Research classified by Journal of Economic Literature (JEL) codes

2013

• Chia-Lin Chang & Allen, David & McAleer, Michael, 2013, "Recent developments in financial economics and econometrics: An overview," The North American Journal of Economics and Finance, Elsevier, volume 26, issue C, pages 217-226, DOI: 10.1016/j.najef.2013.02.001.
• Ng, Andrew C.Y. & Li, Johnny Siu-Hang & Chan, Wai-Sum, 2013, "Pricing options on stocks denominated in different currencies: Theory and illustrations," The North American Journal of Economics and Finance, Elsevier, volume 26, issue C, pages 339-354, DOI: 10.1016/j.najef.2013.02.009.
• Araújo Santos, Paulo & Fraga Alves, Isabel & Hammoudeh, Shawkat, 2013, "High quantiles estimation with Quasi-PORT and DPOT: An application to value-at-risk for financial variables," The North American Journal of Economics and Finance, Elsevier, volume 26, issue C, pages 487-496, DOI: 10.1016/j.najef.2013.02.017.
• Krippner, Leo, 2013, "Measuring the stance of monetary policy in zero lower bound environments," Economics Letters, Elsevier, volume 118, issue 1, pages 135-138, DOI: 10.1016/j.econlet.2012.10.011.
• Khan, M. Ali & Rath, Kali P. & Yu, Haomiao & Zhang, Yongchao, 2013, "Large distributional games with traits," Economics Letters, Elsevier, volume 118, issue 3, pages 502-505, DOI: 10.1016/j.econlet.2012.12.029.
• Gagliardini, Patrick & Ronchetti, Diego, 2013, "Semi-parametric estimation of American option prices," Journal of Econometrics, Elsevier, volume 173, issue 1, pages 57-82, DOI: 10.1016/j.jeconom.2012.10.002.
• Kim, Namhyoung & Lee, Jaewook, 2013, "No-arbitrage implied volatility functions: Empirical evidence from KOSPI 200 index options," Journal of Empirical Finance, Elsevier, volume 21, issue C, pages 36-53, DOI: 10.1016/j.jempfin.2012.12.007.
• Li, Minqiang, 2013, "An examination of the continuous-time dynamics of international volatility indices amid the recent market turmoil," Journal of Empirical Finance, Elsevier, volume 22, issue C, pages 128-139, DOI: 10.1016/j.jempfin.2013.04.004.
• Ammann, Manuel & Buesser, Ralf, 2013, "Variance risk premiums in foreign exchange markets," Journal of Empirical Finance, Elsevier, volume 23, issue C, pages 16-32, DOI: 10.1016/j.jempfin.2013.04.006.
• Choroś-Tomczyk, Barbara & Härdle, Wolfgang Karl & Okhrin, Ostap, 2013, "Valuation of collateralized debt obligations with hierarchical Archimedean copulae," Journal of Empirical Finance, Elsevier, volume 24, issue C, pages 42-62, DOI: 10.1016/j.jempfin.2013.08.001.
• Kalantzis, Fotis G. & Milonas, Nikolaos T., 2013, "Analyzing the impact of futures trading on spot price volatility: Evidence from the spot electricity market in France and Germany," Energy Economics, Elsevier, volume 36, issue C, pages 454-463, DOI: 10.1016/j.eneco.2012.09.017.
• Benth, Fred Espen & Biegler-König, Richard & Kiesel, Rüdiger, 2013, "An empirical study of the information premium on electricity markets," Energy Economics, Elsevier, volume 36, issue C, pages 55-77, DOI: 10.1016/j.eneco.2012.12.001.
• Mirantes, Andrés García & Población, Javier & Serna, Gregorio, 2013, "The stochastic seasonal behavior of energy commodity convenience yields," Energy Economics, Elsevier, volume 40, issue C, pages 155-166, DOI: 10.1016/j.eneco.2013.06.011.
• Lutz, Benjamin Johannes & Pigorsch, Uta & Rotfuß, Waldemar, 2013, "Nonlinearity in cap-and-trade systems: The EUA price and its fundamentals," Energy Economics, Elsevier, volume 40, issue C, pages 222-232, DOI: 10.1016/j.eneco.2013.05.022.
• Benth, Fred Espen & Taib, Che Mohd Imran Che, 2013, "On the speed towards the mean for continuous time autoregressive moving average processes with applications to energy markets," Energy Economics, Elsevier, volume 40, issue C, pages 259-268, DOI: 10.1016/j.eneco.2013.07.007.
• Sanda, Gaute Egeland & Olsen, Eirik Tandberg & Fleten, Stein-Erik, 2013, "Selective hedging in hydro-based electricity companies," Energy Economics, Elsevier, volume 40, issue C, pages 326-338, DOI: 10.1016/j.eneco.2013.06.018.
• Quintino, Derick David & David, Sergio Adriani, 2013, "Quantitative analysis of feasibility of hydrous ethanol futures contracts in Brazil," Energy Economics, Elsevier, volume 40, issue C, pages 927-935, DOI: 10.1016/j.eneco.2013.07.027.
• Coulon, Michael & Powell, Warren B. & Sircar, Ronnie, 2013, "A model for hedging load and price risk in the Texas electricity market," Energy Economics, Elsevier, volume 40, issue C, pages 976-988, DOI: 10.1016/j.eneco.2013.05.020.
• Chiarella, Carl & Kang, Boda & Nikitopoulos, Christina Sklibosios & Tô, Thuy-Duong, 2013, "Humps in the volatility structure of the crude oil futures market: New evidence," Energy Economics, Elsevier, volume 40, issue C, pages 989-1000, DOI: 10.1016/j.eneco.2013.05.019.
• Arvesen, Ø. & Medbø, V. & Fleten, S.-E. & Tomasgard, A. & Westgaard, S., 2013, "Linepack storage valuation under price uncertainty," Energy, Elsevier, volume 52, issue C, pages 155-164, DOI: 10.1016/j.energy.2012.12.031.
• Fung, Hung-Gay & Tse, Yiuman & Yau, Jot & Zhao, Lin, 2013, "A leader of the world commodity futures markets in the making? The case of China's commodity futures," International Review of Financial Analysis, Elsevier, volume 27, issue C, pages 103-114, DOI: 10.1016/j.irfa.2013.01.001.
• Realdon, Marco, 2013, "Credit risk, valuation and fundamental analysis," International Review of Financial Analysis, Elsevier, volume 27, issue C, pages 77-90, DOI: 10.1016/j.irfa.2012.10.001.
• Kaeck, Andreas & Alexander, Carol, 2013, "Continuous-time VIX dynamics: On the role of stochastic volatility of volatility," International Review of Financial Analysis, Elsevier, volume 28, issue C, pages 46-56, DOI: 10.1016/j.irfa.2013.01.008.
• Rauch, Johannes & Krayzler, Mikhail & Brunner, Bernhard & Zagst, Rudi, 2013, "Pricing of derivatives on commodity indices," International Review of Financial Analysis, Elsevier, volume 29, issue C, pages 143-151, DOI: 10.1016/j.irfa.2013.02.006.
• Levy, Tamir & Qadan, Mahmod & Yagil, Joseph, 2013, "Predicting the limit-hit frequency in futures contracts," International Review of Financial Analysis, Elsevier, volume 30, issue C, pages 141-148, DOI: 10.1016/j.irfa.2013.06.004.
• Miffre, Joëlle & Brooks, Chris, 2013, "Do long-short speculators destabilize commodity futures markets?," International Review of Financial Analysis, Elsevier, volume 30, issue C, pages 230-240, DOI: 10.1016/j.irfa.2013.09.002.
• Chen, Rui & Du, Ke, 2013, "A generalised arbitrage-free Nelson–Siegel model: The impact of unspanned stochastic volatility," Finance Research Letters, Elsevier, volume 10, issue 1, pages 41-48, DOI: 10.1016/j.frl.2012.07.001.
• Smith, Godfrey, 2013, "Simulated testing of nonparametric measure changes for hedging European options," Finance Research Letters, Elsevier, volume 10, issue 2, pages 93-101, DOI: 10.1016/j.frl.2012.11.002.
• Chang, Eric C. & Luo, Xingguo & Shi, Lei & Zhang, Jin E., 2013, "Is warrant really a derivative? Evidence from the Chinese warrant market," Journal of Financial Markets, Elsevier, volume 16, issue 1, pages 165-193, DOI: 10.1016/j.finmar.2012.04.003.
• Raviv, Alon & Sisli-Ciamarra, Elif, 2013, "Executive compensation, risk taking and the state of the economy," Journal of Financial Stability, Elsevier, volume 9, issue 1, pages 55-68, DOI: 10.1016/j.jfs.2012.12.003.
• Saldías, Martín, 2013, "Systemic risk analysis using forward-looking Distance-to-Default series," Journal of Financial Stability, Elsevier, volume 9, issue 4, pages 498-517, DOI: 10.1016/j.jfs.2013.07.003.
• Borkowski, Bolesław & Krawiec, Monika & Shachmurove, Yochanan, 2013, "Impact of volatility estimation method on theoretical option values," Global Finance Journal, Elsevier, volume 24, issue 2, pages 119-128, DOI: 10.1016/j.gfj.2013.07.004.
• Ivanov, Stoyu I. & Jones, Frank J. & Zaima, Janis K., 2013, "Analysis of DJIA, S&P 500, S&P 400, NASDAQ 100 and Russell 2000 ETFs and their influence on price discovery," Global Finance Journal, Elsevier, volume 24, issue 3, pages 171-187, DOI: 10.1016/j.gfj.2013.10.005.
• Singor, Stefan N. & Grzelak, Lech A. & van Bragt, David D.B. & Oosterlee, Cornelis W., 2013, "Pricing inflation products with stochastic volatility and stochastic interest rates," Insurance: Mathematics and Economics, Elsevier, volume 52, issue 2, pages 286-299, DOI: 10.1016/j.insmatheco.2013.01.003.
• Ziveyi, Jonathan & Blackburn, Craig & Sherris, Michael, 2013, "Pricing European options on deferred annuities," Insurance: Mathematics and Economics, Elsevier, volume 52, issue 2, pages 300-311, DOI: 10.1016/j.insmatheco.2013.01.004.
• Mao, Hong & Carson, James M. & Ostaszewski, Krzysztof M. & Wen, Zhongkai, 2013, "Optimal decision on dynamic insurance price and investment portfolio of an insurer," Insurance: Mathematics and Economics, Elsevier, volume 52, issue 2, pages 359-369, DOI: 10.1016/j.insmatheco.2013.01.007.
• Dingeç, Kemal Dinçer & Hörmann, Wolfgang, 2013, "Control variates and conditional Monte Carlo for basket and Asian options," Insurance: Mathematics and Economics, Elsevier, volume 52, issue 3, pages 421-434, DOI: 10.1016/j.insmatheco.2013.03.002.
• Hao, Xuemiao & Li, Xuan & Shimizu, Yasutaka, 2013, "Finite-time survival probability and credit default swaps pricing under geometric Lévy markets," Insurance: Mathematics and Economics, Elsevier, volume 53, issue 1, pages 14-23, DOI: 10.1016/j.insmatheco.2013.04.003.
• Eling, Martin & Holder, Stefan, 2013, "The value of interest rate guarantees in participating life insurance contracts: Status quo and alternative product design," Insurance: Mathematics and Economics, Elsevier, volume 53, issue 3, pages 491-503, DOI: 10.1016/j.insmatheco.2013.08.002.
• Gerber, Hans U. & Shiu, Elias S.W. & Yang, Hailiang, 2013, "Valuing equity-linked death benefits in jump diffusion models," Insurance: Mathematics and Economics, Elsevier, volume 53, issue 3, pages 615-623, DOI: 10.1016/j.insmatheco.2013.08.010.
• Fard, Farzad Alavi & Siu, Tak Kuen, 2013, "Pricing participating products with Markov-modulated jump–diffusion process: An efficient numerical PIDE approach," Insurance: Mathematics and Economics, Elsevier, volume 53, issue 3, pages 712-721, DOI: 10.1016/j.insmatheco.2013.09.011.
• Zhang, Hongzhong & Leung, Tim & Hadjiliadis, Olympia, 2013, "Stochastic modeling and fair valuation of drawdown insurance," Insurance: Mathematics and Economics, Elsevier, volume 53, issue 3, pages 840-850, DOI: 10.1016/j.insmatheco.2013.10.006.
• Liu, Tengdong & Hammoudeh, Shawkat & Thompson, Mark A., 2013, "A momentum threshold model of stock prices and country risk ratings: Evidence from BRICS countries," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 27, issue C, pages 99-112, DOI: 10.1016/j.intfin.2013.07.013.
• Wang, Hao & Zhou, Hao & Zhou, Yi, 2013, "Credit default swap spreads and variance risk premia," Journal of Banking & Finance, Elsevier, volume 37, issue 10, pages 3733-3746, DOI: 10.1016/j.jbankfin.2013.02.021.
• De Col, Alvise & Gnoatto, Alessandro & Grasselli, Martino, 2013, "Smiles all around: FX joint calibration in a multi-Heston model," Journal of Banking & Finance, Elsevier, volume 37, issue 10, pages 3799-3818, DOI: 10.1016/j.jbankfin.2013.05.031.
• Ruas, João Pedro & Dias, José Carlos & Vidal Nunes, João Pedro, 2013, "Pricing and static hedging of American-style options under the jump to default extended CEV model," Journal of Banking & Finance, Elsevier, volume 37, issue 11, pages 4059-4072, DOI: 10.1016/j.jbankfin.2013.07.019.
• Uhrig-Homburg, Marliese, 2013, "Sovereign credit spreads," Journal of Banking & Finance, Elsevier, volume 37, issue 11, pages 4217-4225, DOI: 10.1016/j.jbankfin.2013.07.002.
• Stivers, Chris & Sun, Licheng, 2013, "Returns and option activity over the option-expiration week for S&P 100 stocks," Journal of Banking & Finance, Elsevier, volume 37, issue 11, pages 4226-4240, DOI: 10.1016/j.jbankfin.2013.07.030.
• Lin, Yueh-Neng, 2013, "VIX option pricing and CBOE VIX Term Structure: A new methodology for volatility derivatives valuation," Journal of Banking & Finance, Elsevier, volume 37, issue 11, pages 4432-4446, DOI: 10.1016/j.jbankfin.2013.03.006.
• Saldías, Martín, 2013, "A market-based approach to sector risk determinants and transmission in the euro area," Journal of Banking & Finance, Elsevier, volume 37, issue 11, pages 4534-4555, DOI: 10.1016/j.jbankfin.2013.01.026.
• Caldana, Ruggero & Fusai, Gianluca, 2013, "A general closed-form spread option pricing formula," Journal of Banking & Finance, Elsevier, volume 37, issue 12, pages 4893-4906, DOI: 10.1016/j.jbankfin.2013.08.016.
• Hernandis, Lucía & Torró, Hipòlit, 2013, "The information content of Eonia swap rates before and during the financial crisis," Journal of Banking & Finance, Elsevier, volume 37, issue 12, pages 5316-5328, DOI: 10.1016/j.jbankfin.2013.08.001.
• Marshall, Ben R. & Nguyen, Nhut H. & Visaltanachoti, Nuttawat, 2013, "Liquidity commonality in commodities," Journal of Banking & Finance, Elsevier, volume 37, issue 1, pages 11-20, DOI: 10.1016/j.jbankfin.2012.08.013.
• Koussis, Nicos & Martzoukos, Spiros H. & Trigeorgis, Lenos, 2013, "Multi-stage product development with exploration, value-enhancing, preemptive and innovation options," Journal of Banking & Finance, Elsevier, volume 37, issue 1, pages 174-190, DOI: 10.1016/j.jbankfin.2012.08.020.
• Chung, San-Lin & Shih, Pai-Ta & Tsai, Wei-Che, 2013, "Static hedging and pricing American knock-in put options," Journal of Banking & Finance, Elsevier, volume 37, issue 1, pages 191-205, DOI: 10.1016/j.jbankfin.2012.08.019.
• Golbeck, Steven & Linetsky, Vadim, 2013, "Asset financing with credit risk," Journal of Banking & Finance, Elsevier, volume 37, issue 1, pages 43-59, DOI: 10.1016/j.jbankfin.2012.08.010.
• Back, Janis & Prokopczuk, Marcel & Rudolf, Markus, 2013, "Seasonality and the valuation of commodity options," Journal of Banking & Finance, Elsevier, volume 37, issue 2, pages 273-290, DOI: 10.1016/j.jbankfin.2012.08.025.
• Huang, Hsing-Hua & Lee, Han-Hsing, 2013, "Product market competition and credit risk," Journal of Banking & Finance, Elsevier, volume 37, issue 2, pages 324-340, DOI: 10.1016/j.jbankfin.2012.09.001.
• Tian, Yisong S., 2013, "Ironing out the kinks in executive compensation: Linking incentive pay to average stock prices," Journal of Banking & Finance, Elsevier, volume 37, issue 2, pages 415-432, DOI: 10.1016/j.jbankfin.2012.09.025.
• Mateti, Ravi S. & Hegde, Shantaram P. & Puri, Tribhuvan, 2013, "Pricing securities with multiple risks: A case of exchangeable debt," Journal of Banking & Finance, Elsevier, volume 37, issue 3, pages 1018-1028, DOI: 10.1016/j.jbankfin.2012.11.009.
• Chung, Tsz-Kin & Hui, Cho-Hoi & Li, Ka-Fai, 2013, "Explaining share price disparity with parameter uncertainty: Evidence from Chinese A- and H-shares," Journal of Banking & Finance, Elsevier, volume 37, issue 3, pages 1073-1083, DOI: 10.1016/j.jbankfin.2012.11.004.
• Goodell, John W. & Vähämaa, Sami, 2013, "US presidential elections and implied volatility: The role of political uncertainty," Journal of Banking & Finance, Elsevier, volume 37, issue 3, pages 1108-1117, DOI: 10.1016/j.jbankfin.2012.12.001.
• ap Gwilym, Rhys & Ebrahim, M. Shahid, 2013, "Can position limits restrain ‘rogue’ trading?," Journal of Banking & Finance, Elsevier, volume 37, issue 3, pages 824-836, DOI: 10.1016/j.jbankfin.2012.10.025.
• Nishihara, Michi & Shibata, Takashi, 2013, "The effects of external financing costs on investment timing and sizing decisions," Journal of Banking & Finance, Elsevier, volume 37, issue 4, pages 1160-1175, DOI: 10.1016/j.jbankfin.2012.11.014.
• Ascheberg, Marius & Bick, Björn & Kraft, Holger, 2013, "Hedging structured credit products during the credit crisis: A horse race of 10 models," Journal of Banking & Finance, Elsevier, volume 37, issue 5, pages 1687-1705, DOI: 10.1016/j.jbankfin.2013.01.002.
• Badaoui, Saad & Cathcart, Lara & El-Jahel, Lina, 2013, "Do sovereign credit default swaps represent a clean measure of sovereign default risk? A factor model approach," Journal of Banking & Finance, Elsevier, volume 37, issue 7, pages 2392-2407, DOI: 10.1016/j.jbankfin.2013.01.038.
• Basu, Devraj & Miffre, Joëlle, 2013, "Capturing the risk premium of commodity futures: The role of hedging pressure," Journal of Banking & Finance, Elsevier, volume 37, issue 7, pages 2652-2664, DOI: 10.1016/j.jbankfin.2013.02.031.
• Fuh, Cheng-Der & Luo, Sheng-Feng & Yen, Ju-Fang, 2013, "Pricing discrete path-dependent options under a double exponential jump–diffusion model," Journal of Banking & Finance, Elsevier, volume 37, issue 8, pages 2702-2713, DOI: 10.1016/j.jbankfin.2013.03.023.
• Nejadmalayeri, Ali & Nishikawa, Takeshi & Rao, Ramesh P., 2013, "Sarbanes-Oxley Act and corporate credit spreads," Journal of Banking & Finance, Elsevier, volume 37, issue 8, pages 2991-3006, DOI: 10.1016/j.jbankfin.2013.04.013.
• Alizadeh, Amir H. & Gabrielsen, Alexandros, 2013, "Dynamics of credit spread moments of European corporate bond indexes," Journal of Banking & Finance, Elsevier, volume 37, issue 8, pages 3125-3144, DOI: 10.1016/j.jbankfin.2013.02.030.
• Perrakis, Stylianos & Boloorforoosh, Ali, 2013, "Valuing catastrophe derivatives under limited diversification: A stochastic dominance approach," Journal of Banking & Finance, Elsevier, volume 37, issue 8, pages 3157-3168, DOI: 10.1016/j.jbankfin.2013.02.028.
• Ederington, Louis H. & Guan, Wei, 2013, "The cross-sectional relation between conditional heteroskedasticity, the implied volatility smile, and the variance risk premium," Journal of Banking & Finance, Elsevier, volume 37, issue 9, pages 3388-3400, DOI: 10.1016/j.jbankfin.2013.04.017.
• Kuo, Wei-Yu & Lin, Tse-Chun, 2013, "Overconfident individual day traders: Evidence from the Taiwan futures market," Journal of Banking & Finance, Elsevier, volume 37, issue 9, pages 3548-3561, DOI: 10.1016/j.jbankfin.2013.04.036.
• Hui, Cho-Hoi & Lo, Chi-Fai & Lau, Chun-Sing, 2013, "Option-implied correlation between iTraxx Europe Financials and Non-Financials Indexes: A measure of spillover effect in European debt crisis," Journal of Banking & Finance, Elsevier, volume 37, issue 9, pages 3694-3703, DOI: 10.1016/j.jbankfin.2013.05.030.
• Shiller, Robert J. & Wojakowski, Rafał M. & Ebrahim, M. Shahid & Shackleton, Mark B., 2013, "Mitigating financial fragility with Continuous Workout Mortgages," Journal of Economic Behavior & Organization, Elsevier, volume 85, issue C, pages 269-285, DOI: 10.1016/j.jebo.2012.04.010.
• Loewenstein, Mark & Willard, Gregory A., 2013, "Consumption and bubbles," Journal of Economic Theory, Elsevier, volume 148, issue 2, pages 563-600, DOI: 10.1016/j.jet.2012.07.001.
• Khan, M. Ali & Rath, Kali P. & Sun, Yeneng & Yu, Haomiao, 2013, "Large games with a bio-social typology," Journal of Economic Theory, Elsevier, volume 148, issue 3, pages 1122-1149, DOI: 10.1016/j.jet.2012.11.002.
• Li, Gang & Zhang, Chu, 2013, "Diagnosing affine models of options pricing: Evidence from VIX," Journal of Financial Economics, Elsevier, volume 107, issue 1, pages 199-219, DOI: 10.1016/j.jfineco.2012.08.011.
• Muravyev, Dmitriy & Pearson, Neil D. & Paul Broussard, John, 2013, "Is there price discovery in equity options?," Journal of Financial Economics, Elsevier, volume 107, issue 2, pages 259-283, DOI: 10.1016/j.jfineco.2012.09.003.
• Corsi, Fulvio & Fusari, Nicola & La Vecchia, Davide, 2013, "Realizing smiles: Options pricing with realized volatility," Journal of Financial Economics, Elsevier, volume 107, issue 2, pages 284-304, DOI: 10.1016/j.jfineco.2012.08.015.
• Cao, Jie & Han, Bing, 2013, "Cross section of option returns and idiosyncratic stock volatility," Journal of Financial Economics, Elsevier, volume 108, issue 1, pages 231-249, DOI: 10.1016/j.jfineco.2012.11.010.
• Khandani, Amir E. & Lo, Andrew W. & Merton, Robert C., 2013, "Systemic risk and the refinancing ratchet effect," Journal of Financial Economics, Elsevier, volume 108, issue 1, pages 29-45, DOI: 10.1016/j.jfineco.2012.10.007.
• Mencía, Javier & Sentana, Enrique, 2013, "Valuation of VIX derivatives," Journal of Financial Economics, Elsevier, volume 108, issue 2, pages 367-391, DOI: 10.1016/j.jfineco.2012.12.003.
• Acharya, Viral V. & Lochstoer, Lars A. & Ramadorai, Tarun, 2013, "Limits to arbitrage and hedging: Evidence from commodity markets," Journal of Financial Economics, Elsevier, volume 109, issue 2, pages 441-465, DOI: 10.1016/j.jfineco.2013.03.003.
• Bakshi, Gurdip & Panayotov, George, 2013, "Predictability of currency carry trades and asset pricing implications," Journal of Financial Economics, Elsevier, volume 110, issue 1, pages 139-163, DOI: 10.1016/j.jfineco.2013.04.010.
• Yang, Fan, 2013, "Investment shocks and the commodity basis spread," Journal of Financial Economics, Elsevier, volume 110, issue 1, pages 164-184, DOI: 10.1016/j.jfineco.2013.04.012.
• Acharya, Viral V. & Amihud, Yakov & Bharath, Sreedhar T., 2013, "Liquidity risk of corporate bond returns: conditional approach," Journal of Financial Economics, Elsevier, volume 110, issue 2, pages 358-386, DOI: 10.1016/j.jfineco.2013.08.002.
• Bourgeon, Jean-Marc & Dionne, Georges, 2013, "On debt service and renegotiation when debt-holders are more strategic," Journal of Financial Intermediation, Elsevier, volume 22, issue 3, pages 353-372, DOI: 10.1016/j.jfi.2012.09.002.
• Annaert, Jan & De Ceuster, Marc & Van Roy, Patrick & Vespro, Cristina, 2013, "What determines Euro area bank CDS spreads?," Journal of International Money and Finance, Elsevier, volume 32, issue C, pages 444-461, DOI: 10.1016/j.jimonfin.2012.05.029.
• Díaz, Antonio & Groba, Jonatan & Serrano, Pedro, 2013, "What drives corporate default risk premia? Evidence from the CDS market," Journal of International Money and Finance, Elsevier, volume 37, issue C, pages 529-563, DOI: 10.1016/j.jimonfin.2013.07.003.
• Martzoukos, Spiros H. & Zacharias, Eleftherios, 2013, "Real option games with R&D and learning spillovers," Omega, Elsevier, volume 41, issue 2, pages 236-249, DOI: 10.1016/j.omega.2012.05.005.
• Azimi, Yousuf & Osanloo, Morteza & Esfahanipour, Akbar, 2013, "An uncertainty based multi-criteria ranking system for open pit mining cut-off grade strategy selection," Resources Policy, Elsevier, volume 38, issue 2, pages 212-223, DOI: 10.1016/j.resourpol.2013.01.004.
• Ang, Andrew & Longstaff, Francis A., 2013, "Systemic sovereign credit risk: Lessons from the U.S. and Europe," Journal of Monetary Economics, Elsevier, volume 60, issue 5, pages 493-510, DOI: 10.1016/j.jmoneco.2013.04.009.
• Park, Keehwan & Ahn, Chang Mo & Kim, Dohyeon & Kim, Saekwon, 2013, "An empirical study of credit spreads in an emerging market: The case of Korea," Pacific-Basin Finance Journal, Elsevier, volume 21, issue 1, pages 952-966, DOI: 10.1016/j.pacfin.2012.07.005.
• Baik, Bok & Kang, Hyoung-Goo & Kim, Young Jun, 2013, "Volatility arbitrage around earnings announcements: Evidence from the Korean equity linked warrants market," Pacific-Basin Finance Journal, Elsevier, volume 23, issue C, pages 109-130, DOI: 10.1016/j.pacfin.2013.01.001.
• Brooks, Chris & Prokopczuk, Marcel & Wu, Yingying, 2013, "Commodity futures prices: More evidence on forecast power, risk premia and the theory of storage," The Quarterly Review of Economics and Finance, Elsevier, volume 53, issue 1, pages 73-85, DOI: 10.1016/j.qref.2013.01.003.
• Lin, Emily & Lee, Cheng-Few & Wang, Kehluh, 2013, "Futures mispricing, order imbalance, and short-selling constraints," International Review of Economics & Finance, Elsevier, volume 25, issue C, pages 408-423, DOI: 10.1016/j.iref.2012.08.001.
• Tsai, Jeng-Yan & Hung, Wei-Ming, 2013, "Bank capital regulation in a cap option framework," International Review of Economics & Finance, Elsevier, volume 25, issue C, pages 66-74, DOI: 10.1016/j.iref.2012.05.002.
• Kalteier, Eva-Maria & Posch, Peter N., 2013, "Sovereign asset values and implications for the credit market," Review of Financial Economics, Elsevier, volume 22, issue 2, pages 53-60, DOI: 10.1016/j.rfe.2013.02.001.
• Serkan Arslanalp & Yin Liao, 2013, "Contingent Liabilities and Sovereign Risk: Evidence from Banking Sectors," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2013-43, Jul.
• Leo Krippner, 2013, "A Tractable Framework for Zero-Lower-Bound Gaussian Term Structure Models," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2013-49, Aug.
• Leo Krippner, 2013, "Faster Solutions for Black Zero Lower Bound Term Structure Models," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2013-66, Sep.
• Axelson, Ulf, 2013, "A theory of the evolution of derivatives markets," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 55407, Nov.
• Chang, C-L. & Allen, D.E. & McAleer, M.J., 2013, "Recent Developments in Financial Economics and Econometrics: An Overview," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2013-03, Jan.
• William Arrata & Alejandro Bernales & Virginie Coudert, 2013, "The Effects of Derivatives on Underlying Financial Markets: Equity Options, Commodity Derivatives and Credit Default Swaps," SUERF 50th Anniversary Volume Chapters, SUERF - The European Money and Finance Forum, chapter 13, in: Morten Balling & Ernest Gnan, "50 Years of Money and Finance: Lessons and Challenges".
• Matteo Manera & Marcella Nicolini, 2013, "Futures Price Volatility in Commodities Markets: The Role of Short Term vs Long Term Speculation," Working Papers, Fondazione Eni Enrico Mattei, number 2013.45, May.
• Nikolay Gospodinov & Ibrahim Jamali, 2013, "Monetary policy surprises, positions of traders, and changes in commodity futures prices," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2013-12, Nov.
• Allan M. Malz, 2013, "Risk-neutral systemic risk indicators," Staff Reports, Federal Reserve Bank of New York, number 607.
• Martijn Boons & Frans de Roon & Fernando M. Duarte & Marta Szymanowska, 2013, "Time-Varying Inflation Risk and Stock Returns," Staff Reports, Federal Reserve Bank of New York, number 621, May.
• J. Benson Durham, 2013, "Arbitrage-free models of stocks and bonds," Staff Reports, Federal Reserve Bank of New York, number 656, Dec.
• Gianluca Stefani & Marco Tiberti, 2013, "Textbook Estimators of Multiperiod Optimal Hedging Ratios: Methodological Aspects and Application to the European Wheat Market," Working Papers - Economics, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa, number wp2013_29.rdf.
• Nina Boyarchenko & Mario Cerrato & John Crosby & Stewart Hodges, 2013, "No Good Deals - No Bad Models," Working Papers, Business School - Economics, University of Glasgow, number 2013_04, Jan.
• Dominique Guegan & Florian Ielpo & Hanjarivo Lalaharison, 2013, "Option pricing with discrete time jump processes," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number hal-00964950, Dec, DOI: 10.1016/j.jedc.2013.07.003.
• Jean Marc J. M. Bourgeon & Georges G. Dionne, 2013, "On debt service and renegotiation when debt-holders are more strategic
  [Sur le service de la dette et la renégociation lorsque les détenteurs de la dette sont plus stratégiques]," Post-Print, HAL, number hal-01000655, DOI: 10.1016/j.jfi.2012.09.002.
• Jean-François Carpantier & Besik Samkharadze, 2013, "The Asymmetric Commodity Inventory Effect on the Optimal Hedge Ratio," Post-Print, HAL, number hal-01821139, Sep.
• Sanjay Sehgal & Namita Rajput & Florent Deisting, 2013, "Price Discovery and Volatility Spillover: Evidence from Indian Commodity Markets," Post-Print, HAL, number hal-01881910.
• Jean-François Carpantier & Arnaud Dufays, 2013, "Commodities Inventory Effect," Working Papers, HAL, number hal-01821144.
• Lund, Diderik & Nymoen, Ragnar, 2013, "Comparative statics for real options on oil: What stylized facts to use?," Memorandum, Oslo University, Department of Economics, number 14/2013, May.
• Takkabutr, Nattapol, 2013, "Option-Implied Risk Aversion Anomalies: Evidence From Japanese Market," Hitotsubashi Journal of Economics, Hitotsubashi University, volume 54, issue 2, pages 137-157, December, DOI: 10.15057/26019.
• Abdelmoneim Youssef & Giuseppe Galloppo, 2013, "The Efficiency Of Emerging Stock Markets: Evidence From Asia And Africa," Global Journal of Business Research, The Institute for Business and Finance Research, volume 7, issue 4, pages 1-17.
• Sanjay Sehgal & Namita Rajput & Florent Deisting, 2013, "Price Discovery and Volatility Spillover: Evidence from Indian Commodity Markets," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 7, issue 3, pages 57-75.
• Monica Giulietti & Luigi Grossi, 2013, "Revenues from storage in a competitive electricity market: Empirical evidence from Great Britain," Working Papers, Institut d'Economia de Barcelona (IEB), number 2013/37.
• Ahmet GÖNCÜ & Mehmet Oğuz KARAHAN & Tolga Umut KUZUBAŞ, 2013, "A Stochastic Model for Natural Gas Consumption: An Application for Turkey," Iktisat Isletme ve Finans, Bilgesel Yayincilik, volume 28, issue 332, pages 33-46.
• Jaime Casassus & Eduardo Walker, 2013, "Adjusted Money's Worth Ratios in Life Annuities," Documentos de Trabajo, Instituto de Economia. Pontificia Universidad Católica de Chile., number 434.
• Farzad Fard & Tak Siu, 2013, "Pricing and managing risks of European-style options in a Markovian regime-switching binomial model," Annals of Finance, Springer, volume 9, issue 3, pages 421-438, August, DOI: 10.1007/s10436-012-0192-3.
• Frederik Herzberg, 2013, "First steps towards an equilibrium theory for Lévy financial markets," Annals of Finance, Springer, volume 9, issue 3, pages 543-572, August, DOI: 10.1007/s10436-012-0202-5.
• Johannes Ruf, 2013, "Negative call prices," Annals of Finance, Springer, volume 9, issue 4, pages 787-794, November, DOI: 10.1007/s10436-012-0221-2.
• Srikanth Iyer & Seema Nanda & Swapnil Kumar, 2013, "An Empirical Comparison of Two Stochastic Volatility Models using Indian Market Data," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, volume 20, issue 3, pages 243-259, September, DOI: 10.1007/s10690-013-9166-3.
• Silvia Muzzioli, 2013, "The Forecasting Performance of Corridor Implied Volatility in the Italian Market," Computational Economics, Springer;Society for Computational Economics, volume 41, issue 3, pages 359-386, March, DOI: 10.1007/s10614-012-9343-x.
• Marco Realdon, 2013, "Participation exemption and tax arbitrage: Italy’s case," European Journal of Law and Economics, Springer, volume 36, issue 1, pages 77-93, August, DOI: 10.1007/s10657-010-9207-6.
• Markus Buergi, 2013, "Pricing contingent convertibles: a general framework for application in practice," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 27, issue 1, pages 31-63, March, DOI: 10.1007/s11408-012-0203-4.
• Cristian Voicu & Michael Seiler, 2013, "Deriving Optimal Portfolios for Hedging Housing Risk," The Journal of Real Estate Finance and Economics, Springer, volume 46, issue 3, pages 379-396, April, DOI: 10.1007/s11146-011-9328-x.
• Andrianos Tsekrekos & George Kanoutos, 2013, "Real Options Premia Implied from Recent Transactions in the Greek Real Estate Market," The Journal of Real Estate Finance and Economics, Springer, volume 47, issue 1, pages 152-168, July, DOI: 10.1007/s11146-011-9350-z.
• Christian Redl & Derek Bunn, 2013, "Determinants of the premium in forward contracts," Journal of Regulatory Economics, Springer, volume 43, issue 1, pages 90-111, January, DOI: 10.1007/s11149-012-9202-7.
• Bjørn Eraker, 2013, "The performance of model based option trading strategies," Review of Derivatives Research, Springer, volume 16, issue 1, pages 1-23, April, DOI: 10.1007/s11147-012-9079-8.
• Bo Zhao & Stewart Hodges, 2013, "Parametric modeling of implied smile functions: a generalized SVI model," Review of Derivatives Research, Springer, volume 16, issue 1, pages 53-77, April, DOI: 10.1007/s11147-012-9077-x.
• Maximilian Mair & Jan Maruhn, 2013, "On the primal-dual algorithm for callable Bermudan options," Review of Derivatives Research, Springer, volume 16, issue 1, pages 79-110, April, DOI: 10.1007/s11147-012-9078-9.
• Susanne Griebsch, 2013, "The evaluation of European compound option prices under stochastic volatility using Fourier transform techniques," Review of Derivatives Research, Springer, volume 16, issue 2, pages 135-165, July, DOI: 10.1007/s11147-012-9083-z.
• Doobae Jun & Hyejin Ku, 2013, "Valuation of American partial barrier options," Review of Derivatives Research, Springer, volume 16, issue 2, pages 167-191, July, DOI: 10.1007/s11147-012-9081-1.
• Costas Siriopoulos & Athanasios Fassas, 2013, "Dynamic relations of uncertainty expectations: a conditional assessment of implied volatility indices," Review of Derivatives Research, Springer, volume 16, issue 3, pages 233-266, October, DOI: 10.1007/s11147-012-9085-x.
• Gabriel Drimus & Walter Farkas, 2013, "Local volatility of volatility for the VIX market," Review of Derivatives Research, Springer, volume 16, issue 3, pages 267-293, October, DOI: 10.1007/s11147-012-9086-9.
• Bing-Huei Lin & Mao-Wei Hung & Jr-Yan Wang & Ping-Da Wu, 2013, "A lattice model for option pricing under GARCH-jump processes," Review of Derivatives Research, Springer, volume 16, issue 3, pages 295-329, October, DOI: 10.1007/s11147-012-9087-8.
• Rodrigo Hernández & Wayne Lee & Pu Liu & Tian-Shyr Dai, 2013, "Outperformance Certificates: analysis, pricing, interpretation, and performance," Review of Quantitative Finance and Accounting, Springer, volume 40, issue 4, pages 691-713, May, DOI: 10.1007/s11156-012-0294-z.
• Benjamin Blau & Chip Wade, 2013, "Comparing the information in short sales and put options," Review of Quantitative Finance and Accounting, Springer, volume 41, issue 3, pages 567-583, October, DOI: 10.1007/s11156-013-0377-5.
• Nagy, Tamás, 2013, "A villamos erőművek szén-dioxid-kibocsátásának modellezése reálopciók segítségével
  [Modelling of the carbon dioxide emissions of a power plant, using real options]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), volume 0, issue 3, pages 318-341.
• Manabu Asai & Michael McAleer, 2013, "Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing," KIER Working Papers, Kyoto University, Institute of Economic Research, number 840, Jan.
• Chia-Lin Chang & David E Allen & Michael McAleer, 2013, "Recent Developments in Financial Economics and Econometrics:An Overview," KIER Working Papers, Kyoto University, Institute of Economic Research, number 842, Jan.
• Manabu Asai & Michael McAleer, 2013, "A Fractionally Integrated Wishart Stochastic Volatility Model," KIER Working Papers, Kyoto University, Institute of Economic Research, number 848, Feb.
• Miriam Juarez-Torres, 2013, "Effectiveness of weather derivatives as a cross-hedging instrument against climate change: Case studies of reservoir water allocation management in Guanajuato, Mexico," Working Papers, Latin American and Caribbean Environmental Economics Program, number 201348, revised 2013.
• Udaibir S. Das & Yinqiu Lu & Michael G. Papaioannou & Iva Petrova, 2013, "Sovereign Risk and Asset and Liability Management—Conceptual Issues," Journal of Reviews on Global Economics, Lifescience Global, volume 2, pages 330-355.
• Safi Ullah Khan & Zaheer Abbas, 2013, "Does Equity Derivatives Trading Affect the Systematic Risk of the Underlying Stocks in an Emerging Market: Evidence from Pakistan’s Futures Market," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, volume 18, issue 1, pages 63-80, Jan-June.
• Jean-François Carpantier & Arnaud Dufays, 2013, "Commodities Inventory Effect," DEM Discussion Paper Series, Department of Economics at the University of Luxembourg, number 13-07.
• Georges Dionne & Olfa Maalaoui Chun, 2013, "Default and Liquidity Regimes in the Bond Market during the 2002-2012 Period," Cahiers de recherche, CIRPEE, number 1322.
• Matteo Manera & Marcella Nicolini & Ilaria Vignati, 2013, "Futures price volatility in commodities markets: The role of short term vs long term speculation," Working Papers, University of Milano-Bicocca, Department of Economics, number 243, May, revised May 2013.
• John T. Cuddington & Arturo L. Va'squez Cordano, 2013, "Linkages between spot and futures prices: Tests of the Fama-French-Samuelson hypotheses," Working Papers, Colorado School of Mines, Division of Economics and Business, number 2013-09, Aug.
• silvia Muzzioli & Alessio Ruggieri, 2013, "Option Implied Trees and Implied Moments," Department of Economics (DEMB), University of Modena and Reggio Emilia, Department of Economics "Marco Biagi", number 0015, Jun.
• Silvia Muzzioli, 2013, "The Optimal Corridor for Implied Volatility: from Calm to Turmoil Periods," Department of Economics (DEMB), University of Modena and Reggio Emilia, Department of Economics "Marco Biagi", number 0029, Dec.
• Gianfranco Gianfelice & Giuseppe Marotta & Costanza Torricelli, 2013, "A liquidity risk index as a regulatory tool for systemically important banks? An empirical assessment across two financial crises," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance), Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi", number 0038, Jul.
• Chiara Pederzoli & Costanza Torricelli, 2013, "Efficiency and unbiasedness of corn futures markets: New evidence across the financial crisis," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance), Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi", number 0040, Sep.
• Andrea Cipollini & Iolanda Lo Cascio & Silvia Muzzioli, 2013, "Volatility co-movements: a time scale decomposition analysis," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance), Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi", number 0044, Nov.
• Francisco Giron¨¦s & Fernando Guerra & Jorge Hern¨¢ndez & Javier Poblaci¨®n, 2013, "Structural Change in the Crude Oil Price Dynamic: Theoretical Study and Practical Implications," Business and Economic Research, Macrothink Institute, volume 3, issue 1, pages 38-55, June.
• Dariusz Gatarek & Juliusz Jabłecki, 2013, "A model for dependent defaults and pricing contingent claims with counterparty risk," NBP Working Papers, Narodowy Bank Polski, number 150.
• Nicole M. Aulerich & Scott H. Irwin & Philip Garcia, 2014, "Bubbles, Food Prices, and Speculation: Evidence from the CFTC's Daily Large Trader Data Files," NBER Chapters, National Bureau of Economic Research, Inc, "The Economics of Food Price Volatility".
• Christopher R. Knittel & Robert S. Pindyck, 2013, "The Simple Economics of Commodity Price Speculation," NBER Working Papers, National Bureau of Economic Research, Inc, number 18951, Apr.
• Andrew Ang & Bingxu Chen & Suresh Sundaresan, 2013, "Liability Investment with Downside Risk," NBER Working Papers, National Bureau of Economic Research, Inc, number 19030, May.
• James D. Hamilton & Jing Cynthia Wu, 2013, "Risk Premia in Crude Oil Futures Prices," NBER Working Papers, National Bureau of Economic Research, Inc, number 19056, May.
• Nicole M. Aulerich & Scott H. Irwin & Philip Garcia, 2013, "Bubbles, Food Prices, and Speculation: Evidence from the CFTC's Daily Large Trader Data Files," NBER Working Papers, National Bureau of Economic Research, Inc, number 19065, May.
• Robin L. Lumsdaine & Rogier J.D. Potter van Loon, 2013, "Wall Street vs. Main Street: An Evaluation of Probabilities," NBER Working Papers, National Bureau of Economic Research, Inc, number 19103, Jun.
• Gonzalo Cortazar & Ivo Kovacevic & Eduardo S. Schwartz, 2013, "Commodity and Asset Pricing Models: An Integration," NBER Working Papers, National Bureau of Economic Research, Inc, number 19167, Jun.
• Matthias Fleckenstein & Francis A. Longstaff & Hanno Lustig, 2013, "Deflation Risk," NBER Working Papers, National Bureau of Economic Research, Inc, number 19238, Jul.
• Bryan Kelly & Hao Jiang, 2013, "Tail Risk and Asset Prices," NBER Working Papers, National Bureau of Economic Research, Inc, number 19375, Aug.
• Byeong-Je An & Andrew Ang & Turan G. Bali & Nusret Cakici, 2013, "The Joint Cross Section of Stocks and Options," NBER Working Papers, National Bureau of Economic Research, Inc, number 19590, Oct.
• Sang Byung Seo & Jessica A. Wachter, 2013, "Option Prices in a Model with Stochastic Disaster Risk," NBER Working Papers, National Bureau of Economic Research, Inc, number 19611, Nov.
• Luis Alberiko Gil-Alaña & Trilochan Tripathy, 2013, "Modelling volatility persistence and asymmetry: a study on selected Indian non-ferrous metals markets," NCID Working Papers, Navarra Center for International Development, University of Navarra, number 11/2013, Dec.
• Leo Krippner, 2013, "A tractable framework for zero lower bound Gaussian term structure models," Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand, number DP2013/02, Jan.
• Nattapol TAKKABUTR, 2013, "Model-free Implied Volatility Index of Japanese Stock Market," Discussion Papers in Economics and Business, Osaka University, Graduate School of Economics, number 13-03, Mar.
• Erkko Etula, 2013, "Broker-Dealer Risk Appetite and Commodity Returns," Journal of Financial Econometrics, Oxford University Press, volume 11, issue 3, pages 486-521, June.
• Peter Carr & Liuren Wu, 2013, "Static Hedging of Standard Options," Journal of Financial Econometrics, Oxford University Press, volume 12, issue 1, pages 3-46, December.
• George M. Constantinides & Jens Carsten Jackwerth & Alexi Savov, 2013, "The Puzzle of Index Option Returns," The Review of Asset Pricing Studies, Society for Financial Studies, volume 3, issue 2, pages 229-257.
• James S. Doran & Andy Fodor & Danling Jiang, 2013, "Call-Put Implied Volatility Spreads and Option Returns," The Review of Asset Pricing Studies, Society for Financial Studies, volume 3, issue 2, pages 258-290.
• Mikhail Chernov & Alexander S. Gorbenko & Igor Makarov, 2013, "CDS Auctions," The Review of Financial Studies, Society for Financial Studies, volume 26, issue 3, pages 768-805.
• Pochea Maria-Miruna & Filip Angela-Maria, 2013, "Significance of Volatility in Option Pricing," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, volume 0, issue 1, pages 1440-1444, May.
• Matteo Manera & Marcella Nicolini & Ilaria Vignati, 2013, "Futures price volatility in commodities markets: The role of short term vs long term speculation," DEM Working Papers Series, University of Pavia, Department of Economics and Management, number 042, Apr.
• Boleslaw Borkowski & Monika Krawiec & Yochanan Shachmurove, 2013, "Modeling and Estimating Volatility of Options on Standard & Poor’s 500 Index," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 13-015, Feb.
• B S, Balakrishna, 2013, "On multi-particle Brownian survivals and the spherical Laplacian," MPRA Paper, University Library of Munich, Germany, number 43567, Jan.
• García Muñoz, Luis Manuel, 2013, "CVA, FVA (and DVA?) with stochastic spreads. A feasible replication approach under realistic assumptions," MPRA Paper, University Library of Munich, Germany, number 44252, Feb.
• Han, Meng & He, Yeqi & Zhang, Hu, 2013, "A Note on Discounting and Funding Value Adjustments for Derivatives," MPRA Paper, University Library of Munich, Germany, number 44495, Feb.
• El-khatib, Youssef & Hatemi-J, Abdulnasser, 2013, "On option pricing in illiquid markets with random jumps," MPRA Paper, University Library of Munich, Germany, number 45172, Mar.
• Bao, Qunfang, 2013, "Mean-Reverting Logarithmic Modeling of VIX," MPRA Paper, University Library of Munich, Germany, number 46413, Mar.
• Cassimon, Danny & Engelen, Peter-Jan & Reyntjens, Filip, 2013, "Rwanda’s involvement in Eastern DRC: A criminal real options approach," MPRA Paper, University Library of Munich, Germany, number 46993.