Ingersoll, Jonathan

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Jonathan E. Ingersoll, Jr is the Adrian C. Israel Professor of International Trade and Finance at the Yale School of Management.

Research interests

  • Multiperiod models of asset valuation, including the pricing of options and futures
  • The term structure of interest rates

Bibliography

Books

  • Theory of Financial Decision Making. Rowman & Littlefield 1987

Papers

  • “Multidimensional Security Pricing,” Journal of Financial and Quantitative Analysis, December 1975, v. 10, pp. 785-798
  • “A Theoretical and Empirical Investigation of the Dual Purpose Funds: An Application of Contingent Claims Analysis,” Journal of Financial Economics, Jan-Mar 1976, v. 3, pp. 83- 123.
  • “Using the Black-Scholes Option Model in Investment Decision Making: Designing a Convertible Preferred Issue,” Proceedings: Seminar on the Analysis of Security Prices, CRSP, May 1976.
  • “A Contingent-Claims Valuation of Convertible Securities,” Journal of Financial Economics, May 1977, v. 4, pp. 289- 321.
  • “An Examination of Corporate Call Policies on Convertible Securities,” Journal of Finance, May 1977, v. 32, pp. 463- 478.
  • “Duration Forty Years Later,” (with J. Skelton and R. Weil) Journal of Financial and Quantitative Analysis, November 1978, v. pp. 627- 648.
  • “Duration and the Measurement of Basis Risk,” (with J. Cox and S. Ross) Journal of Business, January 1979, v. 52 pp. 51-61.
  • “Discussion of ‘Dynamics of Borrower-Lender Interaction: Partitioning Final Payoff in Venture Capital Finance’,” by I. A. Cooper and W. T. Carleton, Journal of Finance, May 1979, v. 34, pp. 531-533.
  • “An Analysis of Variable Rate Loan Contracts,” (with J. Cox and S. Ross) Journal of Finance, May 1980, v. 35, pp. 389- 403.
  • “A Re-examination of Traditional Hypotheses About the Term Structure of Interest Rates,” (with J. Cox and S. Ross) Journal of Finance, September 1981, v. 36, 769-799.
  • “The Relation Between Forward Prices and Futures Prices,” (with J. Cox and S. Ross) Journal of Financial Economics, December 1981, v. 9, pp. 321-346.
  • “Mean-Variance Theory in Complete Markets,” (with P. Dybvig), Journal of Business, April 1982, v. 55, pp. 233-251.
  • “Optimal Bond Trading With Personal Tax: Implications For Bond Prices And Estimated Tax Brackets And Yield Curves,” (with George Constantinides) Journal of Finance, May 1982, v. 37, pp. 349-352.
  • “Discussion of ‘The Pricing of Commodity-Linked Bonds’,” by E. Schwartz, Journal of Finance, May 1982, v. 37, pp. 540-541.
  • “Is Immunization Feasible? Evidence from the CRSP Data,” Innovations in Bond Portfolio Management: Immunization and Duration Analysis, JAI Press, 1983.
  • “Exact Pricing in Linear Factor Models with Finitely Many Assets,” (with N. Chen) Journal of Finance, June 1983, v. 38, pp. 985-988.
  • “Some Results in the Theory of Arbitrage Pricing,” Journal of Finance, September 1984, v. 39, pp. 1021-1039.
  • “Optimal Bond Trading with Personal Tax” (with G. Constantinides) Journal of Financial Economics, September 1984, v. 13, pp. 299-335.
  • “An Intertemporal General Equilibrium Model of Asset Prices,” (with J. Cox and S. Ross) Econometrica, March 1985, v. 53, pp. 363-384.
  • “A Theory of the Term Structure of Interest Rates,” (with J. Cox and S. Ross) Econometrica, March 1985, v. 53, pp. 385-407.
  • “Investment and Uncertainty: Waiting to Invest,” (with S. Ross) Journal of Business, January 1992, v. 65, pp. 1-29.
  • “Optimal Consumption and Portfolio Rules with Intertemporally Dependent Utility of Consumption,” Journal of Economic Dynamics and Control, 1992 v. 16, 681?712.
  • “Long Forward Rates Can Never Fall,” (with P. Dybvig and S. Ross) Journal of Business, 1996 v. 69 pp. 1-25.
  • “Valuing Foreign Exchange Options with a Bounded Exchange Rate Process,” Review of Derivatives Research, v. 1 pp. 159-181
  • “An Approximation for Valuing American Puts and Other Financial Derivatives Using Barrier Options,” Journal of Computational Finance, v. 2 pp. 85-112.
  • “Digital Options: A Simple Approach to Pricing Complex Derivatives,” Journal of Business January 2000
  • “Monthly Measurement of Daily Timers,” (with William Goetzmann and Zoran Ivkovich) Journal of Financial and Quantitative Analysis, v. 35 pp 257-290.