{"id":9,"date":"2018-12-27T17:04:51","date_gmt":"2018-12-27T17:04:51","guid":{"rendered":"https:\/\/faculty.som.yale.edu\/jonathaningersoll\/?page_id=9"},"modified":"2019-06-20T13:41:53","modified_gmt":"2019-06-20T13:41:53","slug":"papers","status":"publish","type":"page","link":"https:\/\/faculty.som.yale.edu\/jonathaningersoll\/papers\/","title":{"rendered":"Papers"},"content":{"rendered":"<div class=\"wpb-content-wrapper\"><p>[vc_row][vc_column][vc_column_text]<\/p>\n<ul>\n<li><a href=\"http:\/\/www.jstor.org\/stable\/2330271\">&#8220;Multidimensional Security Pricing,&#8221; Journal of Financial and Quantitative Analysis, December 1975, v. 10, pp. 785\u2013798.<\/a><\/li>\n<li><a href=\"https:\/\/spinup-000d1a-wp-offload-media.s3.amazonaws.com\/faculty\/wp-content\/uploads\/sites\/34\/2019\/06\/1976_DualPurposeFunds.pdf\">&#8220;A Theoretical and Empirical Investigation of the Dual Purpose Funds: An Application of Contingent Claims Analysis,&#8221; Journal of Financial Economics, Jan Mar 1976, v. 3, pp. 83\u2013123.<\/a><\/li>\n<li>&#8220;Using the Black Scholes Option Model in Investment Decision Making: Designing a Convertible Preferred Issue,&#8221; Proceedings: Seminar on the Analysis of Security Prices, CRSP, May 1976.<\/li>\n<li><a href=\"https:\/\/spinup-000d1a-wp-offload-media.s3.amazonaws.com\/faculty\/wp-content\/uploads\/sites\/34\/2019\/06\/1977_ConvertibleSecurities.pdf\">&#8220;A Contingent Claims Valuation of Convertible Securities,&#8221; Journal of Financial Economics, May 1977, v. 4, pp. 289\u2013321.<\/a><\/li>\n<li><a href=\"http:\/\/www.jstor.org\/stable\/2326780\">&#8220;An Examination of Corporate Call Policies on Convertible Securities,&#8221; Journal of Finance, May 1977, v. 32, pp. 463\u2013478.<\/a><\/li>\n<li><a href=\"http:\/\/www.jstor.org\/stable\/2330468\">&#8220;Duration Forty Years Later,&#8221; (with J. Skelton and R. Weil) Journal of Financial and Quantitative Analysis, November 1978, v. pp. 627\u2013648.<\/a><\/li>\n<li><a href=\"http:\/\/www.jstor.org\/stable\/2352663\">&#8220;Duration and the Measurement of Basis Risk,&#8221; (with J. Cox and S. Ross) Journal of Business, January 1979, v. 52 pp. 51\u201361.<\/a><\/li>\n<li><a href=\"http:\/\/www.jstor.org\/stable\/2327398\">&#8220;An Analysis of Variable Rate Loan Contracts,&#8221; (with J. Cox and S. Ross) Journal of Finance, May 1980, v. 35, pp. 389\u2013403.<\/a><\/li>\n<li><a href=\"http:\/\/www.jstor.org\/stable\/2327547\">&#8220;A Re examination of Traditional Hypotheses About the Term Structure of Interest Rates,&#8221; (with J. Cox and S. Ross) Journal of Finance, September 1981, v. 36, 769\u2013799.<\/a><\/li>\n<li><a href=\"https:\/\/spinup-000d1a-wp-offload-media.s3.amazonaws.com\/faculty\/wp-content\/uploads\/sites\/34\/2019\/06\/1981_ForwardFuturesPrices.pdf\">&#8220;The Relation Between Forward Prices and Futures Prices,&#8221; (with J. Cox and S. Ross) Journal of Financial Economics, December 1981, v. 9, pp. 321\u2013346.<\/a><\/li>\n<li><a href=\"http:\/\/www.jstor.org\/stable\/2352701\">&#8220;Mean Variance Theory in Complete Markets,&#8221; (with P. Dybvig), Journal of Business, April 1982, v. 55, pp. 233\u2013251.<\/a><\/li>\n<li>&#8220;Is Immunization Feasible? Evidence from the CRSP Data,&#8221; Innovations in Bond Portfolio Management: Immunization and Duration Analysis, JAI Press, 1983.<\/li>\n<li><a href=\"http:\/\/www.jstor.org\/stable\/2328092\">&#8220;Exact Pricing in Linear Factor Models with Finitely Many Assets,&#8221; (with N. Chen) Journal of Finance, June 1983, v. 38, pp. 985\u2013988.<\/a><\/li>\n<li><a href=\"http:\/\/www.jstor.org\/stable\/2327610\">&#8220;Some Results in the Theory of Arbitrage Pricing,&#8221; Journal of Finance, September 1984, v. 39, pp. 1021\u20131039.<\/a><\/li>\n<li><a href=\"https:\/\/spinup-000d1a-wp-offload-media.s3.amazonaws.com\/faculty\/wp-content\/uploads\/sites\/34\/2019\/06\/1984_BondsWithTax.pdf\">&#8220;Optimal Bond Trading with Personal Tax&#8221; (with G. Constanti\u00acnides) Journal of Financial Economics, September 1984, v. 13, pp. 299\u2013335.<\/a><\/li>\n<li><a href=\"http:\/\/faculty.som.yale.edu\/JonathanIngersoll\/www.jstor.org\/stable\/1911241\">&#8220;An Intertemporal General Equilibrium Model of Asset Prices,&#8221; (with J. Cox and S. Ross) Econometrica, March 1985, v. 53, pp. 363\u2013384.<\/a><\/li>\n<li><a href=\"http:\/\/www.jstor.org\/stable\/1911242\">&#8220;A Theory of the Term Structure of Interest Rates,&#8221; (with J. Cox and S. Ross) Econometrica, March 1985, v. 53, pp. 385\u2013407.<\/a><\/li>\n<li><a href=\"http:\/\/www.jstor.org\/stable\/2353172\">&#8220;Investment and Uncertainty: Waiting to Invest,&#8221; (with S. Ross) Journal of Business, January 1992, v. 65, pp. 1\u201329.<\/a><\/li>\n<li><a href=\"https:\/\/spinup-000d1a-wp-offload-media.s3.amazonaws.com\/faculty\/wp-content\/uploads\/sites\/34\/2019\/06\/1992_IntempDependentUtility.pdf\">&#8220;Optimal Consumption and Portfolio Rules with Intertemporally Dependent Utility of Consumption,&#8221; Journal of Economic Dynamics and Control, 1992 v. 16, 681\u2013712.<\/a><\/li>\n<li><a href=\"http:\/\/www.jstor.org\/stable\/2353247\">&#8220;Long Forward Rates Can Never Fall,&#8221; (with P. Dybvig and S. Ross) Journal of Business, 1996 v. 69 pp. 1\u201325.<\/a><\/li>\n<li><a href=\"https:\/\/spinup-000d1a-wp-offload-media.s3.amazonaws.com\/faculty\/wp-content\/uploads\/sites\/34\/2019\/06\/1997_BoundedExchange.pdf\">Valuing Foreign Exchange Options with a Bounded Exchange Rate Process,&#8221; Review of Derivatives Research, v. 1 pp. 159\u2013181<\/a><\/li>\n<li><a href=\"https:\/\/spinup-000d1a-wp-offload-media.s3.amazonaws.com\/faculty\/wp-content\/uploads\/sites\/34\/2019\/06\/1998_PutsWithBarrierDerivatives.pdf\">&#8220;An Approximation for Valuing American Puts and Other Financial Derivatives Using Barrier Options,&#8221; Journal of Computational Finance, 1998. v. 2 pp. 85\u2013112.<\/a><\/li>\n<li><a href=\"http:\/\/www.jstor.org\/stable\/10.1086\/209632\">&#8220;Digital Contracts: Simple Tools for Pricing Complex Derivatives,&#8221; Journal of Business 2000 v. 73 n. 1. pp. 67-88.<\/a><\/li>\n<li><a href=\"http:\/\/www.jstor.org\/stable\/2676204\">&#8220;Monthly Measurement of Daily Timers,&#8221; (with William Goetzmann and Zoran Ivkovich) Journal of Financial and Quantitative Analysis, v. 35 pp 257\u2013290.<\/a><\/li>\n<li><a href=\"http:\/\/faculty.som.yale.edu\/JonathanIngersoll\/www.jstor.org\/stable\/3648225\">&#8220;High Water Marks&#8221; (with William Goetzmann and Steve Ross) Journal of Finance, July 2003<\/a><\/li>\n<li><a href=\"http:\/\/www.jstor.org\/stable\/10.1086\/499128\">&#8220;The Subjective and Objective Evaluation of Executive Stock Options&#8221; Journal of Business, March 2006<\/a><\/li>\n<li><a href=\"https:\/\/spinup-000d1a-wp-offload-media.s3.amazonaws.com\/faculty\/wp-content\/uploads\/sites\/34\/2019\/06\/2006_ReloadOptions.pdf\">&#8220;Valuing Reload Options&#8221; Review of Derivatives Research v9 pp 67-105 2006.<\/a><\/li>\n<li><a href=\"http:\/\/www.jstor.org\/stable\/4494811\">&#8220;Portfolio Performance Manipulation and Manipulation-Proof Performance Measures&#8221; (w\/ William Goetzmann, Matt Spiegel, and Ivo Welch) Review of Financial Studies Sept 2007.<\/a><\/li>\n<li><a href=\"https:\/\/spinup-000d1a-wp-offload-media.s3.amazonaws.com\/faculty\/wp-content\/uploads\/sites\/34\/2019\/06\/2008_NonMonotonicity.pdf\">&#8220;Non-Monotonicity of the Tversky-Kahneman Probability-Weighting Function: A Cautionary Note&#8221; European Financial Management 2008: v.14<\/a><\/li>\n<li><a href=\"http:\/\/www.jstor.org\/stable\/20122486\">&#8220;Modeling a Presidential Prediction Market&#8221; (w\/ Keith Chen and Ed Kaplan) Management Science v. 54 n 8, pp 1381-1394 Aug 2008<\/a><\/li>\n<li><a href=\"https:\/\/spinup-000d1a-wp-offload-media.s3.amazonaws.com\/faculty\/wp-content\/uploads\/sites\/34\/2019\/06\/2010_PositiveInterestRates.pdf\">&#8220;Positive Interest Rates and Yields: Additional Serious Considerations&#8221; in Advances in Quantitative Analysis of Finance and Accounting. 2010<\/a><\/li>\n<\/ul>\n<p>Working papers (on SSRN)<\/p>\n<ul>\n<li><a href=\"http:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=1912075\">&#8220;Time-Additive Consumption-Wealth Utility&#8221;<\/a><\/li>\n<li><a href=\"http:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=1950337\">&#8220;Cumulative Prospect Theory and the Representative Investor&#8221;<\/a><\/li>\n<li><a href=\"http:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=1978002\">&#8220;Realization Utility with Reference-Dependent Preferences&#8221;<\/a><\/li>\n<\/ul>\n<p>[\/vc_column_text][\/vc_column][\/vc_row]<\/p>\n<\/div>","protected":false},"excerpt":{"rendered":"<p>[vc_row][vc_column][vc_column_text] &#8220;Multidimensional Security Pricing,&#8221; Journal of Financial and Quantitative Analysis, December 1975, v. 10, pp. 785\u2013798. &#8220;A Theoretical and Empirical Investigation of the Dual Purpose Funds: An Application of Contingent Claims Analysis,&#8221; Journal of Financial Economics, Jan Mar 1976, v. 3, pp. 83\u2013123. &#8220;Using the Black Scholes Option Model in Investment Decision Making: Designing a [&hellip;]<\/p>\n","protected":false},"author":3,"featured_media":0,"parent":0,"menu_order":2,"comment_status":"closed","ping_status":"closed","template":"","meta":{"inline_featured_image":false,"_genesis_hide_title":false,"_genesis_hide_breadcrumbs":false,"_genesis_hide_singular_image":false,"_genesis_hide_footer_widgets":false,"_genesis_custom_body_class":"","_genesis_custom_post_class":"","_genesis_layout":"","footnotes":""},"class_list":{"0":"post-9","1":"page","2":"type-page","3":"status-publish","5":"entry"},"_links":{"self":[{"href":"https:\/\/faculty.som.yale.edu\/jonathaningersoll\/wp-json\/wp\/v2\/pages\/9","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/faculty.som.yale.edu\/jonathaningersoll\/wp-json\/wp\/v2\/pages"}],"about":[{"href":"https:\/\/faculty.som.yale.edu\/jonathaningersoll\/wp-json\/wp\/v2\/types\/page"}],"author":[{"embeddable":true,"href":"https:\/\/faculty.som.yale.edu\/jonathaningersoll\/wp-json\/wp\/v2\/users\/3"}],"replies":[{"embeddable":true,"href":"https:\/\/faculty.som.yale.edu\/jonathaningersoll\/wp-json\/wp\/v2\/comments?post=9"}],"version-history":[{"count":6,"href":"https:\/\/faculty.som.yale.edu\/jonathaningersoll\/wp-json\/wp\/v2\/pages\/9\/revisions"}],"predecessor-version":[{"id":129,"href":"https:\/\/faculty.som.yale.edu\/jonathaningersoll\/wp-json\/wp\/v2\/pages\/9\/revisions\/129"}],"wp:attachment":[{"href":"https:\/\/faculty.som.yale.edu\/jonathaningersoll\/wp-json\/wp\/v2\/media?parent=9"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}