Research classified by Journal of Economic Literature (JEL) codes

2025

• Ernanto & Sudarso Kaderi Wiryono & Taufik Faturohman, 2025, "Macro and micro factors on global copper pricing: a historical data analysis," Mineral Economics, Springer;Raw Materials Group (RMG);Luleå University of Technology, volume 38, issue 4, pages 845-867, December, DOI: 10.1007/s13563-025-00505-x.
• Wei Guo, 2025, "Can Chinese stock market volatility forecast US news sentiment?," Quality & Quantity: International Journal of Methodology, Springer, volume 59, issue 5, pages 4503-4523, October, DOI: 10.1007/s11135-025-02163-1.
• Hsiaoyin Chang & Hato Schmeiser, 2025, "Should I stay or go? Valuation of multiple premium payment options for participating life insurance contracts," Review of Managerial Science, Springer, volume 19, issue 10, pages 3039-3072, October, DOI: 10.1007/s11846-025-00841-w.
• Matteo Gambara & Giulia Livieri & Andrea Pallavicini, 2025, "Machine-learning regression methods for American-style path-dependent contracts," Quantitative Finance, Taylor & Francis Journals, volume 25, issue 6, pages 895-918, June, DOI: 10.1080/14697688.2025.2517272.
• Yaroslav Melekh & James Dixon & Katrina Salmon & Michael Grubb, 2025, "European Natural Gas through the 2020s: the Decade of Extremes, Contradictions and Continuing Uncertainties," Working Papers Series, Institute for New Economic Thinking, number inetwp233, May, DOI: 10.36687/inetwp233.
• H. Peter Boswijk & Jeroen Dalderop & Roger J. A. Laeven & Niels Marijnen, 2025, "Semiparametric Estimation of Probability Weighting Functions Implicit in Option Prices," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 25-022/III, Mar.
• Sweder van Wijnbergen, 2025, "Should Carbon taxes be Preannounced? On Irreversible Investment, Real Options and Carbon Taxes," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 25-043/VI, Jul.
• Fengler, Matthias & Koeniger, Winfried & Minger, Stephan, 2025, "The Transmission of Monetary Policy to the Cost of Hedging," Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science, number 2501, Jan.
• Diana Barro & Oleksandr Castello & Marco Corazza & Martina Nardon, 2025, "A swap-based framework for managing energy transition risks," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2025: 23.
• Bobriková Martina & Timková Monika, 2025, "Financial Engineering of a Reverse Twin-Win Certificate through Replication Method," Economics, Paradigm, volume 13, issue 4, pages 19-37, DOI: 10.2478/eoik-2025-0083.
• Jędrzej Maskiewicz & Paweł Sakowski, 2025, "Can Artificial Intelligence Trade the Stock Market?," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2025-14.
• Zofia Bracha & Jakub Michańków & Paweł Sakowski, 2025, "Application of Deep Reinforcement Learning to At-the-Money S&P 500 Options Hedging," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2025-25.
• Lin Zou & António Câmara & Weiping Li, 2025, "Jump-diffusion option pricing with non-IID jumps," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., volume 12, issue 03, pages 1-46, September, DOI: 10.1142/S2424786323500469.
• Dilip B. Madan & Yoshihiro Shirai & King Wang, 2025, "Optimal Spot Slides," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., volume 28, issue 01n02, pages 1-30, March, DOI: 10.1142/S0219024925500086.
• Zannatus Saba & Rafiqul Bhuyan & CoÅŸkun Çetin, 2025, "Predicting Short-Term Stock Returns with Weekly Options Indicators: Comparative Study of Key Market Movers, SPY, and S&P 500 Index," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., volume 15, issue 01, pages 1-53, March, DOI: 10.1142/S2010139225500041.
• Mthokozisi Magazi, 2025, "Global Macro Strategies in the REIT Industry," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 28, issue 01, pages 1-27, March, DOI: 10.1142/S0219091525500031.
• Tomasz Orpiszewski & Mark James Thompson & Peter Schwendner, 2025, "The Stock and Option Market Response to Negative ESG News," The International Journal of Accounting (TIJA), World Scientific Publishing Co. Pte. Ltd., volume 60, issue 04, pages 1-35, December, DOI: 10.1142/S109440602440002X.
• Mehmet Fuat Beyazıt, 2025, "The Mathematical Aspects of Barrier Options," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 14297, ISBN: ARRAY(0x67a1e880), May.
• Ficura, Milan & Ibragimov, Rustam & Janda, Karel, 2025, "Artificial Intelligence–Based Forecasting of Oil Prices: Evidence from Neural Network Models," EconStor Preprints, ZBW - Leibniz Information Centre for Economics, number 335571.
• Tanganedzani Mudau & Daniel Mokatsanyane, 2025, "Analyzing the impact of macroeconomic variables on agricultural derivatives performance in the SAFEX market," Finance, Accounting and Business Analysis, Academic Publishing UNWE, volume 7, issue 1, pages 16-29, June.
• Valentin Haddad & Alan Moreira & Tyler Muir, 2025, "Whatever It Takes? The Impact of Conditional Policy Promises," American Economic Review, American Economic Association, volume 115, issue 1, pages 295-329, January, DOI: 10.1257/aer.20230486.
• Rawley Heimer & Zwetelina Iliewa & Alex Imas & Martin Weber, 2025, "Dynamic Inconsistency in Risky Choice: Evidence from the Lab and Field," American Economic Review, American Economic Association, volume 115, issue 1, pages 330-363, January, DOI: 10.1257/aer.20210307.
• Maxime Phillot, 2025, "US Treasury Auctions: A High-Frequency Identification of Supply Shocks," American Economic Journal: Macroeconomics, American Economic Association, volume 17, issue 1, pages 245-273, January, DOI: 10.1257/mac.20210243.
• Rohan Kekre & Moritz Lenel, 2025, "The High-Frequency Effects of Dollar Swap Lines," American Economic Review: Insights, American Economic Association, volume 7, issue 1, pages 107-123, March, DOI: 10.1257/aeri.20230667.
• Hayato Kato & Kensuke Suzuki & Motoaki Takahashi, 2025, "Trade Policy and Structural Change," Papers, arXiv.org, number 2508.01360, Aug, revised Aug 2026.
• Hamza Hanbali & Jan Dhaene & Daniel Linders, 2025, "Dependence bounds for the difference of stop-loss payoffs on the difference of two random variables," Papers, arXiv.org, number 2508.12606, Aug.
• Stefan Avdjiev & Patrick McGuire & Goetz von Peter, 2025, "International finance through the lens of BIS statistics: derivatives markets," BIS Quarterly Review, Bank for International Settlements, December.
• Tom Doan, 2025, "LOGSKEWGEDDENSITY: RATS procedure to compute log density of skew-GED distribution," Statistical Software Components, Boston College Department of Economics, number RTS00258, revised .
• Tom Doan, 2025, "LOGSKEWGEDGARCH: RATS procedure to compute the log density of skew-GED distribution for use with GARCH," Statistical Software Components, Boston College Department of Economics, number RTS00259, revised .
• Tom Doan, 2025, "SADORSKY_EE2012: RATS program to replicate Sadorsky(2012)'s "Correlations and Volatility Spillovers..." paper," Statistical Software Components, Boston College Department of Economics, number RTZ00228, revised .
• Somnath Chatterjee, 2025, "The implicit subsidy to the Indian banking system," Bank of England Staff Working Paper series, Bank of England, number 1136, Jul.
• Matthias R. Fengler & Winfried Koeniger & Stephan Minger, 2025, "The Transmission of Monetary Policy to the Cost of Hedging," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 25-03, Jan.
• van Wijnbergen, Sweder, 2025, "Should Carbon Taxes be Pre-Announced? On Irreversible Investment, Real Options and Carbon Taxes," CEPR Discussion Papers, Centre for Economic Policy Research, number 20438, Jul.
• Hackbarth, Dirk & Stahmer, Axel, 2025, "Investment-Based Trade-Off Theory," CEPR Discussion Papers, Centre for Economic Policy Research, number 20511, Jul.
• Schmeling, Maik & Schrimpf, Andreas & Todorov, Karamfil, 2025, "Crypto Carry," CEPR Discussion Papers, Centre for Economic Policy Research, number 20719, Oct.
• Menkveld, Albert J., 2025, "Equilibrium VIX in Inelastic Markets," CEPR Discussion Papers, Centre for Economic Policy Research, number 20834, Nov.
• Amalia Morales-Zumaquero & Simón Sosvilla-Rivero, 2025, "Transitory and permanent components of exchange rate volatility: Further evidence from causality tests," Revista de Economía y Finanzas (REyF), Asociación Cuadernos de Economía, volume 3, issue 7, pages 1-20, Enero.
• Kolaric, Sascha & Kiesel, Florian & Ongena, Steven, 2025, "Market Discipline through Credit Ratings and Too‐Big‐to‐Fail in Banking," Publications of Darmstadt Technical University, Institute for Business Studies (BWL), Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL), number 157321, Sep, DOI: 10.1111/jmcb.12789.
• Romain Capliez-Wahart, 2025, "Spillover Effects between Financial and Physical Copper Markets," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2025-40.
• Broeders, Dirk & Dimitrov, Daniel & Verhoeven, Niek, 2025, "Climate-linked bonds," Working Paper Series, European Central Bank, number 3011, Jan.
• Choi, Sun-Yong & Kim, Jeong-Hoon, 2025, "A unified model of SABR and mean-reverting stochastic volatility for derivative pricing," Applied Mathematics and Computation, Elsevier, volume 507, issue C, DOI: 10.1016/j.amc.2025.129599.
• Ali, Shoaib & Cui, Jinxin, 2025, "Beyond averages: Quantile connectedness between G7 equity markets and derivative tokens," Journal of Behavioral and Experimental Finance, Elsevier, volume 46, issue C, DOI: 10.1016/j.jbef.2025.101030.
• Srivastava, Pranjal & Saurav, Sumit & Mishra, Abinash, 2025, "Does government ownership differently impact expected left-tail and volatility risk of bank stock? Evidence from options market," Journal of Corporate Finance, Elsevier, volume 94, issue C, DOI: 10.1016/j.jcorpfin.2025.102832.
• Forte, Santiago, 2025, "A simple nonparametric approach to pricing credit default swaps," Journal of Economic Dynamics and Control, Elsevier, volume 180, issue C, DOI: 10.1016/j.jedc.2025.105198.
• Yu, Junhong & Ruan, Xinfeng & Fan, Zheqi, 2025, "Merton (1976) implied jump," Journal of Economic Dynamics and Control, Elsevier, volume 180, issue C, DOI: 10.1016/j.jedc.2025.105199.
• Xia, Xin & Hu, Shaoyong & Gan, Liu, 2025, "Optimal investment and financing with government subsidies under time to build," Economic Modelling, Elsevier, volume 152, issue C, DOI: 10.1016/j.econmod.2025.107232.
• Zhang, Jiayi & Zhou, Ke, 2025, "Pricing options on the maximum or the minimum of several assets with default risk," The North American Journal of Economics and Finance, Elsevier, volume 75, issue PA, DOI: 10.1016/j.najef.2024.102272.
• Samarakoon, S.M.R.K. & Pradhan, Rudra P. & Tripathy, Sasikanta & Jayakumar, Manju, 2025, "Does the VIX act as the main transmitter of mispricing in index futures markets? Insights from European and American regions," The North American Journal of Economics and Finance, Elsevier, volume 76, issue C, DOI: 10.1016/j.najef.2024.102341.
• Liu, Shican & Li, Qing & Fan, Siqi, 2025, "The impact of volatility regime dynamics on option pricing," The North American Journal of Economics and Finance, Elsevier, volume 76, issue C, DOI: 10.1016/j.najef.2024.102352.
• Cao, Jiling & Kim, Jeong-Hoon & Liu, Wenqiang & Zhang, Wenjun, 2025, "Investment opportunity strategy in a double-mean-reverting 4/2 stochastic volatility environment," The North American Journal of Economics and Finance, Elsevier, volume 76, issue C, DOI: 10.1016/j.najef.2024.102358.
• Zuo, Si & Wang, Haijun, 2025, "Optimal venture capital entry–exit strategy with jump–diffusion risk," The North American Journal of Economics and Finance, Elsevier, volume 76, issue C, DOI: 10.1016/j.najef.2024.102359.
• Yamazaki, Akira, 2025, "Subjective probability distributions of nonlinear payoffs: Recovering option payoff, agent’s utility, and pricing kernel distributions," The North American Journal of Economics and Finance, Elsevier, volume 76, issue C, DOI: 10.1016/j.najef.2025.102362.
• Lee, Hangsuck & Kye, Yisub & Kong, Byungdoo & Song, Seongjoo, 2025, "Multi-step double barrier options under time-varying interest rates," The North American Journal of Economics and Finance, Elsevier, volume 76, issue C, DOI: 10.1016/j.najef.2025.102372.
• Ha, Mijin & Park, Sangmin & Yoon, Ji-Hun & Kim, Donghyun, 2025, "Pricing of American timer options," The North American Journal of Economics and Finance, Elsevier, volume 78, issue C, DOI: 10.1016/j.najef.2025.102409.
• Song, Shiyu & Jiang, Yiming, 2025, "The valuation of variance swaps with psychological barriers in the underlying dynamics," The North American Journal of Economics and Finance, Elsevier, volume 78, issue C, DOI: 10.1016/j.najef.2025.102422.
• He, Xin-Jiang & Lin, Sha, 2025, "Foreign exchange option pricing with a three-factor Heston model with regime switching and stochastic interest rate," The North American Journal of Economics and Finance, Elsevier, volume 80, issue C, DOI: 10.1016/j.najef.2025.102470.
• Chuang, Ming-Che & Huang, Hong-Chih & Huang, Shih-Feng & Lin, Shih-Kuei, 2025, "Catastrophe risk with global climate change determines the price of catastrophe equity puts," The North American Journal of Economics and Finance, Elsevier, volume 80, issue C, DOI: 10.1016/j.najef.2025.102473.
• Monteux, Manou & Arcuri, Maria Cristina & Gandolfi, Gino & Caselli, Stefano, 2025, "Can extreme weather forecasts lead to a risk premium? Evidence of a non-linear response in U.S. natural gas futures," The North American Journal of Economics and Finance, Elsevier, volume 80, issue C, DOI: 10.1016/j.najef.2025.102494.
• Chen, Wenting & He, Xin-Jiang, 2025, "An analytical approximation for European options under a Heston-type model with regime switching," The North American Journal of Economics and Finance, Elsevier, volume 80, issue C, DOI: 10.1016/j.najef.2025.102500.
• Lu, Peng & Wang, Ziwei & Lu, Kun, 2025, "Climate Disaster, Investor Attention, and Tail Risk: Graph-based CoVaR," Economics Letters, Elsevier, volume 253, issue C, DOI: 10.1016/j.econlet.2025.112378.
• Vadhava, Charu, 2025, "Role of ECX futures in carbon pricing: Intraday evidence from EU-ETS," Economics Letters, Elsevier, volume 253, issue C, DOI: 10.1016/j.econlet.2025.112401.
• Golez, Benjamin & Kelly, Peter & Matthies, Ben, 2025, "What does the equity term structure tell us about Trump 2.0′s first 100 days in office?," Economics Letters, Elsevier, volume 254, issue C, DOI: 10.1016/j.econlet.2025.112460.
• Moura, Duarte & Pereira, Paulo J., 2025, "Optimal land-for-property real exchange options," Economics Letters, Elsevier, volume 257, issue C, DOI: 10.1016/j.econlet.2025.112654.
• Nishihara, Michi & Shibata, Takashi, 2025, "Optimal capital structure with earnings above a floor," European Journal of Operational Research, Elsevier, volume 326, issue 3, pages 656-673, DOI: 10.1016/j.ejor.2025.04.023.
• Han, Qian & Zhao, Chengzhi & Chen, Jing & Guo, Qian, 2025, "Does asynchronous market update matter? Re-examining the price discovery of stock index and futures in China," Emerging Markets Review, Elsevier, volume 67, issue C, DOI: 10.1016/j.ememar.2025.101307.
• Li, Chen Xu & Li, Chenxu & Li, Chun, 2025, "Implied local volatility models," Journal of Empirical Finance, Elsevier, volume 80, issue C, DOI: 10.1016/j.jempfin.2024.101567.
• Borochin, Paul & Zhao, Yanhui, 2025, "The economic value of equity implied volatility forecasting with machine learning," Journal of Empirical Finance, Elsevier, volume 82, issue C, DOI: 10.1016/j.jempfin.2025.101618.
• Yu, Deshui & Huang, Difang & Zhou, Mingtao, 2025, "Option-implied idiosyncratic skewness and expected returns: Mind the long run," Journal of Empirical Finance, Elsevier, volume 83, issue C, DOI: 10.1016/j.jempfin.2025.101642.
• Ellwanger, Reinhard, 2025, "The tail risk premium in the oil market," Energy Economics, Elsevier, volume 141, issue C, DOI: 10.1016/j.eneco.2024.108041.
• Siddiki, Jalal & Singh, Prakash, 2025, "The cost of uncertainty: Analysing the influence of coal price changes, the Russia-Ukraine war and geopolitical risk on risk premiums in the Indian electricity spot market," Energy Economics, Elsevier, volume 141, issue C, DOI: 10.1016/j.eneco.2024.108129.
• Jadidi, Hossein & Firouzi, Afshin & Rastegar, Mohammad Ali & Zandi, Majid & Eicker, Ursula, 2025, "Risk mitigation in project finance for utility-scale solar PV projects," Energy Economics, Elsevier, volume 143, issue C, DOI: 10.1016/j.eneco.2025.108221.
• Rotondi, Francesco, 2025, "Seasonality and spikes in the natural gas market," Energy Economics, Elsevier, volume 148, issue C, DOI: 10.1016/j.eneco.2025.108586.
• Turquet, Briac & Bajgrowicz, Pierre & Scaillet, Olivier, 2025, "Mean reversion trading on the naphtha crack," Energy Economics, Elsevier, volume 148, issue C, DOI: 10.1016/j.eneco.2025.108620.
• DeCoste, Joseph, 2025, "Does excess futures market demand affect the spot price of oil?," Energy Economics, Elsevier, volume 149, issue C, DOI: 10.1016/j.eneco.2025.108621.
• Chen, Wenting & Yang, Zhao & He, Xin-Jiang, 2025, "Pricing energy futures options: The role of seasonality and liquidity," Energy Economics, Elsevier, volume 149, issue C, DOI: 10.1016/j.eneco.2025.108737.
• Frau, Carme & Fusai, Gianluca & Kyriakou, Ioannis, 2025, "Energy commodities and calendar spread options," Energy Economics, Elsevier, volume 151, issue C, DOI: 10.1016/j.eneco.2025.108809.
• Palmer, Owen & Radet, Hugo & Camal, Simon & Kazempour, Jalal & Girard, Robin, 2025, "Hedging hydrogen: Planning and contracting under uncertainty for a green hydrogen producer," Energy Economics, Elsevier, volume 152, issue C, DOI: 10.1016/j.eneco.2025.108981.
• Ullah, Assad & Riaz, Adeel, 2025, "The impact of energy-related uncertainty on China’s overall and sectoral stock returns: Evidence from quantile-on-quantile regression," Energy, Elsevier, volume 320, issue C, DOI: 10.1016/j.energy.2025.135254.
• Birnstengel, Carolin & Süssmuth, Bernd, 2025, "An asymmetric volatility analysis of the negative oil price during the first COVID-19 wave," International Review of Financial Analysis, Elsevier, volume 100, issue C, DOI: 10.1016/j.irfa.2025.103959.
• Parnes, Dror & Parnes, Sapir S., 2025, "Hedging geopolitical risks with diverse commodities," International Review of Financial Analysis, Elsevier, volume 102, issue C, DOI: 10.1016/j.irfa.2025.104129.
• He, Xin-Jiang & Wei, Wenting & Lin, Sha, 2025, "A closed-form formula for pricing exchange options with regime switching stochastic volatility and stochastic liquidity," International Review of Financial Analysis, Elsevier, volume 103, issue C, DOI: 10.1016/j.irfa.2025.104159.
• Kanamura, Takashi, 2025, "Sustainability arbitrage pricing of ESG derivatives," International Review of Financial Analysis, Elsevier, volume 104, issue PA, DOI: 10.1016/j.irfa.2025.104177.
• Cao, Yi & Zhai, Jia & Wen, Conghua & Zong, Lu & Yang, Ao, 2025, "Commodity futures option valuation – An ensemble model," International Review of Financial Analysis, Elsevier, volume 105, issue C, DOI: 10.1016/j.irfa.2025.104372.
• Yue, Tian & Li, Lu-Lu & Wu, Wenfeng, 2025, "Weekday variations in the Chinese crude oil futures market: Unveiling the influence of COVID-19 and EIA shocks," International Review of Financial Analysis, Elsevier, volume 106, issue C, DOI: 10.1016/j.irfa.2025.104438.
• Lee, Hangsuck & Lee, Minha & Song, Seongjoo, 2025, "Double-barrier lookback options," International Review of Financial Analysis, Elsevier, volume 108, issue PA, DOI: 10.1016/j.irfa.2025.104673.
• Lee, Geul & Ryu, Doojin & Yang, Li, 2025, "Informativeness of truncation in the options market," Finance Research Letters, Elsevier, volume 72, issue C, DOI: 10.1016/j.frl.2024.106490.
• Lee, Hangsuck & Lee, Minha & Ha, Hongjun, 2025, "Multi-piecewise linear double barrier options," Finance Research Letters, Elsevier, volume 75, issue C, DOI: 10.1016/j.frl.2025.106898.
• Zhang, Junyu & Ruan, Xinfeng, 2025, "Inferring jump dynamics from weekly options: A non-parametric method," Finance Research Letters, Elsevier, volume 76, issue C, DOI: 10.1016/j.frl.2025.106965.
• Taussig, Roi D., 2025, "Cash duration, risk, and implications for stock returns," Finance Research Letters, Elsevier, volume 79, issue C, DOI: 10.1016/j.frl.2025.106787.
• Mokni, Khaled & Nammouri, Hela & Dhaoui, Chedia & Ben Jabeur, Sami, 2025, "Is a picture really worth a thousand words? Investigating the impact of investor sentiment on sustainable stocks," Finance Research Letters, Elsevier, volume 81, issue C, DOI: 10.1016/j.frl.2025.107520.
• Botta, Corrado & Sakariyahu, Rilwan, 2025, "Market volatility across asset classes during U.S. presidential and mid-term elections," Finance Research Letters, Elsevier, volume 84, issue C, DOI: 10.1016/j.frl.2025.107754.
• Atanasova, Christina & Miao, Terrel & Segarra, Ignacio & Willeboordse, Frederick, 2025, "Aggregate illiquidity and crypto option returns," Finance Research Letters, Elsevier, volume 85, issue PC, DOI: 10.1016/j.frl.2025.108003.
• Vich-Llompart, M. Magdalena & Vitiello, Luiz, 2025, "Option pricing with a two-piece lognormal distribution," Finance Research Letters, Elsevier, volume 85, issue PD, DOI: 10.1016/j.frl.2025.108120.
• Furió, Dolores & Torró, Hipòlit, 2025, "Selective futures hedging in the Nordic electricity market," Finance Research Letters, Elsevier, volume 85, issue PD, DOI: 10.1016/j.frl.2025.108150.
• Görgen, Maximilian & Jacob, Stefan & Rohleder, Martin & Wilkens, Marco, 2025, "The impact of ESG preferences on stock borrowing volumes and fees," Finance Research Letters, Elsevier, volume 85, issue PD, DOI: 10.1016/j.frl.2025.108167.
• Gan, Liu & Xia, Xin & Xiang, Hua, 2025, "Convertible debt and corporate R&D investment decisions," Finance Research Letters, Elsevier, volume 86, issue PD, DOI: 10.1016/j.frl.2025.108589.
• Ma, Gaoping & Bouri, Elie & Xu, Yahua & Zhou, Z. Ivy, 2025, "The “night effect” of intraday trading: Evidence from Chinese gold and silver futures markets," Global Finance Journal, Elsevier, volume 64, issue C, DOI: 10.1016/j.gfj.2025.101084.
• Christensen, Jens H.E. & Mirkov, Nikola N. & Zhang, Xin, 2025, "Quantitative easing and the supply of safe assets: Evidence from international bond safety premia," Journal of International Economics, Elsevier, volume 157, issue C, DOI: 10.1016/j.jinteco.2025.104146.
• Tang, Kelvin & Cheung, Eric C.K. & Woo, Jae-Kyung, 2025, "Designing and valuing new equity-linked insurance products for couples," Insurance: Mathematics and Economics, Elsevier, volume 121, issue C, pages 111-132, DOI: 10.1016/j.insmatheco.2025.01.003.
• Kudryavtsev, Oleg & Wei, Xiao, 2025, "Numerical methods for computing risk measures of variable annuities under exponential Lévy models," Insurance: Mathematics and Economics, Elsevier, volume 125, issue C, DOI: 10.1016/j.insmatheco.2025.103166.
• Liu, Haibo & Tang, Qihe, 2025, "Modeling and pricing credit risk with a focus on recovery risk," Journal of Banking & Finance, Elsevier, volume 170, issue C, DOI: 10.1016/j.jbankfin.2024.107317.
• Afik, Zvika & Galil, Koresh, 2025, "Have ratings become more accurate?," Journal of Banking & Finance, Elsevier, volume 170, issue C, DOI: 10.1016/j.jbankfin.2024.107337.
• Liu, Yunting & Zhu, Yandi, 2025, "Good idiosyncratic volatility, bad idiosyncratic volatility, and the cross-section of stock returns," Journal of Banking & Finance, Elsevier, volume 170, issue C, DOI: 10.1016/j.jbankfin.2024.107343.
• Augustyniak, Maciej & Badescu, Alexandru & Bégin, Jean-François & Jayaraman, Sarath Kumar, 2025, "A general option pricing framework for affine fractionally integrated models," Journal of Banking & Finance, Elsevier, volume 171, issue C, DOI: 10.1016/j.jbankfin.2024.107346.
• Beare, Brendan K. & Seo, Juwon & Zheng, Zhongxi, 2025, "Stochastic arbitrage with market index options," Journal of Banking & Finance, Elsevier, volume 173, issue C, DOI: 10.1016/j.jbankfin.2025.107395.
• Lu, Zhongjin & Pyun, Chaehyun, 2025, "Dissecting the return-predicting power of risk-neutral variance," Journal of Banking & Finance, Elsevier, volume 173, issue C, DOI: 10.1016/j.jbankfin.2025.107409.
• Allen, Franklin & Haas, Marlene & Pirovano, Matteo & Tengulov, Angel, 2025, "How prevalent are short squeezes? Evidence from the US and Europe," Journal of Banking & Finance, Elsevier, volume 176, issue C, DOI: 10.1016/j.jbankfin.2025.107436.
• Chen, Jiakai & Huang, Wei & Wang, Xinruo, 2025, "Peer-to-peer lending: Shift of pricing regime and changes in risk sensitivity," Journal of Banking & Finance, Elsevier, volume 176, issue C, DOI: 10.1016/j.jbankfin.2025.107459.
• Bangsgaard, Christine & Kokholm, Thomas, 2025, "The stock market impact of volatility hedging: Evidence from end-of-day trading by VIX ETPs," Journal of Banking & Finance, Elsevier, volume 180, issue C, DOI: 10.1016/j.jbankfin.2025.107556.
• Chen, Chang-Chih & Chang, Chia-Chien & Rui, Ying & Yu, Min-Teh, 2025, "Cyber insurance valuation with endogenous cyber loss," Journal of Banking & Finance, Elsevier, volume 181, issue C, DOI: 10.1016/j.jbankfin.2025.107564.
• Horvath, Ferenc, 2025, "Arbitrage-based recovery," Journal of Financial Economics, Elsevier, volume 163, issue C, DOI: 10.1016/j.jfineco.2024.103969.
• Schreindorfer, David & Sichert, Tobias, 2025, "Conditional risk and the pricing kernel," Journal of Financial Economics, Elsevier, volume 171, issue C, DOI: 10.1016/j.jfineco.2025.104106.
• Muravyev, Dmitriy & Pearson, Neil D. & Pollet, Joshua M., 2025, "Why does options market information predict stock returns?," Journal of Financial Economics, Elsevier, volume 172, issue C, DOI: 10.1016/j.jfineco.2025.104153.
• Andrei, Daniel & Hasler, Michael, 2025, "Investor learning about monetary-policy transmission and the stock market," Journal of Financial Economics, Elsevier, volume 173, issue C, DOI: 10.1016/j.jfineco.2025.104154.
• Leão, Sergio & Schiozer, Rafael & Oliveira, Raquel F. & Araujo, Gustavo, 2025, "Lending relationships and access to currency hedging: Evidence from Brazil," Journal of Financial Intermediation, Elsevier, volume 63, issue C, DOI: 10.1016/j.jfi.2025.101153.
• Hui, Cho-Hoi & Wong, Andrew & Lo, Chi-Fai, 2025, "Stablecoin price dynamics under a peg-stabilising mechanism," Journal of International Money and Finance, Elsevier, volume 152, issue C, DOI: 10.1016/j.jimonfin.2025.103280.
• Perusset, Florian & Rockinger, Michael, 2025, "Do structured products improve portfolio performance? A backtesting exercise," Journal of International Money and Finance, Elsevier, volume 157, issue C, DOI: 10.1016/j.jimonfin.2025.103396.
• Wang, Kai & Zhang, Cheng & Zhou, Zhiping, 2025, "The impact of financial stress shocks on commodity prices," Journal of International Money and Finance, Elsevier, volume 159, issue C, DOI: 10.1016/j.jimonfin.2025.103436.
• Chi, Yeguang & El-Jahel, Lina & Vu, Thanh, 2025, "Media emotion intensity and commodity futures pricing," Journal of Commodity Markets, Elsevier, volume 37, issue C, DOI: 10.1016/j.jcomm.2025.100460.
• Isleimeyyeh, Mohammad, 2025, "Financial investors and cross-commodity markets integration," Journal of Commodity Markets, Elsevier, volume 38, issue C, DOI: 10.1016/j.jcomm.2025.100461.
• Han, Lin & Cribben, Ivor & Trück, Stefan, 2025, "Extremal dependence in Australian electricity markets," Journal of Commodity Markets, Elsevier, volume 39, issue C, DOI: 10.1016/j.jcomm.2025.100476.
• Kamal, Md Mostafa & Roca, Eduardo & Li, Bin & Lin, Chen & Reza, Rajibur, 2025, "Price contagion and risk spillover in the global commodities market: COVID-19 pandemic vs. global financial crisis," Resources Policy, Elsevier, volume 103, issue C, DOI: 10.1016/j.resourpol.2025.105553.
• Barth, Daniel & Kahn, R. Jay, 2025, "Hedge funds and the Treasury cash-futures basis trade," Journal of Monetary Economics, Elsevier, volume 155, issue C, DOI: 10.1016/j.jmoneco.2025.103823.
• Jia, Xiaolan & Fan, Zheqi & Ruan, Xinfeng, 2025, "Option profit and loss attribution and pricing in the Chinese options market," Pacific-Basin Finance Journal, Elsevier, volume 91, issue C, DOI: 10.1016/j.pacfin.2025.102682.
• Alfeus, Mesias & Mwampashi, Muthe M. & Nikitopoulos, Christina S. & Overbeck, Ludger, 2025, "Stochastic modelling and forecasting of wind capacity utilization with applications to risk management: The Australian case," Pacific-Basin Finance Journal, Elsevier, volume 91, issue C, DOI: 10.1016/j.pacfin.2025.102769.
• Hu, Zinan & Borjigin, Sumuya, 2025, "Market downturns and asymmetric tail risk transmission speed in the US: Evaluating macroeconomic policy effectiveness during and after the COVID-19 pandemic," The Quarterly Review of Economics and Finance, Elsevier, volume 102, issue C, DOI: 10.1016/j.qref.2025.101993.
• Chibane, Messaoud & Kuhanathan, Ano, 2025, "Examining the impact of natural gas price volatility on Euro zone inflation expectations," The Quarterly Review of Economics and Finance, Elsevier, volume 104, issue C, DOI: 10.1016/j.qref.2025.102062.
• Gao, Xiang & Koedijk, Kees & Walther, Thomas & Wang, Zhan, 2025, "Relative investor sentiment," International Review of Economics & Finance, Elsevier, volume 100, issue C, DOI: 10.1016/j.iref.2025.104105.
• Chen, Yan & Liu, Yakun & Zhang, Lei, 2025, "Assessing asymmetry risk premium in U.S. stock markets," International Review of Economics & Finance, Elsevier, volume 104, issue C, DOI: 10.1016/j.iref.2025.104662.
• Bahloul, Walid & Dammak, Wael, 2025, "Online investor sentiment in the financial futures markets," Research in International Business and Finance, Elsevier, volume 75, issue C, DOI: 10.1016/j.ribaf.2024.102708.
• Billah, Mabruk, 2025, "Unraveling financial interconnectedness: A quantile VAR model analysis of AI-based assets, sukuk, and islamic equity indices," Research in International Business and Finance, Elsevier, volume 75, issue C, DOI: 10.1016/j.ribaf.2024.102718.
• Grobys, Klaus, 2025, "Is gold in the process of a bubble formation? New evidence from the ex-post global financial crisis period," Research in International Business and Finance, Elsevier, volume 75, issue C, DOI: 10.1016/j.ribaf.2024.102727.
• Qiao, Gaoxiu & Wang, Yunrun & Liu, Wenwen, 2025, "Prediction of Chinese stock volatility: Harnessing higher-order moments information of stock and futures markets," Research in International Business and Finance, Elsevier, volume 76, issue C, DOI: 10.1016/j.ribaf.2025.102863.
• Hilscher, Jens & Raviv, Alon & Reis, Ricardo, 2026, "How likely is an inflation disaster?," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 127063, Mar.
• Gambara, Matteo & Livieri, Giulia & Pallavicini, Andrea, 2025, "Machine-learning regression methods for American-style path-dependent contracts," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 128600, Jun.
• Perez, Pedro Gurrola & Murphy, David, 2025, "The impulsive approach to procyclicality: measuring the reactiveness of risk-based initial margin models to changes in market conditions using impulse response functions," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 128641, Nov.
• Bonesini, Ofelia & Jacquier, Antoine & Muguruza, Aitor, 2025, "Risk premium and rough volatility," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 130975, Dec.
• Mabruk Billah, 2025, "An analysis of extreme risk spillover effects and their determinants between AI-related assets and Islamic banking indices," International Journal of Islamic and Middle Eastern Finance and Management, Emerald Group Publishing Limited, volume 18, issue 3, pages 598-627, January, DOI: 10.1108/IMEFM-09-2024-0453.
• Yonghwan Jo & Dain Jung, 2025, "Margin call risk and leverage constraints: exploring investment horizons and low-risk anomalies in futures markets," Journal of Derivatives and Quantitative Studies: 선물연구, Emerald Group Publishing Limited, volume 33, issue 1, pages 2-22, January, DOI: 10.1108/JDQS-09-2024-0038.
• Eleni Gousgounis & Scott Mixon & Tugkan Tuzun & Clara Vega, 2025, "Market Liquidity in Treasury Futures Market During March 2020," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2025-038, May, DOI: 10.17016/FEDS.2025.038.
• Hyung Joo Kim & Dong Hwan Oh, 2025, "Local Estimation for Option Pricing: Improving Forecasts with Market State Information," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2025-076, Aug, DOI: 10.17016/FEDS.2025.076.
• Shengwu Du & Yang Heppe & Travis D. Nesmith, 2025, "Does Financial Stress Affect Commodity Futures Traders’ Positions?," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2025-082r1, Sep, revised 04 Nov 2025, DOI: 10.17016/FEDS.2025.082r1.
• M. S. Makushkin, 2025, "Determinants of the Yield on Russian Sovereign Bonds with Floating Coupons," Finansovyj žhurnal — Financial Journal, Financial Research Institute, Moscow 125375, Russia, issue 5, pages 8-25, October, DOI: 10.31107/2075-1990-2025-5-8-25.
• Ekaterina A. Gubkova & Ilhom A. Kamolzoda & Sergey S. Sudakov, 2025, "Econometric Forecasting of Budget Revenues: The Case of Tajikistan," Finansovyj žhurnal — Financial Journal, Financial Research Institute, Moscow 125375, Russia, issue 6, pages 8-32, December, DOI: 10.31107/2075-1990-2025-6-8-32.
• Martina Bobriková, 2025, "The Effect of Hedging Price Risk with Crude Oil Derivatives," Ekonomski pregled, Hrvatsko društvo ekonomista (Croatian Society of Economists), volume 76, issue 2, pages 126-145, DOI: 10.32910/ep.76.2.3.
• DICKERSON, Alexander & NOZAWA, Yoshio & ROBOTTI, Cesare, 2025, "Factor Investing with Delays," Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number 771, Jul.
• KATO, Hayato & SUZUKI, Kensuke & TAKAHASHI, Motoaki, 2025, "Trade Policy and Structural Change," Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number 772, Aug.

2024

• Lorena Keller, 2024, "Arbitraging Covered Interest Rate Parity Deviations and Bank Lending," American Economic Review, American Economic Association, volume 114, issue 9, pages 2633-2667, September, DOI: 10.1257/aer.20230425.
• Marzena Rostek & Ji Hee Yoon, 2024, "Innovation in Decentralized Markets: Technology versus Synthetic Products," American Economic Journal: Microeconomics, American Economic Association, volume 16, issue 1, pages 63-109, February, DOI: 10.1257/mic.20220138.
• Vrins, Frédéric & Wang, Linqi, 2024, "Asymmetric short-rate model without lower bound," LIDAM Reprints LFIN, Université catholique de Louvain, Louvain Finance (LFIN), number 2024005, Jan, DOI: https://doi.org/10.1080/14697688.20.
• Ian Dew-Becker & Stefano Giglio, 2024, "Recent Developments in Financial Risk and the Real Economy," Annual Review of Financial Economics, Annual Reviews, volume 16, issue 1, pages 39-60, November, DOI: 10.1146/annurev-financial-082123-10.
• Bartosz Bieganowski & Robert Slepaczuk, 2024, "Supervised Autoencoder MLP for Financial Time Series Forecasting," Papers, arXiv.org, number 2404.01866, Apr, revised Jun 2024.
• Kamil Kashif & Robert 'Slepaczuk, 2024, "LSTM-ARIMA as a Hybrid Approach in Algorithmic Investment Strategies," Papers, arXiv.org, number 2406.18206, Jun.
• Maciej Wysocki & Robert 'Slepaczuk, 2024, "Construction and Hedging of Equity Index Options Portfolios," Papers, arXiv.org, number 2407.13908, Jul.
• Jabir Sandhu & Rishi Vala, 2024, "Could all-to-all trading improve liquidity in the Government of Canada bond market?," Staff Analytical Notes, Bank of Canada, number 2024-17, Jul, DOI: 10.34989/san-2024-17.
• Jabir Sandhu & Rishi Vala, 2024, "La négociation ouverte à tous les acteurs pourrait-elle améliorer la liquidité du marché des obligations du gouvernement du Canada?," Staff Analytical Notes, Bank of Canada, number 2024-17fr, Jul, DOI: 10.34989/san-2024-17.
• Soner Baskaya & José E. Gutiérrez & José María Serena & Serafeim Tsoukas, 2024, "Bank supervision and non-performing loan cleansing," Working Papers, Banco de España, number 2428, Sep, DOI: https://doi.org/10.53479/37596.
• Clemens Sialm & Qifei Zhu, 2024, "Currency Management by International Fixed‐Income Mutual Funds," Journal of Finance, American Finance Association, volume 79, issue 6, pages 4037-4081, December, DOI: 10.1111/jofi.13381.
• Stefano Giglio & Bryan Kelly & Serhiy Kozak, 2024, "Equity Term Structures without Dividend Strips Data," Journal of Finance, American Finance Association, volume 79, issue 6, pages 4143-4196, December, DOI: 10.1111/jofi.13394.
• Akihito Yoneyama & Akitaka Tsuchiya & Noritaka Fukuma, 2024, "Changes in Risk Perceptions on Yen Interest Rates and Exchange Rates Observed in Options Markets: Developments in Implied Probability Distributions amid Rate Hikes in the United States and Europe from 2022 to 2023," Bank of Japan Review Series, Bank of Japan, number 24-E-8, Aug.
• Dalderop, J. & Linton, O. B., 2024, "Estimating a Density Ratio Model for Stock Market Risk and Option Demand," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 2411, Mar.
• Matthias Fengler & Winfried Koeniger & Stephan Minger, 2024, "The Transmission of Monetary Policy to the Cost of Hedging," CESifo Working Paper Series, CESifo, number 11556.
• Jens Hilscher & Alon Raviv & Ricardo Reis, 2024, "How likely is an inflation disaster?," Discussion Papers, Centre for Macroeconomics (CFM), number 2437, Sep.
• Semyon Malamud & Andreas Schrimpf & Yuan Zhang, 2024, "An Intermediation-Based Model of Exchange Rates," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 24-01, Jan.
• Briac Turquet & Pierre Bajgrowicz & O. Scaillet, 2024, "Mean Reversion Trading on the Naphtha Crack," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 24-101, Nov.
• Markus Leippold & Michal Svaton, 2024, "Scheduling Processes and Inference of Scheduled Events From Price Data," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 24-12, Jan.
• Markus Leippold & Felix Matthys & Philippe Mueller & Michal Svaton, 2024, "Political uncertainty and currency markets," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 24-13, Jan.
• Kjell G. Nyborg, 2024, "The Collateral Spread Puzzle: Why Do Repo Rates Often Exceed Unsecured Rates?," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 24-37, Jul.
• Pierre Collin-Dufresne & Anders B. Trolle, 2024, "Pricing of risk in credit and equity index options-A role for option order flow?," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 24-53, Sep.
• Queremón Riba Meseguer, Maria Isabel Cambón, 2024, "Fragmentación, formación de precios y liquidez de las acciones españolas en un contexto europeo," CNMV Documentos de Trabajo, CNMV- Comisión Nacional del Mercado de Valores - Departamento de Estudios y Estadísticas, number CNMV Documentos de Trabaj.
• Queremon Riba Meseguer, María Isabel Cambón Murcia, 2024, "Fragmentation price formation and liquidity of Spanish equities in a European context," CNMV Working Papers, CNMV- Spanish Securities Markets Commission - Research and Statistics Department, number CNMV Working Papers no. 8.
• Nyborg, Kjell G., 2024, "The Collateral Spread Puzzle: Why Do Repo Rates Often Exceed Unsecured Rates?," CEPR Discussion Papers, Centre for Economic Policy Research, number 19243, Jul.
• Ackerer, Damien & Hugonnier, Julien & Jermann, Urban, 2024, "Perpetual future pricing," CEPR Discussion Papers, Centre for Economic Policy Research, number 19455, Sep.
• Collin-Dufresne, Pierre & Trolle, Anders, 2024, "Pricing of Risk in Credit and Equity Index Options - A Role for Option Order Flow?," CEPR Discussion Papers, Centre for Economic Policy Research, number 19580, Oct.
• Nicole Branger & Mark Trede & Bernd Wilfling, 2024, "Extracting stock-market bubbles from dividend futures," CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster, number 10724, Aug.
• Cao, Jie & Goyal, Amit & Ke, Sai & Zhan, Xintong, 2024, "Options Trading and Stock Price Informativeness," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 59, issue 4, pages 1516-1540, June.
• Matteo Bonetti & Dirk Broeders & Damiaan Chen & Daniel Dimitrov, 2024, "Central Bank Capital and Shareholder Relationship," Working Papers, DNB, number 809, Apr.
• Dirk Broeders & Daniel Dimitrov & Niek Verhoeven, 2024, "Climate-Linked Bonds," Working Papers, DNB, number 817, Oct.
• Munch Grønlund, Asger & Jørgensen, Kasper & Schupp, Fabian, 2024, "The role of technical factors in euro area inflation-linked swap rates," Economic Bulletin Boxes, European Central Bank, volume 3.
• Mosk, Benjamin & Vassallo, Danilo, 2024, "Estimating the full effect of a partially anticipated event: a market-based approach applied to the case of TLTROIII," Working Paper Series, European Central Bank, number 2982, Sep.
• Bao, Jack & Hou, Kewei & Taoushianis, Zenon, 2024, "Default Risk Shocks of Financial Institutions as a Systemic Risk Indicator," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2024-16, Aug.
• Hatem Brik & Jihene El Ouakdi, 2024, "Interplay of Volatility and Geopolitical Tensions in Clean Energy Markets: A Comprehensive GARCH-LSTM Forecasting Approach," International Journal of Energy Economics and Policy, International Journal of Energy Economics and Policy, volume 14, issue 4, pages 92-107, July.
• Ikhlaas Gurrib & Olga Starkova & Dalia Hamdan, 2024, "Trading Momentum in the U.S. Crude Oil Futures Market," International Journal of Energy Economics and Policy, International Journal of Energy Economics and Policy, volume 14, issue 5, pages 593-604, September.
• Yu, Xing & Li, Yanyan & Zhao, Qian, 2024, "Research on optimization strategy of futures hedging dependent on market state," Applied Energy, Elsevier, volume 373, issue C, DOI: 10.1016/j.apenergy.2024.123885.
• Tucker, Steven & Xu, Yilong, 2024, "Nonspeculative bubbles revisited," Journal of Behavioral and Experimental Finance, Elsevier, volume 42, issue C, DOI: 10.1016/j.jbef.2024.100925.
• Brignone, Riccardo & Gonzato, Luca, 2024, "Exact simulation of the Hull and White stochastic volatility model," Journal of Economic Dynamics and Control, Elsevier, volume 163, issue C, DOI: 10.1016/j.jedc.2024.104861.
• Kristensen, Dennis & Lee, Young Jun & Mele, Antonio, 2024, "Closed-form approximations of moments and densities of continuous–time Markov models," Journal of Economic Dynamics and Control, Elsevier, volume 168, issue C, DOI: 10.1016/j.jedc.2024.104948.
• He, Xin-Jiang & Pasricha, Puneet & Lin, Sha, 2024, "Analytically pricing European options in dynamic markets: Incorporating liquidity variations and economic cycles," Economic Modelling, Elsevier, volume 139, issue C, DOI: 10.1016/j.econmod.2024.106839.
• Guo, Jin & Wen, Xiaoqian, 2024, "Option listing and underlying commodity futures volatility in China," Economic Modelling, Elsevier, volume 141, issue C, DOI: 10.1016/j.econmod.2024.106926.
• Song, Shiyu, 2024, "The valuation of arithmetic Asian options with mean reversion and jump clustering," The North American Journal of Economics and Finance, Elsevier, volume 70, issue C, DOI: 10.1016/j.najef.2023.102059.
• Zhang, Jiayi & Zhou, Ke, 2024, "Analytical valuation of vulnerable chained options," The North American Journal of Economics and Finance, Elsevier, volume 70, issue C, DOI: 10.1016/j.najef.2023.102069.
• Cai, Chengyou & Wang, Xingchun & Yu, Baimin, 2024, "Pricing vulnerable spread options with liquidity risk under Lévy processes," The North American Journal of Economics and Finance, Elsevier, volume 72, issue C, DOI: 10.1016/j.najef.2024.102124.
• Kim, Hyun-Gyoon & Kim, See-Woo & Kim, Jeong-Hoon, 2024, "Variance and volatility swaps and options under the exponential fractional Ornstein–Uhlenbeck model," The North American Journal of Economics and Finance, Elsevier, volume 72, issue C, DOI: 10.1016/j.najef.2024.102155.
• Villamor, Enrique & Olivares, Pablo, 2024, "Pricing exchange options under stochastic correlation," The North American Journal of Economics and Finance, Elsevier, volume 73, issue C, DOI: 10.1016/j.najef.2024.102153.
• Lee, Hangsuck & Ha, Hongjun & Kong, Byungdoo & Lee, Minha, 2024, "Valuing three-asset barrier options and autocallable products via exit probabilities of Brownian bridge," The North American Journal of Economics and Finance, Elsevier, volume 73, issue C, DOI: 10.1016/j.najef.2024.102174.
• Go, You-How & Lau, Wee-Yeap, 2024, "Terms of trade or market power? Further evidence from dynamic spillovers in return and volatility between Malaysian crude palm oil and foreign exchange markets," The North American Journal of Economics and Finance, Elsevier, volume 73, issue C, DOI: 10.1016/j.najef.2024.102178.
• Lee, Hangsuck & Ha, Hongjun & Kim, Eunchae & Lee, Minha, 2024, "Quanto fund protection using partial lookback participation," The North American Journal of Economics and Finance, Elsevier, volume 73, issue C, DOI: 10.1016/j.najef.2024.102186.
• Wang, Ke & Guo, Xun-xiang & Zhang, Hong-yu, 2024, "Valuations of generalized variance swaps under the jump–diffusion model with stochastic liquidity risk," The North American Journal of Economics and Finance, Elsevier, volume 73, issue C, DOI: 10.1016/j.najef.2024.102190.
• Yin, Ya-Hua & Zhu, Fu-min & Zheng, Zun-Xin, 2024, "Pricing VIX options based on mean-reverting models driven by information," The North American Journal of Economics and Finance, Elsevier, volume 74, issue C, DOI: 10.1016/j.najef.2024.102203.