Research classified by Journal of Economic Literature (JEL) codes

2015

• Luis Eduardo Giron & Ferney Herrera Cruz, 2015, "Calculo y comparacion de la prima de un reaseguro de salud usando el modelo de opciones de Black-Scholes y el modelo actuarial," Revista de Economía del Rosario, Universidad del Rosario, volume 18, issue 2, pages 211-248.
• Pablo Moreno-Alemay & Catherine Pereira-Villa, 2015, "Why does Colombia lack agricultural commodity futures?," Revista Finanzas y Politica Economica, Universidad Católica de Colombia, volume 7, issue 2, pages 325-339.
• Julio C. Alonso & AndrÔøΩs M. Arcila & SebastiÔøΩn Montenegro, 2015, "¬øEstabiliza el FEPA los precios locales del az√∫car?," Icesi Economics Working Papers, Universidad Icesi, number 14581, Jun.
• Vrins, F. & Jeanblanc, M., 2015, "The [phi]-Martingale," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2015022, Apr.
• Paolo MAZZA & Mikael PETITJEAN, 2015, "How integrated is the European carbon derivatives market?," LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2777, Jan.
• Sentana, Enrique & Mencía, Javier, 2015, "Volatility-related exchange traded assets: an econometric investigation," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 10444, Mar.
• Pedersen, Lasse Heje & Vestergaard Jensen, Mads, 2015, "Early Option Exercise: Never Say Never," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 11019, Dec.
• Philipp Adämmer & Martin T. Bohl & Christian Gross, 2015, "Price Discovery in Thinly Traded Futures Markets: How Thin is Too Thin?," CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster, number 3915, Apr.
• Philipp Adämmer & Martin T. Bohl, 2015, "Price Discovery in European Agricultural Markets: When Do Futures Contracts Matter?," CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster, number 4415, Dec.
• Dimitrios I. Vortelinos, 2015, "The Effect of Macro News on Volatility and Jumps," Annals of Economics and Finance, Society for AEF, volume 16, issue 2, pages 425-447, November.
• Larmande , Francois & Belze , Loïc & Schneider , Lorenz, 2015, "Pricing Model Management: Evidence from Employee Stock Option (Un)Fair Valuation," HEC Research Papers Series, HEC Paris, number 1103, Sep.
• Laura Ballotta & Griselda Deelstra & Grégory Rayée, 2015, "Quanto Implied Correlation in a Multi-Lévy Framework," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number ECARES 2015-36, Oct.
• Meyler, Aidan & Grothe, Magdalena, 2015, "Inflation forecasts: Are market-based and survey-based measures informative?," Working Paper Series, European Central Bank, number 1865, Nov.
• Bao, Jack & Chen, Jia & Hou, Kewei & Lu, Lei, 2015, "Prices and Volatilities in the Corporate Bond Market," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2015-18, Aug.
• Li, Jian & Li, Chongguang & Chavas, Jean-Paul, 2015, "Food Price Bubbles and Government Intervention: Is China Different?," Staff Paper Series, University of Wisconsin, Agricultural and Applied Economics, number 579, Jun.
• Fethi Belhaj & Ezzeddine Abaoub, 2015, "A Generalized Autoregressive Conditional Heteroskedasticity Examination of the Relationship between Trading Volume and Conditional Volatility in the Tunisian Stock Market: Evidence for the Information," International Journal of Economics and Financial Issues, Econjournals, volume 5, issue 2, pages 354-364.
• Tanattrin Bunnag, 2015, "Hedging Petroleum Futures with Multivariate GARCH Models," International Journal of Energy Economics and Policy, Econjournals, volume 5, issue 1, pages 105-120.
• Mohamed Osman, 2015, "Dynamic Asymmetries in the Electric Consumption of the GCC Countries," International Journal of Energy Economics and Policy, Econjournals, volume 5, issue 2, pages 461-467.
• Tanattrin Bunnag, 2015, "Volatility Transmission in Oil Futures Markets and Carbon Emissions Futures," International Journal of Energy Economics and Policy, Econjournals, volume 5, issue 3, pages 647-659.
• Finnerty, John D., 2015, "Valuing convertible bonds and the option to exchange bonds for stock," Journal of Corporate Finance, Elsevier, volume 31, issue C, pages 91-115, DOI: 10.1016/j.jcorpfin.2014.12.012.
• Zhou, Xinghua & Reesor, R. Mark, 2015, "Misrepresentation and capital structure: Quantifying the impact on corporate debt value," Journal of Corporate Finance, Elsevier, volume 34, issue C, pages 293-310, DOI: 10.1016/j.jcorpfin.2015.07.007.
• Attaoui, Sami & Poncet, Patrice, 2015, "Write-Down Bonds and Capital and Debt Structures," Journal of Corporate Finance, Elsevier, volume 35, issue C, pages 97-119, DOI: 10.1016/j.jcorpfin.2015.08.009.
• Suda, Shintaro & Muroi, Yoshifumi, 2015, "Computation of Greeks using binomial trees in a jump-diffusion model," Journal of Economic Dynamics and Control, Elsevier, volume 51, issue C, pages 93-110, DOI: 10.1016/j.jedc.2014.09.032.
• Kim, Jerim & Kim, Jeongsim & Joo Yoo, Hyun & Kim, Bara, 2015, "Pricing external barrier options in a regime-switching model," Journal of Economic Dynamics and Control, Elsevier, volume 53, issue C, pages 123-143, DOI: 10.1016/j.jedc.2015.02.007.
• Colwell, David B. & Feldman, David & Hu, Wei, 2015, "Non-transferable non-hedgeable executive stock option pricing," Journal of Economic Dynamics and Control, Elsevier, volume 53, issue C, pages 161-191, DOI: 10.1016/j.jedc.2015.02.002.
• Dahlgren, Eric & Leung, Tim, 2015, "An optimal multiple stopping approach to infrastructure investment decisions," Journal of Economic Dynamics and Control, Elsevier, volume 53, issue C, pages 251-267, DOI: 10.1016/j.jedc.2015.02.001.
• Chen, Yingshan & Dai, Min & Xu, Jing & Xu, Mingyu, 2015, "Superhedging under ratio constraint," Journal of Economic Dynamics and Control, Elsevier, volume 58, issue C, pages 250-264, DOI: 10.1016/j.jedc.2015.06.009.
• Füss, Roland & Mahringer, Steffen & Prokopczuk, Marcel, 2015, "Electricity derivatives pricing with forward-looking information," Journal of Economic Dynamics and Control, Elsevier, volume 58, issue C, pages 34-57, DOI: 10.1016/j.jedc.2015.05.016.
• Ewald, Christian-Oliver & Yor, Marc, 2015, "On increasing risk, inequality and poverty measures: Peacocks, lyrebirds and exotic options," Journal of Economic Dynamics and Control, Elsevier, volume 59, issue C, pages 22-36, DOI: 10.1016/j.jedc.2015.07.004.
• Bianconi, Marcelo & MacLachlan, Scott & Sammon, Marco, 2015, "Implied volatility and the risk-free rate of return in options markets," The North American Journal of Economics and Finance, Elsevier, volume 31, issue C, pages 1-26, DOI: 10.1016/j.najef.2014.10.003.
• Yu, Xisheng & Xie, Xiaoke, 2015, "Pricing American options: RNMs-constrained entropic least-squares approach," The North American Journal of Economics and Finance, Elsevier, volume 31, issue C, pages 155-173, DOI: 10.1016/j.najef.2014.10.009.
• Lian, Yu-Min & Liao, Szu-Lang & Chen, Jun-Home, 2015, "State-dependent jump risks for American gold futures option pricing," The North American Journal of Economics and Finance, Elsevier, volume 33, issue C, pages 115-133, DOI: 10.1016/j.najef.2015.04.001.
• Ma, Jingtang & Deng, Dongya & Lai, Yongzeng, 2015, "Explicit approximate analytic formulas for timer option pricing with stochastic interest rates," The North American Journal of Economics and Finance, Elsevier, volume 34, issue C, pages 1-21, DOI: 10.1016/j.najef.2015.07.002.
• Fengler, Matthias R. & Hin, Lin-Yee, 2015, "Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints," Journal of Econometrics, Elsevier, volume 184, issue 2, pages 242-261, DOI: 10.1016/j.jeconom.2014.09.003.
• Shaliastovich, Ivan, 2015, "Learning, confidence, and option prices," Journal of Econometrics, Elsevier, volume 187, issue 1, pages 18-42, DOI: 10.1016/j.jeconom.2015.02.007.
• Choi, Seungmoon, 2015, "Explicit form of approximate transition probability density functions of diffusion processes," Journal of Econometrics, Elsevier, volume 187, issue 1, pages 57-73, DOI: 10.1016/j.jeconom.2015.02.003.
• Asai, Manabu & McAleer, Michael, 2015, "Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing," Journal of Econometrics, Elsevier, volume 187, issue 2, pages 436-446, DOI: 10.1016/j.jeconom.2015.02.029.
• Bollerslev, Tim & Xu, Lai & Zhou, Hao, 2015, "Stock return and cash flow predictability: The role of volatility risk," Journal of Econometrics, Elsevier, volume 187, issue 2, pages 458-471, DOI: 10.1016/j.jeconom.2015.02.031.
• Baldovin, Fulvio & Caporin, Massimiliano & Caraglio, Michele & Stella, Attilio L. & Zamparo, Marco, 2015, "Option pricing with non-Gaussian scaling and infinite-state switching volatility," Journal of Econometrics, Elsevier, volume 187, issue 2, pages 486-497, DOI: 10.1016/j.jeconom.2015.02.033.
• Calvet, Laurent E. & Fearnley, Marcus & Fisher, Adlai J. & Leippold, Markus, 2015, "What is beneath the surface? Option pricing with multifrequency latent states," Journal of Econometrics, Elsevier, volume 187, issue 2, pages 498-511, DOI: 10.1016/j.jeconom.2015.02.034.
• Eraker, Bjørn & Wang, Jiakou, 2015, "A non-linear dynamic model of the variance risk premium," Journal of Econometrics, Elsevier, volume 187, issue 2, pages 547-556, DOI: 10.1016/j.jeconom.2015.02.038.
• Cavaliere, Giuseppe & Nielsen, Morten Ørregaard & Taylor, A.M. Robert, 2015, "Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets," Journal of Econometrics, Elsevier, volume 187, issue 2, pages 557-579, DOI: 10.1016/j.jeconom.2015.02.039.
• Sojli, Elvira & Tham, Wing Wah, 2015, "Divided governments and futures prices," Journal of Econometrics, Elsevier, volume 187, issue 2, pages 622-633, DOI: 10.1016/j.jeconom.2015.02.043.
• Peat, Maurice & Svec, Jiri & Wang, Jue, 2015, "The effects of fiscal opacity on sovereign credit spreads," Emerging Markets Review, Elsevier, volume 24, issue C, pages 34-45, DOI: 10.1016/j.ememar.2015.05.001.
• Yeh, Chung-Ying & Hsu, Junming & Wang, Kai-Li & Lin, Che-Hui, 2015, "Explaining the default risk anomaly by the two-beta model," Journal of Empirical Finance, Elsevier, volume 30, issue C, pages 16-33, DOI: 10.1016/j.jempfin.2014.11.006.
• Diewald, Laszlo & Prokopczuk, Marcel & Wese Simen, Chardin, 2015, "Time-variations in commodity price jumps," Journal of Empirical Finance, Elsevier, volume 31, issue C, pages 72-84, DOI: 10.1016/j.jempfin.2015.02.004.
• Chesney, Marc & Crameri, Remo & Mancini, Loriano, 2015, "Detecting abnormal trading activities in option markets," Journal of Empirical Finance, Elsevier, volume 33, issue C, pages 263-275, DOI: 10.1016/j.jempfin.2015.03.008.
• Bekkour, Lamia & Jin, Xisong & Lehnert, Thorsten & Rasmouki, Fanou & Wolff, Christian, 2015, "Euro at risk: The impact of member countries' credit risk on the stability of the common currency," Journal of Empirical Finance, Elsevier, volume 33, issue C, pages 67-83, DOI: 10.1016/j.jempfin.2015.06.004.
• Gao, Lin & Süss, Stephan, 2015, "Market sentiment in commodity futures returns," Journal of Empirical Finance, Elsevier, volume 33, issue C, pages 84-103, DOI: 10.1016/j.jempfin.2015.07.001.
• Wu, Feng & Myers, Robert J. & Guan, Zhengfei & Wang, Zhiguang, 2015, "Risk-adjusted implied volatility and its performance in forecasting realized volatility in corn futures prices," Journal of Empirical Finance, Elsevier, volume 34, issue C, pages 260-274, DOI: 10.1016/j.jempfin.2015.07.003.
• Cipollini, Andrea & Cascio, Iolanda Lo & Muzzioli, Silvia, 2015, "Volatility co-movements: A time-scale decomposition analysis," Journal of Empirical Finance, Elsevier, volume 34, issue C, pages 34-44, DOI: 10.1016/j.jempfin.2015.08.005.
• Heidorn, Thomas & Mokinski, Frieder & Rühl, Christoph & Schmaltz, Christian, 2015, "The impact of fundamental and financial traders on the term structure of oil," Energy Economics, Elsevier, volume 48, issue C, pages 276-287, DOI: 10.1016/j.eneco.2015.01.001.
• Birkelund, Ole Henrik & Haugom, Erik & Molnár, Peter & Opdal, Martin & Westgaard, Sjur, 2015, "A comparison of implied and realized volatility in the Nordic power forward market," Energy Economics, Elsevier, volume 48, issue C, pages 288-294, DOI: 10.1016/j.eneco.2014.12.021.
• Bjursell, Johan & Gentle, James E. & Wang, George H.K., 2015, "Inventory announcements, jump dynamics, volatility and trading volume in U.S. energy futures markets," Energy Economics, Elsevier, volume 48, issue C, pages 336-349, DOI: 10.1016/j.eneco.2014.11.006.
• Fleten, Stein-Erik & Hagen, Liv Aune & Nygård, Maria Tandberg & Smith-Sivertsen, Ragnhild & Sollie, Johan M., 2015, "The overnight risk premium in electricity forward contracts," Energy Economics, Elsevier, volume 49, issue C, pages 293-300, DOI: 10.1016/j.eneco.2014.12.022.
• Cortazar, Gonzalo & Kovacevic, Ivo & Schwartz, Eduardo S., 2015, "Expected commodity returns and pricing models," Energy Economics, Elsevier, volume 49, issue C, pages 60-71, DOI: 10.1016/j.eneco.2015.01.015.
• Shao, Chengwu & Bhar, Ramaprasad & Colwell, David B., 2015, "A multi-factor model with time-varying and seasonal risk premiums for the natural gas market," Energy Economics, Elsevier, volume 50, issue C, pages 207-214, DOI: 10.1016/j.eneco.2015.04.013.
• Mahringer, Steffen & Prokopczuk, Marcel, 2015, "An empirical model comparison for valuing crack spread options," Energy Economics, Elsevier, volume 51, issue C, pages 177-187, DOI: 10.1016/j.eneco.2015.06.015.
• Hitzemann, Steffen & Uhrig-Homburg, Marliese & Ehrhart, Karl-Martin, 2015, "Emission permits and the announcement of realized emissions: Price impact, trading volume, and volatilities," Energy Economics, Elsevier, volume 51, issue C, pages 560-569, DOI: 10.1016/j.eneco.2015.07.007.
• Benth, Fred Espen & Koekebakker, Steen, 2015, "Pricing of forwards and other derivatives in cointegrated commodity markets," Energy Economics, Elsevier, volume 52, issue PA, pages 104-117, DOI: 10.1016/j.eneco.2015.09.009.
• Lucia, Julio J. & Mansanet-Bataller, Maria & Pardo, Ángel, 2015, "Speculative and hedging activities in the European carbon market," Energy Policy, Elsevier, volume 82, issue C, pages 342-351, DOI: 10.1016/j.enpol.2014.11.014.
• Marra, Miriam, 2015, "The impact of liquidity on senior credit index spreads during the subprime crisis," International Review of Financial Analysis, Elsevier, volume 37, issue C, pages 148-167, DOI: 10.1016/j.irfa.2014.11.016.
• Philip, Dennis & Shi, Yukun, 2015, "Impact of allowance submissions in European carbon emission markets," International Review of Financial Analysis, Elsevier, volume 40, issue C, pages 27-37, DOI: 10.1016/j.irfa.2015.05.004.
• Byun, Suk Joon & Chang, Ki Cheon, 2015, "Volatility risk premium in the interest rate market: Evidence from delta-hedged gains on USD interest rate swaps," International Review of Financial Analysis, Elsevier, volume 40, issue C, pages 88-102, DOI: 10.1016/j.irfa.2015.03.018.
• Yang, Zhaojun & Zhao, Zhiming, 2015, "Valuation and analysis of contingent convertible securities with jump risk," International Review of Financial Analysis, Elsevier, volume 41, issue C, pages 124-135, DOI: 10.1016/j.irfa.2015.05.029.
• Narayan, Seema & Smyth, Russell, 2015, "The financial econometrics of price discovery and predictability," International Review of Financial Analysis, Elsevier, volume 42, issue C, pages 380-393, DOI: 10.1016/j.irfa.2015.09.003.
• Wisniewski, Tomasz Piotr & Lambe, Brendan John, 2015, "Does economic policy uncertainty drive CDS spreads?," International Review of Financial Analysis, Elsevier, volume 42, issue C, pages 447-458, DOI: 10.1016/j.irfa.2015.09.009.
• Voelzke, Jan, 2015, "Weakening the Gain–Loss-Ratio measure to make it stronger," Finance Research Letters, Elsevier, volume 12, issue C, pages 58-66, DOI: 10.1016/j.frl.2014.11.007.
• Huang, Teng-Ching & Tu, Yu-Chen & Chou, Heng-Chih, 2015, "Long memory and the relation between options and stock prices," Finance Research Letters, Elsevier, volume 12, issue C, pages 77-91, DOI: 10.1016/j.frl.2014.11.005.
• Han, Jihun & Park, Hyungbin, 2015, "The intrinsic bounds on the risk premium of Markovian pricing kernels," Finance Research Letters, Elsevier, volume 13, issue C, pages 36-44, DOI: 10.1016/j.frl.2015.03.005.
• Makarov, R. & Metzler, A. & Ni, Z., 2015, "Modelling default risk with occupation times," Finance Research Letters, Elsevier, volume 13, issue C, pages 54-65, DOI: 10.1016/j.frl.2015.03.003.
• Hu, Jun & Kanniainen, Juho, 2015, "Asymptotic expansion of European options with mean-reverting stochastic volatility dynamics," Finance Research Letters, Elsevier, volume 14, issue C, pages 1-10, DOI: 10.1016/j.frl.2015.07.004.
• Fouquau, Julien & Six, Pierre, 2015, "A comparison of the convenience yield and interest-adjusted basis," Finance Research Letters, Elsevier, volume 14, issue C, pages 142-149, DOI: 10.1016/j.frl.2015.05.005.
• Ballestra, Luca Vincenzo & Cecere, Liliana, 2015, "Pricing American options under the constant elasticity of variance model: An extension of the method by Barone-Adesi and Whaley," Finance Research Letters, Elsevier, volume 14, issue C, pages 45-55, DOI: 10.1016/j.frl.2015.05.017.
• Ehsani, Sina & Lien, Donald, 2015, "A note on minimum riskiness hedge ratio," Finance Research Letters, Elsevier, volume 15, issue C, pages 11-17, DOI: 10.1016/j.frl.2015.05.002.
• Wang, Xingchun & Fu, Jianping & Wang, Guanying & Wang, Yongjin, 2015, "Quadratic hedging strategies for volatility swaps," Finance Research Letters, Elsevier, volume 15, issue C, pages 125-132, DOI: 10.1016/j.frl.2015.09.002.
• Buchner, Axel, 2015, "Equilibrium option pricing: A Monte Carlo approach," Finance Research Letters, Elsevier, volume 15, issue C, pages 138-145, DOI: 10.1016/j.frl.2015.09.004.
• Mazza, Paolo & Petitjean, Mikael, 2015, "How integrated is the European carbon derivatives market?," Finance Research Letters, Elsevier, volume 15, issue C, pages 18-30, DOI: 10.1016/j.frl.2015.07.005.
• Luo, Xingguo & Ye, Zinan, 2015, "Predicting volatility of the Shanghai silver futures market: What is the role of the U.S. options market?," Finance Research Letters, Elsevier, volume 15, issue C, pages 68-77, DOI: 10.1016/j.frl.2015.08.005.
• Cifarelli, Giulio & Paladino, Giovanna, 2015, "A dynamic model of hedging and speculation in the commodity futures markets," Journal of Financial Markets, Elsevier, volume 25, issue C, pages 1-15, DOI: 10.1016/j.finmar.2015.07.002.
• Berkowitz, Jason P. & Depken, Craig A. & Gandar, John M., 2015, "Information and accuracy in pricing: Evidence from the NCAA men׳s basketball betting market," Journal of Financial Markets, Elsevier, volume 25, issue C, pages 16-32, DOI: 10.1016/j.finmar.2015.06.003.
• Park, Yang-Ho, 2015, "Volatility-of-volatility and tail risk hedging returns," Journal of Financial Markets, Elsevier, volume 26, issue C, pages 38-63, DOI: 10.1016/j.finmar.2015.05.003.
• Silva, Paulo Pereira da & Vieira, Carlos & Vieira, Isabel, 2015, "The determinants of CDS open interest dynamics," Journal of Financial Stability, Elsevier, volume 21, issue C, pages 95-109, DOI: 10.1016/j.jfs.2015.09.003.
• Fard, Farzad Alavi, 2015, "Analytical pricing of vulnerable options under a generalized jump–diffusion model," Insurance: Mathematics and Economics, Elsevier, volume 60, issue C, pages 19-28, DOI: 10.1016/j.insmatheco.2014.10.007.
• Fan, Kun & Shen, Yang & Siu, Tak Kuen & Wang, Rongming, 2015, "Pricing annuity guarantees under a double regime-switching model," Insurance: Mathematics and Economics, Elsevier, volume 62, issue C, pages 62-78, DOI: 10.1016/j.insmatheco.2015.02.005.
• Hunt, Andrew & Blake, David, 2015, "Modelling longevity bonds: Analysing the Swiss Re Kortis bond," Insurance: Mathematics and Economics, Elsevier, volume 63, issue C, pages 12-29, DOI: 10.1016/j.insmatheco.2015.03.017.
• Karl Härdle, Wolfgang & López-Cabrera, Brenda & Teng, Huei-Wen, 2015, "State price densities implied from weather derivatives," Insurance: Mathematics and Economics, Elsevier, volume 64, issue C, pages 106-125, DOI: 10.1016/j.insmatheco.2015.05.001.
• Gerber, Hans U. & Shiu, Elias S.W. & Yang, Hailiang, 2015, "Geometric stopping of a random walk and its applications to valuing equity-linked death benefits," Insurance: Mathematics and Economics, Elsevier, volume 64, issue C, pages 313-325, DOI: 10.1016/j.insmatheco.2015.06.006.
• Hao, Xuemiao & Li, Xuan, 2015, "Pricing credit default swaps with a random recovery rate by a double inverse Fourier transform," Insurance: Mathematics and Economics, Elsevier, volume 65, issue C, pages 103-110, DOI: 10.1016/j.insmatheco.2015.09.005.
• Rombouts, Jeroen V.K. & Stentoft, Lars, 2015, "Option pricing with asymmetric heteroskedastic normal mixture models," International Journal of Forecasting, Elsevier, volume 31, issue 3, pages 635-650, DOI: 10.1016/j.ijforecast.2014.09.002.
• Billings, Mary Brooke & Jennings, Robert & Lev, Baruch, 2015, "On guidance and volatility," Journal of Accounting and Economics, Elsevier, volume 60, issue 2, pages 161-180, DOI: 10.1016/j.jacceco.2015.07.008.
• Wang, Junbo & Wu, Chunchi, 2015, "Liquidity, credit quality, and the relation between volatility and trading activity: Evidence from the corporate bond market," Journal of Banking & Finance, Elsevier, volume 50, issue C, pages 183-203, DOI: 10.1016/j.jbankfin.2014.10.003.
• Doumpos, Michael & Niklis, Dimitrios & Zopounidis, Constantin & Andriosopoulos, Kostas, 2015, "Combining accounting data and a structural model for predicting credit ratings: Empirical evidence from European listed firms," Journal of Banking & Finance, Elsevier, volume 50, issue C, pages 599-607, DOI: 10.1016/j.jbankfin.2014.01.010.
• Mele, Antonio & Obayashi, Yoshiki & Shalen, Catherine, 2015, "Rate fears gauges and the dynamics of fixed income and equity volatilities," Journal of Banking & Finance, Elsevier, volume 52, issue C, pages 256-265, DOI: 10.1016/j.jbankfin.2014.04.030.
• Bo, Lijun & Capponi, Agostino, 2015, "Counterparty risk for CDS: Default clustering effects," Journal of Banking & Finance, Elsevier, volume 52, issue C, pages 29-42, DOI: 10.1016/j.jbankfin.2014.11.010.
• Baldeaux, Jan & Grasselli, Martino & Platen, Eckhard, 2015, "Pricing currency derivatives under the benchmark approach," Journal of Banking & Finance, Elsevier, volume 53, issue C, pages 34-48, DOI: 10.1016/j.jbankfin.2014.11.018.
• Perrakis, Stylianos & Zhong, Rui, 2015, "Credit spreads and state-dependent volatility: Theory and empirical evidence," Journal of Banking & Finance, Elsevier, volume 55, issue C, pages 215-231, DOI: 10.1016/j.jbankfin.2015.02.017.
• Schuster, Philipp & Uhrig-Homburg, Marliese, 2015, "Limits to arbitrage and the term structure of bond illiquidity premiums," Journal of Banking & Finance, Elsevier, volume 57, issue C, pages 143-159, DOI: 10.1016/j.jbankfin.2014.10.016.
• Tarsalewska, Monika, 2015, "The timing of mergers along the production chain, capital structure, and risk dynamics," Journal of Banking & Finance, Elsevier, volume 57, issue C, pages 51-64, DOI: 10.1016/j.jbankfin.2015.03.014.
• Correia, Ricardo & Población, Javier, 2015, "A structural model with Explicit Distress," Journal of Banking & Finance, Elsevier, volume 58, issue C, pages 112-130, DOI: 10.1016/j.jbankfin.2015.03.011.
• Leippold, Markus & Su, Lujing, 2015, "Collateral smile," Journal of Banking & Finance, Elsevier, volume 58, issue C, pages 15-28, DOI: 10.1016/j.jbankfin.2015.03.019.
• Vidal Nunes, João Pedro & Ruas, João Pedro & Dias, José Carlos, 2015, "Pricing and static hedging of American-style knock-in options on defaultable stocks," Journal of Banking & Finance, Elsevier, volume 58, issue C, pages 343-360, DOI: 10.1016/j.jbankfin.2015.05.003.
• Leccadito, Arturo & Tunaru, Radu S. & Urga, Giovanni, 2015, "Trading strategies with implied forward credit default swap spreads," Journal of Banking & Finance, Elsevier, volume 58, issue C, pages 361-375, DOI: 10.1016/j.jbankfin.2015.04.018.
• Barsotti, Flavia & Viva, Luca Del, 2015, "Performance and determinants of the Merton structural model: Evidence from hedging coefficients," Journal of Banking & Finance, Elsevier, volume 58, issue C, pages 95-111, DOI: 10.1016/j.jbankfin.2015.04.007.
• Byun, Suk Joon & Jeon, Byoung Hyun & Min, Byungsun & Yoon, Sun-Joong, 2015, "The role of the variance premium in Jump-GARCH option pricing models," Journal of Banking & Finance, Elsevier, volume 59, issue C, pages 38-56, DOI: 10.1016/j.jbankfin.2015.05.009.
• Bianchi, Robert J. & Drew, Michael E. & Fan, John Hua, 2015, "Combining momentum with reversal in commodity futures," Journal of Banking & Finance, Elsevier, volume 59, issue C, pages 423-444, DOI: 10.1016/j.jbankfin.2015.07.006.
• Duyvesteyn, Johan & de Zwart, Gerben, 2015, "Riding the swaption curve," Journal of Banking & Finance, Elsevier, volume 59, issue C, pages 57-75, DOI: 10.1016/j.jbankfin.2015.05.012.
• Le Courtois, Olivier & Menoncin, Francesco, 2015, "Portfolio optimisation with jumps: Illustration with a pension accumulation scheme," Journal of Banking & Finance, Elsevier, volume 60, issue C, pages 127-137, DOI: 10.1016/j.jbankfin.2015.08.001.
• Adams, Zeno & Glück, Thorsten, 2015, "Financialization in commodity markets: A passing trend or the new normal?," Journal of Banking & Finance, Elsevier, volume 60, issue C, pages 93-111, DOI: 10.1016/j.jbankfin.2015.07.008.
• Chatrath, Arjun & Christie-David, Rohan A. & Miao, Hong & Ramchander, Sanjay, 2015, "Short-term options: Clienteles, market segmentation, and event trading," Journal of Banking & Finance, Elsevier, volume 61, issue C, pages 237-250, DOI: 10.1016/j.jbankfin.2015.09.001.
• Chen, An & Hentschel, Felix & Klein, Jakob K., 2015, "A utility- and CPT-based comparison of life insurance contracts with guarantees," Journal of Banking & Finance, Elsevier, volume 61, issue C, pages 327-339, DOI: 10.1016/j.jbankfin.2015.09.016.
• Audrino, Francesco & Fengler, Matthias R., 2015, "Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data," Journal of Banking & Finance, Elsevier, volume 61, issue C, pages 46-63, DOI: 10.1016/j.jbankfin.2015.08.018.
• Sebehela, Tumellano, 2015, "Rationally financing an acquisition," Journal of Economics and Business, Elsevier, volume 81, issue C, pages 1-20, DOI: 10.1016/j.jeconbus.2015.05.004.
• Muzzioli, Silvia, 2015, "The optimal corridor for implied volatility: From periods of calm to turmoil," Journal of Economics and Business, Elsevier, volume 81, issue C, pages 77-94, DOI: 10.1016/j.jeconbus.2015.07.001.
• Cerreia-Vioglio, S. & Maccheroni, F. & Marinacci, M., 2015, "Put–Call Parity and market frictions," Journal of Economic Theory, Elsevier, volume 157, issue C, pages 730-762, DOI: 10.1016/j.jet.2014.12.011.
• Uyanık, Metin, 2015, "On the nonemptiness of the α-core of discontinuous games: Transferable and nontransferable utilities," Journal of Economic Theory, Elsevier, volume 158, issue PA, pages 213-231, DOI: 10.1016/j.jet.2015.04.005.
• Holmberg, Pär & Willems, Bert, 2015, "Relaxing competition through speculation: Committing to a negative supply slope," Journal of Economic Theory, Elsevier, volume 159, issue PA, pages 236-266, DOI: 10.1016/j.jet.2015.06.004.
• Singh, Manish K. & Gómez-Puig, Marta & Sosvilla-Rivero, Simón, 2015, "Bank risk behavior and connectedness in EMU countries," Journal of International Money and Finance, Elsevier, volume 57, issue C, pages 161-184, DOI: 10.1016/j.jimonfin.2015.07.014.
• Bedoui, Rihab & Hamdi, Haykel, 2015, "Option-implied risk aversion estimation," The Journal of Economic Asymmetries, Elsevier, volume 12, issue 2, pages 142-152, DOI: 10.1016/j.jeca.2015.06.001.
• Bosch, David & Pradkhan, Elina, 2015, "The impact of speculation on precious metals futures markets," Resources Policy, Elsevier, volume 44, issue C, pages 118-134, DOI: 10.1016/j.resourpol.2015.02.006.
• Nicolau, Mihaela & Palomba, Giulio, 2015, "Dynamic relationships between spot and futures prices. The case of energy and gold commodities," Resources Policy, Elsevier, volume 45, issue C, pages 130-143, DOI: 10.1016/j.resourpol.2015.04.004.
• Cummins, Mark & Dowling, Michael & Lucey, Brian M., 2015, "Behavioral influences in non-ferrous metals prices," Resources Policy, Elsevier, volume 45, issue C, pages 9-22, DOI: 10.1016/j.resourpol.2015.03.002.
• Behmiri, Niaz Bashiri & Manera, Matteo, 2015, "The role of outliers and oil price shocks on volatility of metal prices," Resources Policy, Elsevier, volume 46, issue P2, pages 139-150, DOI: 10.1016/j.resourpol.2015.09.004.
• Aboura, Sofiane & Chevallier, Julien, 2015, "Geographical diversification with a World Volatility Index," Journal of Multinational Financial Management, Elsevier, volume 30, issue C, pages 62-82, DOI: 10.1016/j.mulfin.2015.03.001.
• Lafuente, Juan Angel & Serrano, Pedro, 2015, "On the compensation for illiquidity in sovereign credit markets," Journal of Multinational Financial Management, Elsevier, volume 30, issue C, pages 83-100, DOI: 10.1016/j.mulfin.2015.03.003.
• Pereira da Silva, Paulo & Vieira, Isabel & Vieira, Carlos, 2015, "M&A operations: Further evidence of informed trading in the CDS market," Journal of Multinational Financial Management, Elsevier, volume 32, issue , pages 116-130, DOI: 10.1016/j.mulfin.2015.10.002.
• Daugherty, Mary Schmid & Jithendranathan, Thadavillil, 2015, "A study of linkages between frontier markets and the U.S. equity markets using multivariate GARCH and transfer entropy," Journal of Multinational Financial Management, Elsevier, volume 32, issue , pages 95-115, DOI: 10.1016/j.mulfin.2015.10.003.
• Lee, Jaeram & Kang, Jangkoo & Ryu, Doojin, 2015, "Common deviation and regime-dependent dynamics in the index derivatives markets," Pacific-Basin Finance Journal, Elsevier, volume 33, issue C, pages 1-22, DOI: 10.1016/j.pacfin.2015.02.001.
• Baik, Bok & Kim, Young Jun & Kim, Jungbae & Lee, Su Jeong, 2015, "Usefulness of earnings in credit markets: Korean evidence," Pacific-Basin Finance Journal, Elsevier, volume 33, issue C, pages 93-113, DOI: 10.1016/j.pacfin.2015.01.009.
• Zheng, Yao, 2015, "The linkage between aggregate investor sentiment and metal futures returns: A nonlinear approach," The Quarterly Review of Economics and Finance, Elsevier, volume 58, issue C, pages 128-142, DOI: 10.1016/j.qref.2015.02.008.
• Değerli, Ahmet & Fendoğlu, Salih, 2015, "Reserve option mechanism as a stabilizing policy tool: Evidence from exchange rate expectations," International Review of Economics & Finance, Elsevier, volume 35, issue C, pages 166-179, DOI: 10.1016/j.iref.2014.09.011.
• Corredor, Pilar & Ferrer, Elena & Santamaria, Rafael, 2015, "Sentiment-prone investors and volatility dynamics between spot and futures markets," International Review of Economics & Finance, Elsevier, volume 35, issue C, pages 180-196, DOI: 10.1016/j.iref.2014.09.013.
• Chang, Charles & Lin, Emily, 2015, "Cash-futures basis and the impact of market maturity, informed trading, and expiration effects," International Review of Economics & Finance, Elsevier, volume 35, issue C, pages 197-213, DOI: 10.1016/j.iref.2014.09.003.
• Suh, Sangwon, 2015, "Measuring sovereign risk contagion in the Eurozone," International Review of Economics & Finance, Elsevier, volume 35, issue C, pages 45-65, DOI: 10.1016/j.iref.2014.09.002.
• Lo, C.F. & Hui, C.H. & Fong, T. & Chu, S.W., 2015, "A quasi-bounded target zone model — Theory and application to Hong Kong dollar," International Review of Economics & Finance, Elsevier, volume 37, issue C, pages 1-17, DOI: 10.1016/j.iref.2014.10.010.
• Jin, Xiaoye, 2015, "Asymmetry in return and volatility spillover between China's interbank and exchange T-bond markets," International Review of Economics & Finance, Elsevier, volume 37, issue C, pages 340-353, DOI: 10.1016/j.iref.2014.12.005.
• Kamoto, Shinsuke, 2015, "Strategic capacity expansion under a potential entry threat," International Review of Economics & Finance, Elsevier, volume 38, issue C, pages 157-177, DOI: 10.1016/j.iref.2015.01.006.
• Gonzalez-Perez, Maria T., 2015, "Model-free volatility indexes in the financial literature: A review," International Review of Economics & Finance, Elsevier, volume 40, issue C, pages 141-159, DOI: 10.1016/j.iref.2015.02.018.
• Hui, Cho-Hoi & Fong, Tom Pak-Wing, 2015, "Price cointegration between sovereign CDS and currency option markets in the financial crises of 2007–2013," International Review of Economics & Finance, Elsevier, volume 40, issue C, pages 174-190, DOI: 10.1016/j.iref.2015.02.011.
• Balcilar, Mehmet & Gungor, Hasan & Hammoudeh, Shawkat, 2015, "The time-varying causality between spot and futures crude oil prices: A regime switching approach," International Review of Economics & Finance, Elsevier, volume 40, issue C, pages 51-71, DOI: 10.1016/j.iref.2015.02.008.
• Karagiannidis, Iordanis & Sykes Wilford, D., 2015, "Modeling fund and portfolio risk: A bi-modal approach to analyzing risk in turbulent markets," Review of Financial Economics, Elsevier, volume 25, issue C, pages 19-26, DOI: 10.1016/j.rfe.2015.02.005.
• Orlowski, Lucjan T., 2015, "From pit to electronic trading: Impact on price volatility of U.S. Treasury futures," Review of Financial Economics, Elsevier, volume 25, issue C, pages 3-9, DOI: 10.1016/j.rfe.2015.02.001.
• Schalck, Christophe & Chenavaz, Régis, 2015, "Oil commodity returns and macroeconomic factors: A time-varying approach," Research in International Business and Finance, Elsevier, volume 33, issue C, pages 290-303, DOI: 10.1016/j.ribaf.2014.05.002.
• Leo Krippner, 2015, "A comment on Wu and Xia (2015), and the case for two-factor Shadow Short Rates," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2015-48, Dec.
• Javier Prado-Dominguez & Carlos Fernández-Herráiz, 2015, "A Sharpe-ratio-based measure for currencies," European Journal of Government and Economics, Europa Grande, volume 4, issue 1, pages 67-75, June.
• Leiss, Matthias & Nax, Heinrich H. & Sornette, Didier, 2015, "Super-exponential growth expectations and the global financial crisis," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 65434, Jun.
• Daniël Linders & Jan Dhaene & Wim Schoutens, 2015, "Option prices and model-free measurement of implied herd behavior in stock markets," Working Papers Department of Accountancy, Finance and Insurance (AFI), Leuven, KU Leuven, Faculty of Economics and Business (FEB), Department of Accountancy, Finance and Insurance (AFI), Leuven, number 485228.
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• Yang-Ho Park, 2015, "The Effects of Asymmetric Volatility and Jumps on the Pricing of VIX Derivatives," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2015-71, Sep, DOI: 10.17016/FEDS.2015.071.
• Marianne Andries & Thomas M. Eisenbach & R. Jay Kahn & Martin C. Schmalz, 2015, "The term structure of the price of variance risk," Staff Reports, Federal Reserve Bank of New York, number 736, Aug.
• Piotr Giruæ, 2015, "Hedging strategies of derivatives instruments for commodity trading entities," GUT FME Conference Publications, Faculty of Management and Economics, Gdansk University of Technology, chapter 2, in: Blazej Prusak, "ENTERPRISES IN UNSTABLE ECONOMY".
• Robert J Bianchi & Michael E Drew & John Hua Fan, 2015, "Microscopic momentum in commodity futures," Discussion Papers in Finance, Griffith University, Department of Accounting, Finance and Economics, number finance:201510, Oct.
• Andreas W. Rathgeber & David Rudolph & Stefan Stöckl, 2015, "Pricing Anomaly at the First Sight: Same Borrower in Different Currencies Faces Different Credit Spreads―An Explanation by Means of a Quanto Option," Post-Print, HAL, number hal-01371712, DOI: 10.1007/s11147-014-9106-z.
• A. Leonhardt & Andreas W. Rathgeber & J. Stadler & Stefan Stöckl, 2015, "Pricing fx Forwards in OTC Markets," Post-Print, HAL, number hal-01371713, DOI: 10.1080/00036846.2015.1011309.
• Christophe Schalck & Régis Chenavaz, 2015, "Oil commodity returns and macroeconomic factors: A time-varying approach," Post-Print, HAL, number hal-01457334, Jan, DOI: 10.1016/j.ribaf.2014.05.002.
• Paolo Mazza & Mikael Petitjean, 2015, "How integrated is the European carbon derivatives market?," Post-Print, HAL, number hal-01526028, Nov, DOI: 10.1016/j.frl.2015.07.005.
• Julien Chevallier & Sofiane Aboura, 2015, "Geographical Diversification with a World Volatility Index," Post-Print, HAL, number hal-01529755, DOI: 10.1016/j.mulfin.2015.03.001.
• Tim Xiao, 2015, "Is the jump-diffusion model a good solution for credit risk modelling? The case of convertible bonds," Post-Print, HAL, number hal-01812928, DOI: 10.1504/IJFMD.2015.066436.
• Philippe Bertrand & Jean-Luc Prigent, 2015, "On Path-Dependent Structured Funds: Complexity Does Not Always Pay (Asian versus Average Performance Funds)," Post-Print, HAL, number hal-01833074.
• Green, Rikard, 2015, "A Power Market Forward Curve with Hydrology Dependence An Approach based on Artificial Neural Networks," Knut Wicksell Working Paper Series, Lund University, Knut Wicksell Centre for Financial Studies, number 2015/1, Jan.
• Green, Rikard, 2015, "No 2015:3 Closed Form Valuation of Three-Asset Spread Options With a view towards Clean Dark Spreads," Knut Wicksell Working Paper Series, Lund University, Knut Wicksell Centre for Financial Studies, number 2015/3, May.
• Misund, Bård & Oglend, Atle, 2015, "Supply and Demand Determinants of Natural Gas Price Volatility in the U.K.: A Vector Autoregression Approach," UiS Working Papers in Economics and Finance, University of Stavanger, number 2015/10, Dec.
• Asche, Frank & Misund, Bard, 2015, "Hedging Efficiency of Atlantic Salmon Futures," UiS Working Papers in Economics and Finance, University of Stavanger, number 2015/12, Dec.
• Asche, Frank & Misund, Bard & Oglend, Atle, 2015, "Production Risk and the Futures Price Risk Premium?," UiS Working Papers in Economics and Finance, University of Stavanger, number 2015/13, Dec.
• Asche, Frank & Misund, Bard & Oglend, Atle, 2015, "The Spot-Forward Relationship in the Atlantic Salmon Market," UiS Working Papers in Economics and Finance, University of Stavanger, number 2015/16, Dec.
• Misund, Bård & Osmundsen, Petter, 2015, "Probable Oil and Gas Reserves and Shareholder Returns: The Impact of Shale Gas," UiS Working Papers in Economics and Finance, University of Stavanger, number 2015/17, Dec.
• C. H. Hui & C. F. Lo & T. Fong, 2015, "A Quasi-Bounded Model for Swiss Franc's One-Sided Target Zone During 2011-2015," Working Papers, Hong Kong Institute for Monetary Research, number 152015, Jul.
• Cho-Hoi Hui & Chi-Fai Lo & Xiao-Fen Zheng & Tom Fong, 2015, "Measuring Contagion-Induced Funding Liquidity Risk in Sovereign Debt Markets," Working Papers, Hong Kong Institute for Monetary Research, number 182015, Aug.
• Jun-Biao Lin, 2015, "Hedging Strategy Comparisons Of Volatility Index Options Using Diffusion Models," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 9, issue 3, pages 59-69.
• Woradee Jongadsayakul, 2015, "Determinants Of Silver Futures Price Volatility: Evidence From The Thailand Futures Exchange," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 9, issue 4, pages 81-87.
• Eduardo Sandoval, 2015, "Small Vs Large Caps. Evidence From Developed And Emerging Stock Markets During Periods With And Without Financial Crisis, Small Vs Large Caps. Evidencia De Mercados Accionarios Desarrollados Y Emergentes En Periodos Con Vs Sin Crisis Financiera," Revista Internacional Administracion & Finanzas, The Institute for Business and Finance Research, volume 8, issue 4, pages 27-44.
• García-Machado, Juan J. & Rybczynski, Jaroslaw, 2015, "Three-Point Volatility Smile Classification: Evidence From The Warsow Stock Exchange During Volatile Summer 2011 / Clasificación De Las Sonrisas De Volatilidad Según Tres Puntos De Monetización: Evidencia Empírica Para La Bolsa De Varsovia Durante El," Investigaciones Europeas de Dirección y Economía de la Empresa (IEDEE), Academia Europea de Dirección y Economía de la Empresa (AEDEM), volume 21, issue 1, pages 17-25.
• Tim Xiao, 2015, "Is the jump-diffusion model a good solution for credit risk modelling? The case of convertible bonds," International Journal of Financial Markets and Derivatives, Inderscience Enterprises Ltd, volume 4, issue 1, pages 1-25.
• Tetsuya Adachi & Yoshihiko Uchida, 2015, "Variation of Wrong-Way Risk Management and Its Impact on Security Price Changes," IMES Discussion Paper Series, Institute for Monetary and Economic Studies, Bank of Japan, number 15-E-11, Jul.
• Nidhi Aggarwal, 2015, "Limits to arbitrage: The case of single stock futures and spot prices," Indira Gandhi Institute of Development Research, Mumbai Working Papers, Indira Gandhi Institute of Development Research, Mumbai, India, number 2015-010, May.
• Rohini Grover, 2015, "The informational role of algorithmic traders in the option market," Indira Gandhi Institute of Development Research, Mumbai Working Papers, Indira Gandhi Institute of Development Research, Mumbai, India, number 2015-012, May.
• Aguilar-Juárez, Isabel Patricia. & Venegas-Martínez, Francisco., 2015, "Una estrategia de inversión y cobertura mediante la combinación de notas estructuradas," Panorama Económico, Escuela Superior de Economía, Instituto Politécnico Nacional, volume 0, issue 20, pages 7-46, primer se.
• Marta Gómez-Puig & Simón Sosvilla-Rivero & Manish K. Singh, 2015, "“Sovereigns and banks in the euro area: a tale of two crises”," IREA Working Papers, University of Barcelona, Research Institute of Applied Economics, number 201504, Jan, revised Jan 2015.
• Manish K. Singh & Marta Gómez-Puig & Simón Sosvilla-Rivero, 2015, "“Bank risk behavior and connectedness in EMU countries”," IREA Working Papers, University of Barcelona, Research Institute of Applied Economics, number 201517, Jun, revised Jun 2015.
• Maul Daniel & Fischer Martin & Schiereck Dirk, 2015, "Spekulation am Terminmarkt und die Preisentwicklung von Agrarrohstoffen am Kassamarkt: Eine Zeitreihenanalyse der CFTC Berichte für Weizen, Mais und Sojabohnen / Speculation in Futures Markets and the Impact on Agricultural Commodity Prices: A Time S," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, volume 235, issue 6, pages 608-629, December, DOI: 10.1515/jbnst-2015-0606.
• Dilip Madan, 2015, "Asset pricing theory for two price economies," Annals of Finance, Springer, volume 11, issue 1, pages 1-35, February, DOI: 10.1007/s10436-014-0255-8.
• Robert Elliott & Jia Shen, 2015, "Dynamic optimal capital structure with regime switching," Annals of Finance, Springer, volume 11, issue 2, pages 199-220, May, DOI: 10.1007/s10436-015-0260-6.
• Robert Elliott & Jia Shen, 2015, "Credit risk and contagion via self-exciting default intensity," Annals of Finance, Springer, volume 11, issue 3, pages 319-344, November, DOI: 10.1007/s10436-015-0259-z.
• Kazuhiro Yoshikawa, 2015, "An Approximation Scheme for Diffusion Processes Based on an Antisymmetric Calculus over Wiener Space," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, volume 22, issue 2, pages 185-207, May, DOI: 10.1007/s10690-014-9199-2.
• Paulo Silva, 2015, "The information content of the open interest of credit default swaps," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 29, issue 4, pages 381-427, November, DOI: 10.1007/s11408-015-0258-0.
• Jyh-Bang Jou & Tan (Charlene) Lee, 2015, "How Do Density Ceiling Controls Affect Housing Prices and Urban Boundaries?," The Journal of Real Estate Finance and Economics, Springer, volume 50, issue 2, pages 219-241, February, DOI: 10.1007/s11146-014-9460-5.
• Geonwoo Kim & Hyuncheul Lim & Sungchul Lee, 2015, "On pricing options with stressed-beta in a reduced form model," Review of Derivatives Research, Springer, volume 18, issue 1, pages 29-50, April, DOI: 10.1007/s11147-014-9103-2.
• Andrés Mirantes & Javier Población & Gregorio Serna, 2015, "Commodity derivative valuation under a factor model with time-varying market prices of risk," Review of Derivatives Research, Springer, volume 18, issue 1, pages 75-93, April, DOI: 10.1007/s11147-014-9104-1.
• Andreas Rathgeber & David Rudolph & Stefan Stöckl, 2015, "Pricing anomaly at the first sight: same borrower in different currencies faces different credit spreads—an explanation by means of a quanto option," Review of Derivatives Research, Springer, volume 18, issue 2, pages 107-143, July, DOI: 10.1007/s11147-014-9106-z.
• Chun-Ying Chen & Hsiao-Chuan Wang & Jr-Yan Wang, 2015, "The valuation of forward-start rainbow options," Review of Derivatives Research, Springer, volume 18, issue 2, pages 145-188, July, DOI: 10.1007/s11147-014-9105-0.
• Finbarr Murphy & Ehud Ronn, 2015, "The valuation and information content of options on crude-oil futures contracts," Review of Derivatives Research, Springer, volume 18, issue 2, pages 95-106, July, DOI: 10.1007/s11147-014-9107-y.
• Tianyang Wang & James Dyer & Warren Hahn, 2015, "A copula-based approach for generating lattices," Review of Derivatives Research, Springer, volume 18, issue 3, pages 263-289, October, DOI: 10.1007/s11147-015-9111-x.
• Luiz Vitiello & Ivonia Rebelo, 2015, "A note on the pricing of multivariate contingent claims under a transformed-gamma distribution," Review of Derivatives Research, Springer, volume 18, issue 3, pages 291-300, October, DOI: 10.1007/s11147-015-9112-9.
• Konstantinos Skindilias & Chia Lo, 2015, "Local volatility calibration during turbulent periods," Review of Quantitative Finance and Accounting, Springer, volume 44, issue 3, pages 425-444, April, DOI: 10.1007/s11156-013-0412-6.
• Chien-Hsiu Lin & Shih-Kuei Lin & An-Chi Wu, 2015, "Foreign exchange option pricing in the currency cycle with jump risks," Review of Quantitative Finance and Accounting, Springer, volume 44, issue 4, pages 755-789, May, DOI: 10.1007/s11156-013-0425-1.