Publications by Jonathan E. Ingersoll, Jr.

2013
Realization Utility with Reference-Dependent Preferences
J. E. Ingersoll Jr and L. Jin
The Review of Financial Studies
Type: Article
2013
2011
Cumulative Prospect Theory, Aggregation, and Pricing
J. E. Ingersoll Jr
Type: Working Paper
2011
Time-Additive Consumption-Wealth Utility
J. E. Ingersoll Jr
Type: Working Paper
2011
2010
Positive Interest Rates and Yields: Additional Serious Considerations
J.E. Ingersoll Jr
Handbook of Quantitative Finance and Risk Management
Type: Article
2010
2008
Modeling a presidential prediction market
K. Chen, J. E. Ingersoll Jr and E. H. Kaplan
Management Science
Type: Article
2008
Non-Monotonicity of the Tversky-Kahneman Probability Weighting Function: A Cautionary Note
J. E. Ingersoll Jr
European Financial Management
Type: Article
2008
2007
Portfolio performance manipulation and manipulation-proof performance measures
W. Goetzmann, J. E. Ingersoll Jr, M. Spiegel and I. Welch
Review of Financial Studies
Type: Article
2007
2006
The Subjective and Objective Evaluation of Incentive Stock Options
J. E. Ingersoll Jr
Journal of Business
Type: Article
2006
Valuing reload options
J. E. Ingersoll Jr
Review of Derivatives Research
Type: Article
2006
2005
A THEORY OF THE TERM STRUCTURE OF INTEREST RATES'
J. C. Cox, J. E. Ingersoll Jr and S. A. Ross
Theory of Valuation
Type: Article
2005
2003
High-Water Marks and Hedge Fund Management Contracts
W. N. Goetzmann, J. E. Ingersoll Jr and S. A. Ross
The Journal of Finance
Type: Article
2003
2002
The Relation Between Forward Prices and Futures Prices'
J. C. Cox, J.E. Ingersoll Jr and S. A. Ross
INTERNATIONAL LIBRARY OF CRITICAL WRITINGS IN ECONOMICS
Type: Article
2002
A Theory of the Term Structure of Interest Rates'
J. Cox, J.E. Ingersoll Jr and S. Ross
INTERNATIONAL LIBRARY OF CRITICAL WRITINGS IN ECONOMICS
Type: Article
2002
2000
Digital Contracts: Simple Tools for Pricing Complex Derivatives*
J. E. Ingersoll Jr
The Journal of Business
Type: Article
2000
Monthly measurement of daily timers
J. E. Ingersoll Jr
Journal of Financial and Quantitative Analysis
Type: Article
2000
1998
Approximating American options and other financial contracts using barrier derivatives
J.E. Ingersoll Jr
Journal of Computational Finance
Type: Article
1998
1996
Fischer Black: Some Personal Memories
J. E. Ingersoll Jr
Journal of Portfolio Management
Type: Article
1996
Long forward and zero-coupon rates can never fall
P. H. Dybvig, J. E. Ingersoll Jr and S. A. Ross
Journal of Business
Type: Article
1996
Valuing foreign exchange rate derivatives with a bounded exchange process
J. E. Ingersoll Jr
Review of Derivatives Research
Type: Article
1996
1993
Book reviews
J. E. Ingersoll Jr
Journal of finance
Type: Article
1993
Darrell Duffie. Dynamic Asset Pricing Theory
J. E. Ingersoll Jr
JOURNAL OF FINANCE-NEW YORK-
Type: Article
1993
1992
Optimal consumption and portfolio rules with intertemporally dependent utility of consumption
J. E. Ingersoll Jr
Journal of Economic Dynamics and Control
Type: Article
1992
Waiting to invest: Investment and uncertainty
J. E. Ingersoll Jr and S. A. Ross
Journal of Business
Type: Article
1992
1987
Interest rates
J. E. Ingersoll Jr
Finance
Type: Article
1987
Option pricing theory
J. Ingersoll Jr
Eatwell, J; M. Milgate; P. Newman: The New Palgrave
Type: Article
1987
Theory of financial decision making
J. E. Ingersoll Jr
Type: Book
1987
1985
An intertemporal general equilibrium model of asset prices
J. C. Cox, J. E. Ingersoll Jr and S. A. Ross
Econometrica: Journal of the Econometric Society
Type: Article
1985
A theory of the term structure of interest rates
J. C. Cox, J. E. Ingersoll Jr and S. A. Ross
Econometrica: Journal of the Econometric Society
Type: Article
1985
1984
Optimal bond trading with personal taxes
G. M. Constantinides and J. E. Ingersoll Jr
Journal of Financial Economics
Type: Article
1984
Some results in the theory of arbitrage pricing
J. E. Ingersoll Jr
Journal of Finance
Type: Article
1984
1983
Exact pricing in linear factor models with finitely many assets: A note
N.-f. Chen and J. E. Ingersoll Jr
The Journal of Finance
Type: Article
1983
Is immunization feasible? Evidence from the CRSP data
J. E. Ingersoll Jr
Innovations in Bond Portfolio Management
Type: Article
1983
1982
Mean-variance theory in complete markets
P. H. Dybvig and J. E. Ingersoll Jr
Journal of Business
Type: Article
1982
Optimal bond trading with personal tax: Implications for bond prices and estimated tax brackets and yield curves
G. M. Constantinides and J. E. Ingersoll Jr
The Journal of Finance
Type: Article
1982
The pricing of commodity-linked bonds: Discussion
J. Ingersoll Jr
Journal of Finance
Type: Article
1982
1981
A re-examination of traditional hypotheses about the term structure of interest rates
J. C. Cox, J. E. Ingersoll Jr and S. A. Ross
Journal of Finance
Type: Article
1981
The relation between forward prices and futures prices
J. C. Cox, J. E. Ingersoll Jr and S. A. Ross
Journal of Financial Economics
Type: Article
1981
1980
An analysis of variable rate loan contracts
J. C. Cox, J. E. Ingersoll Jr and S. A. Ross
The Journal of Finance
Type: Article
1980
1979
Duration and the measurement of basis risk
J. C. Cox, J. E. Ingersoll Jr and S. A. Ross
Journal of Business
Type: Article
1979
Multiperiod Financial Models: Discussion
J. E. Ingersoll Jr
Journal of Finance
Type: Article
1979
1978
Duration forty years later
J. E. Ingersoll Jr, J. Skelton and R. L. Weil
Journal of Financial and Quantitative Analysis
Type: Article
1978
1977
Abstract: A Theory of the Term Structure of Interest Rates and the Valuation of Interest-Dependent Claims
J. C. Cox, J. E. Ingersoll Jr and S. A. Ross
Journal of Financial and Quantitative Analysis
Type: Article
1977
A contingent-claims valuation of convertible securities
J. E. Ingersoll Jr
Journal of Financial Economics
Type: Article
1977
An examination of corporate call policies on convertible securities
J. E. Ingersoll Jr
The Journal of Finance
Type: Article
1977
1976
A theoretical and empirical investigation of the dual purpose funds: An application of contingent-claims analysis
J. E. Ingersoll Jr
Journal of Financial Economics
Type: Article
1976
Using the Black-Scholes option model in investment decision making: Designing a convertible preferred issue
J. E. Ingersoll Jr
Proceedings Seminar on the Analysis of Security Prices, May
Type: Article
1976
1975
Multidimensional security pricing
J. E. Ingersoll Jr
Journal of financial and quantitative analysis
Type: Article
1975