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References in finance


Corporate finance   Option pricing   Risk management   Portfolio theory   Market micro-structure  


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Corporate finance

Fundamental papers in corporate finance

Jensen M. and W. Meckling (1976) "Theory of the Firm : Managerial Behavior, Agency Costs and Ownership Structure," Journal of Financial Economics, 3, 305-60.

Miller M. (1977) "Debt and Taxes," Journal of Finance, 32, 261-75.

Miller M. and M. Scholes (1978) "Dividends and Taxes," Journal of Financial Economics, 6, 333-64.

Modigliani, F. and M. Miller (1958) "The Cost of Capital: Corporation Finance and the Theory of Investment," American Economic Review, 48, 267-97.

Modigliani, F. and M. Miller. (1963) "Corporate Income Taxes and the Cost of Capital: a Correction," American Economic Review, 53, 433-43.

Signaling theory

Akerlof, G. (1970) "The Market for "Lemons": Quality Uncertainty and the Market Mechanism," Quarterly Journal of Economics, 84, 488-500.

Rothschild M. and J. Stiglitz (1976) "Equilibrium in Competitive Insurance Markets," Quarterly Journal of Economics, 90, 629-49.

Spence M. (1973) "Job Market Signaling," Quarterly Journal of Economics, 87, 355-79.

Bhattacharya, S. (1979) "Imperfect Information, Dividend Policy and the Bird in the Hand Fallacy," Bell Journal of Economics, 10, 259-70.

Leland H and D. Pyle (1977) "Informational Asymmetries, Financial Structure, and Financial Intermediation," Journal of Finance, 32, 371-87.

Myers S. and N. Majluf (1984) "Corporate Financing and Investment Decisions when Firms have Information that Investors do not have," Journal of Financial Economics, 13, 187-221.

Ross S. (1977) "The Determination of Financial Structure: the Incentive-Signaling Approach," Bell Journal of Economics, 8, 23-40.

Grossman S. and O. Hart (1980) "Takeover Bids, the Free Rider Problem, and the Theory of the Corporation," Bell Journal of Economics, 11, 42-64.

Harris and Raviv (1988) "Corporate Control Contest and Capital Structure," Journal of Financial Economics, 20, 55-86.


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Option pricing

Black F. and M Scholes (1973) "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, 81, 637-54.

Brennan M. and E. Schwartz (1977) "The Valuation of American Put Options" Journal of Finance, 32, 449-62.

Brennan M. (1979), "The Pricing of Contingent Claims in Discrete Time Models," Journal of Finance, 34, 53-68.

Cox J. and M. Rubinstein (1985) Options Markets, New York Prentice-all

Cox J. J. Ingersoll and S. Ross (1981) "The Relation Between Forward Prices and Futures Prices," Journal of Financial Economics, 9, 321-46.

Cox J. and S. Ross (1976) "A Survey of Some New Results in Financial Option Pricing Theory," Journal of Finance, 31, 383-402.

Cox J. and S. Ross (1976) "The Valuation of Options for Alternative Stochastic Processes," Journal of Financial Economics, 3, 145-66.

Geske R. and H. Johnson (1984) "The American Put Option Valued Analytically," Journal of Finance, 39, 1511-24.

Hull J. C. (2003) "Options, Futures, and Other derivatives," Prentice Hall.

Brennan M. and E. Schwartz (1977) "Savings Bonds, Retractable Bonds and Callable Bonds," Journal of Financial Economics, 5, 67-88.

Brennan M. and E. Schwartz (1979) "The Continuous Time Approach of the Pricing Bonds," Journal of Banking and Finance 3, 133-55.

Cox, J., J. Ingersoll and S. Ross (1981) "A Reexamination of Traditional Hypotheses about the term Structure of Interest Rates," Journal of Finance, 36, 769-99.

Cox, J., J. Ingersoll and S. Ross (1985) "A Theory of the Term Structure of Interest Rates," Econometrica, 53, 385-407.

Ingersoll J. J. Jr. Skelton and R. Weil (1978) "Duration Forty Years Later," Journal of Financial and Quantitative Analysis, 13, 627-50.

Richard S. (1978) "An Arbitrage Model of the Term Structure of Interest Rates," Journal of Financial Economics, 6, 33-57.

Vasicek O. (1977) "An Equilibrium Characterization of the Term Structure," Journal of Financial Economics, 5, 177-88.


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Risk management

Crouhy M., D. Galai et R. Mark (2001) "Risk Management", McGraw-Hill.

Jorion Ph. (1997) "Value at Risk: The New Benchmark for Controlling Market Risk", Irwin.


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Portfolio theory

Black F. (1972) "Capital Market Equilibrium with Restricted Borrowing," Journal of Business, 45, 444-54.

Brennan M. and Kraus A. (1976) "The Geometry of Separation and Myopia," Journal of Financial and Quantitative Analysis, 11, 171-93.

Cass D. and Stiglitz J. (1970) "The Structure of Investor Preferences and Asset Returns and Separability in Portfolio Allocation," Journal of Economic Theory, 2, 122-60.

Markowitz H. (1952) "Portfolio Selection," Journal of Finance, 7, 77-91.

Merton R. (1972) "An Analytical Derivation of the Efficient Portfolio Frontier," Journal of Financial and Quantitative Analysis, 7, 1851-72.

Roll R. (1977) "A Critique of the Asset Pricing Theory's Tests; Part 1 : On Past and Potential Testability of the Theory," Journal of Financial Economics, 4, 129-76.

Roll R. (1978) "Ambiguity when Performance is Measured by the Securities Market Line," Journal of Finance, 33, 1051-69.

Ross S. (1978) "The Current Status of the Capital Asset Pricing Mode,l" Journal of Finance, 33, 885-901.

Ross S. (1978) "Mutual Fund Separation and Financial Theory - The Separating Distributions," Journal of Economic Theory ,17, 254-86.


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Market micro-structure

Glosten L. and P. Milgrom (1985) "Bid, Ask and Transaction Prices in a Specialist Market with Heterogeneously Informed Traders," Journal of Financial Economics, 14, 71-100.

Ho T. and H. Stoll (1980) "The Dynamics of Dealer Markets under Competition," Journal of Finance, 40, 259-267.

Kyle A. (1985) "Continuous Auctions and Insider Trading," Econometrica , 53, 1335-55.

Kyle A. (1989) "Informed Speculation with Imperfect Competition," Review of Economic Studies, 56, 317-55.

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