Research classified by Journal of Economic Literature (JEL) codes

2013

• 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

• 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.
• 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.
• Jean-Pierre Fouque & Adam Tashman, 2012, "Option pricing under a stressed-beta model," Annals of Finance, Springer, volume 8, issue 2, pages 183-203, May, DOI: 10.1007/s10436-009-0141-y.
• Lan Zhang, 2012, "Implied and realized volatility: empirical model selection," Annals of Finance, Springer, volume 8, issue 2, pages 259-275, May, DOI: 10.1007/s10436-010-0168-0.
• Alexandra Chronopoulou & Frederi Viens, 2012, "Estimation and pricing under long-memory stochastic volatility," Annals of Finance, Springer, volume 8, issue 2, pages 379-403, May, DOI: 10.1007/s10436-010-0156-4.
• Dilip Madan, 2012, "A two price theory of financial equilibrium with risk management implications," Annals of Finance, Springer, volume 8, issue 4, pages 489-505, November, DOI: 10.1007/s10436-012-0200-7.
• Gonçalo Faria & João Correia-da-Silva, 2012, "The price of risk and ambiguity in an intertemporal general equilibrium model of asset prices," Annals of Finance, Springer, volume 8, issue 4, pages 507-531, November, DOI: 10.1007/s10436-012-0197-y.
• Rainer Andergassen & Luigi Sereno, 2012, "Valuation of N-stage Investments Under Jump-Diffusion Processes," Computational Economics, Springer;Society for Computational Economics, volume 39, issue 3, pages 289-313, March, DOI: 10.1007/s10614-011-9273-z.
• Matthias Muck, 2012, "Spread ladder swaps—an analysis of controversial interest rate derivatives," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 26, issue 2, pages 269-289, June, DOI: 10.1007/s11408-012-0186-1.
• Giovanni Calice & Christos Ioannidis & Julian Williams, 2012, "Credit Derivatives and the Default Risk of Large Complex Financial Institutions," Journal of Financial Services Research, Springer;Western Finance Association, volume 42, issue 1, pages 85-107, October, DOI: 10.1007/s10693-011-0121-z.
• Gang-Zhi Fan & Tien Sing & Seow Ong, 2012, "Default Clustering Risks in Commercial Mortgage-Backed Securities," The Journal of Real Estate Finance and Economics, Springer, volume 45, issue 1, pages 110-127, June, DOI: 10.1007/s11146-011-9315-2.
• Roman Kraeussl & Christian Wiehenkamp, 2012, "A call on art investments," Review of Derivatives Research, Springer, volume 15, issue 1, pages 1-23, April, DOI: 10.1007/s11147-011-9061-x.
• Areski Cousin & Stéphane Crépey & Yu Kan, 2012, "Delta-hedging correlation risk?," Review of Derivatives Research, Springer, volume 15, issue 1, pages 25-56, April, DOI: 10.1007/s11147-011-9068-3.
• Young Kim & Frank Fabozzi & Zuodong Lin & Svetlozar Rachev, 2012, "Option pricing and hedging under a stochastic volatility Lévy process model," Review of Derivatives Research, Springer, volume 15, issue 1, pages 81-97, April, DOI: 10.1007/s11147-011-9070-9.
• Nikunj Kapadia & Gregory Willette, 2012, "Equilibrium exercise of European warrants," Review of Derivatives Research, Springer, volume 15, issue 2, pages 129-156, July, DOI: 10.1007/s11147-011-9072-7.
• Jun Cheng & Jin Zhang, 2012, "Analytical pricing of American options," Review of Derivatives Research, Springer, volume 15, issue 2, pages 157-192, July, DOI: 10.1007/s11147-011-9073-6.
• Marc Chesney & Alexander Kempf, 2012, "The value of tradeability," Review of Derivatives Research, Springer, volume 15, issue 3, pages 193-216, October, DOI: 10.1007/s11147-012-9074-0.
• Hsuan-Chu Lin & Ren-Raw Chen & Oded Palmon, 2012, "Non-parametric method for European option bounds," Review of Quantitative Finance and Accounting, Springer, volume 38, issue 1, pages 109-129, January, DOI: 10.1007/s11156-011-0249-9.
• Chuang-Chang Chang & Miao-Ying Chen, 2012, "Re-examining the investment-uncertainty relationship in a real options model," Review of Quantitative Finance and Accounting, Springer, volume 38, issue 2, pages 241-255, February, DOI: 10.1007/s11156-011-0227-2.
• Robert Couch & Michael Dothan & Wei Wu, 2012, "Interest Tax Shields: A Barrier Options Approach," Review of Quantitative Finance and Accounting, Springer, volume 39, issue 1, pages 123-146, July, DOI: 10.1007/s11156-012-0282-3.
• Olaf Korn & Clemens Paschke & Marliese Uhrig-Homburg, 2012, "Robust stock option plans," Review of Quantitative Finance and Accounting, Springer, volume 39, issue 1, pages 77-103, July, DOI: 10.1007/s11156-011-0239-y.
• Ren-Raw Chen & Shih-Kuo Yeh, 2012, "Analytical bounds for Treasury bond futures prices," Review of Quantitative Finance and Accounting, Springer, volume 39, issue 2, pages 209-239, August, DOI: 10.1007/s11156-011-0247-y.
• Chuang-Chang Chang & Jun-Biao Lin & Wei-Che Tsai & Yaw-Huei Wang, 2012, "Using Richardson extrapolation techniques to price American options with alternative stochastic processes," Review of Quantitative Finance and Accounting, Springer, volume 39, issue 3, pages 383-406, October, DOI: 10.1007/s11156-011-0253-0.
• Richard Ashley, 2012, "On the Origins of Conditional Heteroscedasticity in Time Series," Korean Economic Review, Korean Economic Association, volume 28, pages 5-25.
• James E. Hodder & Jens Carsten Jackwerth & Olga Kolokolova, 2012, "Recovering Delisting Returns of Hedge Funds," Working Paper Series of the Department of Economics, University of Konstanz, Department of Economics, University of Konstanz, number 2012-34, Sep.
• George M. Constantinides & Jens Carsten Jackwerth & Alexi Savov, 2012, "The Puzzle of Index Option Returns," Working Paper Series of the Department of Economics, University of Konstanz, Department of Economics, University of Konstanz, number 2012-35, Sep.
• Michael McAleer & Shawkat Hammoudeh, 2012, "Risk Management and Financial Derivatives:An Overview," KIER Working Papers, Kyoto University, Institute of Economic Research, number 816, Apr.
• Marcin Jaskowski & Michael McAleer, 2012, "Estimating implied recovery rates from the term structure of CDS spreads," KIER Working Papers, Kyoto University, Institute of Economic Research, number 836, Dec.
• Thorsten Lehnert & Lamia Bekkour & Xisong Jin & Fanou Rasmouki & Christian Wolff, 2012, "Euro at Risk: The Impact of Member Countries Credit Risk on the Stability of the Common Currency," DEM Discussion Paper Series, Department of Economics at the University of Luxembourg, number 12-4.
• Yoichi Otsubo, 2012, "Measuring the Bid-Ask Spreads: Application to the European Union Allowances Futures Market," DEM Discussion Paper Series, Department of Economics at the University of Luxembourg, number 12-6.
• Yoichi Otsubo & Bruce Mizrach, 2012, "The Market Microstructure of the European Climate Exchange," DEM Discussion Paper Series, Department of Economics at the University of Luxembourg, number 12-7.
• Gaia Barone, 2012, "Equity options, credit default swaps e leverage: un semplice modello a volatilita' stocastica per i derivati azionari e creditizi," Working Papers CASMEF, Dipartimento di Economia e Finanza, LUISS Guido Carli, number 1205.
• Gunnar Grass, 2012, "Model Implied Credit Spreads," Cahiers de recherche, CIRPEE, number 1219.
• Elmar Lukas & Andreas Welling, 2012, "On the Investment-Uncertainty Relationship: A Game Theoretic Real Option Approach," FEMM Working Papers, Otto-von-Guericke University Magdeburg, Faculty of Economics and Management, number 120030, Nov.
• Massimo PERI & Daniela VANDONE & Lucia BALDI, 2012, "Internet, noise trading and commodity prices," Departmental Working Papers, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano, number 2012-007, Jun.
• Massimo PERI & Daniela VANDONE & Lucia BALDI, 2012, "Internet, noise trading and commodity prices," Departmental Working Papers, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano, number 2012-07, Jun.
• Álvarez Echeverría Francisco & López Sarabia Pablo & Venegas Martínez Francisco, 2012, "Valuación financiera de proyectos de inversión en nuevas tecnologías con opciones reales," Contaduría y Administración, Accounting and Management, volume 57, issue 3, pages 115-145, julio-sep.
• Viral V. Acharya, 2012, "A Transparency Standard for Derivatives," NBER Chapters, National Bureau of Economic Research, Inc, "Risk Topography: Systemic Risk and Macro Modeling".
• Torben G. Andersen & Nicola Fusari & Viktor Todorov, 2012, "Parametric Inference and Dynamic State Recovery from Option Panels," NBER Working Papers, National Bureau of Economic Research, Inc, number 18046, May.
• Kent Daniel & Ravi Jagannathan & Soohun Kim, 2012, "Tail Risk in Momentum Strategy Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 18169, Jun.
• Andrea Frazzini & Lasse H. Pedersen, 2012, "Embedded Leverage," NBER Working Papers, National Bureau of Economic Research, Inc, number 18558, Nov.
• Leo Krippner, 2012, "Modifying Gaussian term structure models when interest rates are near the zero lower bound," Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand, number DP2012/02, Mar.
• Leo Krippner, 2012, "Measuring the stance of monetary policy in zero lower bound environments," Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand, number DP2012/04, Oct.
• Michi NISHIHARA & Takashi SHIBATA, 2012, "The effects of external financing costs on investment timing and sizing decisions," Discussion Papers in Economics and Business, Osaka University, Graduate School of Economics, number 12-07, Apr.
• Matthias R. Fengler & Helmut Herwartz & Christian Werner, 2012, "A Dynamic Copula Approach to Recovering the Index Implied Volatility Skew," Journal of Financial Econometrics, Oxford University Press, volume 10, issue 3, pages 457-493, June.
• Jing-Zhi Huang & Ming Huang, 2012, "How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk?," The Review of Asset Pricing Studies, Society for Financial Studies, volume 2, issue 2, pages 153-202.
• Hui Chen & Scott Joslin, 2012, "Generalized Transform Analysis of Affine Processes and Applications in Finance," The Review of Financial Studies, Society for Financial Studies, volume 25, issue 7, pages 2225-2256.
• Pochea Maria-Miruna, 2012, "Testing for Sibex Market’s Long-Term Memory," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, volume 0, issue 2, pages 1312-1317, Decembre.
• Karlygash Kurlbayeva & Samuel Malone, 2012, "The determinants of extreme commodity prices," OxCarre Working Papers, Oxford Centre for the Analysis of Resource Rich Economies, University of Oxford, number 096, Sep.
• Eckhard Platen & Renata Rendek, 2012, "Approximating the numéraire portfolio by naive diversification," Journal of Asset Management, Palgrave Macmillan, volume 13, issue 1, pages 34-50, February, DOI: 10.1057/jam.2011.36.
• Eduardo Rossi & Dean Fantazzini, 2012, "Long memory and Periodicity in Intraday Volatility," DEM Working Papers Series, University of Pavia, Department of Economics and Management, number 015, Nov.
• Matteo Manera & Marcella Nicolini & Ilaria Vignati, 2012, "Returns in commodities futures markets and financial speculation: a multivariate GARCH approach," Quaderni di Dipartimento, University of Pavia, Department of Economics and Quantitative Methods, number 170, Apr.
• Calvo-Garrido, Maria del Carmen & Pascucci, Andrea & Vázquez Cendón, Carlos, 2012, "Mathematical analysis and numerical methods for pricing pension plans allowing early retirement," MPRA Paper, University Library of Munich, Germany, number 36494, Feb.
• Bicchetti, David & Maystre, Nicolas, 2012, "The synchronized and long-lasting structural change on commodity markets: evidence from high frequency data," MPRA Paper, University Library of Munich, Germany, number 37486, Mar.
• Symeonidis, Lazaros & Prokopczuk, Marcel & Brooks, Chris & Lazar, Emese, 2012, "Futures basis, inventory and commodity price volatility: An empirical analysis," MPRA Paper, University Library of Munich, Germany, number 39903, Jul.
• Girardi, Daniele, 2012, "Do financial investors affect the price of wheat?," MPRA Paper, University Library of Munich, Germany, number 40285, Jan.
• Gabrisch, Hubert & Orlowski, Lucjan T. & Pusch, Toralf, 2012, "Sovereign default Risk in the Euro-Periphery and the Euro-Candidate Countries," MPRA Paper, University Library of Munich, Germany, number 41265, Sep.
• Leduc, Guillaume, 2012, "European Option General First Order Error Formula," MPRA Paper, University Library of Munich, Germany, number 42015, May, revised 01 Oct 2012.
• Leduc, Guillaume, 2012, "Arbitrarily Fast CRR Schemes," MPRA Paper, University Library of Munich, Germany, number 42094, Sep, revised 20 Oct 2012.
• Marco, Bianchetti & Mattia, Carlicchi, 2012, "Interest Rates After The Credit Crunch: Multiple-Curve Vanilla Derivatives and SABR," MPRA Paper, University Library of Munich, Germany, number 42248, Mar.
• Luis Manuel, García Muñoz, 2012, "Collateral choice and the fundamental theorem of asset pricing," MPRA Paper, University Library of Munich, Germany, number 42451, Oct.
• Fulli-Lemaire, Nicolas & Palidda, Ernesto, 2012, "Swapping Headline for Core Inflation: An Asset Liability Management Approach," MPRA Paper, University Library of Munich, Germany, number 42853, Aug, revised 16 Nov 2012.
• Gyoshev, Stanley & Kaplan, Todd R. & Szewczyk, Samuel & Tsetsekos, George, 2012, "Why Do Financial Intermediaries Buy Put Options from Companies?," MPRA Paper, University Library of Munich, Germany, number 43149, Dec.
• Arvesen, Øystein & Medbø, Vegard & Fleten, Stein-Erik & Tomasgard, Asgeir & Westgaard, Sjur, 2012, "Linepack storage valuation under price uncertainty," MPRA Paper, University Library of Munich, Germany, number 43270, Nov.
• Bianchetti, Marco & Carlicchi, Mattia, 2012, "Markets Evolution After the Credit Crunch," MPRA Paper, University Library of Munich, Germany, number 44023, Dec.
• Ntim, Collins G, 2012, "Why African Stock Markets Should Formally Harmonise and Integrate their Operations," MPRA Paper, University Library of Munich, Germany, number 45806, Dec.
• Huang, Huichou & MacDonald, Ronald, 2012, "Currency Carry Trades, Position-Unwinding Risk, and Sovereign Credit Premia," MPRA Paper, University Library of Munich, Germany, number 47987, Jan, revised 28 Jan 2013.
• Wagner, Helmut & Matanovic, Eva, 2012, "Volatility Impact of Stock Index Futures Trading - A Revised Analysis," MPRA Paper, University Library of Munich, Germany, number 51204.
• Mark J. Roe, 2012, "Les marchés de produits dérivés et la loi américaine sur les faillites," Revue d'Économie Financière, Programme National Persée, volume 105, issue 1, pages 231-248.
• Annette L. Nazareth & Gabriel D. Rosenberg, 2012, "La nouvelle régulation des swaps : une opportunité manquée," Revue d'Économie Financière, Programme National Persée, volume 105, issue 1, pages 281-292.
• Daniele Girardi, 2012, "Do financial investors affect the price of wheat?," PSL Quarterly Review, Economia civile, volume 65, issue 260, pages 79-109.
• Martín Saldias, 2012, "Systemic Risk Analysis using Forward-Looking Distance-to-Default Series," Working Papers, Banco de Portugal, Economics and Research Department, number w201216.
• Jean Cordier & Alexandre Gohin, 2012, "Quel impact des nouveaux spéculateurs sur les prix agricoles ? Une analyse empirique des fonds d’investissement," Working Papers SMART, INRAE UMR SMART, number 12-06.
• Choy, Marylin & Cerna, Jorge, 2012, "Interrelación entre los mercados de derivados y el mercado de bonos soberanos del Perú y su impacto en las tasas de interés," Working Papers, Banco Central de Reserva del Perú, number 2012-021, Nov.
• Carol Alexander & Xi Chen, 2012, "A General Approach to Real Option Valuation with Applications to Real Estate Investments," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2012-04, Jan.
• Jacques Pézier & Johanna Scheller, 2012, "Average Portfolio Insurance Strategies," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2012-05, Jan.
• Jacinto Marabel Romo, 2012, "Volatility Regimes For The Vix Index," Revista de Economia Aplicada, Universidad de Zaragoza, Departamento de Estructura Economica y Economia Publica, volume 20, issue 2, pages 111-134, Autumn.
• Smith, James L. & Thompson, Rex, 2012, "The Informational Role of Spot Prices and Inventories," RFF Working Paper Series, Resources for the Future, number dp-12-45, Sep.
• Rossella Agliardi & Ramazan Gençay, 2012, "Hedging through a Limit Order Book with Varying Liquidity," Working Paper series, Rimini Centre for Economic Analysis, number 12_12, Apr.
• Sylvain Michael Prado & Ram Ananth, 2012, "Breaking Through Risk Management, a Derivative for the Leasing Industry," Journal of Financial Transformation, Capco Institute, volume 34, pages 211-218.