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Citations for "The pricing of commodity contracts"

by Black, Fischer

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Cited by (explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.):
  1. William R. Melick & Charles P. Thomas, 1996. "Using options prices to infer PDF'S for asset prices: an application to oil prices during the Gulf crisis," International Finance Discussion Papers 541, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  2. Arie Harel & Giora Harpaz & Jack Francis, 2007. "Pricing futures on geometric indexes: A discrete time approach," Review of Quantitative Finance and Accounting, Springer, vol. 28(3), pages 227-240, April. [Downloadable!] (restricted)
  3. Antonis Papapantoleon, 2009. "Old and new approaches to LIBOR modeling," Quantitative Finance Papers 0910.4941, arXiv.org. [Downloadable!]
  4. Lence, Sergio H. & Hayes, Dermot J., 2002. "Option Pricing on Renewable Commodity Markets," Staff General Research Papers 4093, Iowa State University, Department of Economics. [Downloadable!]
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  5. Frederic S. Mishkin, 1990. "Can Futures Market Data Be Used to Understand the Behavior of Real Interest Rates?," NBER Working Papers 2400, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  6. Kabir K. Dutta & David F. Babbel, 2002. "Extracting Probabilistic Information from the Prices of Interest Rate Options: Tests of Distributional Assumptions," Center for Financial Institutions Working Papers 02-26, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
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  7. Paul H. Kupiec & A. Patricia White, 1996. "Regulatory competition and the efficiency of alternative derivative product margining systems," Finance and Economics Discussion Series 96-11, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  8. Egelkraut, Thorsten M. & Garcia, Philip, 2005. "Intermediate Volatility Forecasts Using Implied Forward Volatility: The Performance of Selected Agricultural Commodity Options," 2005 Conference, April 18-19, 2005, St. Louis, Missouri 19033, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management. [Downloadable!]
  9. Bent Jesper Christensen & Charlotte Strunk Hansen, 2002. "New evidence on the implied-realized volatility relation," European Journal of Finance, Taylor and Francis Journals, vol. 8(2), pages 187-205, June. [Downloadable!] (restricted)
  10. Patricia Fraser, Andrew J. McKaig, 2001. "Basis variation and a common source of risk: evidence from UK futures markets," European Journal of Finance, Taylor and Francis Journals, vol. 7(1), pages 39-62, March. [Downloadable!] (restricted)
  11. Ravi Jagannathan & Andrew Kaplin & Steve Guoqiang Sun, 2001. "An Evaluation of Multi-Factor CIR Models Using LIBOR, Swap Rates, and Cap and Swaption Prices," NBER Working Papers 8682, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  12. Ramaprasad Bhar, Carl Chiarella, 2000. "Expectations of monetary policy in Australia implied by the probability distribution of interest rate derivatives," European Journal of Finance, Taylor and Francis Journals, vol. 6(2), pages 113-125, June. [Downloadable!] (restricted)
  13. Turvey, Calum, 1999. "Weather Insurance, Crop Production And Specific Event Risk," Working Papers 34101, University of Guelph, Department of Food, Agricultural and Resource Economics. [Downloadable!]
  14. Svetlana Borovkova & Helyette Geman, 2006. "Seasonal and stochastic effects in commodity forward curves," Review of Derivatives Research, Springer, vol. 9(2), pages 167-186, September. [Downloadable!] (restricted)
  15. Antonio Mannolini & Carlo Mari & Roberto Renò, 2008. "Pricing caps and floors with the extended CIR model," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 13(4), pages 386-400. [Downloadable!]
  16. Ángel León & Javier Mencía & Enrique Sentana, 2005. "Parametric Properties Of Semi-Nonparametric Distributions, With Applications To Option Valuation," Working Papers wp2005_0509, CEMFI. [Downloadable!]
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  17. Scholes, Myron S., 1997. "Derivatives in a Dynamic Environment," Nobel Prize in Economics documents 1997-2, Nobel Prize Committee. [Downloadable!]
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  18. R.C. Stapleton & Marti G. Subrahmanyam, 1999. "The Term Structure of Interest Rate-Futures Prices," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-045, New York University, Leonard N. Stern School of Business-. [Downloadable!]
  19. Akihiko Takahashi & Kohta Takehara, 2007. "An Asymptotic Expansion Approach to Currency Options with a Market Model of Interest Rates under Stochastic Volatility Processes of Spot Exchange Rates," Asia-Pacific Financial Markets, Springer, vol. 14(1), pages 69-121, March. [Downloadable!] (restricted)
  20. Ángel León & Gabriele Fiorentini & Gonzalo Rubio, 2000. "Short-Term Options With Stochastic Volatility: Estimation And Empirical Performance," Working Papers. Serie AD 2000-25, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). [Downloadable!]
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  21. Owain Ap Gwilym, Mike Buckle, 1999. "Volatility forecasting in the framework of the option expiry cycle," European Journal of Finance, Taylor and Francis Journals, vol. 5(1), pages 73-94, March. [Downloadable!] (restricted)
  22. Erik Schlögl, 2001. "Arbitrage-Free Interpolation in Models of Market Observable Interest Rates," Research Paper Series 71, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
  23. Ram Bhar & Carl Chiarella, 2000. "Infering Forward Looking Financial Market Risk Premia from Derivatives Prices," Research Paper Series 42, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
  24. Patrick S. Hagan, Diana E. Woodward, 1999. "Equivalent Black volatilities," Applied Mathematical Finance, Taylor and Francis Journals, vol. 6(3), pages 147-157, September. [Downloadable!] (restricted)
  25. Thomas Busch & Bent Jesper Christensen & Morten Ørregaard Nielsen, 2005. "Forecasting Exchange Rate Volatility in the Presence of Jumps," Working Papers 1187, Queen's University, Department of Economics. [Downloadable!]
  26. Robert G. Tompkins, 2001. "Implied volatility surfaces: uncovering regularities for options on financial futures," European Journal of Finance, Taylor and Francis Journals, vol. 7(3), pages 198-230, September. [Downloadable!] (restricted)
  27. Unterschultz, James, 2000. "New Instruments For Co-Ordination And Risk Sharing Within The Canadian Beef Industry," Project Report Series 24046, University of Alberta, Department of Rural Economy. [Downloadable!]
  28. Maria Iovino, 1997. "Futures options with futures-style margining in the Gaussian models setting," Decisions in Economics and Finance, Springer, vol. 20(1), pages 3-21, June. [Downloadable!] (restricted)
  29. Bardsley, Peter & Cashin, Paul, 1990. "Underwriting Assistance To The Australian Wheat Industry - An Application Of Option Pricing Theory," Australian Journal of Agricultural Economics, Australian Agricultural and Resource Economics Society, vol. 34(03), December. [Downloadable!]
  30. Robert McDonald & Daniel Siegel, 1981. "Option Pricing When the Underlying Asset is Non-Stored," Discussion Papers 512, Northwestern University, Center for Mathematical Studies in Economics and Management Science. [Downloadable!]
  31. Caio Almeida & Jeremy J. Graveline & Scott Joslin, 2005. "Do Options Contain Information About Excess Bond Returns?," IBMEC RJ Economics Discussion Papers 2005-04, Economics Research Group, IBMEC Business School - Rio de Janeiro. [Downloadable!]
  32. Bhupinder Bahra, . "Implied risk-neutral probability density functions from option prices: theory and application," Bank of England working papers 66, Bank of England. [Downloadable!]
  33. Alejandro Balbas & Anna Downarowicz & Javier Gil-Bazo, 2005. "Market Imperfections, Discount Factors And Stochastic Dominance: An Empirical Analysis With Oil-Linked Derivatives," Business Economics Working Papers wb055013, Universidad Carlos III, Departamento de Economía de la Empresa. [Downloadable!]
  34. Joshua Rosenberg, 1999. "Implied Volatility Functions: A Reprise," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-027, New York University, Leonard N. Stern School of Business-. [Downloadable!]
  35. Hjalmarsson, Erik, 2003. "Does the Black-Scholes formula work for electricity markets? A nonparametric approach," Working Papers in Economics 101, Göteborg University, Department of Economics. [Downloadable!]
  36. Eymen Errais & Fabio Mercurio, 2005. "Yes, Libor Models can capture Interest Rate Derivatives Skew : A Simple Modelling Approach," Computing in Economics and Finance 2005 192, Society for Computational Economics. [Downloadable!]
  37. Alexander Sarris, 2003. "Une assurance du prix des matières premières fondée sur le marché pour les pays en développement : vers une nouvelle approche," Revue d’économie du développement, De Boeck Université, vol. 17(1), pages 5-41. [Downloadable!]
  38. Yang, Jian & Awokuse, Titus, 2002. "Asset Storability And Hedging Effectiveness In Commodity Futures Markets," Staff Papers 15826, University of Delaware, Department of Food and Resource Economics. [Downloadable!]
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  39. Alessandro Beber, 2001. "Determinants of the implied volatility function on the Italian Stock Market," Alea Tech Reports 010, Department of Computer and Management Sciences, University of Trento, Italy, revised 14 Jun 2008. [Downloadable!]
  40. Antoon Pelsser, 2002. "Pricing and Hedging Guaranteed Annuity Options via Static Option Replication," Tinbergen Institute Discussion Papers 02-037/2, Tinbergen Institute. [Downloadable!]
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  41. F. Gonzalez Miranda, N. Burgess, 1997. "Modelling market volatilities: the neural network perspective," European Journal of Finance, Taylor and Francis Journals, vol. 3(2), pages 137-157, June. [Downloadable!] (restricted)
  42. Hui Guo & Christopher J. Neely & Jason Higbee, 2006. "Foreign exchange volatility is priced in equities," Working Papers 2004-029, Federal Reserve Bank of St. Louis. [Downloadable!]
  43. Chen, Gang & Roberts, Matthew C. & Roe, Brian, 2005. "Forecasting Livestock Feed Cost Risks Using Futures and Options," 2005 Conference, April 18-19, 2005, St. Louis, Missouri 19048, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management. [Downloadable!]
  44. Carlos A. Ulibarri & Peter C. Anselmo & Karen Hovespian & Jacob Tolk & Ionut Florescu, 2009. "'Noise-trader risk' and Bayesian market making in FX derivatives: rolling loaded dice?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 14(3), pages 268-279. [Downloadable!]
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  45. Shane Miller & Eckhard Platen, 2004. "Two-Factor Model for Low Interest Rate Regimes," Research Paper Series 130, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
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  46. Wolfgang Kluge & Antonis Papapantoleon, 2009. "On the valuation of compositions in L\'evy term structure models," Quantitative Finance Papers 0902.3456, arXiv.org. [Downloadable!]
  47. Francis A. Longstaff, 2004. "Optimal Recursive Refinancing and the Valuation of Mortgage-Backed Securities," NBER Working Papers 10422, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  48. Turvey, Calum, 2001. "Random Walks And Fractal Structures In Agricultural Commodity Futures Prices," Working Papers 34151, University of Guelph, Department of Food, Agricultural and Resource Economics. [Downloadable!]
  49. Alessandro Beber, 2001. "Determinants of the implied volatility function on the Italian Stock Market," LEM Papers Series 2001/05, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy. [Downloadable!]
  50. P. A. Tinsley, 1998. "Short rate expectations, term premiums, and central bank use of derivatives to reduce policy uncertainty," Finance and Economics Discussion Series 1999-14, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  51. Salih N. Neftci & Elena Loukoianova & Sunil Sharma, 2006. "Pricing and Hedging of Contingent Credit Lines," IMF Working Papers 06/13, International Monetary Fund. [Downloadable!]
  52. Bardsley, Peter & Olekalns, Nilss, 1996. "Wool Price Variability In The Long Run," Australian Journal of Agricultural Economics, Australian Agricultural and Resource Economics Society, vol. 40(01), April. [Downloadable!]
  53. Schönbucher, Philpp J., . "A Market Model for Stochastic Implied Volatility," Discussion Paper Serie B 453, University of Bonn, Germany, revised May 1999. [Downloadable!]
  54. Akihiko Takahashi & Kohta Takehara, 2007. "An Asymptotic Expansion Approach to Currency Options with a Market Model of Interest Rates under Stochastic Volatility Processes of Spot Exchange Rates," CIRJE F-Series CIRJE-F-474, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
  55. Sanjiv Ranjan Das, 1997. "An Efficient Generalized Discrete-Time Approach to Poisson-Gaussian Bond Option Pricing in the Heath-Jarrow-Morton Model," NBER Technical Working Papers 0212, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  56. Sami Vähämaa, 2004. "Option-implied asymmetries in bond market expectations around monetary policy actions of the ECB," Working Paper Series 315, European Central Bank. [Downloadable!]
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  57. Dudenhausen, Antje & Erik Schloegl & Lutz Schloegl, 1999. "Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives," Discussion Paper Serie B 422, University of Bonn, Germany, revised Apr 1999. [Downloadable!]
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  58. Turvey, Calum, 2005. "Managing Food Industry Business and Financial Risks with Commodity-Linked Credit Instruments," 2005 International Congress, August 23-27, 2005, Copenhagen, Denmark 24525, European Association of Agricultural Economists. [Downloadable!]
  59. Joshua Rosenberg, 1999. "Option-Based Tests of Interest Rate Diffusion Functions," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-026, New York University, Leonard N. Stern School of Business-. [Downloadable!]
  60. Richter, Martin & Sørensen, Carsten, 2002. "Stochastic Volatility and Seasonality in Commodity Futures and Options: The Case of Soybeans," Working Papers 2002-4, Copenhagen Business School, Department of Finance. [Downloadable!]
  61. J. David Cummins & Hèlyette Geman, 1993. "An Asian Option to the Valuation of Insurance Futures Contracts," Center for Financial Institutions Working Papers 94-03, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
  62. James Clouse & Dale Henderson & Athanasios Orphanides & David Small & Peter Tinsley, 2000. "Monetary policy when the nominal short-term interest rate is zero," Finance and Economics Discussion Series 2000-51, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
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  63. Jondeau, E. & Rockinger, M., 1998. "Reading the Smile: The Message Conveyed by Methods Which Infer Risk Neutral," Documents de Travail 47, Banque de France. [Downloadable!]
  64. Martin Cincibuch, 2002. "Distributions Implied by Exchange Traded Options: A Ghost’s Smile?," CERGE-EI Working Papers wp200, The Center for Economic Research and Graduate Education - Economic Institute, Prague. [Downloadable!]
  65. Richards, Timothy J. & Manfredo, Mark R. & Sanders, Dwight R., 2002. "Weather Derivatives: Managing Risk With Market-Based Instruments," 2002 Conference, April 22-23, 2002, St. Louis, Missouri 19074, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management. [Downloadable!]
  66. Anders B. Trolle & Eduardo S. Schwartz, 2006. "A General Stochastic Volatility Model for the Pricing and Forecasting of Interest Rate Derivatives," NBER Working Papers 12337, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  67. Carl Chiarella & Christina Nikitopoulos-Sklibosios & Erik Schlogl, 2005. "A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton with Jumps," Research Paper Series 167, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
  68. Feng Zhao & Robert Jarrow & Haitao Li, 2004. "Interest Rate Caps Smile Too! But Can the LIBOR Market Models Capture It?," Econometric Society 2004 North American Winter Meetings 431, Econometric Society. [Downloadable!]
  69. Antonis Papapantoleon & Maria Siopacha, 2009. "Strong Taylor approximation of Stochastic Differential Equations and application to the L\'evy LIBOR model," Quantitative Finance Papers 0906.5581, arXiv.org. [Downloadable!]
  70. Tetsuya Takaishi, 2009. "Markov Chain Monte Carlo on Asymmetric GARCH Model Using the Adaptive Construction Scheme," Quantitative Finance Papers 0909.1478, arXiv.org. [Downloadable!]
  71. Brock Johnson & Jonathan Batten, 2003. "Forecasting Credit Spread Volatility: Evidence from the Japanese Eurobond Market," Asia-Pacific Financial Markets, Springer, vol. 10(4), pages 335-357, December. [Downloadable!] (restricted)
  72. Turvey, Calum G. & Toole, Andrew & Kropp, Jaclyn, 2007. "An Empirical Examination of the Relationship Between Real Options Values and the Rate of Investment," 2007 1st Forum, February 15-17, 2007, Innsbruck, Austria 6606, International European Forum on Innovation and System Dynamics in Food Networks. [Downloadable!]
  73. Thomas Busch & Bent Jesper Christensen & Morten Ørregaard Nielsen, 2008. "The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets," Working Papers 1181, Queen's University, Department of Economics. [Downloadable!]
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  74. Daniel Giamouridis, 2005. "Inferring option-implied investors' risk preferences," Applied Financial Economics, Taylor and Francis Journals, vol. 15(7), pages 479-488, April. [Downloadable!] (restricted)
  75. Damiano Brigo & Naoufel El-Bachir, 2008. "An exact formula for default swaptions' pricing in the SSRJD stochastic intensity model," Quantitative Finance Papers 0812.4199, arXiv.org. [Downloadable!]
  76. Torben G. Andersen & Tim Bollerslev & Per Frederiksen & Morten Ørregaard Nielsen, 2008. "Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns," Working Papers 1173, Queen's University, Department of Economics. [Downloadable!]
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  77. Ryozo Miura & Hiroaki Yamauchi, 1998. "The Pricing Formula for Commodity-Linked Bonds with Stochastic Convenience Yields and Default Risk," Asia-Pacific Financial Markets, Springer, vol. 5(2), pages 129-158, May. [Downloadable!] (restricted)
  78. Michael P. Leahy & Charles P. Thomas, 1996. "The sovereignty option: the Quebec referendum and market views on the Canadian dollar," International Finance Discussion Papers 555, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  79. Christopher F. Baum & Olin Liu, 1994. "An Alternative Strategy for Estimation of a Nonlinear Model of the Term Structure of Interest Rates," Boston College Working Papers in Economics 275., Boston College Department of Economics. [Downloadable!]
  80. Christopher J. Neely, 2004. "Implied volatility from options on gold futures: do statistical forecasts add value or simply paint the lilly?," Working Papers 2003-018, Federal Reserve Bank of St. Louis. [Downloadable!]
  81. Thomas Busch & Bent Jesper Christensen & Morten Ørregaard Nielsen, 2006. "The Information Content of Treasury Bond Options Concerning Future Volatility and Price Jumps," Working Papers 1188, Queen's University, Department of Economics. [Downloadable!]
  82. Garry de Jager & Joseph Winsen, 1992. "Performance Differences Within the Market for Housing," Working Paper Series 19, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
  83. Koekebakker, Steen & Lien, Gudbrand, 2002. "Term Structure of Volatility and Price Jumps in Agricultural Markets - Evidence from Option Data," 2002 International Congress, August 28-31, 2002, Zaragoza, Spain 24874, European Association of Agricultural Economists. [Downloadable!]
  84. Christopher J. Neely, 2005. "Using implied volatility to measure uncertainty about interest rates," Review, Federal Reserve Bank of St. Louis, issue May, pages 407-425. [Downloadable!]
  85. Bruno Solnik, 1991. "Finance Theory and Investment Management," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 127(III), pages 303-324, September. [Downloadable!]
  86. Claude B. Erb & Campbell R. Harvey, 2005. "The Tactical and Strategic Value of Commodity Futures," NBER Working Papers 11222, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  87. Carey, Alexander, 2006. "Path-conditional forward volatility," MPRA Paper 4964, University Library of Munich, Germany. [Downloadable!]
  88. Driessen, J. & Klaassen, P. & Melenberg, B., 2000. "The performance of multi-factor term structure models for pricing and hedging caps and swaptions," Discussion Paper 93, Tilburg University, Center for Economic Research. [Downloadable!]
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  89. Francisco Alonso & Roberto Blanco & Gonzalo Rubio, 2006. "Option-implied preferences adjustments, density forecasts, and the equity risk premium," Banco de España Working Papers 0630, Banco de España. [Downloadable!]
  90. Christian Zühlsdorff, 2002. "Extended Libor Market Models with Affine and Quadratic Volatility," Bonn Econ Discussion Papers bgse6_2002, University of Bonn, Germany. [Downloadable!]
  91. Raoul Pietersz & Marcel van Regenmortel, 2005. "Generic Market Models," Finance 0502009, EconWPA. [Downloadable!]
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    • Pietersz, R. & Regenmortel, M. van, 2005. "Generic Market Models," Research Paper ERS-2005-010-F&A Revision, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni. [Downloadable!]
  92. Akihiko Takahashi & Kohta Takehara, 2007. "Fourier Transform Method with an Asymptotic Expansion Approach: an Application to Currency Options," CIRJE F-Series CIRJE-F-497, CIRJE, Faculty of Economics, University of Tokyo.
  93. David Ardia, 2007. "Tests d’arbitrage sur options: une analyse empirique des cotations de market-makers," DQE Working Papers 8, Department of Quantitative Economics, University of Freiburg/Fribourg Switzerland. [Downloadable!]
  94. Jury Falini, 2009. "Pricing caps with HJM models: the benefits of humped volatility," Department of Economics University of Siena 563, Department of Economics, University of Siena. [Downloadable!]
  95. Don H. Kim, 2008. "Zero bound, option-implied PDFs, and term structure models," Finance and Economics Discussion Series 2008-31, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  96. Ronald Hochreiter & Georg Pflug, 2006. "Polynomial Algorithms for Pricing Path-Dependent Interest Rate Instruments," Computational Economics, Springer, vol. 28(3), pages 291-309, October. [Downloadable!] (restricted)
  97. David Bates & Roger Craine, 1998. "Valuing the Futures Market Clearinghouse's Default Exposure During the 1987 Crash," NBER Working Papers 6505, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  98. Franco Molinari, 1998. "Arbitrage risk neutral probability measures," Quaderni DISA 008, Department of Computer and Management Sciences, University of Trento, Italy.
  99. Basak, Suleyman & Chabakauri, Georgy, 2009. "Dynamic Mean-Variance Asset Allocation," CEPR Discussion Papers 7256, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
  100. Richard J. Herring & Nathporn Chatusripitak, 2000. "The Case of the Missing Market: The Bond Market and Why It Matters for Financial Development," Center for Financial Institutions Working Papers 01-08, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
  101. David F. Babbel & Craig Merrill, 1997. "Economic Valuation Models for Insurers," Center for Financial Institutions Working Papers 97-44, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
  102. Chen, Gang & Roberts, Matthew C. & Roe, Brian, 2005. "Managing Livestock Feed Cost Risks Using Futures and Options," 2005 Annual meeting, July 24-27, Providence, RI 19399, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association). [Downloadable!]
  103. Constantin Mellios, 2001. "Valuation of Interest Rate Options in a Two-Factor Model of the Term Structure of Interest Rate," Working Papers 2001-1, Laboratoire Orléanais de Gestion - université d'Orléans. [Downloadable!]
  104. Eric Benhamou, 2002. "A Martingale Result for Convexity Adjustment in the Black Pricing Model," Finance 0212005, EconWPA. [Downloadable!]
  105. J. Baixauli & Susana Alvarez, 2006. "Evaluating effects of excess kurtosis on VaR estimates: Evidence for international stock indices," Review of Quantitative Finance and Accounting, Springer, vol. 27(1), pages 27-46, August. [Downloadable!] (restricted)
  106. Robert E.J. Hibbard & Rob Brown & Keith R. McLaren, 2002. "Nonsimultaneity and Futures Option Pricing: Simulation and Empirical Evidence," Monash Econometrics and Business Statistics Working Papers 13/02, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
  107. Turvey, Calum G., 2001. "The Pricing Of Degree-Day Weather Options," Working Papers 34109, University of Guelph, Department of Food, Agricultural and Resource Economics. [Downloadable!]
  108. Urcola, Hernan A. & Irwin, Scott H., 2006. "Has the Performance of the Hog Options Market Changed?," 2006 Annual meeting, July 23-26, Long Beach, CA 21479, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association). [Downloadable!]
  109. Frederico Pechir Gomes & Marcelo Yoshio Takami & Vinicius Ratton Brandi, 2008. "Foreign Exchange Market Volatility Information: An Investigation of Real-Dollar Exchange Rate," Working Papers Series 174, Central Bank of Brazil, Research Department. [Downloadable!]
  110. Rodriguez, J.C., 2007. "A Preference-Free Formula to Value Commodity Derivatives," Discussion Paper 2007-92, Tilburg University, Center for Economic Research. [Downloadable!]
  111. Carey, Alexander, 2008. "Natural volatility and option pricing," MPRA Paper 6709, University Library of Munich, Germany. [Downloadable!]
  112. Turvey, Calum G., 1999. "Weather Derivatives And Specific Event Risk," 1999 Annual meeting, August 8-11, Nashville, TN 21550, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association). [Downloadable!]
  113. Kokholm, Thomas, 2008. "Pricing of Traffic Light Options and other Correlation Derivatives," Finance Research Group Working Papers F-2008-01, University of Aarhus, Aarhus School of Business, Department of Business Studies. [Downloadable!]
  114. Gonzalo Rubio & Eva Ferreira & Mónica Gago, 2003. "An empirical comparison of the performance of alternative option pricing models," DFAEII Working Papers 200204, University of the Basque Country - Department of Foundations of Economic Analysis II. [Downloadable!]
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  115. Christopher J. Neely, 2004. "Forecasting foreign exchange volatility: why is implied volatility biased and inefficient? and does it matter?," Working Papers 2002-017, Federal Reserve Bank of St. Louis. [Downloadable!]
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  116. Robert J. Hodrick & Sanjay Srivastava, 1985. "Foreign Currency Futures," NBER Working Papers 1743, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  117. Hurd, Matthew & Salmon, Mark & Schleicher, Christoph, 2005. "Using Copulas to Construct Bivariate Foreign Exchange Distributions with an Application to the Sterling Exchange Rate Index," CEPR Discussion Papers 5114, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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  118. Joshua Rosenberg, 1999. "Empirical Tests of Interest Rate Model Pricing Kernels," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-015, New York University, Leonard N. Stern School of Business-. [Downloadable!]
  119. Vázquez, Miguel & Sánchez-Úbeda, Eugenio F. & Berzosa, Ana & Barquín, Julián, 2008. "Short-term evolution of forward curves and volatility in illiquid power markets," MPRA Paper 8932, University Library of Munich, Germany, revised May 2008. [Downloadable!]
  120. Gary Gorton & K. Geert Rouwenhorst, 2004. "Facts and Fantasies about Commodity Futures," NBER Working Papers 10595, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  121. Turvey, Calum, 2002. "Insuring Heat Related Risks In Agriculture With Degree-Day Weather Derivatives," 2002 Annual meeting, July 28-31, Long Beach, CA 19896, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association). [Downloadable!]
  122. Mariangela Franch, 1998. "La comunicazione on-line. Aspetti metodologici e risultati di alcune sperimentazioni," Quaderni DISA 010, Department of Computer and Management Sciences, University of Trento, Italy.
  123. Mark R. Manfredo. & Raymond M. Leuthold, 1999. "Market Risk Measurement and the Cattle Feeding Margin: An Application of Value-at-Risk," Finance 9908002, EconWPA. [Downloadable!]
  124. Ram Bhar & Carl Chiarella & Wolfgang Runggaldier, 2001. "Filtering Equity Risk Premia From Derivative Prices," Research Paper Series 69, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
  125. Marian Micu, 2005. "Extracting expectations from currency option prices: a comparison of methods," Computing in Economics and Finance 2005 226, Society for Computational Economics. [Downloadable!]
  126. Antonio Di Cesare, 2004. "Estimating expectations of shocks using option prices," Temi di discussione (Economic working papers) 506, Bank of Italy, Economic Research Department. [Downloadable!]
  127. Ji, Dasheng & Brorsen, B. Wade, 2000. "Increasing The Accuracy Of Option Pricing By Using Implied Parameters Related To Higher Moments," 2000 Conference, April 17-18 2000, Chicago, Illinois 18945, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management. [Downloadable!]
  128. Robert McDonald & Daniel R. Siegel, 1982. "Investment and the Valuation of Firms When There is an Option to Shut Down," Discussion Papers 529S, Northwestern University, Center for Mathematical Studies in Economics and Management Science. [Downloadable!]
  129. Paschke, Raphael & Prokopczuk, Marcel, 2007. "Integrating Multiple Commodities in a Model of Stochastic Price Dynamics," MPRA Paper 5412, University Library of Munich, Germany. [Downloadable!]
  130. repec:fip:fedreq:y:1986:i:nov:p:3-11:n:v.72no.6 is not listed on IDEAS
  131. Shao, Renyuan & Roe, Brian, 2001. "Underpinnings for Prospective, Net Revenue Forecasting in Hog Finishing: Characterizing the Joint Distribution of Corn, Soybean Meal and Lean Hogs Time Series," 2001 Annual meeting, August 5-8, Chicago, IL 20664, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association). [Downloadable!]
  132. Turvey, Calum G. & Power, Gabriel, 2006. "The Confidence Limits of a Geometric Brownian Motion," 2006 Annual meeting, July 23-26, Long Beach, CA 21239, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association). [Downloadable!]
  133. Alessandro Beber & Luca Erzegovesi, 1999. "Distribuzioni di probabilità implicite nei prezzi delle opzioni," Alea Tech Reports 008, Department of Computer and Management Sciences, University of Trento, Italy, revised 14 Jun 2008. [Downloadable!]
  134. Jong, F. de & Driessen, J. & Pelsser, A., 2000. "Libor and swap market models for the pricing of interest rate derivatives : an empirical analysis," Discussion Paper 35, Tilburg University, Center for Economic Research. [Downloadable!]
  135. David Ardia, 2007. "Bayesian Estimation of a Markov-Switching Threshold Asymmetric GARCH Model with Student-t Innovations," DQE Working Papers 6, Department of Quantitative Economics, University of Freiburg/Fribourg Switzerland, revised 08 Jul 2008. [Downloadable!]
  136. Anders B. Trolle & Eduardo S. Schwartz, 2006. "Unspanned Stochastic Volatility and the Pricing of Commodity Derivatives," NBER Working Papers 12744, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  137. Francisco Alonso & Roberto Blanco & Gonzalo Rubio, 2009. "Option-implied preferences adjustments, density forecasts, and the equity risk premium," Spanish Economic Review, Springer, vol. 11(2), pages 141-164, June. [Downloadable!] (restricted)
  138. Les Clewlow & Chris Strickland, 1998. "Pricing Interest Rate Exotics in Multi-Factor Gaussian Interest Rate Models," Research Paper Series 2, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
  139. Francis Longstaff, 2002. "Optimal Recursive Refinancing and the Valuation of Mortgage-Backed Securities," University of California at Los Angeles, Anderson Graduate School of Management 1050, Anderson Graduate School of Management, UCLA. [Downloadable!]
  140. Marie Brière, 2006. "Market Reactions to Central Bank Communication Policies : Reading Interest Rate Options Smiles," Working Papers CEB 06-009.RS, Université Libre de Bruxelles, Solvay Brussels School of Economics and Management, Centre Emile Bernheim (CEB). [Downloadable!]
  141. Martin Keller-Ressel & Antonis Papapantoleon & Josef Teichmann, 2009. "A new approach to LIBOR modeling," Quantitative Finance Papers 0904.0555, arXiv.org. [Downloadable!]
  142. Kroner, Kenneth F. & Kneafsey, Devin P. & Claessens, Stijn & DEC, 1993. "Forecasting volatility in commodity markets," Policy Research Working Paper Series 1226, The World Bank. [Downloadable!]
  143. William R. Melick & Charles P. Thomas, 1992. "War and peace: recovering the market's probability distribution of crude oil futures prices during the Gulf crisis," International Finance Discussion Papers 437, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  144. David S. Bates, 2009. "U.S. Stock Market Crash Risk, 1926-2006," NBER Working Papers 14913, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  145. Thomsen, Michael R. & McKenzie, Andrew & Power, Gabriel J., 2009. "Volatility Surface and Skewness in Live Cattle Futures Price Distributions with Application to North American BSE Announcements," 2009 Annual Meeting, July 26-28, 2009, Milwaukee, Wisconsin 49354, Agricultural and Applied Economics Association. [Downloadable!]
  146. Isabelle Bajeux-Besnainou, Roland Portait, 1998. "Pricing stock and bond derivatives with a multi-factor Gaussian model," Applied Mathematical Finance, Taylor and Francis Journals, vol. 5(3-4), pages 207-225, September. [Downloadable!] (restricted)
  147. Reinhold Hafner & Martin Wallmeier, 2008. "Optimal investments in volatility," Financial Markets and Portfolio Management, Springer, vol. 22(2), pages 147-167, June. [Downloadable!] (restricted)
  148. Bryant, Henry L. & Bessler, David A. & Haigh, Michael S., 2003. "Causality In Futures Markets," Working Papers 28574, University of Maryland, Department of Agricultural and Resource Economics. [Downloadable!]
  149. Bastourre, Diego, 2008. "Cambio fundamental o especulación financiera en los mercados de commodities? Un modelo con ajuste no lineal al equilibrio
    [Structural break or financial speculation in commodity markets? A multiva    ," MPRA Paper 9910, University Library of Munich, Germany. [Downloadable!]
  150. Harrison, R. Wes, 1998. "Stochastic Dominance Analysis Of Futures And Option Strategies For Hedging Feeder Cattle," Agricultural and Resource Economics Review, Northeastern Agricultural and Resource Economics Association, vol. 27(2), October. [Downloadable!]
  151. Thanasis N. Christodoulopoulos & Ioulia Grigoratou, 2003. "The Effect of Dynamic Hedging of Options Positions on Intermediate-Maturity Interest Rates," Working Papers 08, Bank of Greece. [Downloadable!]
  152. Marie D. Racine & Lucy F. Ackert, 1998. "Time-varying volatility in Canadian and U.S. stock index and index futures markets: A multivariate analysis," Working Paper 98-14, Federal Reserve Bank of Atlanta. [Downloadable!]
  153. Chen, Gang & Roberts, Matthew C. & Roe, Brian, 2005. "Empirical Performance of Alternative Option Pricing Models for Commodity Futures Options," 2005 Annual meeting, July 24-27, Providence, RI 19183, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association). [Downloadable!]
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