Jump Risks and the Intertemporal Capital Asset Pricing Model

A Theory of the Term Structure of Interest Rates

1985 • 8,604 citations

Theory of rational option pricing

2005 • 7,870 citations

The arbitrage theory of capital asset pricing

1976 • 7,056 citations

An Intertemporal Capital Asset Pricing Model

1973 • 6,653 citations

Optimum consumption and portfolio rules in a continuous-time model

1971 • 6,065 citations

Option pricing when underlying stock returns are discontinuous

1976 • 5,962 citations

An intertemporal asset pricing model with stochastic consumption and investment opportunities

1979 • 2,786 citations

Stochastic Stability and Control

1967 • 1,516 citations

Multiperiod Consumption-Investment Decisions

1970 • 449 citations

Mutual fund separation in financial theory—The separating distributions

1978 • 359 citations

Dynamic programming and the calculus of variations

1960 • 294 citations

Capital Markets: Theory and Evidence

2003 • 292 citations

Consumption correlatedness and risk measurement in economies with non-traded assets and heterogeneous information

1982 • 253 citations

Predictability of Stock Market Prices.

1971 • 252 citations

An autoregressive jump process for common stock returns

1977 • 81 citations

The Behavior of Random Variables with Non stationary Variance and the Distribution of Security Prices

2005 • 80 citations

A NOTE ON THE MARKET MODEL AND THE TWO‐PARAMETER MODEL

1973 • 76 citations

MARKET EQUILIBRIUM IN A MULTIPERIOD STATE PREFERENCE MODEL WITH LOGARITHMIC UTILITY†

1975 • 72 citations

Stochastic processes of common stock returns : an empirical examination.

1980 • 19 citations