Research classified by Journal of Economic Literature (JEL) codes

2013

• Antonio Mele & Yoshiki Obayashi & Catherine Shalen, 2013, "Dynamics of Interest Rate Swap and Equity Volatilities," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 13-23, Apr.
• Antonio Mele & Yoshiki Obayashi, 2013, "Credit Variance Swaps and Volatility Indexes," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 13-24, Apr.
• Antonio Mele & Yoshiki Obayashi, 2013, "Volatility Indexes and Contracts for Eurodollar and Related Deposits," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 13-25, Apr.
• Antonio Mele & Yoshiki Obayashi, 2013, "Volatility Indexes and Contracts for Government Bonds and Time Deposits," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 13-26, Apr.
• Antonio Mele & Yoshiki Obayashi, 2013, "The Price of Government Bond Volatility," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 13-27, Apr.
• Chris Bardgett & Elise Gourier & Markus Leippold, 2013, "Inferring Volatility Dynamics and Risk Premia from the S&P 500 and VIX Markets," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 13-40, Jul, revised Dec 2016.
• Benjamin Junge & Anders B. Trolle, 2013, "Liquidity Risk in Credit Default Swap Markets," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 13-65, Dec, revised Aug 2015.
• Olivier Bachem & Gabriel G. Drimus & Walter Farkas, 2013, "Smooth and Bid-Offer Compliant Volatility Surfaces Under General Dividend Streams," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 13-68, Dec.
• Erwan Morellec & Boris Nikolov & Francesca Zucchi, 2013, "Competition, Cash Holdings, and Financing Decisions," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 13-72, Dec.
• Ciprian Necula & Gabriel G. Drimus & Walter Farkas, 2015, "A General Closed Form Option Pricing Formula," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 15-53, Feb, revised Mar 2016.
• Matthias Thul & Ally Zhang, 2017, "Analytical Option Pricing Under an Asymmetrically Displaced Double Gamma Jump-Diffusion Model," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 17-78, Dec, revised Feb 2018.
• Georges Dionne & Olfa Maalaoui Chun, 2013, "Default and liquidity regimes in the bond market during the 2002-2012 period," Canadian Journal of Economics, Canadian Economics Association, volume 46, issue 4, pages 1160-1195, November, DOI: 10.1111/caje.12057.
• Ludmila D. SOBOL, 2013, "Provocări Implicate De Evaluarea Companiilor," Management Intercultural, Romanian Foundation for Business Intelligence, Editorial Department, issue 27, pages 98-107, February.
• Luis Guillermo Herrera Cardona & Darwin C�rdenas Giraldo, 2013, "Modelos de valoración de opciones sobre títulos de renta fija: aplicación al mercado colombiano," Estudios Gerenciales, Universidad Icesi.
• Gastón Silverio Milanesi, 2013, "Asimetría y curtosis en el modelo binomial para valorar opciones reales: caso de aplicación para empresas de base tecnológica," Estudios Gerenciales, Universidad Icesi.
• CARPANTIER, Jean-François & SAMKHARADZE, Besik, 2013, "The asymmetric commodity inventory effect on the optimal hedge ratio," LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2527, Jan.
• Sarno, Lucio & Della Corte, Pasquale, 2013, "Volatility Risk Premia and Exchange Rate Predictability," CEPR Discussion Papers, Centre for Economic Policy Research, number 9549, Jul.
• Moskowitz, Tobias J & Pedersen, Lasse Heje & Koijen, Ralph & Vrugt, Evert B., 2013, "Carry," CEPR Discussion Papers, Centre for Economic Policy Research, number 9771, Dec.
• Balbás, Alejandro & Balbás, Beatriz & Balbás, Raquel, 2013, "On the inefficiency of Brownian motions and heavier tailed price processes," IC3JM - Estudios = Working Papers, Instituto Mixto Carlos III - Juan March de Ciencias Sociales (IC3JM), number id-13-01.
• DeMiguel, Victor & Plyakha, Yuliya & Uppal, Raman & Vilkov, Grigory, 2013, "Improving Portfolio Selection Using Option-Implied Volatility and Skewness," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 48, issue 6, pages 1813-1845, December.
• Calvet , Laurent E. & Fearnley, Marcus & Adlai J. , Fisher & Markus, Leippold, 2013, "What's Beneath the Surface? Option Pricing with Multifrequency Latent States," HEC Research Papers Series, HEC Paris, number 969, Jan.
• Scheicher, Martin & Fender, Ingo, 2009, "The pricing of subprime mortgage risk in good times and bad: evidence from the ABX.HE indices," Working Paper Series, European Central Bank, number 1056, May.
• Berg, Tobias, 2010, "The term structure of risk premia: new evidence from the financial crisis," Working Paper Series, European Central Bank, number 1165, Mar.
• Dorn, Daniel, 2010, "Investors with too many options?," Working Paper Series, European Central Bank, number 1197, May.
• Naszodi, Anna, 2010, "Testing the asset pricing model of exchange rates with survey data," Working Paper Series, European Central Bank, number 1200, May.
• de Vincent-Humphreys, Rupert & Puigvert Gutiérrez, Josep Maria, 2010, "A quantitative mirror on the Euribor market using implied probability density functions," Working Paper Series, European Central Bank, number 1281, Dec.
• Korinek, Anton, 2011, "Systemic risk-taking: amplification effects, externalities, and regulatory responses," Working Paper Series, European Central Bank, number 1345, Jun.
• Saldías, Martín, 2013, "A market-based approach to sector risk determinants and transmission in the euro area," Working Paper Series, European Central Bank, number 1574, Aug.
• Bao, Jack & Hou, Kewei, 2013, "Comovement of Corporate Bonds and Equities," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2013-11, Jul.
• Valenzuela, Patricio, 2013, "Rollover Risk and Corporate Bond Spreads," Working Papers, University of Pennsylvania, Wharton School, Weiss Center, number 13-10.
• Matloob Ullah Khan & Ambrish Gupta & Sadaf Siraj, 2013, "Empirical Testing of Modified Black-Scholes Option Pricing Model Formula on NSE Derivative Market in India," International Journal of Economics and Financial Issues, Econjournals, volume 3, issue 1, pages 87-98.
• Patricio Valenzuela, 2013, "Rollover risk and corporate bond spreads," Documentos de Trabajo, Centro de Economía Aplicada, Universidad de Chile, number 300.
• Nina, Boyarchenko & Mario, Cerrato & John, Crosby & Stewart, Hodges, 2013, "No Good Deals - No Bad Models," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE), number 2013-20.
• Akron, Sagi & Benninga, Simon, 2013, "Production and hedging implications of executive compensation schemes," Journal of Corporate Finance, Elsevier, volume 19, issue C, pages 119-139, DOI: 10.1016/j.jcorpfin.2012.10.004.
• Borensztein, Eduardo & Jeanne, Olivier & Sandri, Damiano, 2013, "Macro-hedging for commodity exporters," Journal of Development Economics, Elsevier, volume 101, issue C, pages 105-116, DOI: 10.1016/j.jdeveco.2012.08.005.
• Guégan, Dominique & Ielpo, Florian & Lalaharison, Hanjarivo, 2013, "Option pricing with discrete time jump processes," Journal of Economic Dynamics and Control, Elsevier, volume 37, issue 12, pages 2417-2445, DOI: 10.1016/j.jedc.2013.07.003.
• Zhu, Song-Ping & Chen, Wen-Ting, 2013, "An inverse finite element method for pricing American options," Journal of Economic Dynamics and Control, Elsevier, volume 37, issue 1, pages 231-250, DOI: 10.1016/j.jedc.2012.08.002.
• Schlögl, Erik, 2013, "Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order," Journal of Economic Dynamics and Control, Elsevier, volume 37, issue 3, pages 611-632, DOI: 10.1016/j.jedc.2012.10.001.
• Da Fonseca, José & Gnoatto, Alessandro & Grasselli, Martino, 2013, "A flexible matrix Libor model with smiles," Journal of Economic Dynamics and Control, Elsevier, volume 37, issue 4, pages 774-793, DOI: 10.1016/j.jedc.2012.11.006.
• Zhu, Song-Ping & Chen, Wen-Ting, 2013, "Pricing Parisian and Parasian options analytically," Journal of Economic Dynamics and Control, Elsevier, volume 37, issue 4, pages 875-896, DOI: 10.1016/j.jedc.2012.12.005.
• Ewald, Christian-Oliver & Menkens, Olaf & Hung Marten Ting, Sai, 2013, "Asian and Australian options: A common perspective," Journal of Economic Dynamics and Control, Elsevier, volume 37, issue 5, pages 1001-1018, DOI: 10.1016/j.jedc.2013.01.006.
• Beveridge, Christopher & Joshi, Mark & Tang, Robert, 2013, "Practical policy iteration: Generic methods for obtaining rapid and tight bounds for Bermudan exotic derivatives using Monte Carlo simulation," Journal of Economic Dynamics and Control, Elsevier, volume 37, issue 7, pages 1342-1361, DOI: 10.1016/j.jedc.2013.03.004.
• Kaeck, Andreas, 2013, "Asymmetry in the jump-size distribution of the S&P 500: Evidence from equity and option markets," Journal of Economic Dynamics and Control, Elsevier, volume 37, issue 9, pages 1872-1888, DOI: 10.1016/j.jedc.2013.04.008.
• Kim, Hwa-Sung, 2013, "Executive bonus compensation when abnormal earnings and the state of the economy are correlated," Economic Modelling, Elsevier, volume 32, issue C, pages 58-65, DOI: 10.1016/j.econmod.2013.01.038.
• Shi, Jing & Xu, Tracy, 2013, "Price and volatility dynamics between securitized real estate spot and futures markets," Economic Modelling, Elsevier, volume 35, issue C, pages 582-592, DOI: 10.1016/j.econmod.2013.08.003.
• Christoffersen, Peter & Jacobs, Kris & Chang, Bo Young, 2013, "Forecasting with Option-Implied Information," Handbook of Economic Forecasting, Elsevier, chapter 0, in: G. Elliott & C. Granger & A. Timmermann, "Handbook of Economic Forecasting", DOI: 10.1016/B978-0-444-53683-9.00010-4.
• Guo, Liang, 2013, "Determinants of credit spreads: The role of ambiguity and information uncertainty," The North American Journal of Economics and Finance, Elsevier, volume 24, issue C, pages 279-297, DOI: 10.1016/j.najef.2012.10.003.
• Hammoudeh, Shawkat & McAleer, Michael, 2013, "Risk management and financial derivatives: An overview," The North American Journal of Economics and Finance, Elsevier, volume 25, issue C, pages 109-115, DOI: 10.1016/j.najef.2012.06.014.
• Gonzalez-Perez, Maria T. & Guerrero, David E., 2013, "Day-of-the-week effect on the VIX. A parsimonious representation," The North American Journal of Economics and Finance, Elsevier, volume 25, issue C, pages 243-260, DOI: 10.1016/j.najef.2012.06.003.
• 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
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• 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.