Research classified by Journal of Economic Literature (JEL) codes

2015

• 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.

2014

• Jeng-Hong Chen, 2014, "Return Volatility Movements in Spot and Futures Markets: Evidence from Intraday Behavior of the S&P 500 Index," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 8, issue 3, pages 95-107.
• Eduardo Sandoval & Paula Urrutia, 2014, "Zero-Cost Collar Strategy For Chilean Exporters: Black-Scholes Valuation Vs Monte Carlo Simulations, Estrategia Collar Costo Cero Para Exportadores Chilenos. Valuacion De Black-Scholes Vs Simulaciones De Montecarlo," Revista Internacional Administracion & Finanzas, The Institute for Business and Finance Research, volume 7, issue 5, pages 25-40.
• Manuel Munoz Palma & Ezequiel Aviles Ochoa, 2014, "Addition Of The Fuzzy Logic Model To Black-Scholes, For Pricing Mexican Currency Options, La Incorporacion De La Logica Difusa Al Modelo Black-Scholes, Para La Determinacion Del Precio De La Opcion Cambiaria Mexicana," Revista Internacional Administracion & Finanzas, The Institute for Business and Finance Research, volume 7, issue 7, pages 55-73.
• Mark Cummins & Brian M. Lucey & Michael M. Dowling, 2014, "Behavioral Influences in Non-Ferrous Metals Prices," The Institute for International Integration Studies Discussion Paper Series, IIIS, number iiisdp459, Nov.
• Nidhi Aggarwal & Sargam Jain & Susan Thomas, 2014, "Do futures markets help in price discovery and risk management for commodities in India?," Indira Gandhi Institute of Development Research, Mumbai Working Papers, Indira Gandhi Institute of Development Research, Mumbai, India, number 2014-020, Jun.
• Rohini Grover & Ajay Shah, 2014, "The imprecision of volatility indexes," Indira Gandhi Institute of Development Research, Mumbai Working Papers, Indira Gandhi Institute of Development Research, Mumbai, India, number 2014-031, Aug.
• Cassimon, Danny & Engelen, Peter-Jan & Van Liedekerke, Luc, 2014, "When do firms invest in corporate social responsibility? A real option framework," IOB Working Papers, Universiteit Antwerpen, Institute of Development Policy (IOB), number 2014.06, Oct.
• Jaime Casassus & Peng Liu & Ke Tang, 2014, "Maximal Gaussian Affine Models for Multiple Commodities: A Note," Documentos de Trabajo, Instituto de Economia. Pontificia Universidad Católica de Chile., number 456.
• Philippe Bertrand & Jean-luc Prigent, 2014, "On Path-Dependent Structured Funds: Complexity Does Not Always Pay (Asian versus Average Performance Funds)," Working Papers, Department of Research, Ipag Business School, number 2014-348, Jan.
• Alain François-Heude & Ouidad Yous, 2014, "On the liquidity of CAC 40 index options Market," Working Papers, Department of Research, Ipag Business School, number 2014-445, Jan.
• L. Carassus & E. Temam, 2014, "Pricing and hedging basis risk under no good deal assumption," Annals of Finance, Springer, volume 10, issue 1, pages 127-170, February, DOI: 10.1007/s10436-013-0246-1.
• Farzad Fard & Ning Rong, 2014, "Pricing and managing risks of ruin contingent life annuities under regime switching variance gamma process," Annals of Finance, Springer, volume 10, issue 2, pages 315-332, May, DOI: 10.1007/s10436-013-0239-0.
• Francisco Azeredo, 2014, "The equity premium: a deeper puzzle," Annals of Finance, Springer, volume 10, issue 3, pages 347-373, August, DOI: 10.1007/s10436-014-0248-7.
• Takashi Kato & Jun Sekine & Hiromitsu Yamamoto, 2014, "A One-Factor Conditionally Linear Commodity Pricing Model under Partial Information," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, volume 21, issue 2, pages 151-174, May, DOI: 10.1007/s10690-014-9182-y.
• Giovanni Villani, 2014, "Valuation of R&D Investment Opportunities with the Threat of Competitors Entry in Real Option Analysis," Computational Economics, Springer;Society for Computational Economics, volume 43, issue 3, pages 331-355, March, DOI: 10.1007/s10614-013-9370-2.
• Dandan Song & Zhaojun Yang, 2014, "Utility-Based Pricing, Timing and Hedging of an American Call Option Under an Incomplete Market with Partial Information," Computational Economics, Springer;Society for Computational Economics, volume 44, issue 1, pages 1-26, June, DOI: 10.1007/s10614-013-9382-y.
• Dirk Broeders & Paul Hilbers & David Rijsbergen & Ningli Shen, 2014, "What Drives Pension Indexation in Turbulent Times? An Empirical Examination of Dutch Pension Funds," De Economist, Springer, volume 162, issue 1, pages 41-70, March, DOI: 10.1007/s10645-014-9223-y.
• Peidong Guo & Qihong Chen & Xicai Guo & Yue Fang, 2014, "Path-dependent game options: a lookback case," Review of Derivatives Research, Springer, volume 17, issue 1, pages 113-124, April, DOI: 10.1007/s11147-013-9092-6.
• Yalin Gündüz & Marliese Uhrig-Homburg, 2014, "Does modeling framework matter? A comparative study of structural and reduced-form models," Review of Derivatives Research, Springer, volume 17, issue 1, pages 39-78, April, DOI: 10.1007/s11147-013-9090-8.
• Akira Yamazaki, 2014, "Pricing average options under time-changed Lévy processes," Review of Derivatives Research, Springer, volume 17, issue 1, pages 79-111, April, DOI: 10.1007/s11147-013-9091-7.
• Gonçalo Faria & João Correia-da-Silva, 2014, "A closed-form solution for options with ambiguity about stochastic volatility," Review of Derivatives Research, Springer, volume 17, issue 2, pages 125-159, July, DOI: 10.1007/s11147-014-9097-9.
• Ron Chan & Simon Hubbert, 2014, "Options pricing under the one-dimensional jump-diffusion model using the radial basis function interpolation scheme," Review of Derivatives Research, Springer, volume 17, issue 2, pages 161-189, July, DOI: 10.1007/s11147-013-9095-3.
• Marcos Escobar & Peter Hieber & Matthias Scherer, 2014, "Efficiently pricing double barrier derivatives in stochastic volatility models," Review of Derivatives Research, Springer, volume 17, issue 2, pages 191-216, July, DOI: 10.1007/s11147-013-9094-4.
• Ming-Hsien Chen & Vivian Tai, 2014, "The price discovery of day trading activities in futures market," Review of Derivatives Research, Springer, volume 17, issue 2, pages 217-239, July, DOI: 10.1007/s11147-014-9096-x.
• Luiz Vitiello & Ser-Huang Poon, 2014, "Non-monotonic pricing kernel and an extended class of mixture of distributions for option pricing," Review of Derivatives Research, Springer, volume 17, issue 2, pages 241-259, July, DOI: 10.1007/s11147-013-9093-5.
• Panayiotis Andreou & Chris Charalambous & Spiros Martzoukos, 2014, "Assessing the performance of symmetric and asymmetric implied volatility functions," Review of Quantitative Finance and Accounting, Springer, volume 42, issue 3, pages 373-397, April, DOI: 10.1007/s11156-013-0346-z.
• Jitka Hilliard & Wei Li, 2014, "Volatilities implied by price changes in the S&P 500 options and futures contracts," Review of Quantitative Finance and Accounting, Springer, volume 42, issue 4, pages 599-626, May, DOI: 10.1007/s11156-013-0354-z.
• Massimo Costabile & Arturo Leccadito & Ivar Massabó & Emilio Russo, 2014, "A reduced lattice model for option pricing under regime-switching," Review of Quantitative Finance and Accounting, Springer, volume 42, issue 4, pages 667-690, May, DOI: 10.1007/s11156-013-0357-9.
• Fernando Antonio Lucena Aiube & Tara Keshar Nanda Baidya, 2014, "Analysis of the Behavior of Volatility in Crude Oil Price," Journal of Economic and Financial Studies (JEFS), LAR Center Press, volume 2, issue 1, pages 64-72, February.
• Jalali-Naini, Ahmad-Reza & Naderian, Mohammad-Amin, 2014, "Social Value of Information and Optimal Communication Policy of Central Banks," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, volume 9, issue 3, pages 31-57, April.
• Frédéric Délèze & Syed Mujahid Hussain, 2014, "Information Arrival, Jumps and Cojumps in European Financial Markets: Evidence Using Tick by Tick Data," Multinational Finance Journal, Multinational Finance Journal, volume 18, issue 3-4, pages 169-213, September.
• Siemroth, Christoph, 2014, "Why prediction markets work : the role of information acquisition and endogenous weighting," Working Papers, University of Mannheim, Department of Economics, number 14-29.
• Andrea Cipollini & Iolanda Lo Cascio & Silvia Muzzioli, 2014, "Volatility risk premia and financial connectedness," Department of Economics, University of Modena and Reggio E., Faculty of Economics "Marco Biagi", number 0047, Dec.
• Andrea Cipollini & Iolanda Lo Cascio & Silvia Muzzioli, 2014, "Volatility risk premia and financial connectedness," Center for Economic Research (RECent), University of Modena and Reggio E., Dept. of Economics "Marco Biagi", number 109, Dec.
• Ercan Özen & Özdemir Letife & Simon Grima & Frank Bezzina, 2014, "Investigating Causality Effects in Return Volatility among Five Major Futures Markets in European Countries with a Mediterranean Connection," Journal of Financial Management, Markets and Institutions, Società editrice il Mulino, issue 2, pages 207-220, December.
• Mendoza Sandoval Sergio & Cruz Ake Salvador & Venegas Martínez Francisco, 2014, "Valuación con opciones reales de proyectos con flujos correlacionados con fundamentales económicos y con saltos extremos Viabilidad del caso COMERCI UCB," Contaduría y Administración, Accounting and Management, volume 59, issue 1, pages 63-93, enero-mar.
• Dariusz Gatarek & Juliusz Jabłecki, 2014, "Estimating the risk of joint defaults: an application to central bank collateralized lending operations," NBP Working Papers, Narodowy Bank Polski, number 181.
• James D. Hamilton & Jing Cynthia Wu, 2014, "Effects of Index-Fund Investing on Commodity Futures Prices," NBER Working Papers, National Bureau of Economic Research, Inc, number 19892, Feb.
• Yehuda Izhakian & David Yermack, 2014, "Risk, Ambiguity, and the Exercise of Employee Stock Options," NBER Working Papers, National Bureau of Economic Research, Inc, number 19975, Mar.
• Jaewon Choi & Matthew P. Richardson & Robert F. Whitelaw, 2014, "On the Fundamental Relation Between Equity Returns and Interest Rates," NBER Working Papers, National Bureau of Economic Research, Inc, number 20187, Jun.
• Christopher L. Culp & Yoshio Nozawa & Pietro Veronesi, 2014, "Option-Based Credit Spreads," NBER Working Papers, National Bureau of Economic Research, Inc, number 20776, Dec.
• Secomandi, Nicola & Seppi, Duane J., 2014, "Real Options and Merchant Operations of Energy and Other Commodities," Foundations and Trends(R) in Technology, Information and Operations Management, now publishers, volume 6, issue 3-4, pages 161-331, July, DOI: 10.1561/0200000024.
• Peter Carr & Liuren Wu, 2014, "Static Hedging of Standard Options," Journal of Financial Econometrics, Oxford University Press, volume 12, issue 1, pages 3-46.
• Thomas Gilbert & Christopher Hrdlicka & Jonathan Kalodimos & Stephan Siegel, 2014, "Daily Data is Bad for Beta: Opacity and Frequency-Dependent Betas," The Review of Asset Pricing Studies, Society for Financial Studies, volume 4, issue 1, pages 78-117.
• Bruno Feunou & Jean-Sébastien Fontaine & Abderrahim Taamouti & Roméo Tédongap, 2014, "Risk Premium, Variance Premium, and the Maturity Structure of Uncertainty," Review of Finance, European Finance Association, volume 18, issue 1, pages 219-269.
• Victor Stango & Jonathan Zinman, 2014, "Limited and Varying Consumer Attention: Evidence from Shocks to the Salience of Bank Overdraft Fees," The Review of Financial Studies, Society for Financial Studies, volume 27, issue 4, pages 990-1030.
• Jamshed Y. Uppal & Syeda Rabab Mudakkar, 2014, "Mitigating Vulnerability to Oil Price Risk— Applicability of Risk Models to Pakistan’s Energy Problem," The Pakistan Development Review, Pakistan Institute of Development Economics, volume 53, issue 3, pages 293-308.
• Hernández, Juan R., 2014, "Peso-Dollar Forward Market Analysis: Explaining Arbitrage Opportunities during the Financial Crisis," MPRA Paper, University Library of Munich, Germany, number 100653.
• Molina Barreto, Andrés Mauricio & Jiménez Moscoso, José Alfredo, 2014, "Valoración de derivados europeos con mixtura de distribuciones Weibull
  [Valuation for European derivatives with mixture-Weibull distributions]," MPRA Paper, University Library of Munich, Germany, number 118572, Mar, revised 08 Aug 2014.
• Li, Minqiang, 2014, "Derivatives Pricing on Integrated Diffusion Processes: A General Perturbation Approach," MPRA Paper, University Library of Munich, Germany, number 54595, Mar.
• Li, Minqiang, 2014, "Analytic Approximation of Finite-Maturity Timer Option Prices," MPRA Paper, University Library of Munich, Germany, number 54597, Mar.
• Venegas-Martínez, Francisco, 2014, "Entendiendo los mercados de swaps: Un enfoque de equilibrio general
  [Understanding Swaps Markets: A General Equilibrium Approach]," MPRA Paper, University Library of Munich, Germany, number 54848, Mar.
• Karkowska, Renata, 2014, "Is the Central and Eastern European banking systems stable? Evidence from the recent financial crisis," MPRA Paper, University Library of Munich, Germany, number 58803, Jan.
• Lean, Hooi Hooi & Smyth, Russell, 2014, "Testing for weak-form efficiency of Crude Palm Oil Spot and Futures Markets: New Evidence from a GARCH Unit Root Test with Multiple Structural Breaks," MPRA Paper, University Library of Munich, Germany, number 59121, Oct.
• Siddiqi, Hammad, 2014, "Analogy Making and the Structure of Implied Volatility Skew," MPRA Paper, University Library of Munich, Germany, number 60921, Oct.
• Almanzar, Miguel & Torero, Maximo & von Grebmer, Klaus, 2014, "Futures Commodities Prices and Media Coverage," MPRA Paper, University Library of Munich, Germany, number 61327.
• Soundararajan, Pushparaj & Suresh, Vidya, 2014, "Does a Speculative Trade in Food Commodities Influence Food Price Inflation in India?," MPRA Paper, University Library of Munich, Germany, number 62521, Dec.
• Siddiqi, Hammad, 2014, "Anchoring Heuristic in Option Prices," MPRA Paper, University Library of Munich, Germany, number 66018, Jan, revised 15 Jul 2015.
• Gomez-Ruano, Gerardo, 2014, "Should Central Banks Take On Credit-Risk?," MPRA Paper, University Library of Munich, Germany, number 93633.
• John W. Muteba Mwamba & Shawkat Hammoudeh & Rangan Gupta, 2014, "Financial Tail Risks and the Shapes of the Extreme Value Distribution: A Comparison between Conventional and Sharia-Compliant Stock Indexes," Working Papers, University of Pretoria, Department of Economics, number 201480, Dec.
• Jan Vlachý, 2014, "Empirická analýza obchodování s opcemi na akcie Škodových závodů 1928-1938
  [An Empirical Analysis of Škoda Co. Equity Options Trading 1928-1938]," Politická ekonomie, Prague University of Economics and Business, volume 2014, issue 5, pages 645-661, DOI: 10.18267/j.polek.974.
• Rainer Masera, 2014, "CRR/CRD IV: the trees and the forest," PSL Quarterly Review, Economia civile, volume 67, issue 271, pages 381-422.
• Sepideh Dolatabadi & Ke Xu & Morten Ø. Nielsen, 2014, "A Fractionally Cointegrated Var Analysis Of Price Discovery In Commodity Futures Markets," Working Paper, Economics Department, Queen's University, number 1328, Jul.
• George Kapetanios & Michael Neumann & George Skiadopoulos, 2014, "Jumps in Option Prices and Their Determinants: Real-time Evidence from the E-mini S&P 500 Option Market," Working Papers, Queen Mary University of London, School of Economics and Finance, number 730, Oct.
• Costas Lambrinoudakis & Michael Neumann & George Skiadopoulos, 2014, "Capital Structure and Financial Flexibility: Expectations of Future Shocks," Working Papers, Queen Mary University of London, School of Economics and Finance, number 731, Oct.
• Eirini Konstantinidi & George Skiadopoulos, 2014, "How Does the Market Variance Risk Premium Vary over Time? Evidence from S&P 500 Variance Swap Investment Returns," Working Papers, Queen Mary University of London, School of Economics and Finance, number 732, Oct.
• Francisco Venegas Martinez & Francisco Lopez Herrera & Ambrosio Ortiz Ramirez, 2014, "Decisiones de consumo y portafolio con un nivel de confianza sobre la riqueza final en un horizonte finito de planeacion: Evidencia empirica," EconoQuantum, Revista de Economia y Finanzas, Universidad de Guadalajara, Centro Universitario de Ciencias Economico Administrativas, Departamento de Metodos Cuantitativos y Maestria en Economia., volume 11, issue 2, pages 100-147, Julio-Dic.
• Adam Clements & Neda Todorova, 2014, "The impact of information flow and trading activity on gold and oil futures volatility," NCER Working Paper Series, National Centre for Econometric Research, number 102, Jun.
• Vincent Lacoste & Pierre Six, 2014, "A Partial Equilibrium Model of the Convenience Yield Risk Premium of Storable Commodities," Bankers, Markets & Investors, ESKA Publishing, issue 130, pages 24-40, May-June.
• Juan C. Arismendi & Marcel Prokopczuk, 2014, "An Analytic Approximation of the Implied Risk-Neutral Density of American Multi-Asset Options," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2014-07, Aug.
• Chris Brooks & Adrian Fernandez-Perez & Joëlle Miffre & Ogonna Nneji, 2014, "Commodity Risk Factors and the Cross-Section of Equity Returns," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2014-09, Sep.
• Amir Alizadeh & Konstantina Kappou & Dimitris Tsouknidis & Ilias Visvikis, 2014, "Liquidity Risk Premia in the International Shipping Derivatives Market," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2014-15, Dec.
• Christian A. Conrad, 2014, "Commodity and Food Speculation, Is There a Need for Regulation? A Discussion of the International Research," Applied Economics and Finance, Redfame publishing, volume 1, issue 2, pages 58-64, November.
• Dinica, Mihai Cristian & Armeanu, Daniel, 2014, "The Optimal Hedging Ratio for Non-Ferrous Metals," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 1, pages 105-122, March.
• Moisa Altar & Adam-Nelu Altar-Samuel & Ioana Marcu, 2014, "Measuring Systemic Risk using Contingent Claims Analysis (CCA)," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 4, pages 22-48, December.
• Chris van Heerden & Frans Dreyer & Susari Geldenhuys, 2014, "Timing a Hedge Decision: The Development of a Composite Technical Indicator for White Maize," ERSA Working Paper Series, Economic Research Southern Africa, number 423, Feb.
• Sirimon Treepongkaruna & Tim Brailsford & Stephen Gray, 2014, "Explaining the bid-ask spread in the foreign exchange market: A test of alternate models," Australian Journal of Management, Australian School of Business, volume 39, issue 4, pages 573-591, November, DOI: 10.1177/0312896213499028.
• Semih Yon & Cafer Erhan Bozdag, 2014, "Test of Log-Normal Process with Importance Sampling for Options Pricing," Proceedings of Economics and Finance Conferences, International Institute of Social and Economic Sciences, number 0401571, Jul.
• Climent Hernández, José Antonio, 2014, "La ecuación de segundo grado en la estimación de parámetros de la martingala y la valuación de opciones americanas a través de la programación dinámica estocástica / The quadratic equation in the parameter estimation of the riskless probability and t," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, volume 4, issue 2, pages 155-190, julio-dic.
• Cyril Monnet & Thomas Nellen, 2014, "The Collateral Costs of Clearing," Working Papers, Swiss National Bank, number 2014-04.
• Kit Wong, 2014, "Hedging and the competitive firm under correlated price and background risk," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 37, issue 2, pages 329-340, October, DOI: 10.1007/s10203-012-0137-3.
• Romuald Kenmoe & Simona Sanfelici, 2014, "An application of nonparametric volatility estimators to option pricing," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 37, issue 2, pages 393-412, October, DOI: 10.1007/s10203-013-0150-1.
• Kit Wong, 2014, "Production and hedging in futures markets with multiple delivery specifications," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 37, issue 2, pages 413-421, October, DOI: 10.1007/s10203-013-0152-z.
• Xianzhe Chen & Weidong Tian, 2014, "Optimal portfolio choice and consistent performance," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 37, issue 2, pages 453-474, October, DOI: 10.1007/s10203-013-0154-x.
• Chau Le & Dickinson David, 2014, "Asset price volatility and financial contagion: analysis using the MS-VAR framework," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, volume 4, issue 2, pages 133-162, December, DOI: 10.1007/s40822-014-0009-y.
• Seokchin Kim & Cheolho Park & Youngjun Yun, 2014, "Hedging with mini gold futures: evidence from Korea," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, volume 4, issue 2, pages 163-176, December, DOI: 10.1007/s40822-014-0012-3.
• Yan Dolinsky & H. Soner, 2014, "Robust hedging with proportional transaction costs," Finance and Stochastics, Springer, volume 18, issue 2, pages 327-347, April, DOI: 10.1007/s00780-014-0227-x.
• Kun Gao & Roger Lee, 2014, "Asymptotics of implied volatility to arbitrary order," Finance and Stochastics, Springer, volume 18, issue 2, pages 349-392, April, DOI: 10.1007/s00780-013-0223-6.
• Koichiro Takaoka & Martin Schweizer, 2014, "A note on the condition of no unbounded profit with bounded risk," Finance and Stochastics, Springer, volume 18, issue 2, pages 393-405, April, DOI: 10.1007/s00780-014-0229-8.
• Fred Benth & Jukka Lempa, 2014, "Optimal portfolios in commodity futures markets," Finance and Stochastics, Springer, volume 18, issue 2, pages 407-430, April, DOI: 10.1007/s00780-013-0224-5.
• Lijun Bo & Agostino Capponi, 2014, "Bilateral credit valuation adjustment for large credit derivatives portfolios," Finance and Stochastics, Springer, volume 18, issue 2, pages 431-482, April, DOI: 10.1007/s00780-013-0217-4.
• Vicky Henderson & Gechun Liang, 2014, "Pseudo linear pricing rule for utility indifference valuation," Finance and Stochastics, Springer, volume 18, issue 3, pages 593-615, July, DOI: 10.1007/s00780-014-0235-x.
• Jakob Söhl, 2014, "Confidence sets in nonparametric calibration of exponential Lévy models," Finance and Stochastics, Springer, volume 18, issue 3, pages 617-649, July, DOI: 10.1007/s00780-014-0228-9.
• Maxim Bichuch, 2014, "Pricing a contingent claim liability with transaction costs using asymptotic analysis for optimal investment," Finance and Stochastics, Springer, volume 18, issue 3, pages 651-694, July, DOI: 10.1007/s00780-014-0233-z.
• Teemu Pennanen, 2014, "Optimal investment and contingent claim valuation in illiquid markets," Finance and Stochastics, Springer, volume 18, issue 4, pages 733-754, October, DOI: 10.1007/s00780-014-0240-0.
• Agostino Capponi & Stefano Pagliarani & Tiziano Vargiolu, 2014, "Pricing vulnerable claims in a Lévy-driven model," Finance and Stochastics, Springer, volume 18, issue 4, pages 755-789, October, DOI: 10.1007/s00780-014-0239-6.
• Jörn Sass & Martin Smaga, 2014, "FTAP in finite discrete time with transaction costs by utility maximization," Finance and Stochastics, Springer, volume 18, issue 4, pages 805-823, October, DOI: 10.1007/s00780-014-0241-z.
• Curdin Ott, 2014, "Bottleneck options," Finance and Stochastics, Springer, volume 18, issue 4, pages 845-872, October, DOI: 10.1007/s00780-013-0222-7.
• Anders Grosen & Pernille Jessen & Thomas Kokholm, 2014, "An asset protection scheme for banks exposed to troubled loan portfolios," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 38, issue 4, pages 568-588, October, DOI: 10.1007/s12197-012-9233-z.
• Takeshi Inoue & Shigeyuki Hamori, 2014, "Market efficiency of commodity futures in India," Applied Economics Letters, Taylor & Francis Journals, volume 21, issue 8, pages 522-527, May, DOI: 10.1080/13504851.2013.872751.
• Jan Baldeaux & Alexander Badran, 2014, "Consistent Modelling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model," Applied Mathematical Finance, Taylor & Francis Journals, volume 21, issue 4, pages 299-312, September, DOI: 10.1080/1350486X.2013.868631.
• Saurabh Ghosh, 2014, "Volatility spillover in the foreign exchange market: the Indian experience," Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals, volume 7, issue 1, pages 175-194, March, DOI: 10.1080/17520843.2013.856334.
• Petter Bjerksund & Gunnar Stensland, 2014, "Closed form spread option valuation," Quantitative Finance, Taylor & Francis Journals, volume 14, issue 10, pages 1785-1794, October, DOI: 10.1080/14697688.2011.617775.
• Noussair, C.N. & Tucker, S. & Xu, Yilong, 2014, "A Future Market Reduces Bubbles but Allows Greater Profit for More Sophisticated Traders," Discussion Paper, Tilburg University, Center for Economic Research, number 2014-051.
• Noussair, C.N. & Tucker, S. & Xu, Yilong, 2014, "A Future Market Reduces Bubbles but Allows Greater Profit for More Sophisticated Traders," Other publications TiSEM, Tilburg University, School of Economics and Management, number 43ded173-9eee-48a4-8a15-6.
• Marcelo Bianconi & Scott MacLachlan & Marco Sammon, 2014, "Implied Volatility and the Risk-Free Rate of Return in Options Markets," Discussion Papers Series, Department of Economics, Tufts University, Department of Economics, Tufts University, number 0777.
• Elisa Alòs & Yan Yang, 2014, "A closed-form option pricing approximation formula for a fractional Heston model," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 1446, Oct.
• D. Cassimon & P.J. Engelen & L. Liedekerke, 2014, "When Do Firms Invest in Corporate Social Responsibility?: A Real Option Framework," Working Papers, Utrecht School of Economics, number 14-06.
• Audrino, Francesco & Huitema, Robert & Ludwig, Markus, 2014, "An Empirical Analysis of the Ross Recovery Theorem," Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science, number 1411, May.
• Adams, Zeno & Glueck, Thorsten, 2014, "Financialization in Commodity Markets: A Passing Trend or the New Normal?," Working Papers on Finance, University of St. Gallen, School of Finance, number 1413, Jun, revised Aug 2015.
• Daniele Girardi, 2014, "Explaining the time-varying relation between agricultural prices and stock market dynamics," Department of Economics University of Siena, Department of Economics, University of Siena, number 701, Oct.
• Yang Chang & Erik Schlogl, 2014, "A Consistent Framework for Modelling Basis Spreads in Tenor Swaps," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 348, May.
• David Heath & Eckhard Platen, 2014, "A Monte Carlo Method using PDE Expansions for a Diversifed Equity Index Model," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 350, Aug.
• Roberto Casarin & Fabrizio Leisen & German Molina & Enrique Ter Horst, 2014, "A Bayesian Beta Markov Random Field calibration of the term structure of implied risk neutral densities," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2014:22.
• Martina Nardon & Paolo Pianca, 2014, "European option pricing with constant relative sensitivity probability weighting function," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2014:25.
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• Leh-Chyan So, 2014, "Are Real Options "Real"? Isolating Uncertainty From Risk In Real Options Analysis," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., volume 9, issue 01, pages 1-18, DOI: 10.1142/S2010495214500018.
• Tumellano Sebehela, 2014, "The "Delta" Of The Margrabe Formula," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., volume 9, issue 03, pages 1-19, DOI: 10.1142/S2010495214500079.
• Weiping Li & Su Chen, 2014, "Pricings and hedgings of the perpetual Russian options," Journal of Financial Engineering (JFE), World Scientific Publishing Co. Pte. Ltd., volume 1, issue 01, pages 1-22, DOI: 10.1142/S2345768614500111.
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• Heidorn, Thomas & Mokinski, Frieder & Rühl, Christoph & Schmaltz, Christian, 2014, "The impact of fundamental and financial traders on the term structure of oil," Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management, number 209.
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• da Silva, Paulo Pereira & Rebelo, Paulo Tomaz & Afonso, Cristina, 2014, "Tail dependence of financial stocks and CDS markets: Evidence using copula methods and simulation-based inference," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy, volume 8, pages 1-27, DOI: 10.5018/economics-ejournal.ja.2014-.
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• Chao, Shih-kang & Härdle, Wolfgang Karl & Hien, Pham-thu, 2014, "Credit risk calibration based on CDS spreads," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2014-026.
• Eickholt, Mathias & Entrop, Oliver & Wilkens, Marco, 2014, "Individual investors and suboptimal early exercises in the fixed-income market," Passauer Diskussionspapiere, Betriebswirtschaftliche Reihe, University of Passau, Faculty of Business and Economics, number 14.
• Giuseppe Cavaliere & Morten Ørregaard Nielsen & A.M. Robert Taylor, 2014, "Bootstrap Score Tests for Fractional Integration in Heteroskedastic ARFIMA Models, with an Application to Price Dynamics in Commodity Spot and Futures Markets," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2014-22, Aug.
• Sepideh Dolatabadi & Morten Ørregaard Nielsen & Ke Xu, 2014, "A fractionally cointegrated VAR analysis of price discovery in commodity futures markets," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2014-24, Jul.
• Peter Christoffersen & Asger Lunde & Kasper V. Olesen, 2014, "Factor Structure in Commodity Futures Return and Volatility," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2014-31, Sep.
• Peter Christoffersen & Xuhui (Nick) Pan, 2014, "Oil Volatility Risk and Expected Stock Returns," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2015-06, Dec.
• Ryan Kellogg, 2014, "The Effect of Uncertainty on Investment: Evidence from Texas Oil Drilling," American Economic Review, American Economic Association, volume 104, issue 6, pages 1698-1734, June.
• Yeon-Koo Che & Rajiv Sethi, 2014, "Credit Market Speculation and the Cost of Capital," American Economic Journal: Microeconomics, American Economic Association, volume 6, issue 4, pages 1-34, November.
• Woradee Jongadsayakul, 2014, "Determinants of the Gold Futures Price Volatility: The Case of Thailand Futures Exchange," Applied Economics Journal, Kasetsart University, Faculty of Economics, Center for Applied Economic Research, volume 21, issue 1, pages 59-78, June.
• Werner, Dan, 2014, "Electricity Market Price Volatility: The Importance of Ramping Costs," 2014 Annual Meeting, July 27-29, 2014, Minneapolis, Minnesota, Agricultural and Applied Economics Association, number 169619, DOI: 10.22004/ag.econ.169619.
• Du, Xiaodong & Dong, Fengxia, 2014, "Heterogeneous Responses to Market Information and The Impact on Price Volatility and Trading Volume: The Case of Class III Milk Futures," 2014 Annual Meeting, July 27-29, 2014, Minneapolis, Minnesota, Agricultural and Applied Economics Association, number 169769, DOI: 10.22004/ag.econ.169769.
• Xu, Xiaojie, 2014, "Price Discovery in U.S. Corn Cash and Futures Markets: The Role of Cash Market Selection," 2014 Annual Meeting, July 27-29, 2014, Minneapolis, Minnesota, Agricultural and Applied Economics Association, number 169809, DOI: 10.22004/ag.econ.169809.
• Cordier, Jean & Gohin, Alexandre, 2014, "Quel impact des nouveaux spéculateurs sur les prix agricoles ? Une analyse empirique des fonds d’investissement," Économie rurale, French Society of Rural Economics (SFER Société Française d'Economie Rurale), volume 343, issue September.
• Prehn, Sören & Glauben, Thomas & Loy, Jens-Peter & Pies, Ingo & Will, Matthias Georg, 2014, "The impact of long-only index funds on price discovery and market performance in agricultural futures markets," IAMO Discussion Papers, Institute of Agricultural Development in Transition Economies (IAMO), number 169081, DOI: 10.22004/ag.econ.169081.
• Wolf, Christopher A. & Widmar, Nicole J. Olynk, 2014, "Adoption of Milk and Feed Forward Pricing Methods by Dairy Farmers," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, volume 46, issue 4, pages 1-14, November, DOI: 10.22004/ag.econ.189100.
• Dolatabadi, Sepideh & ßrregaard Nielsen, Morten & Xu, Ke, 2014, "A fractionally cointegrated VAR analysis of price discovery in commodity futures markets," Queen's Economics Department Working Papers, Queen's University - Department of Economics, number 274654, Jul, DOI: 10.22004/ag.econ.274654.
• Silveira, Rodrigo Lanna Franco da & Maciel, Leandro & Ballini, Rosangela, None, "Derivativos sobre Commodities Influenciam a Volatilidade dos Preços à Vista? Uma análise nos mercados de boi gordo e café arábica no Brasil," Brazilian Journal of Rural Economy and Sociology (Revista de Economia e Sociologia Rural-RESR), Sociedade Brasileira de Economia e Sociologia Rural, volume 52, issue 3, pages 1-20, DOI: 10.22004/ag.econ.211665.
• Siddiqi, Hammad, 2014, "Mental Accounting: A New Behavioral Explanation of Covered Call Performance," Risk and Sustainable Management Group Working Papers, University of Queensland, School of Economics, number 162567, Jan, DOI: 10.22004/ag.econ.162567.
• Siddiqi, Hammad, 2014, "The Financial Market Consequences of Growing Awareness: The Case of Implied Volatiltiy Skew," Risk and Sustainable Management Group Working Papers, University of Queensland, School of Economics, number 162568, Jan, DOI: 10.22004/ag.econ.162568.
• Siddiqi, Hammad, , "Analogy Making and the Puzzles of Index Option Returns and Implied Volatility Skew: Theory and Empirical Evidence," Risk and Sustainable Management Group Working Papers, University of Queensland, School of Economics, number 177302, DOI: 10.22004/ag.econ.177302.
• Siddiqi, Hammad, 2014, "Analogy Making and the Structure of Implied Volatility Skew," Risk and Sustainable Management Group Working Papers, University of Queensland, School of Economics, number 187407, Oct, DOI: 10.22004/ag.econ.187407.
• Lect. Raducu Stefan BRATU, PhD & Assist.Lect. Sorin Marius TUDOR, PhD, 2014, "The Growing Importance Of Capital Market Derivatives In Romania And Their Impact In The European Economy," Revista Tinerilor Economisti (The Young Economists Journal), University of Craiova, Faculty of Economics and Business Administration, volume 1, issue 23, pages 101-108, November.
• Stuart M. Turnbull, 2014, "Counterparty Risk: A Review," Annual Review of Financial Economics, Annual Reviews, volume 6, issue 1, pages 241-258, December.
• Jérôme Detemple, 2014, "Optimal Exercise for Derivative Securities," Annual Review of Financial Economics, Annual Reviews, volume 6, issue 1, pages 459-487, December.
• Vicky Henderson & Gechun Liang, 2014, "Pseudo Linear Pricing Rule for Utility Indifference Valuation," Papers, arXiv.org, number 1403.7830, Mar.
• Roberto Casarin & Fabrizio Leisen & German Molina & Enrique ter Horst, 2014, "A Bayesian Beta Markov Random Field Calibration of the Term Structure of Implied Risk Neutral Densities," Papers, arXiv.org, number 1409.1956, Sep.
• Gianluca Cassese, 2014, "Asset Pricing in an Imperfect World," Papers, arXiv.org, number 1410.6408, Oct.
• Thiagu Ranganathan & Sarthak Gaurav & Ashish Singh, 2014, "Using choice experiments, we estimate the willingness to pay for price insurance among cotton and paddy farmers in the Indian state of Gujarat. We also identify the interactions between the demand for price insurance and the existing informal and for," IEG Working Papers, Institute of Economic Growth, number 340.
• Ron Alquist & Gregory Bauer & Antonio Diez de los Rios, 2014, "What Does the Convenience Yield Curve Tell Us about the Crude Oil Market?," Staff Working Papers, Bank of Canada, number 14-42, DOI: 10.34989/swp-2014-42.
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• Christopher F Baum & Paola Zerilli, 2014, "Jumps and stochastic volatility in crude oil futures prices using conditional moments of integrated volatility," Boston College Working Papers in Economics, Boston College Department of Economics, number 860, Oct.