Research classified by Journal of Economic Literature (JEL) codes

2013

• 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.
• Hannah, Lincoln, 2013, "Funding Cost and a New Capital Model," MPRA Paper, University Library of Munich, Germany, number 47111, May.
• Xiao, Tim, 2013, "Is the Jump-Diffusion Model a Good Solution for Credit Risk Modeling? The Case of Convertible Bonds," MPRA Paper, University Library of Munich, Germany, number 47366, May.
• François-Heude, Alain & Yousfi, Ouidad, 2013, "A Generalization of Gray and Whaley's Option," MPRA Paper, University Library of Munich, Germany, number 47908, Jun, revised 30 Jun 2013.
• François-Heude, Alain & Yousfi, Ouidad, 2013, "On the liquidity of CAC 40 index options Market," MPRA Paper, University Library of Munich, Germany, number 47921, Jun, revised 01 Jul 2013.
• Siddiqi, Hammad, 2013, "Analogy Making, Option Prices, and Implied Volatility," MPRA Paper, University Library of Munich, Germany, number 48862, Jul.
• Fulli-Lemaire, Nicolas & Palidda, Ernesto, 2013, "Cross-Hedging of Inflation Derivatives on Commodities: The Informational Content of Futures Markets," MPRA Paper, University Library of Munich, Germany, number 49687, Jun.
• Farrell, Niall & Devine, Mel & Lee, William & Gleeson, James & Lyons, Seán, 2013, "Specifying An Efficient Renewable Energy Feed-in Tariff," MPRA Paper, University Library of Munich, Germany, number 49777, Sep.
• Sinha, Pankaj & Mathur, Kritika, 2013, "International Linkages of Agri-Processed and Energy commodities traded in India," MPRA Paper, University Library of Munich, Germany, number 50214, Jun, revised 26 Sep 2013.
• García Muñoz, Luis Manuel, 2013, "Interest rate modeling under multiple discounting curves," MPRA Paper, University Library of Munich, Germany, number 50357, Oct.
• Siddiqi, Hammad, 2013, "Mental Accounting: A Closed-Form Alternative to the Black Scholes Model," MPRA Paper, University Library of Munich, Germany, number 50759, Aug.
• Nath, Golaka, 2013, "The Spot Forward Exchange Rate Relation in Indian Foreign Exchange Market - An Analysis," MPRA Paper, University Library of Munich, Germany, number 51591, Oct.
• Lee, Y. & So, Leh-chyan, 2013, "Enemies or Allies: Pricing counterparty credit risk for synthetic CDO tranches," MPRA Paper, University Library of Munich, Germany, number 52371.
• So, Leh-chyan, 2013, "Are Real Options “Real”? Isolating Uncertainty from Risk in Real Options Analysis," MPRA Paper, University Library of Munich, Germany, number 52493.
• Arizmendi, Luis-Felipe, 2013, "An extended model of currency options applicable as policy tool for central banks with inflation targeting and dollarized economies," MPRA Paper, University Library of Munich, Germany, number 52880, Mar, revised 15 Apr 2013.
• Nauta, Bert-Jan, 2013, "Discounting Cashflows from Illiquid Assets on Bank Balance Sheets," MPRA Paper, University Library of Munich, Germany, number 54781, Apr, revised 22 Oct 2013.
• Arayssi, Mahmoud, 2013, "Price Drivers and Investment Strategies of Gold," MPRA Paper, University Library of Munich, Germany, number 56115, Dec.
• Genest, Benoit & Rego, David & Freon, Helene, 2013, "Collateral Optimization : Liquidity & Funding Value Adjustments, - Best Practices -," MPRA Paper, University Library of Munich, Germany, number 62908, Aug.
• Subramaniam, Viswanatha, 2013, "Poverty : A Corporate Creation and Ratio Controls for Eradication," MPRA Paper, University Library of Munich, Germany, number 75234, Apr.
• Alfonso Mendoza Velázquez (autor) (ed.), 2013, "International Finance and Risk Management," Books, Centro de Investigación e Inteligencia Económica (CIIE), Departamento de Ciencias Sociales - UPAEP, number 3, edition 0.
• Giuseppe Cavaliere & Morten Ø. Nielsen & A.M. Robert Taylor, 2013, "Bootstrap Score Tests For Fractional Integration In Heteroskedastic Arfima Models, With An Application To Price Dynamics In Commodity Spot And Futures Markets," Working Paper, Economics Department, Queen's University, number 1309, Dec.
• Joëlle Miffre & Chris Brooks, 2013, "Did Long-Short Investors Destabilize Commodity Markets?," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2013-03, Apr, revised Sep 2013.
• Gaetano Bloise & Pietro Reichlin & Mario Tirelli, 2013, "Fragility of Competitive Equilibrium with Risk of Default," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, volume 16, issue 2, pages 271-295, April, DOI: 10.1010/j.red.2013.01.002.
• Georges Dionne & Olfa Maalaoui Chun, 2013, "Default and liquidity regimes in the bond market during the 2002-2012 period," Working Papers, HEC Montreal, Canada Research Chair in Risk Management, number 13-4, Sep.
• David Bicchetti & Nicolas Maystre Maystre, 2013, "The synchronized and long-lasting structural change on commodity markets: Evidence from high frequency data," Algorithmic Finance, IOS Press, volume 2, issue 3-4, pages 233-239.
• Lidija Dedi & Philippe Giraudon, 2013, "Valuation And Investment Profession," UTMS Journal of Economics, University of Tourism and Management, Skopje, Macedonia, volume 4, issue 2, pages 93-100.
• Carlo Domenico Mottura & Luca Passalacqua, 2013, "Default dependence structure effects on the valuation of government guarantees," Departmental Working Papers of Economics - University 'Roma Tre', Department of Economics - University Roma Tre, number 0177, Jul.
• Gaetano Bloise, 2013, "The structure of competitive equilibrium with unsecured debt," Departmental Working Papers of Economics - University 'Roma Tre', Department of Economics - University Roma Tre, number 0187, Dec.
• Nan Li & Alex YiHou Huang, 2011, "Price Discovery between Sovereign Credit Default Swaps and Bond Yield Spreads of Emerging Markets," Journal of Emerging Market Finance, Institute for Financial Management and Research, volume 10, issue 2, pages 197-225, August, DOI: 10.1177/097265271101000203.
• A. Vinay Kumar & Shikha Jaiswal, 2013, "The Information Content of Alternate Implied Volatility Models: Case of Indian Markets," Journal of Emerging Market Finance, Institute for Financial Management and Research, volume 12, issue 3, pages 293-321, December, DOI: 10.1177/0972652713512915.
• Suresh Chandra Bihari & Jayashree Kotagi, 2013, "A Study On Efficiency Of Steel Futures Market In India," Journal of Academic Research in Economics, Spiru Haret University, Faculty of Accounting and Financial Management Constanta, volume 5, issue 1 (June), pages 21-34.
• Sophie van Huellen, 2013, "Price Non-Convergence in Commodities: A Case Study of the Wheat Conundrum," Working Papers, Department of Economics, SOAS University of London, UK, number 185, Oct.
• Mauro Rosestolato & Tiziano Vargiolu & Giovanna Villani, 2013, "Robustness for path-dependent volatility models," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 36, issue 2, pages 137-167, November, DOI: 10.1007/s10203-012-0128-4.
• Stoyu Ivanov, 2013, "The influence of ETFs on the price discovery of gold, silver and oil," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 37, issue 3, pages 453-462, July, DOI: 10.1007/s12197-011-9205-8.
• Mary E. Barth & Leslie D. Hodder & Stephen R. Stubben, 2013, "Financial reporting for employee stock options: liabilities or equity?," Review of Accounting Studies, Springer, volume 18, issue 3, pages 642-682, September, DOI: 10.1007/s11142-013-9230-2.
• Ken Peasnell, 2013, "Discussion of “Financial reporting for employee stock options: liabilities or equity”," Review of Accounting Studies, Springer, volume 18, issue 3, pages 683-691, September, DOI: 10.1007/s11142-013-9236-9.
• Dirk Broeders & An Chen & David Rijsbergen, 2013, "Valuation of liabilities in hybrid pension plans," Applied Financial Economics, Taylor & Francis Journals, volume 23, issue 15, pages 1215-1229, August, DOI: 10.1080/09603107.2013.788778.
• C. Pederzoli & C. Torricelli, 2013, "Efficiency and unbiasedness of corn futures markets: new evidence across the financial crisis," Applied Financial Economics, Taylor & Francis Journals, volume 23, issue 24, pages 1853-1863, December, DOI: 10.1080/09603107.2013.856997.
• Sebastien Valeyre & Denis Grebenkov & Sofiane Aboura & Qian Liu, 2013, "The reactive volatility model," Quantitative Finance, Taylor & Francis Journals, volume 13, issue 11, pages 1697-1706, November, DOI: 10.1080/14697688.2013.797594.
• Natalie Packham & Lutz Schloegl & Wolfgang M. Schmidt, 2013, "Credit gap risk in a first passage time model with jumps," Quantitative Finance, Taylor & Francis Journals, volume 13, issue 12, pages 1871-1889, December, DOI: 10.1080/14697688.2012.739729.
• Álvaro Cartea, 2013, "Derivatives pricing with marked point processes using tick-by-tick data," Quantitative Finance, Taylor & Francis Journals, volume 13, issue 1, pages 111-123, January, DOI: 10.1080/14697688.2012.661447.
• Romain Cuchet & Pascal François & Georges Hübner, 2013, "Currency total return swaps: valuation and risk factor analysis," Quantitative Finance, Taylor & Francis Journals, volume 13, issue 7, pages 1135-1148, February, DOI: 10.1080/14697688.2013.775475.
• Huseyin Cagri Akkoyun & Ramazan Karasahin & Gursu Keles, 2013, "Systemic Risk Contribution of Individual Banks," Working Papers, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, number 1318.
• Doruk Kucuksarac & Ozgur Ozel, 2013, "Gecelik Kur Takasi Faizleri ve BIST Gecelik Repo Faizleri," Working Papers, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, number 1320.
• Manabu Asai & Michael McAleer, 2013, "Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 13-003/III, Jan.
• Marcin Jaskowski & Michael McAleer, 2013, "Estimating Implied Recovery Rates from the Term Structure of CDS Spreads," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 13-005/III, Jan.
• Chia-Lin Chang & David Allen & Michael McAleer, 2013, "Recent Developments in Financial Economics and Econometrics: An Overview," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 13-021/III, Jan.
• Manabu Asai & Michael McAleer, 2013, "A Fractionally Integrated Wishart Stochastic Volatility Model," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 13-025/III, Jan.
• Marcin Jaskowski & Michael McAleer, 2013, "Volatility Smirk as an Externality of Agency Conflict and Growing Debt," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 13-114/III, Aug.
• Manabu Asai & Michael McAleer, 2013, "Leverage and Feedback E ects on Multifactor Wishart Stochastic Volatility for Option Pricing," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2013-02.
• Chia-Lin Chang & David Allen & Michael McAleer, 2013, "Recent Developments in Financial Economics and Econometrics: An Overview," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2013-03, Jan.
• Manabu Asai & Michael McAleer, 2013, "A Fractionally Integrated Wishart Stochastic Volatility Model," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2013-07.
• Marcin Jaskowski & Michael McAleer, 2013, "Volatility Smirk as an Externality of Agency Conict and Growing Debt," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2013-29, revised Aug 2013.
• Alberto Fernández Muñoz de Morales, 2013, "Credit spread modeling effects on counterparty risk valuation adjustments: a spanish case study," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2013-32.
• Elisa Alòs & Jorge A. León, 2013, "On the closed-form approximation of short-time random strike options," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 1347, May.
• Audrino, Francesco & Fengler, Matthias, 2013, "Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data," Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science, number 1311, Mar.
• Ammann, Manuel & Buesser, Ralf, 2013, "Variance Risk Premiums in Foreign Exchange Markets," Working Papers on Finance, University of St. Gallen, School of Finance, number 1304, Apr.
• Füss, Roland & Mahringer, Steffen & Prokopczuk, Marcel, 2013, "Electricity Derivatives Pricing with Forward-Looking Information," Working Papers on Finance, University of St. Gallen, School of Finance, number 1317, Mar.
• Füss, Roland & Mahringer, Steffen & Prokopczuk, Marcel, 2013, "Electricity Spot and Derivatives Pricing when Markets are Interconnected," Working Papers on Finance, University of St. Gallen, School of Finance, number 1323, Sep.
• Kristoffer Glover & Gerhard Hambusch, 2013, "The Trade-off Theory Revisited: On the Effect of Operating Leverage," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 329, Apr.
• Carl Chiarella & Boda Kang & Christina Sklibosios Nikitopoulos & Thuy-Duong To, 2013, "The Return-Volatility Relation in Commodity Futures Markets," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 336, Aug.
• Kevin Fergusson & Eckhard Platen, 2013, "Real World Pricing of Long Term Cash-Linked Annuities and Equity-Linked Annuities with Cash-Linked Guarantees," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 338, Nov.
• Miroslava Mahlebashieva, 2013, "Determining the Fair Price of Weather hedging," Business & Management Compass, University of Economics Varna, issue 3, pages 93-105.
• Mordecai Avriel & Jens Hilscher & Alon Raviv, 2013, "Inflation Derivatives Under Inflation Target Regimes," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 33, issue 10, pages 911-938, October.
• Biao Guo & Qian Han & Doojin Ryu, 2013, "Is the KOSPI 200 Options Market Efficient? Parametric and Nonparametric Tests of the Martingale Restriction," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 33, issue 7, pages 629-652, July.
• Jean‐Francois Carpantier & Besik Samkharadze, 2013, "The Asymmetric Commodity Inventory Effect on the Optimal Hedge Ratio," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 33, issue 9, pages 868-888, September.
• Eva‐Maria Kalteier & Peter N. Posch, 2013, "Sovereign asset values and implications for the credit market," Review of Financial Economics, John Wiley & Sons, volume 22, issue 2, pages 53-60, April, DOI: 10.1016/j.rfe.2013.02.001.
• Chia-Ching Lin & Kun-Ming Chen, 2013, "The Relationship Between Us Anti-Dumping Enforcement And Exchange Rate Movements Revisited," Global Journal of Economics (GJE), World Scientific Publishing Co. Pte. Ltd., volume 2, issue 01, pages 1-23, DOI: 10.1142/S225136121350002X.
• Silvia Muzzioli, 2013, "The Information Content of Option-Based Forecasts of Volatility: Evidence from the Italian Stock Market," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., volume 3, issue 01, pages 1-46, DOI: 10.1142/S2010139213500055.
• Jeffrey R. Stokes, 2013, "What is the (Real Option) Value of a College Degree?," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., volume 3, issue 03n04, pages 1-27, DOI: 10.1142/S2010139213500158.
• Michal Zator, 2013, "Relationship between spot and futures prices in electricity markets: Pitfalls of regression analysis," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/13/06, Aug.
• Rafal Weron & Michal Zator, 2013, "Revisiting the relationship between spot and futures prices in the Nord Pool electricity market," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/13/08, Oct.
• Biao Guo & Qian Han & Doojin Ryu, 2013, "Non-parametric Tests for the Martingale Restriction: A New Approach," Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University, number 2013-10-14, Oct.
• Qian Han & Calum G. Turvey, 2013, "A Robust Equilibrium Relationship between Market Prices of Risks and Risk Aversion in Dynamically Complete Stochastic," Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University, number 2013-10-14, Oct.
• Biao Guo & Qian Han & Doojin Ryu, 2013, "The Number of State Variables for CDS Pricing," Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University, number 2013-10-14, Oct.
• Ming Lin & Changjiang Liu & Linlin Niu, 2013, "Bayesian Estimation of Wishart Autoregressive Stochastic Volatility Model," Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University, number 2013-10-14, Oct.
• Peter Spencer, 2013, "The behavior of the hazard rate in the Gaussian structural default model under asymmetric information," Discussion Papers, Department of Economics, University of York, number 13/23, Aug.
• Grodecka, Anna, 2013, "Subprime borrowers, securitization and the transmission of business cycles," Bonn Econ Discussion Papers, University of Bonn, Bonn Graduate School of Economics (BGSE), number 07/2013.
• Brinkmann, Felix & Kempf, Alexander & Korn, Olaf, 2013, "Forward-looking measures of higher-order dependencies with an application to portfolio selection," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 13-08.
• Baule, Rainer & Korn, Olaf & Saßning, Sven, 2013, "Which beta is best? On the information content of option-implied betas," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 13-11.
• Choi, Jaewon & Hackbarth, Dirk & Zechner, Josef, 2013, "Granularity of corporate debt," CFS Working Paper Series, Center for Financial Studies (CFS), number 2013/26.
• Prehn, Sören & Glauben, Thomas & Loy, Jens-Peter & Pies, Ingo & Will, Matthias Georg, 2013, "Der Einfluss von Long-only-Indexfonds auf die Preisfindung und das Marktergebnis an landwirtschaftlichen Warenterminmärkten
  [The impact of long-only index funds on the price development and the market result on agricultural futures markets]," IAMO Discussion Papers, Leibniz Institute of Agricultural Development in Transition Economies (IAMO), number 142.
• da Silva, Paulo Pereira & Rebelo, Paulo Tomaz & Afonso, Cristina, 2013, "Tail dependence of financial stocks and CDS markets: Evidence using copula methods and simulation-based inference," Economics Discussion Papers, Kiel Institute for the World Economy, number 2013-52.
• Grove, Nico & Agic, Damir & Sedlmeir, Joachim, 2013, "Reporting policies of ISPs: Do general terms and conditions (GTCs) match with the reality?," 24th European Regional ITS Conference, Florence 2013, International Telecommunications Society (ITS), number 88473.
• Will, Matthias Georg & Prehn, Sören & Pies, Ingo & Glauben, Thomas, 2013, "Does financial speculation with agricultural commodities cause hunger? A reply to our critics," Discussion Papers, Martin Luther University of Halle-Wittenberg, Chair of Economic Ethics, number 2013-25.
• Vilkovz, Grigory & Xiaox, Yan, 2013, "Option-implied information and predictability of extreme returns," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 5, DOI: 10.2139/ssrn.2209654.
• Grith, Maria & Karl Härdle, Wolfgang & Krätschmer, Volker, 2013, "Reference dependent preferences and the EPK puzzle," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2013-023.
• Härdle, Wolfgang Karl & López-Cabrera, Brenda & Teng, Huei-wen, 2013, "State Price Densities implied from weather derivatives," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2013-026.
• Adams, Zeno & Glück, Thorsten, 2013, "Financialization in Commodity Markets: Disentangling the Crisis from the Style Effect," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order, Verein für Socialpolitik / German Economic Association, number 79949.
• Posch, Peter N & Kalteier, Eva-Maria, 2013, "Sovereign Asset Values and Implications for the Credit Market," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order, Verein für Socialpolitik / German Economic Association, number 79986.
• Beißner, Patrick, 2013, "Coherent Price Systems and Uncertainty-Neutral Valuation," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order, Verein für Socialpolitik / German Economic Association, number 80010.
• Lutz, Benjamin Johannes & Pigorsch, Uta & Rotfuß, Waldemar, 2013, "Nonlinearity in cap-and-trade systems: The EUA price and its fundamentals," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 13-001.
• Lutz, Benjamin Johannes & Pigorsch, Uta & Rotfuß, Waldemar, 2013, "Nonlinearity in cap-and-trade systems: The EUA price and its fundamentals," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 13-001 [rev.].

2012

• Lingyan Cao & Zheng-Feng Guo, 2012, "A Comparison Of Gradient Estimation Techniques For European Call Options," Accounting & Taxation, The Institute for Business and Finance Research, volume 4, issue 1, pages 75-81.
• Peng He, 2012, "Option Portfolio Value At Risk Using Monte Carlo Simulation Under A Risk Neutral Stochastic Implied Volatility Model," Global Journal of Business Research, The Institute for Business and Finance Research, volume 6, issue 5, pages 65-72.
• Lingyan Cao & Zheng-Feng Guo, 2012, "A Comparison Of Delta Hedging Under Two Price Distribution Assumptions By Likelihood Ratio," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 6, issue 1, pages 25-34.
• Po-Cheng Wu & Chih-Wei Lee & Cheng-Kun Kuo, 2012, "Pricing Of Payment Deferred Vulnerable Options And Its Application To Vulnerable Range Accrual Notes," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 6, issue 2, pages 91-100.
• Juarez-Torres, Miriam & Sanchez-Aragon, Leonardo, 2012, "Effectiveness of Weather Derivatives as a Cross-Hedging Instrument against Climate Change: The Cases of Reservoir Water Allocation Management in Guanajuato, Mexico and Lambayeque, Peru," IDB Publications (Working Papers), Inter-American Development Bank, number 4050, Aug, DOI: http://dx.doi.org/10.18235/0011402.
• Miriam Juarez-Torres & Leonardo Sanchez-Aragon, 2012, "Effectiveness of Weather Derivatives as a Cross-Hedging Instrument against Climate Change: The Cases of Reservoir Water Allocation Management in Guanajuato, Mexico and Lambayeque, Peru," Research Department Publications, Inter-American Development Bank, Research Department, number 4793, Aug.
• Yayat Cadarajat & Alexander Lubis, 2012, "Offshore and Onshore IDR Market: Evidence on Information Spillover," Bulletin of Monetary Economics and Banking, Bank Indonesia, volume 14, issue 4, pages 343-368, April, DOI: https://doi.org/10.21098/bemp.v14i4.
• Yayat Cadarajat & Alexander Lubis, 2012, "Offshore and Onshore IDR Market: Evidence on Information Spillover," Bulletin of Monetary Economics and Banking, Bank Indonesia, volume 14, issue 4, pages 323-348, April, DOI: https://doi.org/10.21098/bemp.v14i4.
• Simone Cerreia-Vioglio & Fabio Maccheroni & Massimo Marinacci, 2012, "Put-Call Parity and Market Frictions," Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University, number 447.
• Alejandro Bernales & Massimo Guidolin, 2012, "Can We Forecast the Implied Volatility Surface Dynamics of Equity Options? Predictability and Economic Value Tests," Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University, number 456.
• Jens H.E. Christensen & Jose A. Lopez & Glenn D. Rudebusch, 2012, "Extracting Deflation Probability Forecasts from Treasury Yields," International Journal of Central Banking, International Journal of Central Banking, volume 8, issue 4, pages 21-60, December.
• Azusa Takeyama & Nick Constantinou & Dmitri Vinogradov, 2012, "A Framework for Extracting the Probability of Default from Stock Option Prices," IMES Discussion Paper Series, Institute for Monetary and Economic Studies, Bank of Japan, number 12-E-14, Oct.
• Azusa Takeyama & Nick Constantinou & Dmitri Vinogradov, 2012, "Credit Risk Contagion and the Global Financial Crisis," IMES Discussion Paper Series, Institute for Monetary and Economic Studies, Bank of Japan, number 12-E-15, Oct.
• Andreas Jobst, 2012, "Measuring Systemic Risk-Adjusted Liquidity (SRL): A Model Approach," IMF Working Papers, International Monetary Fund, number 2012/209, Aug.
• Hugo Eduardo Ramirez J. & Liliana Blanco Castañeda, 2012, "Optimización de Portafolios con Capital en Riesgo Acotado," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, volume 7, issue 2, pages 211-231, Julio-Dic.
• Ashima Goyal & Shruti Tripathi, 2012, "Regulations and price discovery: oil spot and futures markets," Indira Gandhi Institute of Development Research, Mumbai Working Papers, Indira Gandhi Institute of Development Research, Mumbai, India, number 2012-016, Mar.
• Zhylyevskyy, Oleksandr, 2012, "Efficient Pricing of European-Style Options Under Heston's Stochastic Volatility Model," Staff General Research Papers Archive, Iowa State University, Department of Economics, number 34827, Feb.
• Inoue, Takeshi & Hamori, Shigeyuki, 2012, "Market efficiency of commodity futures in India," IDE Discussion Papers, Institute of Developing Economies, Japan External Trade Organization(JETRO), number 370, Oct.