Francis Longstaff | Academic Influence

Francis Longstaff's AcademicInfluence.com Rankings

Francis Longstaff

Business

#145

World Rank

#162

Historical Rank

Risk Management

#9

World Rank

#9

Historical Rank

Finance

#20

World Rank

#23

Historical Rank

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Business

Francis Longstaff's Degrees

PhD Finance University of Chicago
Masters Economics University of Chicago
Bachelors Economics University of California, Berkeley

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Why Is Francis Longstaff Influential?

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According to Wikipedia, Francis A. Longstaff is an American educator and pioneer in quantitative finance. He serves as the Allstate Professor of Insurance and Finance at the Anderson School of Management, University of California, Los Angeles, and the former Finance Area Chair.

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Francis Longstaff's Published Works

Number of citations in a given year to any of this author's works

Total number of citations to an author for the works they published in a given year. This highlights publication of the most important work(s) by the author

Published Works

Valuing American Options by Simulation: A Simple Least-Squares Approach (2001) (3209)
An Empirical Comparison of Alternative Models of the Short-Term Interest Rate (1992) (1864)
How Sovereign is Sovereign Credit Risk? (2007) (1037)
A Simple Approach to Valuing Risky Fixed and Floating Rate Debt (1995) (969)
Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model (1992) (961)
The subprime credit crisis and contagion in financial markets (2010) (636)
Systemic Sovereign Credit Risk: Lessons from the U.S. and Europe (2011) (438)
Electricity Forward Prices: A High-Frequency Empirical Analysis (2002) (409)
Counterparty Credit Risk and the Credit Default Swap Market (2011) (333)
Losing Money on Arbitrage: Optimal Dynamic Portfolio Choice in Markets with Arbitrage Opportunities (2000) (331)
How Much Can Marketability Affect Security Values (1995) (307)
Corporate Bond Default Risk: A 150-Year Perspective (2010) (298)
An Empirical Analysis of the Pricing of Collateralized Debt Obligations (2006) (293)
Optimal Portfolio Choice and the Valuation of Illiquid Securities (2001) (286)
Option Pricing and the Martingale Restriction (1995) (275)
Risk and Return in Fixed Income Arbitrage: Nickels in Front of a Steamroller? (2006) (256)
A nonlinear general equilibrium model of the term structure of interest rates (1989) (250)
Valuing Futures and Options on Volatility (1996) (221)
Paper Millionaires: How Valuable is Stock to a Stockholder Who is Restricted from Selling it? (2001) (216)
The TIPS-treasury bond puzzle (2014) (210)
The Relative Valuation of Caps and Swaptions: Theory and Empirical Evidence (2000) (207)
The Market Price of Risk in Interest Rate Swaps: The Roles of Default and Liquidity Risks (2004) (201)
The term structure of very short-term rates: New evidence for the expectations hypothesis ☆ (2000) (196)
Bid-Ask Spreads and Trading Activity in the S&P 100 Index Options Market (1993) (181)
Disagreement and Asset Prices (2012) (167)
Electronic Screen Trading and the Transmission of Information: An Empirical Examination (1994) (165)
Valuing Credit Derivatives (1995) (148)
Dual Trading in Futures Markets (1992) (141)
Asset Pricing and the Credit Market (2008) (126)
Portfolio Claustrophobia: Asset Pricing in Markets with Illiquid Assets (2009) (125)
Financial Innovation and the Role of Derivative Securities: An Empirical Analysis of the Treasury Strips Program (2000) (112)
Pricing Options with Extendible Maturities: Analysis and Applications (1990) (102)
Systemic Credit Risk: What Is the Market Telling Us? (2008) (98)
The Market Price of Credit Risk: An Empirical Analysis of Interest Rate Swap Spreads (2000) (96)
Throwing Away a Billion Dollars: The Cost of Suboptimal Exercise Strategies in the Swaption Market (1999) (90)
The valuation of options on yields (1990) (89)
Temporal Aggregation and the Continuous-Time Capital Asset Pricing Model (1989) (87)
Municipal Debt and Marginal Tax Rates: is There a Tax Premium in Asset Prices? (2009) (83)
Why Does the Treasury Issue Tips? The Tips-Treasury Bond Puzzle (2010) (80)
General Equilibrium Stock Index Futures Prices: Theory and Empirical Evidence (1991) (78)
A tidally distorted dwarf galaxy near NGC 4449 (2012) (63)
Are Negative Option Prices Possible? The Callable U.S. Treasury-Bond Puzzle (1992) (60)
Throwing Good Money After Bad? Cash Infusions and Distressed Real Estate (1996) (60)
Macroeconomic Effects of Corporate Default Crises: A Long-Term Perspective (2012) (60)
Borrower Credit and the Valuation of Mortgage-Backed Securities (2005) (56)
Arbitrage and the Expectations Hypothesis (2000) (52)
Pricing options on agricultural futures: An application of the constant elasticity of variance option pricing model (1985) (51)
Asset Pricing in Markets with Illiquid Assets (2005) (50)
The Volatility of Short-Term Interest Rates: An Empirical Comparison of Alternative Models of the Term Structure of Interest Rates (1992) (47)
Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities (2016) (43)
Multiple equilibria and term structure models (1992) (43)
A Two-Factor Interest Rate Model And Contingent Claims Valuation (1992) (42)
The valuation of options on coupon bonds (1993) (36)
Implementation of The Longstaff-Schwartz Interest Rate Model (1993) (35)
The U.S. Treasury Buyback Auctions: The Cost of Retiring Illiquid Bonds (2007) (33)
Time Varying Term Premia and Traditional Hypotheses about the Term Structure (1990) (30)
Renting Balance Sheet Space: Intermediary Balance Sheet Rental Costs and the Valuation of Derivatives (2020) (29)
Optimal Recursive Refinancing and the Valuation of Mortgage-Backed Securities (2002) (28)
Interest Rate Volatility and Bond Prices (1993) (27)
Calling Nonconvertible Debt and the Problem of Related Wealth Transfer Effect (1994) (25)
The Volatility of Japanese Interest Rates: A Comparison of Alternative Term Structure Models (1992) (21)
A FORMAL METHOD FOR IDENTIFYING DISTINCT STATES OF VARIABILITY IN TIME-VARYING SOURCES: SGR A* AS AN EXAMPLE (2014) (21)
Shadow Funding Costs: Measuring the Cost of Balance Sheet Constraints (2018) (18)
Hedging Interest Rate Risk with Options on Average Interest Rates (1995) (18)
Valuing Thinly-Traded Assets (2014) (17)
Valuing Toxic Assets: An Analysis of Cdo Equity (2009) (16)
Corporate Taxes and Capital Structure: A Long-Term Historical Perspective (2014) (15)
How Does the Market Value Toxic Assets? (2014) (11)
Asset Mispricing (2017) (9)
The US Treasury floating rate note puzzle: Is there a premium for mark-to-market stability? (2020) (8)
FLIGHT-FROM-LEVERAGE IN DISTRESSED FINANCIAL MARKETS (2008) (8)
The U.S. Debt Restructuring of 1933: Consequences and Lessons (2015) (8)
Advance Refundings of Municipal Bonds: Advance Refundings of Municipal Bonds (2017) (7)
Calling Nonconvertible D bt and the Problem of Related Wealth Transfer Effects (2007) (7)
Stochastic Volatility and Option Valuation: A Pricing-Density Approach (1995) (6)
TRAIN WRECKS : ASSET PRICING AND THE VALUATION OF SEVERELY DISTRESSED ASSETS (2008) (5)
Comments on “A Note on Parameter Estimation in the Two-Factor Longstaff and Schwartz Interest Rate Model” (1994) (5)
Inflation‐Adjusted Bonds and the Inflation Risk Premium (2016) (4)
Advances in futures and options research : a research annual (1986) (4)
Non-Standard Errors (2021) (3)
The Halos and Environments of Nearby Galaxies (HERON) Survey (2016) (3)
Optimal Call Policy for Corporate Bonds (1993) (3)
Inflation Tracking Portfolios (2012) (3)
Floating Rate Money? The Stability Premium in Treasury Floating Rate Notes (2018) (3)
Another look at the size of the low-surface brightness galaxy VCC 1661 in the Virgo Cluster (2016) (2)
Temporal Aggregation and the Continuous-Time CAPM 873 I . The Temporally Aggregated CAPM (2007) (1)
The Cherry-Picking Option in the U.S. Treasury Buyback Auctions (2005) (1)
A COMPARISION OF HEMLER & LONGSTAFF MODEL AND HSU & WANG MODEL: THE CASE OF INDEX FUTURES (2015) (1)
The Market Risk Premium for Unsecured Consumer Credit Risk (2020) (1)
The longer you can look back , the farther you can look forward (2011) (1)
Allocation with Event Risk (2001) (0)
The Causal E ff ect of Mortgage Re fi nancing on Interest-Rate Volatility : Empirical Evidence and Theoretical Implications (2006) (0)
Private Equity Returns: Empirical Evidence from the Business Credit Card Securitization Market (2020) (0)
Proxy for Lehman Muni Index (2006) (0)
Treasury Richness (2021) (0)
Small Business Equity Returns: Empirical Evidence from the Business Credit Card Securitization Market (2022) (0)
Systemic Sovereign Credit Risk Systemic Sovereign Credit Risk: Lessons from the U.s. and Europe We Are Grateful for Helpful Discussions with Nav (2011) (0)
Systemic Sovereign Credit Risk Systemic Sovereign Credit Risk: Lessons from the U.s. and Europe We Are Grateful for Helpful Discussions with Nav (2011) (0)
The local universe at 30 mag/sq. arcsec : extended stellar halos around near-by galaxies (2013) (0)
UCLA Recent Work Title Corporate Earnings and the Equity Premium Permalink (2002) (0)
An Agnostic and Practically Useful Estimator of the Stochastic Discount Factor By Kuntara Pukthuanthong and Richard Roll (2016) (0)
UGC 4599: Revealing the Extended Structure of a Hoag’s Object Analog with HERON (2017) (0)
Illiquid Securities I solve first for the optimal portfolio strategy of an investor in the presence of liquidity (2007) (0)
UCLA Recent Work Title Optimal Recursive (2002) (0)
UCLA Recent Work Title Dynamic Asset Allocation with Event Risk Permalink (2001) (0)
Title Labor Risk and Corporate Credit Spreads : The Expected Recovery Rate Channel Permalink (2018) (0)
UCLA Recent Work Title The Relative Valuation of Caps and Swaptions : Theory and Empirical Evidence Permalink (2000) (0)
Discussion of Risk and Return in Fixed-Income Arbitrage : Nickels in Front of a Steamroller ? by Jefferson Duarte , (2006) (0)
UCLA Recent Work Title Jump and Volatility Risk and Risk Premia : A New Model and Lessons from S & amp ; P 500 Options Permalink (0)
Revenue Implications of Multi-Item Multi-Unit Auction Designs: Empirical Evidence from the U.S. Treasury Buyback Auctions (2004) (0)
A new, smaller size for the low-surface brightness galaxy VCC 1661 in the Virgo Cluster (2013) (0)
How Valuable is to a Stockholder Who is Restricted from Selling it? (2001) (0)
Refundings of Municipal Bonds (2017) (0)

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