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The PARSEC benchmark suite: Characterization and architectural implications
 IN PRINCETON UNIVERSITY
, 2008
"... This paper presents and characterizes the Princeton Application Repository for SharedMemory Computers (PARSEC), a benchmark suite for studies of ChipMultiprocessors (CMPs). Previous available benchmarks for multiprocessors have focused on highperformance computing applications and used a limited ..."
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Cited by 282 (2 self)
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This paper presents and characterizes the Princeton Application Repository for SharedMemory Computers (PARSEC), a benchmark suite for studies of ChipMultiprocessors (CMPs). Previous available benchmarks for multiprocessors have focused on highperformance computing applications and used a limited number of synchronization methods. PARSEC includes emerging applications in recognition, mining and synthesis (RMS) as well as systems applications which mimic largescale multithreaded commercial programs. Our characterization shows that the benchmark suite covers a wide spectrum of working sets, locality, data sharing, synchronization and offchip traffic. The benchmark suite has been made available to the public.
Executive Compensation
, 1999
"... This paper summarizes the empirical and theoretical research on executive compensation and provides a comprehensive and uptodate description of pay practices (and trends in pay practices) for chief executive officers (CEOs). Topics discussed include the level and structure of CEO pay (including de ..."
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Cited by 269 (11 self)
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This paper summarizes the empirical and theoretical research on executive compensation and provides a comprehensive and uptodate description of pay practices (and trends in pay practices) for chief executive officers (CEOs). Topics discussed include the level and structure of CEO pay (including detailed analyses of annual bonus plans, executive stock options, and option valuation), international pay differences, the paysetting process, the relation between CEO pay and firm performance (“payperformance sensitivities”), the relation between sensitivities and subsequent firm performance, relative performance evaluation, executive turnover, and the politics of CEO pay.
Pricing with a Smile
 Risk Magazine
, 1994
"... prices as a function of volatility. If an option price is given by the market we can invert this relationship to get the implied volatility. If the model were perfect, this implied value would be the same for all option market prices, but reality shows this is not the case. Implied Black–Scholes vol ..."
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Cited by 254 (0 self)
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prices as a function of volatility. If an option price is given by the market we can invert this relationship to get the implied volatility. If the model were perfect, this implied value would be the same for all option market prices, but reality shows this is not the case. Implied Black–Scholes volatilities strongly depend on the maturity and the strike of the European option under scrutiny. If the implied volatilities of atthemoney (ATM) options on the Nikkei 225 index are 20 % for a maturity of six months and 18 % for a maturity of one year, we are in the uncomfortable position of assuming that the Nikkei oscillates with a constant volatility of 20 % for six months but also oscillates with a constant volatility of 18 % for one year. It is easy to solve this paradox by allowing volatility to be timedependent, as Merton did (see Merton, 1973). The Nikkei would first exhibit an instantaneous volatility of 20 % and subsequently a lower one, computed by a forward relationship to accommodate the oneyear volatility. We now have a single process, compatible with the two option prices. From the term structure of implied volatilities we can infer a timedependent instantaneous volatility, because the former is the quadratic mean of the latter. The spot process S is then governed by the following stochastic differential equation: dS �rt () dt��() t dW
A Brief History of Generative Models for Power Law and Lognormal Distributions
 INTERNET MATHEMATICS
"... Recently, I became interested in a current debate over whether file size distributions are best modelled by a power law distribution or a a lognormal distribution. In trying ..."
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Cited by 253 (7 self)
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Recently, I became interested in a current debate over whether file size distributions are best modelled by a power law distribution or a a lognormal distribution. In trying
On estimating the expected return on the market  an exploratory investigation
 Journal of Financial Economics
, 1980
"... The expected market return is a number frequently required for the solution of many investment and corporate tinance problems, but by comparison with other tinancial variables, there has been little research on estimating this expected return. Current practice for estimating the expected market retu ..."
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Cited by 249 (1 self)
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The expected market return is a number frequently required for the solution of many investment and corporate tinance problems, but by comparison with other tinancial variables, there has been little research on estimating this expected return. Current practice for estimating the expected market return adds the historical average realized excess market returns to the current observed interest rate. While this model explicitly reflects the dependence of the market return on the interest rate, it fails to account for the effect of changes in the level of market risk. Three models of equilibrium expected market returns which reflect this dependence are analyzed in this paper. Estimation procedures which incorporate the prior restriction that equilibrium expected excess returns on the market must be positive are derived and applied to return data for the period 19261978. The principal conclusions from this exploratory investigation are: (1) in estimating models of the expected market return, the nonnegativity restriction of the expected excess return should be explicitly included as part of the specification; (2) estimators which use realized returns should be adjusted for heteroscedasticity. 1.
A Markov Model for the Term Structure of Credit Risk Spreads
 Review of Financial Studies
, 1997
"... This article provides a Markov model for the term structure of credit risk spreads. The model is based on Jarrow and Turnbull (1995), with the bankruptcy process following a discrete state space Markov chain in credit ratings. The parameters of this process are easily estimated using observable data ..."
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Cited by 236 (12 self)
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This article provides a Markov model for the term structure of credit risk spreads. The model is based on Jarrow and Turnbull (1995), with the bankruptcy process following a discrete state space Markov chain in credit ratings. The parameters of this process are easily estimated using observable data. This model is useful for pricing and hedging corporate debt with imbedded options, for pricing and hedging OTC derivatives with counterparty risk, for pricing and hedging (foreign) government bonds subject to default risk (e.g., municipal bonds), for pricing and hedging credit derivatives, and for risk management. This article presents a simple model for valuing risky debt that explicitly incorporates a firm's credit rating as an indicator of the likelihood of default. As such, this article presents an arbitragefree model for the term structure of credit risk spreads and their evolution through time. This model will prove useful for the pricing and hedging of corporate debt with We would like to thank John Tierney of Lehman Brothers for providing the bond index price data, and Tal Schwartz for computational assistance. We would also like to acknowledge helpful comments received from an anonymous referee. Send all correspondence to Robert A. Jarrow, Johnson Graduate School of Management, Cornell University, Ithaca, NY 14853. The Review of Financial Studies Summer 1997 Vol. 10, No. 2, pp. 481523 1997 The Review of Financial Studies 08939454/97/$1.50 imbedded options, for the pricing and hedging of OTC derivatives with counterparty risk, for the pricing and hedging of (foreign) government bonds subject to default risk (e.g., municipal bonds), and for the pricing and hedging of credit derivatives (e.g. credit sensitive notes and spread adjusted notes). This model can also...
The Determinants of Credit Spread Changes
, 2001
"... Using dealer’s quotes and transactions prices on straight industrial bonds, we investigate the determinants of credit spread changes. Variables that should in theory determine credit spread changes have rather limited explanatory power. Further, the residuals from this regression are highly crossco ..."
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Cited by 235 (2 self)
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Using dealer’s quotes and transactions prices on straight industrial bonds, we investigate the determinants of credit spread changes. Variables that should in theory determine credit spread changes have rather limited explanatory power. Further, the residuals from this regression are highly crosscorrelated, and principal components analysis implies they are mostly driven by a single common factor. Although we consider several macroeconomic and financial variables as candidate proxies, we cannot explain this common systematic component. Our results suggest that monthly credit spread changes are principally driven by local supply0 demand shocks that are independent of both creditrisk factors and standard proxies for liquidity.
An Analytic Derivation of the Cost of Deposit Insurance and Loan Guarantees: An Application of Modern Option Pricing Theory
 Journal of Banking and Finance
, 1977
"... It is not uncommon in the arrangement of a loan to include as part of the financial package a guarantee of the loan by a third party. Examples are guarantees by a parent company of loans made to its subsidiaries or government guarantees of loans made to private corporations. Also included would be g ..."
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Cited by 228 (2 self)
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It is not uncommon in the arrangement of a loan to include as part of the financial package a guarantee of the loan by a third party. Examples are guarantees by a parent company of loans made to its subsidiaries or government guarantees of loans made to private corporations. Also included would be guarantees of bank deposits by the Federal Deposit Insurance Corporation. As with other forms of insurance, the issuing of a guarantee imposes a liability or cost on the guarantor. In this paper, a formula is derived to evaluate this cost. The method used is to demonstrate an isomorphic correspondence between loan guarantees and common stock put options, and then to use the well developed theory of option pricing to derive the formula. 1.
Explaining the rate spread on corporate bonds
 Journal of Finance
, 2001
"... The purpose of this article is to explain the spread between spot rates on corporate and government bonds. We find that the spread can be explained in terms of three elements: (1) compensation for expected default of corporate bonds (2) compensation for state taxes since holders of corporate bonds p ..."
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Cited by 214 (3 self)
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The purpose of this article is to explain the spread between spot rates on corporate and government bonds. We find that the spread can be explained in terms of three elements: (1) compensation for expected default of corporate bonds (2) compensation for state taxes since holders of corporate bonds pay state taxes while holders of government bonds do not, and (3) compensation for the additional systematic risk in corporate bond returns relative to government bond returns. The systematic nature of corporate bond return is shown by relating that part of the spread which is not due to expected default or taxes to a set of variables which have been shown to effect risk premiums in stock markets Empirical estimates of the size of each of these three components are provided in the paper. We stress the tax effects because it has been ignored in all previous studies of corporate bonds. 1