Results 1  10
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50,586
Maximum likelihood from incomplete data via the EM algorithm
 JOURNAL OF THE ROYAL STATISTICAL SOCIETY, SERIES B
, 1977
"... A broadly applicable algorithm for computing maximum likelihood estimates from incomplete data is presented at various levels of generality. Theory showing the monotone behaviour of the likelihood and convergence of the algorithm is derived. Many examples are sketched, including missing value situat ..."
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Cited by 11972 (17 self)
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A broadly applicable algorithm for computing maximum likelihood estimates from incomplete data is presented at various levels of generality. Theory showing the monotone behaviour of the likelihood and convergence of the algorithm is derived. Many examples are sketched, including missing value
Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts
"... Volatility permeates modern financial theories and decision making processes. As such, accurate measures and good forecasts of future volatility are critical for the implementation and evaluation of asset and derivative pricing theories as well as trading and hedging strategies. In response to this, ..."
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Cited by 561 (45 self)
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Volatility permeates modern financial theories and decision making processes. As such, accurate measures and good forecasts of future volatility are critical for the implementation and evaluation of asset and derivative pricing theories as well as trading and hedging strategies. In response to this
Option pricing when underlying stock returns are discontinuous
 Journal of Financial Economics
, 1976
"... The validity of the classic BlackScholes option pricing formula dcpcnds on the capability of investors to follow a dynamic portfolio strategy in the stock that replicates the payoff structure to the option. The critical assumption required for such a strategy to be feasible, is that the underlying ..."
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Cited by 1001 (3 self)
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stock return dynamics can be described by a stochastic process with a continuous sample path. In this paper, an option pricing formula is derived for the moregeneral cast when the underlying stock returns are gcncrated by a mixture of both continuous and jump processes. The derived formula has most
An Analytic Derivation of the Cost of Deposit Insurance and Loan Guarantees: An Application of Modern Option Pricing Theory
 Journal of Banking and Finance
, 1977
"... It is not uncommon in the arrangement of a loan to include as part of the financial package a guarantee of the loan by a third party. Examples are guarantees by a parent company of loans made to its subsidiaries or government guarantees of loans made to private corporations. Also included would be g ..."
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Cited by 444 (6 self)
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between loan guarantees and common stock put options, and then to use the well developed theory of option pricing to derive the formula. 1.
Option Pricing: A Simplified Approach
 Journal of Financial Economics
, 1979
"... This paper presents a simple discretetime model for valumg optlons. The fundamental econonuc principles of option pricing by arbitrage methods are particularly clear In this setting. Its development requires only elementary mathematics, yet it contains as a special limiting case the celebrated Blac ..."
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Cited by 1016 (10 self)
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This paper presents a simple discretetime model for valumg optlons. The fundamental econonuc principles of option pricing by arbitrage methods are particularly clear In this setting. Its development requires only elementary mathematics, yet it contains as a special limiting case the celebrated
Large N field theories, string theory and gravity
, 2001
"... We review the holographic correspondence between field theories and string/M theory, focusing on the relation between compactifications of string/M theory on Antide Sitter spaces and conformal field theories. We review the background for this correspondence and discuss its motivations and the evide ..."
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Cited by 1443 (45 self)
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and the evidence for its correctness. We describe the main results that have been derived from the correspondence in the regime that the field theory is approximated by classical or semiclassical gravity. We focus on the case of the N = 4 supersymmetric gauge theory in four dimensions, but we discuss also field
ScaleSpace Theory in Computer Vision
, 1994
"... A basic problem when deriving information from measured data, such as images, originates from the fact that objects in the world, and hence image structures, exist as meaningful entities only over certain ranges of scale. "ScaleSpace Theory in Computer Vision" describes a formal theory fo ..."
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Cited by 625 (21 self)
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A basic problem when deriving information from measured data, such as images, originates from the fact that objects in the world, and hence image structures, exist as meaningful entities only over certain ranges of scale. "ScaleSpace Theory in Computer Vision" describes a formal theory
A theory of the term structure of interest rates,
 Econometrika,
, 1985
"... Each copy of any part of a JSTOR transmission must contain the same copyright notice that appears on the screen or printed page of such transmission. JSTOR is a notforprofit service that helps scholars, researchers, and students discover, use, and build upon a wide range of content in a trusted d ..."
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Cited by 1979 (3 self)
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. Ross This paper uses an intertemporal general equilibrium asset pricing model to study the term structure of interest rates. In this model, anticipations, risk aversion, investment alternatives, and preferences about the timing of consumption all play a role in determining bond prices. Many
Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test
 REVIEW OF FINANCIAL STUDIES
, 1988
"... In this article we test the random walk hypothesis for weekly stock market returns by comparing variance estimators derived from data sampled at different frequencies. The random walk model is strongly rejected for the entire sample period (19621985) and for all subperiod for a variety of aggrega ..."
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Cited by 517 (17 self)
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In this article we test the random walk hypothesis for weekly stock market returns by comparing variance estimators derived from data sampled at different frequencies. The random walk model is strongly rejected for the entire sample period (19621985) and for all subperiod for a variety
The theory and practice of corporate finance: Evidence from the field
 Journal of Financial Economics
, 2001
"... We survey 392 CFOs about the cost of capital, capital budgeting, and capital structure. Large firms rely heavily on present value techniques and the capital asset pricing model, while small firms are relatively likely to use the payback criterion. We find that a surprising number of firms use their ..."
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Cited by 725 (23 self)
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We survey 392 CFOs about the cost of capital, capital budgeting, and capital structure. Large firms rely heavily on present value techniques and the capital asset pricing model, while small firms are relatively likely to use the payback criterion. We find that a surprising number of firms use
Results 1  10
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50,586