Research classified by Journal of Economic Literature (JEL) codes

2015

• Ingo Pies, 2015, "Spekulation mit Agrarrohstoffen – eine Replik," Wirtschaftsdienst, Springer;ZBW - Leibniz Information Centre for Economics, volume 95, issue 11, pages 789-795, November, DOI: 10.1007/s10273-015-1903-y.
• Christian Conrad, 2015, "Die Auswirkungen der Spekulation mit Nahrungsmitteln und Rohstoffen," Wirtschaftsdienst, Springer;ZBW - Leibniz Information Centre for Economics, volume 95, issue 6, pages 429-435, June, DOI: 10.1007/s10273-015-1843-6.
• Nico Katzke & Chris Garbers, 2015, "Do Long Memory and Asymmetries Matter When Assessing Downside Return Risk?," Working Papers, Stellenbosch University, Department of Economics, number 06/2015.
• Hooi Hooi Lean & Russell Smyth, 2015, "Testing for weak-form efficiency of crude palm oil spot and future markets: new evidence from a GARCH unit root test with multiple structural breaks," Applied Economics, Taylor & Francis Journals, volume 47, issue 16, pages 1710-1721, April, DOI: 10.1080/00036846.2014.1002905.
• Gianfranco Gianfelice & Giuseppe Marotta & Costanza Torricelli, 2015, "A liquidity risk index as a regulatory tool for systemically important banks? An empirical assessment across two financial crises," Applied Economics, Taylor & Francis Journals, volume 47, issue 2, pages 129-147, January, DOI: 10.1080/00036846.2014.967379.
• Evangelos C. Charalambakis, 2015, "On the Prediction of Corporate Financial Distress in the Light of the Financial Crisis: Empirical Evidence from Greek Listed Firms," International Journal of the Economics of Business, Taylor & Francis Journals, volume 22, issue 3, pages 407-428, November, DOI: 10.1080/13571516.2015.1020131.
• Daniele Girardi, 2015, "Financialization of food . Modelling the time-varying relation between agricultural prices and stock market dynamics," International Review of Applied Economics, Taylor & Francis Journals, volume 29, issue 4, pages 482-505, July, DOI: 10.1080/02692171.2015.1016406.
• Daniël Linders & Jan Dhaene & Wim Schoutens, 2015, "Option Prices and Model-free Measurement of Implied Herd Behavior in Stock Markets," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 15-002/IV/DSF 83, Jan.
• Lin Zhao & Sweder van Wijnbergen, 2015, "Asset Pricing in Incomplete Markets: Valuing Gas Storage Capacity," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 15-104/VI/DSF95, Aug.
• Holmberg, Par & Willems, Bert, 2015, "Relaxing competition through speculation : Committing to a negative supply slope," Other publications TiSEM, Tilburg University, School of Economics and Management, number e39e21c0-d1d3-495e-83c5-b.
• Drelichman, Mauricio & Voth, Hans-Joachim, 2015, "Duplication without Constraints: Alvarez Nogal and Chamley’s Analysis of Debt Policy under Philip II," Economics working papers, Vancouver School of Economics, number mauricio_drelichman-2015-, Sep, revised 02 Sep 2015.
• Drelichman, Mauricio & Hans-Joachim, Voth, 2015, "Returns to Investing in Sovereign Debt: a Response to Alvarez Nogal and Chamley," Economics working papers, Vancouver School of Economics, number mauricio_drelichman-2015-, Sep, revised 02 Sep 2015.
• Mahringer, Steffen & Fuess, Roland & Prokopczuk, Marcel, 2015, "Electricity Market Coupling and the Pricing of Transmission Rights: An Option-based Approach," Working Papers on Finance, University of St. Gallen, School of Finance, number 1512, Jun.
• Mathias Barkhagen & Jörgen Blomvall & Eckhard Platen, 2015, "Recovering the Real-World Density and Liquidity Premia From Option Data," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 363, Sep.
• Benjamin Cheng & Christina Nikitopoulos-Sklibosios & Erik Schlogl, 2015, "Pricing of Long-dated Commodity Derivatives with Stochastic Volatility and Stochastic Interest Rates," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 366, Dec.
• Martina Nardon & Paolo Pianca, 2015, "Probability weighting functions," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2015:29.
• Paweł Sakowski & Robert Ślepaczuk & Mateusz Wywiał, 2015, "Cross-Sectional Returns With Volatility Regimes From Diverse Portfolio of Emerging and Developed Equity Indices," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2015-39, Nov.
• Torben G. Andersen & Nicola Fusari & Viktor Todorov, 2015, "Parametric Inference and Dynamic State Recovery From Option Panels," Econometrica, Econometric Society, volume 83, issue 3, pages 1081-1145, May.
• James D. Hamilton & Jing Cynthia Wu, 2015, "Effects Of Index‐Fund Investing On Commodity Futures Prices," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, volume 56, issue 1, pages 187-205, February, DOI: 10.1111/iere.12099.
• Jaime Casassus & Peng Liu & Ke Tang, 2015, "Maximal Gaussian Affine Models for Multiple Commodities: A Note," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 35, issue 1, pages 75-86, January.
• Minqiang Li & Fabio Mercurio, 2015, "Analytic Approximation of Finite‐Maturity Timer Option Prices," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 35, issue 3, pages 245-273, March.
• Sepideh Dolatabadi & Morten Ørregaard Nielsen & Ke Xu, 2015, "A Fractionally Cointegrated VAR Analysis of Price Discovery in Commodity Futures Markets," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 35, issue 4, pages 339-356, April.
• Jürgen Gaul & Erik Theissen, 2015, "A Partially Linear Approach to Modeling the Dynamics of Spot and Futures Prices," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 35, issue 4, pages 371-384, April.
• Minqiang Li, 2015, "Derivatives Pricing on Integrated Diffusion Processes: A General Perturbation Approach," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 35, issue 6, pages 582-595, June.
• Lucjan T. Orlowski, 2015, "From pit to electronic trading: Impact on price volatility of U.S. Treasury futures," Review of Financial Economics, John Wiley & Sons, volume 25, issue 1, pages 3-9, April, DOI: 10.1016/j.rfe.2015.02.001.
• Daniël Linders & Jan Dhaene & Wim Schoutens, 2015, "Option prices and model-free measurement of implied herd behavior in stock markets," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., volume 2, issue 02, pages 1-35, DOI: 10.1142/S2424786315500127.
• Tristan Guillaume, 2015, "Analytical valuation of autocallable notes," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., volume 2, issue 02, pages 1-23, DOI: 10.1142/S2424786315500164.
• Sharif Mozumder & Ghulam Sorwar & Kevin Dowd, 2015, "Revisiting variance gamma pricing: An application to S&P500 index options," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., volume 2, issue 02, pages 1-24, DOI: 10.1142/S242478631550022X.
• Taiga Saito, 2015, "Self-financing strategy expression in general shape limit order book with market impacts in continuous time," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., volume 2, issue 03, pages 1-19, DOI: 10.1142/S2424786315500346.
• Satoshi Hosokawa & Koichi Matsumoto, 2015, "Pricing interest rate derivatives with model risk," Journal of Financial Engineering (JFE), World Scientific Publishing Co. Pte. Ltd., volume 2, issue 01, pages 1-18, DOI: 10.1142/S2345768615500038.
• Viral V. Acharya & Stephen Schaefer & Yili Zhang, 2015, "Liquidity Risk and Correlation Risk: A Clinical Study of the General Motors and Ford Downgrade of May 2005," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., volume 5, issue 02, pages 1-51, DOI: 10.1142/S2010139215500068.
• Anastasios G Malliaris & William T Ziemba (ed.), 2015, "The World Scientific Handbook of Futures Markets," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 8984, ISBN: ARRAY(0x7c865b80), March.
• George M Constantinides, 2015, "Financial Derivatives:Futures, Forwards, Swaps, Options, Corporate Securities, and Credit Default Swaps," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 9259, ISBN: ARRAY(0x7ca3a588), March.
• Paul A. Samuelson, 2015, "Proof that Properly Anticipated Prices Fluctuate Randomly," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 2, in: Anastasios G Malliaris & William T Ziemba, "THE WORLD SCIENTIFIC HANDBOOK OF FUTURES MARKETS".
• Benoit Mandelbrot, 2015, "The Variation of Certain Speculative Prices," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 3, in: Anastasios G Malliaris & William T Ziemba, "THE WORLD SCIENTIFIC HANDBOOK OF FUTURES MARKETS".
• Eugene F. Fama & Kenneth R. French, 2015, "Commodity Futures Prices: Some Evidence on Forecast Power, Premiums, and the Theory of Storage," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 4, in: Anastasios G Malliaris & William T Ziemba, "THE WORLD SCIENTIFIC HANDBOOK OF FUTURES MARKETS".
• Ramaprasad Bhar & A. G. Malliaris, 2015, "Volume and Volatility in Foreign Currency Futures Markets," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 5, in: Anastasios G Malliaris & William T Ziemba, "THE WORLD SCIENTIFIC HANDBOOK OF FUTURES MARKETS".
• Claude B. Erb & Campbell R. Harvey, 2015, "The Strategic and Tactical Value of Commodity Futures," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 6, in: Anastasios G Malliaris & William T Ziemba, "THE WORLD SCIENTIFIC HANDBOOK OF FUTURES MARKETS".
• Robert S. Steigerwald, 2015, "Central Counterparty Clearing and Systemic Risk Regulation," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 7, in: Anastasios G Malliaris & William T Ziemba, "THE WORLD SCIENTIFIC HANDBOOK OF FUTURES MARKETS".
• Barbara J. Mack, 2015, "The Fast Track to the Futures: Technological Innovation, Market Microstructure, Market Participants, and the Regulation of High-Frequency Trading," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 8, in: Anastasios G Malliaris & William T Ziemba, "THE WORLD SCIENTIFIC HANDBOOK OF FUTURES MARKETS".
• Paul E. Peterson & Jin Wook Choi, 2015, "Agricultural Futures Markets," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 9, in: Anastasios G Malliaris & William T Ziemba, "THE WORLD SCIENTIFIC HANDBOOK OF FUTURES MARKETS".
• Raj Aggarwal & Brian Lucey & Fergal O'Connor, 2015, "World Metal Markets," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 10, in: Anastasios G Malliaris & William T Ziemba, "THE WORLD SCIENTIFIC HANDBOOK OF FUTURES MARKETS".
• Bluford H. Putnam, 2015, "Interest Rate Futures: Elements of a Successful Financial Innovation," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 11, in: Anastasios G Malliaris & William T Ziemba, "THE WORLD SCIENTIFIC HANDBOOK OF FUTURES MARKETS".
• Tim Weithers, 2015, "Currency Futures," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 12, in: Anastasios G Malliaris & William T Ziemba, "THE WORLD SCIENTIFIC HANDBOOK OF FUTURES MARKETS".
• Betty Simkins & Yuecheng Jia, 2015, "Energy Futures Markets," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 13, in: Anastasios G Malliaris & William T Ziemba, "THE WORLD SCIENTIFIC HANDBOOK OF FUTURES MARKETS".
• Tom Nohel & Steven K. Todd, 2015, "Volatility as an Asset Class," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 14, in: Anastasios G Malliaris & William T Ziemba, "THE WORLD SCIENTIFIC HANDBOOK OF FUTURES MARKETS".
• Jin Wook Choi & Jin Man Lee, 2015, "Housing Futures Markets," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 15, in: Anastasios G Malliaris & William T Ziemba, "THE WORLD SCIENTIFIC HANDBOOK OF FUTURES MARKETS".
• Fotis Giannakoulis & Nikos Gavriilidis & Nikolas Arachovas, 2015, "Freight Futures Markets," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 16, in: Anastasios G Malliaris & William T Ziemba, "THE WORLD SCIENTIFIC HANDBOOK OF FUTURES MARKETS".
• Eirini Konstantinidi & Gkaren Papazian & George Skiadopoulos, 2015, "Modeling the Dynamics of Temperature with a View to Weather Derivatives," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 17, in: Anastasios G Malliaris & William T Ziemba, "THE WORLD SCIENTIFIC HANDBOOK OF FUTURES MARKETS".
• Paolo Falbo & Daniele Felletti & Silvana Stefani, 2015, "Electricity Futures," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 18, in: Anastasios G Malliaris & William T Ziemba, "THE WORLD SCIENTIFIC HANDBOOK OF FUTURES MARKETS".
• Rita l. D'Ecclesia, 2015, "Climate Futures Markets," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 19, in: Anastasios G Malliaris & William T Ziemba, "THE WORLD SCIENTIFIC HANDBOOK OF FUTURES MARKETS".
• Eleftherios I. Thalassinos & Theodoros Stamatopoulos & Pantelis E. Thalassinos, 2015, "The European Sovereign Debt Crisis and the Role of Credit Swaps," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 20, in: Anastasios G Malliaris & William T Ziemba, "THE WORLD SCIENTIFIC HANDBOOK OF FUTURES MARKETS".
• Alexandre Ziegler & William T. Ziemba, 2015, "Returns from Investing in S&P500 Futures Options, 1985–2010," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 21, in: Anastasios G Malliaris & William T Ziemba, "THE WORLD SCIENTIFIC HANDBOOK OF FUTURES MARKETS".
• Sebastien Lleo & William T. Ziemba, 2015, "How to Lose Money in Derivatives: Examples from Hedge Funds and Bank Trading Departments," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 22, in: Anastasios G Malliaris & William T Ziemba, "THE WORLD SCIENTIFIC HANDBOOK OF FUTURES MARKETS".
• W. William Woolsey & Scott Sumner, 2015, "Nominal GDP Futures Contract Targeting," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 23, in: Anastasios G Malliaris & William T Ziemba, "THE WORLD SCIENTIFIC HANDBOOK OF FUTURES MARKETS".
• Ingo Pies & Matthias Georg Will & Thomas Glauben & Sören Prehn, 2015, "The Ethics of Financial Speculation in Futures Markets," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 24, in: Anastasios G Malliaris & William T Ziemba, "THE WORLD SCIENTIFIC HANDBOOK OF FUTURES MARKETS".
• Stefan Trück & Rafal Weron, 2015, "Convenience yields and risk premiums in the EU-ETS - Evidence from the Kyoto commitment period," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/15/03.
• Hoffmann, Steffen, 2015, "Die steueroptimale Anlegerstrategie bei Wertpapieren und die zugehörige Grenzpreisbestimmung," Manuskripte aus den Instituten für Betriebswirtschaftslehre der Universität Kiel, Christian-Albrechts-Universität zu Kiel, Institut für Betriebswirtschaftslehre, number 660.
• Xiao,Tim, 2015, "Is the Jump-Diffusion Model a Good Solution for Credit Risk Modeling? The Case of Convertible Bonds," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, volume 4, issue 1, pages 1-25.
• Mehta, Deepshikha, 2015, "Evidences of Efficient Investment Portfolio in Indian Capital Markets - An Analysis Based on BSE and NSE Indices," EconStor Preprints, ZBW - Leibniz Information Centre for Economics, number 117335, Aug, DOI: 10.6084/m9.figshare.1536453.
• Adaemmer, Philipp & Bohl, Martin T. & Christian, Groß, 2015, "Price Discovery in Thinly Traded Futures Markets: How Thin is Too Thin?," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy, Verein für Socialpolitik / German Economic Association, number 113213.
• 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," Adelaide Economics Working Papers, Adelaide University, School of Economics, 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, undated, "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., undated, "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.
• Carlo Marinelli & Stefano d'Addona, 2015, "Nonparametric estimates of pricing functionals," Papers, arXiv.org, number 1506.06568, Jun, revised Sep 2017.
• Damiano Brigo & Camilla Pisani & Francesco Rapisarda, 2015, "The Multivariate Mixture Dynamics Model: Shifted dynamics and correlation skew," Papers, arXiv.org, number 1512.04741, Dec, revised Oct 2018.
• Valeriy Dudnyk & Ludmila Lozovska, 2015, "Indicator System For Measurement Of Financial And Economic Activities In Public Institutions," Baltic Journal of Economic Studies, Publishing house "Baltija Publishing", volume 1, issue 1, DOI: 10.30525/2256-0742/2015-1-1-81-85.
• Javier Mencía & Enrique Sentana, 2015, "Volatility-related exchange traded assets: an econometric investigation," Working Papers, Banco de España, number 1510, Apr.
• Alfredo Ibáñez, 2015, "Default near-the-default-point: the value of and the distance to default," Working Papers, Banco de España, number 1514, Jun.
• Marco Casiraghi & Marcello Miccoli, 2015, "Risk-adjusted expectations of inflation," Questioni di Economia e Finanza (Occasional Papers), Bank of Italy, Economic Research and International Relations Area, number 286, Jul.
• Sara Cecchetti & Filippo Natoli & Laura Sigalotti, 2015, "Tail comovement in option-implied inflation expectations as an indicator of anchoring," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 1025, Jul.
• Zvika Afik & Ohad Arad & Koresh Galil, 2015, "Using Merton model: an empirical assessment of alternatives," Working Papers, Ben-Gurion University of the Negev, Department of Economics, number 1503.
• Marcin Jaskowski & Michael McAleer, 2015, "Volatility smirk as an externality of agency conflict and growing debt," International Journal of Economic Theory, The International Society for Economic Theory, volume 11, issue 4, pages 389-404, December.
• Michael Chin & Zhuoshi Liu, 2015, "A joint affine model of commodity futures and US Treasury yields," Bank of England Staff Working Paper series, Bank of England, number 526, Mar.
• Marek Raczko, 2015, "Volatility contagion: new evidence from market pricing of volatility risk," Bank of England Staff Working Paper series, Bank of England, number 552, Sep.
• Arzu Uluc, 2015, "Stabilising house prices: the role of housing futures trading," Bank of England Staff Working Paper series, Bank of England, number 559, Oct.
• Jaehun CHOI & Hosung LIM & Rogelio Jr. MERCADO & Cyn-Young PARK, 2015, "Price Discovery and Foreign Participation in Korea's Government Bond Cash and Futures Markets," Working Papers, Economic Research Institute, Bank of Korea, number 2015-8, Mar.
• Hertrich, Markus & Zimmermann, Heinz, 2015, "On the Credibility of the Euro/Swiss Franc Floor: A Financial Market Perspective," Working papers, Faculty of Business and Economics - University of Basel, number 2015/09.
• Philippe Bertrand & Jean-Luc Prigent, 2015, "On Path-Dependent Structured Funds: Complexity Does Not Always Pay (Asian versus Average Performance Funds)," Finance, Presses universitaires de Grenoble, volume 36, issue 2, pages 67-105.
• Roberto Marfè, 2015, "Corporate Fraction and the Equilibrium Term-Structure of Equity Risk," Carlo Alberto Notebooks, Collegio Carlo Alberto, number 409.
• Marina Marena & Andrea Romeo & Patrizia Semeraro, 2015, "Pricing multivariate barrier reverse convertibles with factor-based subordinators," Carlo Alberto Notebooks, Collegio Carlo Alberto, number 439.
• Silvester Van Koten, 2015, "Forward Premia in Electricity Markets: Two Caveats," CERGE-EI Working Papers, The Center for Economic Research and Graduate Education - Economics Institute, Prague, number wp543, Jun.
• Markus LEIPPOLD & Nikola VASILJEVIC, 2015, "Pricing and Disentanglement of American Puts in the Hyper-Exponential Jump-Diffusion Model," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 15-08, Feb, revised Mar 2015.
• Semyon MALAMUD, 2015, "Noisy Arrow-Debreu Equilibria," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 15-09, Feb.
• Sebastian Herrmann & Johannes Muhle-Karbe & Frank Thomas Seifried, 2015, "Hedging with Small Uncertainty Aversion," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 15-19, Jul, revised Apr 2017.
• Peter H. GRUBER & Claudio TEBALDI & Fabio TROJANI, 2015, "The Price of the Smile and Variance Risk Premia," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 15-36, Sep.
• Sebastian Herrmann & Johannes Muhle-Karbe, 2015, "Model Uncertainty, Recalibration, and the Emergence of Delta-Vega Hedging," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 15-52, Nov, revised Jul 2016.
• Javier Mencía & Enrique Sentana, 2015, "Volatility-Related Exchange Traded Assets: An Econometric Investigation," Working Papers, CEMFI, number wp2015_1501, Feb.
• Andrés Mauricio Molina & Jos� Alfredo Jim�nez, 2015, "Valoración de derivados europeos con mixtura de distribuciones Weibull," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID.
• Andrés Mora-Valencia & Germ�n Gonz�lez-Echeverri & Juan Gregorio Solano, 2015, "Opciones reales aplicadas en redes integradas de servicios de salud empleando diferentes métodos de estimación de la volatilidad," Estudios Gerenciales, Universidad Icesi, volume 31, issue 136, pages 287-298.
• Andrés Mora-Valencia & Germa?n Gonza?lez-Echeverri & Juan Gregorio Solano, 2015, "Opciones reales aplicadas en redes integradas de servicios de salud empleando diferentes métodos de estimación de la volatilidad," Estudios Gerenciales, Universidad Icesi, volume 31, issue 136, pages 287-298.
• Julio C. Alonso & Andr�s M. Arcila & Sebasti�n Montenegro, 2015, "¿Estabiliza el FEPA los precios locales del azúcar?," Estudios Gerenciales, Universidad Icesi, issue 04.
• 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.
• Mencía, Javier & Sentana, Enrique, 2015, "Volatility-related exchange traded assets: an econometric investigation," CEPR Discussion Papers, Centre for Economic Policy Research, number 10444, Mar.
• Vestergaard Jensen, Mads & Pedersen, Lasse Heje, 2015, "Early Option Exercise: Never Say Never," CEPR Discussion Papers, Centre for Economic Policy Research, 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 Flow Paradigm," International Journal of Economics and Financial Issues, International Journal of Economics and Financial Issues, volume 5, issue 2, pages 354-364.
• Tanattrin Bunnag, 2015, "Hedging Petroleum Futures with Multivariate GARCH Models," International Journal of Energy Economics and Policy, International Journal of Energy Economics and Policy, 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, International Journal of Energy Economics and Policy, 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, International Journal of Energy Economics and Policy, 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.