User profiles for Eduardo S Schwartz

Eduardo Schwartz

Ryan Beedie Chair in Finance Simon Fraser University
Verified email at sfu.ca
Cited by 46053

The stochastic behavior of commodity prices: Implications for valuation and hedging

ES Schwartz - The Journal of finance, 1997 - Wiley Online Library
In this article we compare three models of the stochastic behavior of commodity prices that
take into account mean reversion, in terms of their ability to price existing futures contracts, …

Valuing American options by simulation: a simple least-squares approach

FA Longstaff, ES Schwartz - The review of financial studies, 2001 - academic.oup.com
This article presents a simple yet powerful new approach for approximating the value of
American options by simulation. The key to this approach is the use of least squares to estimate …

Evaluating natural resource investments

MJ Brennan, ES Schwartz - Journal of business, 1985 - JSTOR
The evaluation of mining and other natural resource projects is made particularly difficult by
the high degree of uncertainty attaching to output prices. It is shown that the techniques of …

A simple approach to valuing risky fixed and floating rate debt

FA Longstaff, ES Schwartz - The Journal of Finance, 1995 - Wiley Online Library
We develop a simple approach to valuing risky corporate debt that incorporates both default
and interest rate risk. We use this approach to derive simple closed‐form valuation …

Stochastic convenience yield and the pricing of oil contingent claims

R Gibson, ES Schwartz - The Journal of Finance, 1990 - Wiley Online Library
This paper develops and empirically tests a two‐factor model for pricing financial and real
assets contingent on the price of oil. The factors are the spot price of oil and the instantaneous …

Electricity prices and power derivatives: Evidence from the nordic power exchange

JJ Lucia, ES Schwartz - Review of derivatives research, 2002 - Springer
This paper examines the importance of the regular pattern in the behavior of electricity prices,
and its implications for the purposes of derivative pricing. We analyze the Nordic Power …

Interest rate volatility and the term structure: A two‐factor general equilibrium model

FA Longstaff, ES Schwartz - The Journal of Finance, 1992 - Wiley Online Library
We develop a two‐factor general equilibrium model of the term structure. The factors are the
short‐term interest rate and the volatility of the short‐term interest rate. We derive closed‐…

A continuous time approach to the pricing of bonds

MJ Brennan, ES Schwartz - Journal of Banking & Finance, 1979 - Elsevier
This paper develops an arbitrage model of the term structure of interest rates based on the
assumptions that the whole term structure at any point in time may be expressed as a function …

The valuation of American put options

MJ Brennan, ES Schwartz - The Journal of Finance, 1977 - JSTOR
P (S, t)-< El (5)(5) holds if the exercise price is a non-decreasing function of time to maturity.
Then the maximum value the put can attain is the current exercise price, if the stock price …

Analyzing convertible bonds

MJ Brennan, ES Schwartz - Journal of Financial and Quantitative …, 1980 - cambridge.org
The convertible bond is a hybrid security which, while retaining most of the characteristics of
straight debt, offers, in addition, the upside potential associated with theunderlying common …