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Fernando Zapatero
Fernando Zapatero
Professor, Finance, Boston University
Verified email at bu.edu
Title
Cited by
Cited by
Year
Asset prices in an exchange economy with habit formation
JB Detemple, F Zapatero
Econometrica: Journal of the Econometric Society, 1633-1657, 1991
3461991
Introduction to the economics and mathematics of financial markets
J Cvitanic, F Zapatero
MIT press, 2004
3322004
Effects of financial innovations on market volatility when beliefs are heterogeneous
F Zapatero
Journal of Economic Dynamics and Control 22 (4), 597-626, 1998
2721998
Monte Carlo valuation of American options through computation of the optimal exercise frontier
A Ibanez, F Zapatero
Journal of Financial and Quantitative Analysis 39 (2), 253-275, 2004
2542004
Valuation, optimal asset allocation and retirement incentives of pension plans
S Sundaresan, F Zapatero
The Review of Financial Studies 10 (3), 631-660, 1997
2101997
Optimal central bank intervention in the foreign exchange market
A Cadenillas, F Zapatero
Journal of Economic theory 87 (1), 218-242, 1999
1851999
Leverage decision and manager compensation with choice of effort and volatility
A Cadenillas, J Cvitanić, F Zapatero
Journal of Financial Economics 73 (1), 71-92, 2004
1822004
Equilibrium asset prices and exchange rates
F Zapatero
Journal of Economic Dynamics and Control 19 (4), 787-811, 1995
1591995
Classical and impulse stochastic control of the exchange rate using interest rates and reserves
A Cadenillas, F Zapatero
Mathematical Finance 10 (2), 141-156, 2000
1572000
The trade‐off model with mean reverting earnings: Theory and empirical tests
S Sarkar, F Zapatero
The Economic Journal 113 (490), 834-860, 2003
1412003
Optimal portfolio allocation with higher moments
J Cvitanić, V Polimenis, F Zapatero
Annals of Finance 4, 1-28, 2008
1372008
Optimal Consumption‐Portfolio Policies With Habit Formation1
JB Detemple, F Zapatero
Mathematical Finance 2 (4), 251-274, 1992
1211992
Optimal risk-sharing with effort and project choice
A Cadenillas, J Cvitanić, F Zapatero
Journal of Economic Theory 133 (1), 403-440, 2007
1202007
Optimal dividend policy with mean‐reverting cash reservoir
A Cadenillas, S Sarkar, F Zapatero
Mathematical Finance 17 (1), 81-109, 2007
1102007
Dynamic portfolio choice with parameter uncertainty and the economic value of analysts’ recommendations
J Cvitanić, A Lazrak, L Martellini, F Zapatero
The Review of Financial Studies 19 (4), 1113-1156, 2006
1102006
Analytic pricing of employee stock options
J Cvitanić, Z Wiener, F Zapatero
The Review of Financial Studies 21 (2), 683-724, 2008
1042008
Asset pricing implications of benchmarking: a two-factor CAPM
JP Gómez, F Zapatero
The European Journal of Finance 9 (4), 343-357, 2003
982003
The representative agent of an economy with external habit formation and heterogeneous risk aversion
C Xiouros, F Zapatero
The Review of Financial Studies 23 (8), 3017-3047, 2010
832010
GENERAL EQUILIBRIUM WITH CONSTANT RELATIVE RISK AVERSION AND VASICEK INTEREST RATES1
R Goldstein, F Zapatero
Mathematical Finance 6 (3), 331-340, 1996
771996
Monte Carlo computation of optimal portfolios in complete markets
J Cvitanić, L Goukasian, F Zapatero
Journal of Economic Dynamics and Control 27 (6), 971-986, 2003
732003
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