Research classified by Journal of Economic Literature (JEL) codes

2016

• Ching-Chun Wei & Ya-Ling Lin, 2016, "Carbon Future Price Return, Oil Future Price Return and Stock Index Future Price Return in the U.S," International Journal of Energy Economics and Policy, Econjournals, volume 6, issue 4, pages 655-662.
• Brooks, Chris & Fernandez-Perez, Adrian & Miffre, Joëlle & Nneji, Ogonna, 2016, "Commodity risks and the cross-section of equity returns," The British Accounting Review, Elsevier, volume 48, issue 2, pages 134-150, DOI: 10.1016/j.bar.2016.03.001.
• Ibikunle, Gbenga & Gregoriou, Andros & Hoepner, Andreas G.F. & Rhodes, Mark, 2016, "Liquidity and market efficiency in the world's largest carbon market," The British Accounting Review, Elsevier, volume 48, issue 4, pages 431-447, DOI: 10.1016/j.bar.2015.11.001.
• Sun, Lei & Widdicks, Martin, 2016, "Why do employees like to be paid with Options?: A multi-period prospect theory approach," Journal of Corporate Finance, Elsevier, volume 38, issue C, pages 106-125, DOI: 10.1016/j.jcorpfin.2016.03.002.
• Dai, Min & Tang, Ling & Yue, Xingye, 2016, "Calibration of stochastic volatility models: A Tikhonov regularization approach," Journal of Economic Dynamics and Control, Elsevier, volume 64, issue C, pages 66-81, DOI: 10.1016/j.jedc.2016.01.002.
• Glover, Kristoffer J. & Hambusch, Gerhard, 2016, "Leveraged investments and agency conflicts when cash flows are mean reverting," Journal of Economic Dynamics and Control, Elsevier, volume 67, issue C, pages 1-21, DOI: 10.1016/j.jedc.2016.03.006.
• Ben Abdallah, Skander & Lasserre, Pierre, 2016, "Asset retirement with infinitely repeated alternative replacements: Harvest age and species choice in forestry," Journal of Economic Dynamics and Control, Elsevier, volume 70, issue C, pages 144-164, DOI: 10.1016/j.jedc.2016.07.008.
• He, Xin-Jiang & Zhu, Song-Ping, 2016, "An analytical approximation formula for European option pricing under a new stochastic volatility model with regime-switching," Journal of Economic Dynamics and Control, Elsevier, volume 71, issue C, pages 77-85, DOI: 10.1016/j.jedc.2016.08.002.
• Soumaré, Issouf & Lai, Van Son, 2016, "An analysis of government loan guarantees and direct investment through public-private partnerships," Economic Modelling, Elsevier, volume 59, issue C, pages 508-519, DOI: 10.1016/j.econmod.2016.08.012.
• Chen, Chen & Lee, Hsiu-Chuan & Liao, Tzu-Hsiang, 2016, "Risk-neutral skewness and market returns: The role of institutional investor sentiment in the futures market," The North American Journal of Economics and Finance, Elsevier, volume 35, issue C, pages 203-225, DOI: 10.1016/j.najef.2015.10.010.
• Gogolin, Fabian & Kearney, Fearghal, 2016, "Does speculation impact what factors determine oil futures prices?," Economics Letters, Elsevier, volume 144, issue C, pages 119-122, DOI: 10.1016/j.econlet.2016.05.007.
• Kim, Y.S. & Stoyanov, S. & Rachev, S. & Fabozzi, F., 2016, "Multi-purpose binomial model: Fitting all moments to the underlying geometric Brownian motion," Economics Letters, Elsevier, volume 145, issue C, pages 225-229, DOI: 10.1016/j.econlet.2016.05.035.
• Jang, Woon Wook & Eom, Young Ho & Kang, Yong Joo, 2016, "Corporate bond pricing model with stochastically volatile firm value process," Economics Letters, Elsevier, volume 148, issue C, pages 41-44, DOI: 10.1016/j.econlet.2016.09.018.
• Ghoddusi, Hamed & Fahim, Arash, 2016, "Volatility can be detrimental to option values!," Economics Letters, Elsevier, volume 149, issue C, pages 5-9, DOI: 10.1016/j.econlet.2016.10.001.
• Song, Zhaogang & Xiu, Dacheng, 2016, "A tale of two option markets: Pricing kernels and volatility risk," Journal of Econometrics, Elsevier, volume 190, issue 1, pages 176-196, DOI: 10.1016/j.jeconom.2015.06.024.
• Park, Yang-Ho, 2016, "The effects of asymmetric volatility and jumps on the pricing of VIX derivatives," Journal of Econometrics, Elsevier, volume 192, issue 1, pages 313-328, DOI: 10.1016/j.jeconom.2016.01.001.
• Wang, Xiaohu & Yu, Jun, 2016, "Double asymptotics for explosive continuous time models," Journal of Econometrics, Elsevier, volume 193, issue 1, pages 35-53, DOI: 10.1016/j.jeconom.2016.02.014.
• Afik, Zvika & Arad, Ohad & Galil, Koresh, 2016, "Using Merton model for default prediction: An empirical assessment of selected alternatives," Journal of Empirical Finance, Elsevier, volume 35, issue C, pages 43-67, DOI: 10.1016/j.jempfin.2015.09.004.
• Tu, Anthony H. & Hsieh, Wen-Liang G. & Wu, Wei-Shao, 2016, "Market uncertainty, expected volatility and the mispricing of S&P 500 index futures," Journal of Empirical Finance, Elsevier, volume 35, issue C, pages 78-98, DOI: 10.1016/j.jempfin.2015.10.006.
• Agliardi, Elettra & Amel-Zadeh, Amir & Koussis, Nicos, 2016, "Leverage changes and growth options in mergers and acquisitions," Journal of Empirical Finance, Elsevier, volume 37, issue C, pages 37-58, DOI: 10.1016/j.jempfin.2016.02.004.
• Kim, Myeong Jun & Park, Sung Y., 2016, "Optimal conditional hedge ratio: A simple shrinkage estimation approach," Journal of Empirical Finance, Elsevier, volume 38, issue PA, pages 139-156, DOI: 10.1016/j.jempfin.2016.06.002.
• Teterin, Pavel & Brooks, Robert & Enders, Walter, 2016, "Smooth volatility shifts and spillovers in U.S. crude oil and corn futures markets," Journal of Empirical Finance, Elsevier, volume 38, issue PA, pages 22-36, DOI: 10.1016/j.jempfin.2016.05.005.
• Figuerola-Ferretti, Isabel & McCrorie, J. Roderick, 2016, "The shine of precious metals around the global financial crisis," Journal of Empirical Finance, Elsevier, volume 38, issue PB, pages 717-738, DOI: 10.1016/j.jempfin.2016.02.013.
• Baum, Christopher F. & Zerilli, Paola, 2016, "Jumps and stochastic volatility in crude oil futures prices using conditional moments of integrated volatility," Energy Economics, Elsevier, volume 53, issue C, pages 175-181, DOI: 10.1016/j.eneco.2014.10.007.
• Manera, Matteo & Nicolini, Marcella & Vignati, Ilaria, 2016, "Modelling futures price volatility in energy markets: Is there a role for financial speculation?," Energy Economics, Elsevier, volume 53, issue C, pages 220-229, DOI: 10.1016/j.eneco.2014.07.001.
• Almansour, Abdullah, 2016, "Convenience yield in commodity price modeling: A regime switching approach," Energy Economics, Elsevier, volume 53, issue C, pages 238-247, DOI: 10.1016/j.eneco.2014.06.016.
• Xu, Li & Deng, Shi-Jie & Thomas, Valerie M., 2016, "Carbon emission permit price volatility reduction through financial options," Energy Economics, Elsevier, volume 53, issue C, pages 248-260, DOI: 10.1016/j.eneco.2014.06.001.
• Chatrath, Arjun & Miao, Hong & Ramchander, Sanjay & Wang, Tianyang, 2016, "An examination of the flow characteristics of crude oil: Evidence from risk-neutral moments," Energy Economics, Elsevier, volume 54, issue C, pages 213-223, DOI: 10.1016/j.eneco.2015.12.005.
• Benedetto, F. & Giunta, G. & Mastroeni, L., 2016, "On the predictability of energy commodity markets by an entropy-based computational method," Energy Economics, Elsevier, volume 54, issue C, pages 302-312, DOI: 10.1016/j.eneco.2015.12.009.
• Kang, Sang Baum & Létourneau, Pascal, 2016, "Investors’ reaction to the government credibility problem: A real option analysis of emission permit policy risk," Energy Economics, Elsevier, volume 54, issue C, pages 96-107, DOI: 10.1016/j.eneco.2015.11.023.
• Da Fonseca, José & Ignatieva, Katja & Ziveyi, Jonathan, 2016, "Explaining credit default swap spreads by means of realized jumps and volatilities in the energy market," Energy Economics, Elsevier, volume 56, issue C, pages 215-228, DOI: 10.1016/j.eneco.2016.03.022.
• Liu, Wei-han, 2016, "A re-examination of maturity effect of energy futures price from the perspective of stochastic volatility," Energy Economics, Elsevier, volume 56, issue C, pages 351-362, DOI: 10.1016/j.eneco.2016.03.026.
• Berger, Theo & Uddin, Gazi Salah, 2016, "On the dynamic dependence between equity markets, commodity futures and economic uncertainty indexes," Energy Economics, Elsevier, volume 56, issue C, pages 374-383, DOI: 10.1016/j.eneco.2016.03.024.
• Ergen, Ibrahim & Rizvanoghlu, Islam, 2016, "Asymmetric impacts of fundamentals on the natural gas futures volatility: An augmented GARCH approach," Energy Economics, Elsevier, volume 56, issue C, pages 64-74, DOI: 10.1016/j.eneco.2016.02.022.
• Fiuza de Bragança, Gabriel Godofredo & Daglish, Toby, 2016, "Can market power in the electricity spot market translate into market power in the hedge market?," Energy Economics, Elsevier, volume 58, issue C, pages 11-26, DOI: 10.1016/j.eneco.2016.05.010.
• Ahmadi, Maryam & Bashiri Behmiri, Niaz & Manera, Matteo, 2016, "How is volatility in commodity markets linked to oil price shocks?," Energy Economics, Elsevier, volume 59, issue C, pages 11-23, DOI: 10.1016/j.eneco.2016.07.006.
• Jaeck, Edouard & Lautier, Delphine, 2016, "Volatility in electricity derivative markets: The Samuelson effect revisited," Energy Economics, Elsevier, volume 59, issue C, pages 300-313, DOI: 10.1016/j.eneco.2016.08.009.
• Bannör, Karl & Kiesel, Rüdiger & Nazarova, Anna & Scherer, Matthias, 2016, "Parametric model risk and power plant valuation," Energy Economics, Elsevier, volume 59, issue C, pages 423-434, DOI: 10.1016/j.eneco.2016.08.004.
• Guedes, José & Santos, Pedro, 2016, "Valuing an offshore oil exploration and production project through real options analysis," Energy Economics, Elsevier, volume 60, issue C, pages 377-386, DOI: 10.1016/j.eneco.2016.09.024.
• Peña, Juan Ignacio & Rodriguez, Rosa, 2016, "Time-zero efficiency of European power derivatives markets," Energy Policy, Elsevier, volume 95, issue C, pages 253-268, DOI: 10.1016/j.enpol.2016.05.010.
• Misund, Bård & Oglend, Atle, 2016, "Supply and demand determinants of natural gas price volatility in the U.K.: A vector autoregression approach," Energy, Elsevier, volume 111, issue C, pages 178-189, DOI: 10.1016/j.energy.2016.05.124.
• Jin, Xing & Yang, Cheng-Yu, 2016, "Efficient estimation of lower and upper bounds for pricing higher-dimensional American arithmetic average options by approximating their payoff functions," International Review of Financial Analysis, Elsevier, volume 44, issue C, pages 65-77, DOI: 10.1016/j.irfa.2016.01.009.
• Polimenis, Vassilis & Neokosmidis, Ioannis M., 2016, "The modified dividend–price ratio," International Review of Financial Analysis, Elsevier, volume 45, issue C, pages 31-38, DOI: 10.1016/j.irfa.2016.01.019.
• Cummins, Mark & Dowling, Michael & Kearney, Fearghal, 2016, "Oil market modelling: A comparative analysis of fundamental and latent factor approaches," International Review of Financial Analysis, Elsevier, volume 46, issue C, pages 211-218, DOI: 10.1016/j.irfa.2016.05.010.
• Fernandez-Perez, Adrian & Fuertes, Ana-Maria & Miffre, Joëlle, 2016, "Is idiosyncratic volatility priced in commodity futures markets?," International Review of Financial Analysis, Elsevier, volume 46, issue C, pages 219-226, DOI: 10.1016/j.irfa.2016.06.002.
• Olkhov, Victor, 2016, "On Economic Space notion," International Review of Financial Analysis, Elsevier, volume 47, issue C, pages 372-381, DOI: 10.1016/j.irfa.2016.01.001.
• Badshah, Ihsan & Frijns, Bart & Knif, Johan & Tourani-Rad, Alireza, 2016, "Asymmetries of the intraday return-volatility relation," International Review of Financial Analysis, Elsevier, volume 48, issue C, pages 182-192, DOI: 10.1016/j.irfa.2016.09.016.
• Lian, Yu-Min & Chen, Jun-Home & Liao, Szu-Lang, 2016, "Option pricing on foreign exchange in a Markov-modulated, incomplete-market economy," Finance Research Letters, Elsevier, volume 16, issue C, pages 208-219, DOI: 10.1016/j.frl.2015.12.005.
• Shi, Guangping & Liu, Xiaoxing & Tang, Pan, 2016, "Pricing options under the non-affine stochastic volatility models: An extension of the high-order compact numerical scheme," Finance Research Letters, Elsevier, volume 16, issue C, pages 220-229, DOI: 10.1016/j.frl.2015.12.004.
• Buchner, Axel & Wagner, Niklas, 2016, "The betting against beta anomaly: Fact or fiction?," Finance Research Letters, Elsevier, volume 16, issue C, pages 283-289, DOI: 10.1016/j.frl.2015.12.010.
• Madan, Dilip B. & Wang, King, 2016, "Nonrandom price movements," Finance Research Letters, Elsevier, volume 17, issue C, pages 103-109, DOI: 10.1016/j.frl.2016.02.003.
• Han, Heejae & Jeon, Junkee & Kang, Myungjoo, 2016, "Closed form valuation of American chained knock-in options," Finance Research Letters, Elsevier, volume 17, issue C, pages 176-185, DOI: 10.1016/j.frl.2016.03.003.
• Luo, Xingguo & Qin, Shihua & Ye, Zinan, 2016, "The information content of implied volatility and jumps in forecasting volatility: Evidence from the Shanghai gold futures market," Finance Research Letters, Elsevier, volume 19, issue C, pages 105-111, DOI: 10.1016/j.frl.2016.06.012.
• Liu, Yanchu & Cui, Zhenyu & Zhang, Ning, 2016, "Integral representation of vega for American put options," Finance Research Letters, Elsevier, volume 19, issue C, pages 204-208, DOI: 10.1016/j.frl.2016.07.013.
• Christopoulos, Andreas D. & Barratt, Joshua G., 2016, "Credit risk findings for commercial real estate loans using the reduced form," Finance Research Letters, Elsevier, volume 19, issue C, pages 228-234, DOI: 10.1016/j.frl.2016.08.004.
• Feng, Yun & Huang, Bing-hua & Huang, Yu, 2016, "Valuing resettable convertible bonds: Based on path decomposing," Finance Research Letters, Elsevier, volume 19, issue C, pages 279-290, DOI: 10.1016/j.frl.2016.09.002.
• Wang, Xingchun, 2016, "Pricing vulnerable options with stochastic default barriers," Finance Research Letters, Elsevier, volume 19, issue C, pages 305-313, DOI: 10.1016/j.frl.2016.09.005.
• Xiao, Shuang & Ma, Shihua, 2016, "Pricing discrete double barrier options under Lévy processes: An extension of the method by Milev and Tagliani," Finance Research Letters, Elsevier, volume 19, issue C, pages 67-74, DOI: 10.1016/j.frl.2016.06.004.
• Wang, Xingchun, 2016, "Pricing power exchange options with correlated jump risk," Finance Research Letters, Elsevier, volume 19, issue C, pages 90-97, DOI: 10.1016/j.frl.2016.06.009.
• Lasser, Dennis J. & Spizman, Joshua D., 2016, "The value of the wildcard option in cash-settled American index options," Journal of Financial Markets, Elsevier, volume 28, issue C, pages 116-131, DOI: 10.1016/j.finmar.2015.09.002.
• Kim, Abby Y. & Tse, Yiuman & Wald, John K., 2016, "Time series momentum and volatility scaling," Journal of Financial Markets, Elsevier, volume 30, issue C, pages 103-124, DOI: 10.1016/j.finmar.2016.05.003.
• Abudy, Menachem Meni & Raviv, Alon, 2016, "How much can illiquidity affect corporate debt yield spread?," Journal of Financial Stability, Elsevier, volume 25, issue C, pages 58-69, DOI: 10.1016/j.jfs.2016.06.011.
• Eichler, Stefan & Sobański, Karol, 2016, "National politics and bank default risk in the eurozone," Journal of Financial Stability, Elsevier, volume 26, issue C, pages 247-256, DOI: 10.1016/j.jfs.2016.07.008.
• van Eijkel, Remco & Kuper, Gerard H. & Moraga-González, José L., 2016, "Do firms sell forward for strategic reasons? An application to the wholesale market for natural gas," International Journal of Industrial Organization, Elsevier, volume 49, issue C, pages 1-35, DOI: 10.1016/j.ijindorg.2016.07.001.
• Cui, Zhenyu & Nguyen, Duy, 2016, "Omega diffusion risk model with surplus-dependent tax and capital injections," Insurance: Mathematics and Economics, Elsevier, volume 68, issue C, pages 150-161, DOI: 10.1016/j.insmatheco.2016.03.012.
• Siu, Tak Kuen, 2016, "A self-exciting threshold jump–diffusion model for option valuation," Insurance: Mathematics and Economics, Elsevier, volume 69, issue C, pages 168-193, DOI: 10.1016/j.insmatheco.2016.05.008.
• Wang, Ting & Young, Virginia R., 2016, "Hedging pure endowments with mortality derivatives," Insurance: Mathematics and Economics, Elsevier, volume 69, issue C, pages 238-255, DOI: 10.1016/j.insmatheco.2016.05.006.
• Liang, Zongxia & Sheng, Wenlong, 2016, "Valuing inflation-linked death benefits under a stochastic volatility framework," Insurance: Mathematics and Economics, Elsevier, volume 69, issue C, pages 45-58, DOI: 10.1016/j.insmatheco.2016.03.014.
• Leccadito, Arturo & Paletta, Tommaso & Tunaru, Radu, 2016, "Pricing and hedging basket options with exact moment matching," Insurance: Mathematics and Economics, Elsevier, volume 69, issue C, pages 59-69, DOI: 10.1016/j.insmatheco.2016.03.013.
• Ignatieva, Katja & Song, Andrew & Ziveyi, Jonathan, 2016, "Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality," Insurance: Mathematics and Economics, Elsevier, volume 70, issue C, pages 286-300, DOI: 10.1016/j.insmatheco.2016.06.014.
• Deelstra, Griselda & Grasselli, Martino & Van Weverberg, Christopher, 2016, "The role of the dependence between mortality and interest rates when pricing Guaranteed Annuity Options," Insurance: Mathematics and Economics, Elsevier, volume 71, issue C, pages 205-219, DOI: 10.1016/j.insmatheco.2016.09.010.
• Barsotti, Flavia & Milhaud, Xavier & Salhi, Yahia, 2016, "Lapse risk in life insurance: Correlation and contagion effects among policyholders’ behaviors," Insurance: Mathematics and Economics, Elsevier, volume 71, issue C, pages 317-331, DOI: 10.1016/j.insmatheco.2016.09.008.
• Wang, Xingchun, 2016, "Catastrophe equity put options with target variance," Insurance: Mathematics and Economics, Elsevier, volume 71, issue C, pages 79-86, DOI: 10.1016/j.insmatheco.2016.08.010.
• Philip, Dennis & Shi, Yukun, 2016, "Optimal hedging in carbon emission markets using Markov regime switching models," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 43, issue C, pages 1-15, DOI: 10.1016/j.intfin.2016.03.003.
• Tanha, Hassan & Dempsey, Michael, 2016, "The evolving dynamics of the Australian SPI 200 implied volatility surface," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 43, issue C, pages 44-57, DOI: 10.1016/j.intfin.2016.03.006.
• Realdon, Marco, 2016, "Tests of non linear Gaussian term structure models," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 44, issue C, pages 128-147, DOI: 10.1016/j.intfin.2016.05.002.
• Laminou Abdou, Souleymane & Moraux, Franck, 2016, "Pricing and hedging American and hybrid strangles with finite maturity," Journal of Banking & Finance, Elsevier, volume 62, issue C, pages 112-125, DOI: 10.1016/j.jbankfin.2015.10.003.
• Konstantinidi, Eirini & Skiadopoulos, George, 2016, "How does the market variance risk premium vary over time? Evidence from S&P 500 variance swap investment returns," Journal of Banking & Finance, Elsevier, volume 62, issue C, pages 62-75, DOI: 10.1016/j.jbankfin.2015.10.006.
• Wang, Yudong & Ma, Feng & Wei, Yu & Wu, Chongfeng, 2016, "Forecasting realized volatility in a changing world: A dynamic model averaging approach," Journal of Banking & Finance, Elsevier, volume 64, issue C, pages 136-149, DOI: 10.1016/j.jbankfin.2015.12.010.
• Huang, Henry H. & Wang, Kent & Wang, Zhanglong, 2016, "A test of efficiency for the S&P 500 index option market using the generalized spectrum method," Journal of Banking & Finance, Elsevier, volume 64, issue C, pages 52-70, DOI: 10.1016/j.jbankfin.2015.11.007.
• Zhong, Angel & Gray, Philip, 2016, "The MAX effect: An exploration of risk and mispricing explanations," Journal of Banking & Finance, Elsevier, volume 65, issue C, pages 76-90, DOI: 10.1016/j.jbankfin.2016.01.007.
• Kokholm, Thomas, 2016, "Pricing and hedging of derivatives in contagious markets," Journal of Banking & Finance, Elsevier, volume 66, issue C, pages 19-34, DOI: 10.1016/j.jbankfin.2016.01.012.
• Arismendi, Juan C. & Back, Janis & Prokopczuk, Marcel & Paschke, Raphael & Rudolf, Markus, 2016, "Seasonal Stochastic Volatility: Implications for the pricing of commodity options," Journal of Banking & Finance, Elsevier, volume 66, issue C, pages 53-65, DOI: 10.1016/j.jbankfin.2016.02.001.
• Schertler, Andrea, 2016, "Pricing effects when competitors arrive: The case of discount certificates in Germany," Journal of Banking & Finance, Elsevier, volume 68, issue C, pages 84-99, DOI: 10.1016/j.jbankfin.2016.03.009.
• Neumann, Maximilian & Prokopczuk, Marcel & Wese Simen, Chardin, 2016, "Jump and variance risk premia in the S&P 500," Journal of Banking & Finance, Elsevier, volume 69, issue C, pages 72-83, DOI: 10.1016/j.jbankfin.2016.03.013.
• Eaves, James & Williams, Jeffrey & Power, Gabriel J., 2016, "Do traders strategically time their pledges during real-world Walrasian auctions?," Journal of Banking & Finance, Elsevier, volume 71, issue C, pages 109-118, DOI: 10.1016/j.jbankfin.2016.04.018.
• Ahmed, Shamim & Tsvetanov, Daniel, 2016, "The predictive performance of commodity futures risk factors," Journal of Banking & Finance, Elsevier, volume 71, issue C, pages 20-36, DOI: 10.1016/j.jbankfin.2016.06.011.
• Baller, Stefanie & Entrop, Oliver & McKenzie, Michael & Wilkens, Marco, 2016, "Market makers’ optimal price-setting policy for exchange-traded certificates," Journal of Banking & Finance, Elsevier, volume 71, issue C, pages 206-226, DOI: 10.1016/j.jbankfin.2016.04.012.
• Bianchi, Robert J. & Drew, Michael E. & Fan, John Hua, 2016, "Commodities momentum: A behavioral perspective," Journal of Banking & Finance, Elsevier, volume 72, issue C, pages 133-150, DOI: 10.1016/j.jbankfin.2016.08.002.
• Kim, Gi H., 2016, "Credit derivatives as a commitment device: Evidence from the cost of corporate debt," Journal of Banking & Finance, Elsevier, volume 73, issue C, pages 67-83, DOI: 10.1016/j.jbankfin.2016.08.007.
• Noussair, Charles N. & Tucker, Steven & Xu, Yilong, 2016, "Futures markets, cognitive ability, and mispricing in experimental asset markets," Journal of Economic Behavior & Organization, Elsevier, volume 130, issue C, pages 166-179, DOI: 10.1016/j.jebo.2016.07.010.
• Kumar, Satish, 2016, "Revisiting calendar anomalies: Three decades of multicurrency evidence," Journal of Economics and Business, Elsevier, volume 86, issue C, pages 16-32, DOI: 10.1016/j.jeconbus.2016.04.001.
• Abudy, Menachem (Meni) & Benninga, Simon, 2016, "Valuing restricted stock grants to non-executive employees," Journal of Economics and Business, Elsevier, volume 86, issue C, pages 33-51, DOI: 10.1016/j.jeconbus.2016.04.002.
• DeMarzo, Peter M. & Kremer, Ilan & Mansour, Yishay, 2016, "Robust option pricing: Hannan and Blackwell meet Black and Scholes," Journal of Economic Theory, Elsevier, volume 163, issue C, pages 410-434, DOI: 10.1016/j.jet.2016.01.009.
• Chambers, Christopher P. & Liu, Ce & Martinez, Seung-Keun, 2016, "A test for risk-averse expected utility," Journal of Economic Theory, Elsevier, volume 163, issue C, pages 775-785, DOI: 10.1016/j.jet.2016.03.002.
• Filipović, Damir & Gourier, Elise & Mancini, Loriano, 2016, "Quadratic variance swap models," Journal of Financial Economics, Elsevier, volume 119, issue 1, pages 44-68, DOI: 10.1016/j.jfineco.2015.08.015.
• González-Urteaga, Ana & Rubio, Gonzalo, 2016, "The cross-sectional variation of volatility risk premia," Journal of Financial Economics, Elsevier, volume 119, issue 2, pages 353-370, DOI: 10.1016/j.jfineco.2015.09.009.
• Birru, Justin & Wang, Baolian, 2016, "Nominal price illusion," Journal of Financial Economics, Elsevier, volume 119, issue 3, pages 578-598, DOI: 10.1016/j.jfineco.2016.01.027.
• Loon, Yee Cheng & Zhong, Zhaodong (Ken), 2016, "Does Dodd-Frank affect OTC transaction costs and liquidity? Evidence from real-time CDS trade reports," Journal of Financial Economics, Elsevier, volume 119, issue 3, pages 645-672, DOI: 10.1016/j.jfineco.2016.01.019.
• Carr, Peter & Wu, Liuren, 2016, "Analyzing volatility risk and risk premium in option contracts: A new theory," Journal of Financial Economics, Elsevier, volume 120, issue 1, pages 1-20, DOI: 10.1016/j.jfineco.2016.01.004.
• Ge, Li & Lin, Tse-Chun & Pearson, Neil D., 2016, "Why does the option to stock volume ratio predict stock returns?," Journal of Financial Economics, Elsevier, volume 120, issue 3, pages 601-622, DOI: 10.1016/j.jfineco.2015.08.019.
• Feldhütter, Peter & Hotchkiss, Edith & Karakaş, Oğuzhan, 2016, "The value of creditor control in corporate bonds," Journal of Financial Economics, Elsevier, volume 121, issue 1, pages 1-27, DOI: 10.1016/j.jfineco.2016.03.007.
• Bessembinder, Hendrik & Carrion, Allen & Tuttle, Laura & Venkataraman, Kumar, 2016, "Liquidity, resiliency and market quality around predictable trades: Theory and evidence," Journal of Financial Economics, Elsevier, volume 121, issue 1, pages 142-166, DOI: 10.1016/j.jfineco.2016.02.011.
• Barras, Laurent & Malkhozov, Aytek, 2016, "Does variance risk have two prices? Evidence from the equity and option markets," Journal of Financial Economics, Elsevier, volume 121, issue 1, pages 79-92, DOI: 10.1016/j.jfineco.2016.02.014.
• Choi, Jaewon & Richardson, Matthew, 2016, "The volatility of a firm's assets and the leverage effect," Journal of Financial Economics, Elsevier, volume 121, issue 2, pages 254-277, DOI: 10.1016/j.jfineco.2016.05.009.
• Jensen, Mads Vestergaard & Pedersen, Lasse Heje, 2016, "Early option exercise: Never say never," Journal of Financial Economics, Elsevier, volume 121, issue 2, pages 278-299, DOI: 10.1016/j.jfineco.2016.05.008.
• Hasler, Michael & Marfè, Roberto, 2016, "Disaster recovery and the term structure of dividend strips," Journal of Financial Economics, Elsevier, volume 122, issue 1, pages 116-134, DOI: 10.1016/j.jfineco.2015.11.002.
• Byun, Suk-Joon & Kim, Da-Hea, 2016, "Gambling preference and individual equity option returns," Journal of Financial Economics, Elsevier, volume 122, issue 1, pages 155-174, DOI: 10.1016/j.jfineco.2016.06.004.
• Singh, Manish K. & Gómez-Puig, Marta & Sosvilla-Rivero, Simón, 2016, "Sovereign-bank linkages: Quantifying directional intensity of risk transfers in EMU countries," Journal of International Money and Finance, Elsevier, volume 63, issue C, pages 137-164, DOI: 10.1016/j.jimonfin.2016.01.003.
• Taylor, Nick, 2016, "Roll strategy efficiency in commodity futures markets," Journal of Commodity Markets, Elsevier, volume 1, issue 1, pages 14-34, DOI: 10.1016/j.jcomm.2015.12.001.
• Miffre, Joëlle, 2016, "Long-short commodity investing: A review of the literature," Journal of Commodity Markets, Elsevier, volume 1, issue 1, pages 3-13, DOI: 10.1016/j.jcomm.2016.01.001.
• Asche, Frank & Misund, Bård & Oglend, Atle, 2016, "Determinants of the Atlantic salmon futures risk premium," Journal of Commodity Markets, Elsevier, volume 2, issue 1, pages 6-17, DOI: 10.1016/j.jcomm.2016.07.001.
• Haase, Marco & Seiler Zimmermann, Yvonne & Zimmermann, Heinz, 2016, "The impact of speculation on commodity futures markets – A review of the findings of 100 empirical studies," Journal of Commodity Markets, Elsevier, volume 3, issue 1, pages 1-15, DOI: 10.1016/j.jcomm.2016.07.006.
• Chaves, Denis B. & Viswanathan, Vivek, 2016, "Momentum and mean-reversion in commodity spot and futures markets," Journal of Commodity Markets, Elsevier, volume 3, issue 1, pages 39-53, DOI: 10.1016/j.jcomm.2016.08.001.
• Lübbers, Johannes & Posch, Peter N., 2016, "Commodities' common factor: An empirical assessment of the markets' drivers," Journal of Commodity Markets, Elsevier, volume 4, issue 1, pages 28-40, DOI: 10.1016/j.jcomm.2016.10.002.
• Takino, Kazuhiro, 2016, "An equilibrium model for the OTC derivatives market with a collateral agreement," Journal of Commodity Markets, Elsevier, volume 4, issue 1, pages 41-55, DOI: 10.1016/j.jcomm.2016.11.001.
• Bahloul, Walid & Bouri, Abdelfettah, 2016, "The impact of investor sentiment on returns and conditional volatility in U.S. futures markets," Journal of Multinational Financial Management, Elsevier, volume 36, issue C, pages 89-102, DOI: 10.1016/j.mulfin.2016.07.003.
• Gil-Alana, Luis A. & Gupta, Rangan & de Gracia, Fernando Perez, 2016, "Modeling persistence of carbon emission allowance prices," Renewable and Sustainable Energy Reviews, Elsevier, volume 55, issue C, pages 221-226, DOI: 10.1016/j.rser.2015.10.056.
• Atilgan, Yigit & Demirtas, K. Ozgur & Simsek, Koray D., 2016, "Derivative markets in emerging economies: A survey," International Review of Economics & Finance, Elsevier, volume 42, issue C, pages 88-102, DOI: 10.1016/j.iref.2015.11.001.
• Reboredo, Juan C. & Uddin, Gazi Salah, 2016, "Do financial stress and policy uncertainty have an impact on the energy and metals markets? A quantile regression approach," International Review of Economics & Finance, Elsevier, volume 43, issue C, pages 284-298, DOI: 10.1016/j.iref.2015.10.043.
• Lu, Jin-Ray & Hwang, Chih-Chiang & Lin, Chien-Yi, 2016, "Do shareholders appreciate capital investment policies of corporations?," International Review of Economics & Finance, Elsevier, volume 43, issue C, pages 344-353, DOI: 10.1016/j.iref.2015.12.007.
• Feng, Shih-Ping & Hung, Mao-Wei & Wang, Yaw-Huei, 2016, "The importance of stock liquidity on option pricing," International Review of Economics & Finance, Elsevier, volume 43, issue C, pages 457-467, DOI: 10.1016/j.iref.2016.01.008.
• Tzang, Shyh-Weir & Wang, Chou-Wen & Yu, Min-Teh, 2016, "Systematic risk and volatility skew," International Review of Economics & Finance, Elsevier, volume 43, issue C, pages 72-87, DOI: 10.1016/j.iref.2015.10.032.
• Lin, Yueh-Neng & Lin, Anchor Y., 2016, "Using VIX futures to hedge forward implied volatility risk," International Review of Economics & Finance, Elsevier, volume 43, issue C, pages 88-106, DOI: 10.1016/j.iref.2015.10.033.
• Población, Javier & Serna, Gregorio, 2016, "Is the refining margin stationary?," International Review of Economics & Finance, Elsevier, volume 44, issue C, pages 169-186, DOI: 10.1016/j.iref.2016.04.011.
• Hui, Cho-Hoi & Lo, Chi-Fai & Fong, Tom Pak-Wing, 2016, "Swiss franc's one-sided target zone during 2011–2015," International Review of Economics & Finance, Elsevier, volume 44, issue C, pages 54-67, DOI: 10.1016/j.iref.2016.03.004.
• Shang, Hua & Yuan, Ping & Huang, Lin, 2016, "Macroeconomic factors and the cross-section of commodity futures returns," International Review of Economics & Finance, Elsevier, volume 45, issue C, pages 316-332, DOI: 10.1016/j.iref.2016.06.008.
• Taboga, Marco, 2016, "Option-implied probability distributions: How reliable? How jagged?," International Review of Economics & Finance, Elsevier, volume 45, issue C, pages 453-469, DOI: 10.1016/j.iref.2016.07.013.
• Buchner, Axel, 2016, "How much can lack of marketability affect private equity fund values?," Review of Financial Economics, Elsevier, volume 28, issue C, pages 35-45, DOI: 10.1016/j.rfe.2015.10.002.
• Sila Alan, Nazli & Karagozoglu, Ahmet K. & Korkmaz, Sibel, 2016, "Growing pains: The evolution of new stock index futures in emerging markets," Research in International Business and Finance, Elsevier, volume 37, issue C, pages 1-16, DOI: 10.1016/j.ribaf.2015.10.004.
• Tsouknidis, Dimitris A., 2016, "Dynamic volatility spillovers across shipping freight markets," Transportation Research Part E: Logistics and Transportation Review, Elsevier, volume 91, issue C, pages 90-111, DOI: 10.1016/j.tre.2016.04.001.
• Martin, Ian & Wagner, Christian, 2016, "What is the expected return on a stock?," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 118957, Nov.
• Oehmke, Martin & Zawadowski, Adam, 2016, "The anatomy of the CDS market," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 118964, Nov.
• Ghosh, Anisha & Julliard, Christian & Taylor, Alex, 2016, "An information based one-factor asset pricing model," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 118978, Apr.
• Dassios, Angelos & Zhang, You You, 2016, "The joint distribution of Parisian and hitting times of the Brownian motion with application to Parisian option pricing," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 64959, Jun.
• Paweł Sakowski & Robert Ślepaczuk & Mateusz Wywiał, 2016, "Applying exogenous variables and regime switching to multi-factor models on equity indices," Ekonomia journal, Faculty of Economic Sciences, University of Warsaw, volume 47, DOI: 10.17451/eko/47/2016/210.
• Michel van der Wel & Sait R. Ozturk & Dick van Dijk, 2016, "Dynamic Factor Models for the Volatility Surface☆," Advances in Econometrics, Emerald Group Publishing Limited, "Dynamic Factor Models", DOI: 10.1108/S0731-905320150000035004.
• Kushankur Dey & Debasish Maitra, 2016, "Can futures markets accommodate Indian farmers?," Journal of Agribusiness in Developing and Emerging Economies, Emerald Group Publishing Limited, volume 6, issue 2, pages 150-172, November, DOI: 10.1108/JADEE-08-2013-0029.
• Narain & Narander Kumar Nigam & Piyush Pandey, 2016, "Behaviour and determinants of implied volatility in Indian market," Journal of Advances in Management Research, Emerald Group Publishing Limited, volume 13, issue 3, pages 271-291, November, DOI: 10.1108/JAMR-09-2015-0062.
• Paulo Pereira da Silva, 2016, "Earnings surprises and the response of CDS markets," Studies in Economics and Finance, Emerald Group Publishing Limited, volume 33, issue 3, pages 377-402, August, DOI: 10.1108/SEF-11-2014-0217.
• Chang, C-L. & McAleer, M.J. & Wang, Y-A., 2016, "Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2016-15, Mar.
• Chang, C-L. & Liu, C-P. & McAleer, M.J., 2016, "Volatility Spillovers for Spot, Futures, and ETF Prices in Energy and Agriculture," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2016-28, Jun.
• Chang, C-L. & McAleer, M.J. & Wang, Y., 2016, "Testing Co-Volatility Spillovers for Natural Gas Spot, Futures and ETF Spot using Dynamic Conditional Covariances," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2016-29, Jun.
• Chang, C-L. & McAleer, M.J. & Tian, J., 2016, "Modelling and Testing Volatility Spillovers in Oil and Financial Markets for USA, UK and China," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2016-30, Jun.
• Chang, C-L. & McAleer, M.J. & Wang, C-H., 2016, "An Econometric Analysis of ETF and ETF Futures in Financial and Energy Markets Using Generated Regressors," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2016-31, Jun.
• Chang, C-L. & McAleer, M.J. & Wang, Y-A., 2016, "Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn Spot and Futures Prices," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2016-45, Dec.
• Jian Chen & Chenghu Ma, 2016, "Option Pricing Based on Alternative Jump Size Distributions," Frontiers of Economics in China-Selected Publications from Chinese Universities, Higher Education Press, volume 11, issue 3, pages 439-467, September.
• Beatriz Martínez & Hipòlit Torró, 2016, "Anatomy of Risk Premium in UK Natural Gas Futures," Working Papers, Fondazione Eni Enrico Mattei, number 2016.06, Jan.
• Olivier Rousse & Benoît Sévi, 2016, "Informed Trading in Oil-Futures Market," Working Papers, Fondazione Eni Enrico Mattei, number 2016.70, Nov.
• Carvalho, Augusto & Guimarães, Bernardo de Vasconcellos, 2016, "State-controlled companies and political risk: evidence from the 2014 Brazilian election," Textos para discussão, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil), number 435.
• Wenxin Du & Salil Gadgil & Michael B. Gordy & Clara Vega, 2016, "Counterparty Risk and Counterparty Choice in the Credit Default Swap Market," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2016-087, Sep, DOI: 10.17016/FEDS.2016.087.
• Nick Gebbia, 2016, "Option-Implied Libor Rate Expectations across Currencies," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 1182, Oct, DOI: 10.17016/IFDP.2016.1182.
• David K. Backus & Nina Boyarchenko & Mikhail Chernov, 2016, "Term structures of asset prices and returns," Staff Reports, Federal Reserve Bank of New York, number 774, Apr.
• Peter Van Tassel & Erik Vogt, 2016, "Global variance term premia and intermediary risk appetite," Staff Reports, Federal Reserve Bank of New York, number 789, Aug.
• Rousse, O. & Sévi, B., 2016, "Informed trading in oil-futures market," Working Papers, Grenoble Applied Economics Laboratory (GAEL), number 2016-07.
• Cosma, Antonio & Galluccio, Stefano & Pederzoli, Paola & Scaillet, Olivier, 2016, "Valuing American options using fast recursive projections," Working Papers, University of Geneva, Geneva School of Economics and Management, number unige:82087.
• Scaillet, Olivier & Trojani, Fabio & Camponovo, Lorenzo, 2016, "Comments on : Nonparametric Tail Risk, Stock Returns and the Macroeconomy," Working Papers, University of Geneva, Geneva School of Economics and Management, number unige:84999.
• Stefano Bosi & Cuong Le Van & Ngoc-Sang Pham, 2016, "Rational land and housing bubbles in infinite-horizon economies," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-01314609, Feb.
• Flavia Barsotti & Xavier Milhaud & Yahia Salhi, 2016, "Lapse risk in life insurance: correlation and contagion effects among policyholders' behaviors," Post-Print, HAL, number hal-01282601, Sep, DOI: 10.1016/j.insmatheco.2016.09.008.
• Mark Cummins & Michael Dowling & Fearghal Kearney, 2016, "Oil market modelling: A comparative analysis of fundamental and latent factor approaches," Post-Print, HAL, number hal-01387596, Jul, DOI: 10.1016/j.irfa.2016.05.010.
• Edouard Jaeck & Delphine Lautier, 2016, "Volatility in electricity derivative markets: the Samuelson effect revisited," Post-Print, HAL, number hal-01488127, DOI: 10.1016/j.eneco.2016.08.009.
• Souleymane Laminou Abdou & Franck Moraux, 2016, "Pricing and hedging American and hybrid strangles with finite maturity," Post-Print, HAL, number halshs-01242610, Jan, DOI: 10.1016/j.jbankfin.2015.10.003.
• Stefano Bosi & Cuong Le Van & Ngoc-Sang Pham, 2016, "Rational land and housing bubbles in infinite-horizon economies," Post-Print, HAL, number halshs-01314609, Feb.
• Olivier Rousse & Benoît Sévi, 2016, "Informed Trading in Oil-Futures Market," Working Papers, HAL, number hal-01410093, Dec, DOI: 10.2139/ssrn.2871932.
• Herbertsson, Alexander & Frey, Rüdiger, 2016, "Cds Index Options Under Incomplete Information," Working Papers in Economics, University of Gothenburg, Department of Economics, number 685, Dec.
• Grodecka, Anna, 2016, "Subprime Borrowers, Securitization and the Transmission of Business Cycles," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden), number 317, Mar.
• Cho-Hoi Hui & Chi-Fai Lo & Po-Hon Chau, 2016, "Exchange Rate Dynamics and US Dollar-denominated Sovereign Bond Prices in Emerging Markets," Working Papers, Hong Kong Institute for Monetary Research, number 072016, May.
• Chi-Fai Lo & Cho-Hoi Hui, 2016, "Pricing Corporate Bonds With Interest Rates Following Double Square-root Process," Working Papers, Hong Kong Institute for Monetary Research, number 112016, Jun.
• Cho-Hoi Hui & Edward Tan, 2016, "Dynamic interactions between government bonds and exchange rate expectations in currency options," Working Papers, Hong Kong Institute for Monetary Research, number 182016, Sep.
• David Nickerson, 2016, "Asset Price Volatility And Efficient Discrimination In Credit Market Equilibrium," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 10, issue 4, pages 91-101.

2015

• Lucia Švábová, 2015, "Estimating The Parameter Delta In The Black Model Using The Finite Difference Method For Futures Options," CBU International Conference Proceedings, ISE Research Institute, volume 3, issue 0, pages 109-114, September, DOI: 10.12955/cbup.v3.591.
• Marek Ďurica, 2015, "Modification Of Delta For Chooser Options," CBU International Conference Proceedings, ISE Research Institute, volume 3, issue 0, pages 123-128, September, DOI: 10.12955/cbup.v3.593.
• Michel van der Wel & Sait R. Ozturk & Dick van Dijk, 2015, "Dynamic Factor Models for the Volatility Surface," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2015-13, Jan.
• Jean-Guy Simonato & Lars Stentoft, 2015, "Which pricing approach for options under GARCH with non-normal innovations?," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2015-32, Jul.
• Mikkel Bennedsen & Asger Lunde & Mikko S. Pakkanen, 2015, "Hybrid scheme for Brownian semistationary processes," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2015-43, Sep.
• Peter Christoffersen & Mathieu Fournier & Kris Jacobs & Mehdi Karoui, 2015, "Option-Based Estimation of the Price of Co-Skewness and Co-Kurtosis Risk," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2015-54, Nov.
• Farzad Alavi Fard & Firmin Doko Tchatoka & Sivagowry Sriananthakumar, 2015, "Maximum Entropy Evaluation of Asymptotic Hedging Error under a Generalised Jump-Diffusion Model," School of Economics and Public Policy Working Papers, University of Adelaide, School of Economics and Public Policy, number 2015-17, Sep.
• Marta Gómez-Puig & Simón Sosvilla-Rivero & Manish K. Singh, 2015, "Sovereigns and banks in the euro area: A tale of two crises," Working Papers, Asociación Española de Economía y Finanzas Internacionales, number 15-01, Jan.
• Elena CARA & Olga GANCEARUC, 2015, "Forecast Of Brent Oil Price - A Deliberation On Use Of Futures Contracts Or/And Of The Econometric Models Forecasts," Journal of Social and Economic Statistics, Bucharest University of Economic Studies, volume 4, issue 1, pages 18-28, JULY.
• Zuppiroli, Marco & Donati, Michele & Riani, Marco & Verga, Giovanni, 2015, "The Impact of Trading Activity in Agricultural Futures Markets," 2015 Fourth Congress, June 11-12, 2015, Ancona, Italy, Italian Association of Agricultural and Applied Economics (AIEAA), number 207848, Jun, DOI: 10.22004/ag.econ.207848.
• Behmiri, Niaz Bashiri & Manera, Matteo, , "The Role of Outliers and Oil Price Shocks on Volatility of Metal Prices," Energy: Resources and Markets, Fondazione Eni Enrico Mattei (FEEM), number 208768, DOI: 10.22004/ag.econ.208768.
• Prehn, S. & Glauben, T. & Loy, J.-P. & Pies, I. & Will, M.G., None, "Der Einfluss von long-only-Indexfonds auf die Preisbildung und das Marktergebnis an landwirtschaftlichen Warenterminmärkten," Proceedings “Schriften der Gesellschaft für Wirtschafts- und Sozialwissenschaften des Landbaues e.V.”, German Association of Agricultural Economists (GEWISOLA), volume 50, DOI: 10.22004/ag.econ.261708.
• Siddiqi, Hammad, 2015, "Analogy Based Valuation of Commodity Options," Risk and Sustainable Management Group Working Papers, University of Queensland, School of Economics, number 197334, Jan, DOI: 10.22004/ag.econ.197334.
• Siddiqi, Hammad, 2015, "Relative Risk Perception and the Puzzle of Covered Call Writing," Risk and Sustainable Management Group Working Papers, University of Queensland, School of Economics, number 199882, Mar, DOI: 10.22004/ag.econ.199882.
• Siddiqi, Hammad, 2015, "Anchoring Heuristic in Option Pricing," Risk and Sustainable Management Group Working Papers, University of Queensland, School of Economics, number 207677, Jul, DOI: 10.22004/ag.econ.207677.
• Petitjean, Mikael, 2015, "How integrated is the European carbon derivatives market?," LIDAM Reprints LFIN, Université catholique de Louvain, Louvain Finance (LFIN), number 2015004, Jan.
• Robert A. Jarrow, 2015, "Asset Price Bubbles," Annual Review of Financial Economics, Annual Reviews, volume 7, issue 1, pages 201-218, December, DOI: 10.1146/annurev-financial-030215-03.
• Jerry Tsai & Jessica A. Wachter, 2015, "Disaster Risk and Its Implications for Asset Pricing," Annual Review of Financial Economics, Annual Reviews, volume 7, issue 1, pages 219-252, December, DOI: 10.1146/annurev-financial-111914-04.
• Eric Dahlgren & Tim Leung, 2015, "An Optimal Multiple Stopping Approach to Infrastructure Investment Decisions," Papers, arXiv.org, number 1502.00861, Feb.
• Ricardo Crisostomo, 2015, "An Analysis of the Heston Stochastic Volatility Model: Implementation and Calibration using Matlab," Papers, arXiv.org, number 1502.02963, Feb, revised Mar 2015.
• Gianluca Cassese, 2015, "Non Parametric Estimates of Option Prices Using Superhedging," Papers, arXiv.org, number 1502.03978, Feb.
• M. Bonollo & L. Di Persio & I. Oliva & A. Semmoloni, 2015, "A Quantization Approach to the Counterparty Credit Exposure Estimation," Papers, arXiv.org, number 1503.01754, Mar.