Jerome Detemple

Detemple, J., Rindisbacher, M., Robertson, S. (2020). “Dynamic Noisy Rational Expectations Equilibrium with Insider Information”, Econometrica, 88 (6), 2697-2737

Detemple, J., Kitapbayev, Y. (2020). “The Value of Green Energy: Optimal Investment in Mutually Exclusive Projects and Operating Leverage”, Review of Financial Studies, 33 (7), 3307-3347

Berrada, T., Detemple, J., Rindisbacher, M. (2018). “Asset Pricing with Regime Dependent Preferences and Learning”, Journal of Financial Economics, 128 (3), 504-534

Detemple, J., Kitapbayev, Y. (2018). “On American VIX Options under the Generalized 3/2 and 1/2 Models”, Mathematical Finance, 28 (2), 550-581

Detemple, J., Rindisbacher, M. (2013). “A Structural Model of Dynamic Market Timing”, Review of Financial Studies, 26 (10), 2492-2547

Detemple, J., Rindisbacher, M. (2010). “Dynamic Asset Allocation: Portfolio Decomposition Formula and Applications”, Review of Financial Studies, 23 (1), 25-100

Detemple, J. (2005). “American-style Derivatives: Valuation and Computation”, Chapman & Hall/CRC

Detemple, J., Garcia, R., Rindisbacher, M. (2005). “Asymptotic properties of Monte Carlo estimators of derivatives”, Management Science, 51 (11), 1657-1675

Detemple, J., Rindisbacher, M. (2005). “Closed-form solutions for optimal portfolio selection with stochastic interest rate and investment constraints”, Mathematical Finance, 15 (4), 539-568

Broadie, M., Detemple, J. (2004). “Option pricing: Valuation models and applications”, Management Science, 50 (9), 1145-1177

Detemple, J., Karatzas, I. (2003). “Non-addictive habits: optimal consumption-portfolio policies”, Journal of Economic Theory, 113 (2), 265-285

Detemple, J., Feng, S., Tian, W. (2003). “The valuation of American call options on the minimum of two dividend-paying assets”, Annals of Applied Probability, 13 (3), 953-983

Detemple, J., Serrat, A. (2003). “Dynamic equilibrium with liquidity constraints”, Review of Financial Studies, 16 (2), 597-629

Detemple, J., Garcia, R., Rindisbacher, M. (2003). “A Monte Carlo method for optimal portfolios”, Journal of Finance, 58 (1), 401-446

Detemple, J., Tian, W. (2002). “The valuation of American options for a class of diffusion processes”, Management Science, 48 (7), 917-937

Detemple, J., Sundaresan, S. (1999). “Nontraded asset valuation with portfolio constraints: A binomial approach”, The Review of Financial Studies, 12 (4), 835-872

Detemple, J., Murthy, S. (1997). “Equilibrium asset prices and no-arbitrage with portfolio constraints”, Review of Financial Studies, 10 (4), 1133-1174

Broadie, M., Detemple, J. (1997). “The valuation of American options on multiple assets”, Mathematical Finance, 7 (3), 241-286

Broadie, M., Detemple, J. (1996). “American option valuation: New bounds, approximations, and a comparison of existing methods”, Review of Financial Studies, 9 (4), 1211-1250

Broadie, M., Detemple, J. (1995). “American Capped Call Options On Dividend-Paying Assets”, Review of Financial Studies, 8 (1), 161-191

Detemple, J., Murthy, S. (1994). “Intertemporal Asset Pricing With Heterogeneous Beliefs”, Journal of Economic Theory, 62 (2), 294-320

Detemple, J., Zapatero, F. (1992). “Optimal Consumption-Portfolio Policies With Habit Formation”, Mathematical Finance, 2 (4), 251-274

Detemple, J., Zapatero, F. (1991). “Asset Prices In An Exchange Economy With Habit Formation”, Econometrica, 59 (6), 1633-1657

Adler, M., Detemple, J. (1988). “On The Optimal Hedge Of A Nontraded Cash Position”, Journal of Finance, 43 (1), 143-153

Detemple, J. (1986). “Asset Pricing In A Production Economy With Incomplete Information”, Journal of Finance, 41 (2), 383-391