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Lasse Heje Pedersen
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11	Search-and-Matching Financial Markets† Liquidity and Risk Management By Nicolae Gˆarleanu and Lasse Heje Pedersen* This paper provides a model of the interaction between risk-management practices and market Add to Reading List Source URL: docs.lhpedersen.com Language: English - Date: 2007-08-27 14:29:17 Economics Risk Actuarial science Risk management Mathematical finance Market liquidity Futures contract Liquidity risk Liquidity crisis Financial economics Financial risk Financial markets
12	Early Option Exercise: Never Say Never Mads Vestergaard Jensen and Lasse Heje Pedersen∗ First version: March, 2012. This version: October 10, 2014 Add to Reading List Source URL: docs.lhpedersen.com Language: English - Date: 2014-10-10 07:25:07 Investment Exercise Option Call option Put option Convertible bond Stock Black–Scholes Futures contract Financial economics Options Finance
13	Dynamic Portfolio Choice with Frictions∗ Nicolae Gˆarleanu and Lasse Heje Pedersen† March, 2014 Abstract We show that the optimal portfolio can be derived explicitly in a large class Add to Reading List Source URL: docs.lhpedersen.com Language: English - Date: 2014-03-26 16:56:39 Economics Finance Transaction cost Algorithmic trading Economic model Arbitrage Mathematical optimization Modern portfolio theory Mathematical finance Financial markets Financial economics
14	Adverse Selection and the Required Return Nicolae Gaˆrleanu University of Pennsylvania Lasse Heje Pedersen New York University An important feature of financial markets is that securities are traded repeatedly by Add to Reading List Source URL: docs.lhpedersen.com Language: English - Date: 2004-07-07 06:50:31 Finance Stock market Financial risk Bid–offer spread Market maker Order Futures contract Market liquidity Dark liquidity Financial markets Financial economics Investment
15	Market Liquidity and Funding Liquidity Markus K. Brunnermeier Princeton University Lasse Heje Pedersen New York University Add to Reading List Source URL: docs.lhpedersen.com Language: English - Date: 2010-02-07 17:29:00 Economics Liquidity risk Market liquidity Flight-to-quality Futures contract Speculation Markus Brunnermeier Financial risk Volatility Financial markets Financial economics Finance
16	Dynamic Portfolio Choice with Frictions: Appendix Nicolae Gˆarleanu and Lasse Heje Pedersen∗ March 26, 2014 ∗ Add to Reading List Source URL: docs.lhpedersen.com Language: English - Date: 2014-03-26 17:05:57 Spectral theory of ordinary differential equations Spectral theory Operator theory Ordinary differential equations
17	Demand-Based Option Pricing Nicolae Gˆarleanu University of California at Berkeley, CEPR, and NBER Lasse Heje Pedersen New York University, CEPR, and NBER Allen M. Poteshman Add to Reading List Source URL: docs.lhpedersen.com Language: English - Date: 2010-02-07 17:25:57 Options Investment Black–Scholes Implied volatility Risk-neutral measure Forward contract Futures contract Stochastic volatility Volatility smile Financial economics Mathematical finance Finance
18	THE JOURNAL OF FINANCE • VOL. LXVIII, NO. 3 • JUNE[removed]Value and Momentum Everywhere CLIFFORD S. ASNESS, TOBIAS J. MOSKOWITZ, and LASSE HEJE PEDERSEN∗ ABSTRACT We find consistent value and momentum return premia Add to Reading List Source URL: docs.lhpedersen.com Language: English - Date: 2013-06-12 08:18:55 Financial markets Investment Mathematical finance Financial risk Cliff Asness Fama–French three-factor model Asset allocation Hedge fund Efficient-market hypothesis Financial economics Finance Economics
19	Valuation in Over-the-Counter Markets Darrell Duffie Graduate School of Business, Stanford University Nicolae Gˆarleanu University of California, Berkeley Lasse Heje Pedersen Add to Reading List Source URL: docs.lhpedersen.com Language: English - Date: 2008-09-13 19:12:24 Financial markets Mathematical finance Actuarial science Financial risk Incomplete markets Derivative Futures contract Risk-neutral measure Risk premium Financial economics Finance Investment
20	Auctions with Endogenous Selling∗ Nicolae Gˆarleanu University of Pennsylvania and NBER Lasse Heje Pedersen New York University, CEPR, and NBER Add to Reading List Source URL: docs.lhpedersen.com Language: English - Date: 2006-06-20 14:42:00 Game theory Auction Vickrey auction English auction Auction theory Auctioneering Business

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