real Estate

Cornell, Bradford; Longstaff, Francis A.; Schwartz, … - In: Real Estate Economics 24 (1996) 1, pp. 23-41

When a leveraged real estate project experience cash-flow problems, the owner must either inject additional cash or default on the mortgage. We show that it is not optimal for the owner to default as soon as net cash flow becomes negative. Surprisingly, the owner can expropriate some of the...

Persistent link: https://www.econbiz.de/10005335067

A simple approach to valuing risky fixed and floating rate debt

Longstaff, Francis A. - In: The journal of finance : the journal of the American … 50 (1995) 3, pp. 789-819

Persistent link: https://www.econbiz.de/10001340027

Electronic screen trading and the transmission of information : an empirical examination

Grünbichler, Andreas - In: Journal of financial intermediation 3 (1994) 2, pp. 166-187

Persistent link: https://www.econbiz.de/10001166034

Implementation of the Longstaff-Schwartz interest rate model

Longstaff, Francis A. - In: The journal of fixed income 3 (1993) 2, pp. 7-14

Persistent link: https://www.econbiz.de/10001149258

Valuing American options by simulation : a simple least-squares approach

Longstaff, Francis A.; Schwartz, Eduardo S. - In: The review of financial studies 14 (2001) 1, pp. 113-147

Persistent link: https://www.econbiz.de/10001543109

Throwing away a billion dollars : the cost of suboptimal exercise strategies in the swaptions market

Longstaff, Francis A.; Santa-Clara, Pedro; Schwartz, … - In: Journal of financial economics 62 (2001) 1, pp. 39-66

Persistent link: https://www.econbiz.de/10001608810

The relative valuation of caps and swaptions : theory and empirical evidence

Longstaff, Francis A.; Santa-Clara, Pedro; Schwartz, … - In: The journal of finance : the journal of the American … 56 (2001) 6, pp. 2067-2109

Persistent link: https://www.econbiz.de/10001631728

Interest rate volatility and the term structure : a two factor general equilibrium model

Longstaff, Francis A. - In: The journal of finance : the journal of the American … 47 (1992) 4, pp. 1259-1282

Persistent link: https://www.econbiz.de/10001133697

Valuing credit derivatives

Longstaff, Francis A. - In: The journal of fixed income 5 (1995) 1, pp. 6-12

Persistent link: https://www.econbiz.de/10001213254