Research classified by Journal of Economic Literature (JEL) codes

2011

• Karen K. Lewis, 2011, "Global asset pricing," Globalization Institute Working Papers, Federal Reserve Bank of Dallas, number 88.
• Jens H. E. Christensen & Jose A. Lopez & Glenn D. Rudebusch, 2011, "Extracting deflation probability forecasts from Treasury yields," Working Paper Series, Federal Reserve Bank of San Francisco, number 2011-10.
• Celso Brunetti & David Reiffen, 2011, "Commodity index trading and hedging costs," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2011-57.
• Menno Middeldorp, 2011, "FOMC communication policy and the accuracy of Fed Funds futures," Staff Reports, Federal Reserve Bank of New York, number 491.
• Victor Stango & Jonathan Zinman, 2011, "Limited and varying consumer attention: evidence from shocks to the salience of bank overdraft fees," Working Papers, Federal Reserve Bank of Philadelphia, number 11-17.
• Philippe Mueller & Andrea Vedolin & Hao Zhou, 2011, "Short Run Bond Risk Premia," FMG Discussion Papers, Financial Markets Group, number dp686, Jun.
• Mikhail Chernov & Alexander S.Gorbenko & Igor Makarov, 2011, "CDS Auctions," FMG Discussion Papers, Financial Markets Group, number dp688, Jul.
• Anisha Ghosh & Christian Julliard, 2011, "What is the Consumption-CAPM missing? An informative-Theoretic Framework for the Analysis of Asset Pricing Models," FMG Discussion Papers, Financial Markets Group, number dp691, Oct.
• Isakov, Dusan & Marti, Didier, 2011, "Technical Analysis with a Long-Term Perspective: Trading Strategies and Market Timing Ability," FSES Working Papers, Faculty of Economics and Social Sciences, University of Freiburg/Fribourg Switzerland, number 421, Aug.
• Mario Cerrato & Chia Chun Lo & Konstantinos Skindilias, 2011, "Adaptive continuous time Markov chain approximation model to general jump-diffusions," Working Papers, Business School - Economics, University of Glasgow, number 2011_16, Jun.
• Jason West, 2011, "Long-Dated Agricultural Futures Price Estimates Using the Seasonal Nelson-Siegel Model," Discussion Papers in Finance, Griffith University, Department of Accounting, Finance and Economics, number finance:201107, Jul.
• Emmanuel Denis & Yuri Kabanov, 2011, "Consistent price systems and arbitrage opportunities of the second kind in models with transaction costs," Post-Print, HAL, number hal-00488288, DOI: 10.1007/s00780-010-0144-6.
• Julien Chevallier & Yannick Le Pen & Benoît Sévi, 2011, "Options introduction and volatility in the EU ETS," Post-Print, HAL, number hal-00991848, DOI: 10.1016/j.reseneeco.2011.07.002.
• Jean Cordier & Alexandre Gohin, 2011, "Quel impact des nouveaux spéculateurs sur les prix agricoles ? Une analyse empirique des fonds d’investissement," Post-Print, HAL, number hal-01462701, Dec.
• Tim Xiao, 2011, "An Efficient Lattice Algorithm for the LIBOR Market Model," Post-Print, HAL, number hal-02024141, Aug.
• Isabelle Huault & Hélène Rainelli-Weiss, 2011, "A Market for Weather Risk ? Conflicting Metrics, Attempts at Compromise and Limits to Commensuration," Post-Print, HAL, number halshs-00637068, DOI: 10.1177/0170840611421251.
• Song Han & Hao Zhou, 2011, "Effects of Liquidity on the Nondefault Component of Corporate Yield Spreads: Evidence from Intraday Transactions Data," Working Papers, Hong Kong Institute for Monetary Research, number 022011, Jan.
• George M. von Furstenberg, 2011, "Concocting Marketable Cocos," Working Papers, Hong Kong Institute for Monetary Research, number 222011, Jul.
• Tsz-Kin Chung & Ka-Fai Li & Cho-Hoi Hui, 2011, "Explaining Share Price Disparity with Parameter Uncertainty: Evidence from Chinese A- and H-Shares," Working Papers, Hong Kong Institute for Monetary Research, number 332011, Oct.
• Cho-Hoi Hui & Tom Fong, 2011, "Information Flow between Sovereign CDS and Dollar-Yen Currency Option Markets in the Sovereign Debt Crisis of 2009-2011," Working Papers, Hong Kong Institute for Monetary Research, number 402011, Dec.
• Ariful Hoque, 2011, "Transaction Cost Discovery By Decomposition Of The Error Term: A Bootstrapping Approach," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 5, issue 1, pages 113-121.
• Ching-Ping Wang & Hung-Hsi Huang & Chien-Chia Hung, 2011, "Implied Index And Option Pricing Errors: Evidence From The Taiwan Option Market," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 5, issue 2, pages 115-125.
• Shih-Ping Feng, 2011, "The Liquidity Effect In Option Pricing: An Empirical Analysis," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 5, issue 2, pages 35-43.
• Yu-Hong Liu & I-Ming Jiang & Shih-Cheng Lee & Yu-Ting Chen, 2011, "The Valuation Of Reset Options When Underlying Assets Are Autocorrelated," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 5, issue 2, pages 95-114.
• Kohta Takehara & Masashi Toda & Akihiko Takahashi, 2011, "Application Of A High-Order Asymptotic Expansion Scheme To Long-Term Currency Options," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 5, issue 3, pages 87-99.
• Po-Cheng Wu, 2011, "Multi-Factor Approach For Pricing Basket Credit Linked Notes Under Issuer Default Risk," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 5, issue 4, pages 115-128.
• Moch. Doddy Ariefianto & Soenartomo Soepomo, 2011, "Analisa Sovereign Risk Negara Berkembang: Temuan dari Perilaku Premi Credit Default Swap," Bulletin of Monetary Economics and Banking, Bank Indonesia, volume 14, issue 1, pages 31-50, July, DOI: https://doi.org/10.21098/bemp.v14i1.
• Moch. Doddy Ariefianto & Soenartomo Soepomo, 2011, "Sovereign Risk Analysis Of Developing Countries: Findings From Credit Default Swap Premium Behaviour," Bulletin of Monetary Economics and Banking, Bank Indonesia, volume 14, issue 1, pages 31-49, July, DOI: https://doi.org/10.21098/bemp.v14i1.
• Tarkan ÇAVUŞOĞLU & Soner GÖKTEN, 2011, "Efficiency and hedging effectiveness in the NYMEX crude oil futures market," Iktisat Isletme ve Finans, Bilgesel Yayincilik, volume 26, issue 308, pages 29-51.
• Ahmet GÖNCÜ & Mehmet Oguz KARAHAN & Tolga Umut KUZUBAŞ, 2011, "Pricing of temperature-based weather options for Turkey," Iktisat Isletme ve Finans, Bilgesel Yayincilik, volume 26, issue 309, pages 33-50.
• Ali F. Darrat & Bin Li & Omar Benkato, 2011, "The Relationship between Volatility and Expected Returns: Some Evidence for Australia," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, volume 10, issue 1, pages 27-43, April.
• Fumio Hayashi, 2011, "Commentary: Some Methodological Suggestions," International Journal of Central Banking, International Journal of Central Banking, volume 7, issue 1, pages 217-223, March.
• Masato Ubukata & Toshiaki Watanabe, 2011, "Pricing Nikkei 225 Options Using Realized Volatility," IMES Discussion Paper Series, Institute for Monetary and Economic Studies, Bank of Japan, number 11-E-18, Aug.
• Rohini Grover & Susan Thomas, 2011, "Liquidity considerations in estimating implied volatility," Indira Gandhi Institute of Development Research, Mumbai Working Papers, Indira Gandhi Institute of Development Research, Mumbai, India, number 2011-006, Mar.
• Matthias Bank & Alexander Kupfer & Rupert Sendlhofer, 2011, "Performance-sensitive government bonds - A new proposal for sustainable sovereign debt management," Working Papers, Faculty of Economics and Statistics, Universität Innsbruck, number 2011-24, Oct.
• Jaime Casassus & Peng Liu & Ke Tang, 2011, "Relative Scarcity of Commodities with a Long-Term Economic Relationship and the Correlation of Futures Returns," Documentos de Trabajo, Instituto de Economia. Pontificia Universidad Católica de Chile., number 404.
• Du, Xiaodong & Yu, Cindy L. & Hayes, Dermot J., 2011, "Speculation and volatility spillover in the crude oil and agricultural commodity markets: A Bayesian analysis," ISU General Staff Papers, Iowa State University, Department of Economics, number 201105010700001512, May.
• M. Ali Khan & Kali P. Rath & Yeneng Sun & Haomiao Yu, 2011, "On Large Games with a Bio-Social Typology," Economics Working Paper Archive, The Johns Hopkins University,Department of Economics, number 585, Dec.
• Nadine Gatzert & Hato Schmeiser, 2011, "On the risk situation of financial conglomerates: does diversification matter?," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 25, issue 1, pages 3-26, March, DOI: 10.1007/s11408-010-0149-3.
• Alexander Herbertsson, 2011, "Modelling default contagion using multivariate phase-type distributions," Review of Derivatives Research, Springer, volume 14, issue 1, pages 1-36, April, DOI: 10.1007/s11147-010-9052-3.
• Nicole Branger & Antje Mahayni, 2011, "Tractable hedging with additional hedge instruments," Review of Derivatives Research, Springer, volume 14, issue 1, pages 85-114, April, DOI: 10.1007/s11147-010-9056-z.
• João Nunes, 2011, "American options and callable bonds under stochastic interest rates and endogenous bankruptcy," Review of Derivatives Research, Springer, volume 14, issue 3, pages 283-332, October, DOI: 10.1007/s11147-010-9058-x.
• Yuri Imamura, 2011, "A remark on static hedging of options written on the last exit time," Review of Derivatives Research, Springer, volume 14, issue 3, pages 333-347, October, DOI: 10.1007/s11147-010-9059-9.
• Dasheng Ji & B. Brorsen, 2011, "A recombining lattice option pricing model that relaxes the assumption of lognormality," Review of Derivatives Research, Springer, volume 14, issue 3, pages 349-367, October, DOI: 10.1007/s11147-010-9060-3.
• I.-Doun Kuo, 2011, "Pricing and hedging volatility smile under multifactor interest rate models," Review of Quantitative Finance and Accounting, Springer, volume 36, issue 1, pages 83-104, January, DOI: 10.1007/s11156-010-0172-5.
• George M. Constantinides & Jens Carsten Jackwerth & Alexi Savov, 2011, "The Puzzle of Index Option Returns," Working Paper Series of the Department of Economics, University of Konstanz, Department of Economics, University of Konstanz, number 2011-17, May.
• Badics, Tamás, 2011, "Az arbitrázs preferenciákkal történő karakterizációjáról
  [On the characterization of arbitrage in terms of preferences]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), volume 0, issue 9, pages 727-742.
• Olesia Verchenko, 2011, "Testing option pricing models: complete and incomplete markets," Discussion Papers, Kyiv School of Economics, number 38, Apr.
• Isao Ishida & Michael McAleer & Kosuke Oya, 2011, "Estimating the Leverage Parameter of Continuous-time Stochastic Volatility Models Using High Frequency S&P 500 and VIX," KIER Working Papers, Kyoto University, Institute of Economic Research, number 759, Feb.
• Lamia Bekkour & Thorsten Lehnert & Maria Chiara Amadori, 2011, "The Relative Informational Efficiency of Stocks, Options and Credit Default Swaps," DEM Discussion Paper Series, Department of Economics at the University of Luxembourg, number 11-13.
• Jos van Bommel, 2011, "Using Monte Carlo to Price Continuously Monitored Barrier Options on Discontinuously Traded Underlyings," DEM Discussion Paper Series, Department of Economics at the University of Luxembourg, number 11-7.
• Romain Cuchet & Pascal François & Georges Hübner, 2011, "Currency Total Return Swaps: Valuation and Risk Factor Analysis," Cahiers de recherche, CIRPEE, number 1128.
• Pascal François & Georges Hübner & Jean-Roch Sibille, 2011, "A Structural Balance Sheet Model of Sovereign Credit Risk," Cahiers de recherche, CIRPEE, number 1141.
• Manolis G. Kavussanos & Ilias D. Visvikis, 2011, "The Predictability of Non-Overlapping Forecasts: Evidence from a New Market," Multinational Finance Journal, Multinational Finance Journal, volume 15, issue 1-2, pages 125-156, March - J.
• Georges Dionne & Genevieve Gauthier & Nadia Ouertani & Nabil Tahani, 2011, "Heterogeneous Basket Options Pricing Using Analytical Approximations," Multinational Finance Journal, Multinational Finance Journal, volume 15, issue 1-2, pages 47-85, March - J.
• Rafi Eldor & Shmuel Hauser & Uzi Yaari, 2011, "Safer Margins for Option Trading: How Accuracy Promotes Efficiency," Multinational Finance Journal, Multinational Finance Journal, volume 15, issue 3-4, pages 217-234, September.
• Lucia BALDI & Massimo PERI & Daniela VANDONE, 2011, "Spot and future prices of agricultural commodities: fundamentals and speculation," Departmental Working Papers, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano, number 2011-003, Jan.
• Lucia BALDI & Massimo PERI & Daniela VANDONE, 2011, "Spot and future prices of agricultural commodities: fundamentals and speculation," Departmental Working Papers, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano, number 2011-03, Jan.
• Anna Naszódi, 2011, "Testing the asset pricing model of exchange rates with survey data," MNB Working Papers, Magyar Nemzeti Bank (Central Bank of Hungary), number 2011/2.
• Anna Naszódi, 2011, "Beating the Random Walk in Central and Eastern Europe by Survey Forecasts," MNB Working Papers, Magyar Nemzeti Bank (Central Bank of Hungary), number 2011/3.
• Silvia Muzzioli, 2011, "Corridor implied volatility and the variance risk premium in the Italian market," 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 0030, Nov.
• Gavira Durón Nora & Venegas Martínez Francisco, 2011, "Decisiones óptimas de consumo y portafolio. Un enfoque de precios de estado de Arrow-Debreu," Contaduría y Administración, Accounting and Management, volume 56, issue 2, pages 151-172, mayo - ag.
• Łukasz Delong, 2011, "Practical and theoretical aspects of market-consistent valuation and hedging of insurance liabilities," Bank i Kredyt, Narodowy Bank Polski, volume 42, issue 1, pages 49-78.
• Harrison Hong & Motohiro Yogo, 2011, "What Does Futures Market Interest Tell Us about the Macroeconomy and Asset Prices?," NBER Working Papers, National Bureau of Economic Research, Inc, number 16712, Jan.
• Alexander David & Pietro Veronesi, 2011, "Investors' and Central Bank's Uncertainty Embedded in Index Options," NBER Working Papers, National Bureau of Economic Research, Inc, number 16764, Feb.
• Nicolae Gârleanu & Lasse Heje Pedersen, 2011, "Margin-Based Asset Pricing and Deviations from the Law of One Price," NBER Working Papers, National Bureau of Economic Research, Inc, number 16777, Feb.
• Viral V. Acharya & Lars A. Lochstoer & Tarun Ramadorai, 2011, "Limits to Arbitrage and Hedging: Evidence from Commodity Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 16875, Mar.
• Ian Martin, 2011, "Simple Variance Swaps," NBER Working Papers, National Bureau of Economic Research, Inc, number 16884, Mar.
• Hui Chen & Scott Joslin, 2011, "Generalized Transform Analysis of Affine Processes and Applications in Finance," NBER Working Papers, National Bureau of Economic Research, Inc, number 16906, Mar.
• Andrew Ang & Francis A. Longstaff, 2011, "Systemic Sovereign Credit Risk: Lessons from the U.S. and Europe," NBER Working Papers, National Bureau of Economic Research, Inc, number 16982, Apr.
• Robert J. Shiller & Rafal M. Wojakowski & M. Shahid Ebrahim & Mark B. Shackleton, 2011, "Continuous Workout Mortgages," NBER Working Papers, National Bureau of Economic Research, Inc, number 17007, May.
• Victor Stango & Jonathan Zinman, 2011, "Limited and Varying Consumer Attention: Evidence from Shocks to the Salience of Bank Overdraft Fees," NBER Working Papers, National Bureau of Economic Research, Inc, number 17028, May.
• Torben G. Andersen & Dobrislav Dobrev & Ernst Schaumburg, 2011, "A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation," NBER Working Papers, National Bureau of Economic Research, Inc, number 17152, Jun.
• Karen K. Lewis, 2011, "Global Asset Pricing," NBER Working Papers, National Bureau of Economic Research, Inc, number 17261, Jul.
• Viral V. Acharya, 2011, "A Transparency Standard for Derivatives," NBER Working Papers, National Bureau of Economic Research, Inc, number 17558, Nov.
• Anton Korinek, 2011, "Systemic Risk-Taking: Amplification Effects, Externalities, and Regulatory Responses," NFI Working Papers, Indiana State University, Scott College of Business, Networks Financial Institute, number 2011-WP-13, May.
• Michi Nishihara, 2011, "Real Options Valuation of Abandoned Farmland," Discussion Papers in Economics and Business, Osaka University, Graduate School of Economics, number 11-09, Mar.
• Michi Nishihara & Takashi Sshibata, 2011, "Investment timing with fixed and proportional costs of external financing," Discussion Papers in Economics and Business, Osaka University, Graduate School of Economics, number 11-29, Nov.
• Tim Bollerslev & Natalia Sizova & George Tauchen, 2011, "Volatility in Equilibrium: Asymmetries and Dynamic Dependencies," Review of Finance, European Finance Association, volume 16, issue 1, pages 31-80.
• Nicolae Gârleanu & Lasse Heje Pedersen, 2011, "Margin-based Asset Pricing and Deviations from the Law of One Price," The Review of Financial Studies, Society for Financial Studies, volume 24, issue 6, pages 1980-2022.
• Anton Sorin Gabriel & Diaconasu Delia-Elena, 2011, "Development of Exchange-Traded Derivatives Markets in Selective Central and Eastern European Countries," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, volume 0, issue 1, pages 104-109, May.
• Piciu Gabriela Cornelia & Chiþiga Georgiana, 2011, "Financial Innovations," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, volume 0, issue 1, pages 1655-1658, May.
• Ionescu Alexandra, 2011, "Firm Decisions: Determinants of Investments," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, volume 0, issue 2, pages 621-624, May.
• Gonçalo Faria & João Correia-da-Silva, 2011, "The Price of Risk and Ambiguity in an Intertemporal General Equilibrium Model of Asset Prices," FEP Working Papers, Universidade do Porto, Faculdade de Economia do Porto, number 399, Jan.
• Gonçalo Faria & João Correia-da-Silva, 2011, "A Closed-Form Solution for Options with Ambiguity about Stochastic Volatility," FEP Working Papers, Universidade do Porto, Faculdade de Economia do Porto, number 414, May.
• Cifarelli, Giulio & Paladino, Giovanna, 2011, "Hedging vs. speculative pressures on commodity futures returns," MPRA Paper, University Library of Munich, Germany, number 28229, Jan.
• Cocozza, Rosa & De Simone, Antonio, 2011, "One numerical procedure for two risk factors modeling," MPRA Paper, University Library of Munich, Germany, number 30859, May.
• Siddiqi, Hammad, 2011, "Thinking by analogy, systematic risk, and option prices," MPRA Paper, University Library of Munich, Germany, number 31316, Jun.
• Tim, Xiao, 2011, "An efficient lattice algorithm for the libor market model," MPRA Paper, University Library of Munich, Germany, number 32972, Jun.
• Stefano, Pagliarani & Pascucci, Andrea & Candia, Riga, 2011, "Expansion formulae for local Lévy models," MPRA Paper, University Library of Munich, Germany, number 34571, Oct.
• Janda, Karel & Vylezik, Tomas, 2011, "Financial Management of Weather Risk with Energy Derivatives," MPRA Paper, University Library of Munich, Germany, number 35037, Nov.
• Horvath, Roman & Poldauf, Petr, 2011, "International stock market comovements: what happened during the financial crisis?," MPRA Paper, University Library of Munich, Germany, number 35317, Dec.
• Singh, Saurabh & Saharawat, Swati, 2011, "Hedging dynamics with gold futures," MPRA Paper, University Library of Munich, Germany, number 41472.
• Marco, Bianchetti, 2011, "The Zeeman Effect in Finance: Libor Spectroscopy and Basis Risk Management," MPRA Paper, University Library of Munich, Germany, number 42247, Oct, revised 27 Oct 2012.
• Lozano Rojas, Felipe Andres, 2011, "HUMAN Capital Contracts in Chile : An excercise based on Income data on Chilean HE graduates," MPRA Paper, University Library of Munich, Germany, number 42982, Jul, revised 29 Nov 2012.
• P., Srinivasan, 2011, "Price Discovery and Volatility Spillovers in Indian Spot-Futures Commodity Market," MPRA Paper, University Library of Munich, Germany, number 47412, May.
• Bennour, Khaled, 2011, "On the demand pressure hypothesis in option markets: the case of a redundant option," MPRA Paper, University Library of Munich, Germany, number 52497, Mar.
• Mitchell, David & Hunsader, Kenneth & Parker, Scott, 2011, "A Futures Trading Experiment: An Active Classroom Approach to Learning," MPRA Paper, University Library of Munich, Germany, number 56496, revised 2011.
• Villena, Marcelo & Villena, Mauricio, 2011, "Option Pricing in an Oligopolistic Setting," MPRA Paper, University Library of Munich, Germany, number 57978, Mar, revised 16 Aug 2014.
• Carrasco-Gutierrez, Carlos Enrique & Piazza, Wagner, 2011, "Evaluating Asset Pricing Models in a Simulated Multifactor Approach," MPRA Paper, University Library of Munich, Germany, number 66063, revised 2012.
• Wei Xiong & Jialin Yu, 2011, "The Chinese Warrants Bubble," Working Papers, Princeton University, Department of Economics, Econometric Research Program., number 1398, Oct.
• Martín Saldias, 2011, "A Market-based Approach to Sector Risk Determinants and Transmission in the Euro Area," Working Papers, Banco de Portugal, Economics and Research Department, number w201130.
• Vladimir Zdorovenin & Jacques Pézier, 2011, "Does Information Content of Option Prices Add Value for Asset Allocation?," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2011-03, Jan.
• Jacques Pézier, 2011, "Rationalization of Investment Preference Criteria," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2011-12, Jul.
• Janis Back & Marcel Prokopczuk & Markus Rudolf, 2011, "Seasonal Stochastic Volatility: Implications for the Pricing of Commodity Options," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2011-16, Jun.
• Stijn Van Nieuwerburgh & Hanno Lustig & Bryan Kelly, 2011, "Too-Systemic-To-Fail: What Option Markets Imply About Sector-wide Government Guarantees," 2011 Meeting Papers, Society for Economic Dynamics, number 1285.
• Deger Alper, 2011, "Patent Valuation and Real Options," Business and Economics Research Journal, Bursa Uludag University, Faculty of Economics and Administrative Sciences, volume 2, issue 1, pages 153-153.
• Marco Bianchetti & Mattia Carlicchi, 2011, "Interest Rates After the Credit Crunch: Markets and Models Evolution," Journal of Financial Transformation, Capco Institute, volume 32, pages 35-48.
• Emmanuel Fragniere & Iliya Markov, 2011, "A Stochastic Programming Model to Minimize Volume Liquidity Risk in Commodity Trading," Journal of Financial Transformation, Capco Institute, volume 32, pages 133-141.
• Marcos Escobar & Tim Friederich & Luis Seco & Rudi Zagst, 2011, "A General Structural Approach For Credit Modeling Under Stochastic Volatility," Journal of Financial Transformation, Capco Institute, volume 32, pages 123-132.
• Julio Carmona & Angel León & Antoni Vaello-Sebastiá, 2011, "Does Stock Return Predictability Affect ESO Fair Value?," QM&ET Working Papers, University of Alicante, D. Quantitative Methods and Economic Theory, number 11-2, Nov.
• Chiara Coluzzi, 2011, "The Pricing of the Option Implicitly Granted by the Italian Treasury to the Specialists in the Reserved Auction Reopening," Rivista di Politica Economica, SIPI Spa, issue 1, pages 189-221, January-M.
• Robert M. Stern, 2011, "Trade in Financial Services—Has the IMF been Involved Constructively?," Margin: The Journal of Applied Economic Research, National Council of Applied Economic Research, volume 5, issue 1, pages 65-92, February, DOI: 10.1177/097380101000500105.
• Contreras Piedragil, Cesar Emilio & Venegas Martínez, Francisco, 2011, "Valuación de opciones sobre activos subyacentes con distribuciones estables / Options Valuation over Underlying Assets with Stable Distributions," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, volume 1, issue 1, pages 55-71, enero-jun.
• Ortíz Ramírez, Ambrosio & Venegas Martínez, Francisco & López Herrera, Francisco, 2011, "Valuación de una nota estructurada que liga el rendimiento de un índice bursátil con los pagos de un bono y un derivado / Structured Note Valuation linking the Market Index Return with the Payments of a Bond and a Derivative," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, volume 1, issue 2, pages 49-62, julio-dic.
• Xiaohu Wang & Jun Yu, 2011, "Double Asymptotics for an Explosive Continuous Time Model," Working Papers, Singapore Management University, School of Economics, number 16-2011, Nov.
• Daniel Tillich, 2011, "Risikomaßzahlen für Kreditportfoliotranchen," AStA Wirtschafts- und Sozialstatistisches Archiv, Springer;Deutsche Statistische Gesellschaft - German Statistical Society, volume 5, issue 1, pages 59-76, March, DOI: 10.1007/s11943-011-0095-1.
• Chi Leung & Yue Kwok, 2011, "Real options game analysis of sleeping patents," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 34, issue 1, pages 41-65, May, DOI: 10.1007/s10203-010-0108-5.
• Claudia Ceci & Anna Gerardi, 2011, "Utility indifference valuation for jump risky assets," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 34, issue 2, pages 85-120, November, DOI: 10.1007/s10203-010-0107-6.
• Christian Bender, 2011, "Dual pricing of multi-exercise options under volume constraints," Finance and Stochastics, Springer, volume 15, issue 1, pages 1-26, January, DOI: 10.1007/s00780-010-0134-8.
• Yuh-Dauh Lyuu & Huei-Wen Teng, 2011, "Unbiased and efficient Greeks of financial options," Finance and Stochastics, Springer, volume 15, issue 1, pages 141-181, January, DOI: 10.1007/s00780-010-0137-5.
• Leif Andersen, 2011, "Option pricing with quadratic volatility: a revisit," Finance and Stochastics, Springer, volume 15, issue 2, pages 191-219, June, DOI: 10.1007/s00780-010-0142-8.
• Paul Glasserman & Kyoung-Kuk Kim, 2011, "Gamma expansion of the Heston stochastic volatility model," Finance and Stochastics, Springer, volume 15, issue 2, pages 267-296, June, DOI: 10.1007/s00780-009-0115-y.
• Sabrina Mulinacci, 2011, "The efficient hedging problem for American options," Finance and Stochastics, Springer, volume 15, issue 2, pages 365-397, June, DOI: 10.1007/s00780-010-0151-7.
• Alexandre Roch, 2011, "Liquidity risk, price impacts and the replication problem," Finance and Stochastics, Springer, volume 15, issue 3, pages 399-419, September, DOI: 10.1007/s00780-011-0156-x.
• Rafael Mendoza-Arriaga & Vadim Linetsky, 2011, "Pricing equity default swaps under the jump-to-default extended CEV model," Finance and Stochastics, Springer, volume 15, issue 3, pages 513-540, September, DOI: 10.1007/s00780-010-0139-3.
• Tomasz Bielecki & Monique Jeanblanc & Marek Rutkowski, 2011, "Hedging of a credit default swaption in the CIR default intensity model," Finance and Stochastics, Springer, volume 15, issue 3, pages 541-572, September, DOI: 10.1007/s00780-010-0143-7.
• Alexander Cox & Jan Obłój, 2011, "Robust pricing and hedging of double no-touch options," Finance and Stochastics, Springer, volume 15, issue 3, pages 573-605, September, DOI: 10.1007/s00780-011-0154-z.
• Masaaki Fukasawa, 2011, "Asymptotic analysis for stochastic volatility: martingale expansion," Finance and Stochastics, Springer, volume 15, issue 4, pages 635-654, December, DOI: 10.1007/s00780-010-0136-6.
• Denis Belomestny, 2011, "Pricing Bermudan options by nonparametric regression: optimal rates of convergence for lower estimates," Finance and Stochastics, Springer, volume 15, issue 4, pages 655-683, December, DOI: 10.1007/s00780-010-0132-x.
• S. Kindermann & P. Mayer, 2011, "On the calibration of local jump-diffusion asset price models," Finance and Stochastics, Springer, volume 15, issue 4, pages 685-724, December, DOI: 10.1007/s00780-011-0159-7.
• Martin Forde & Antoine Jacquier, 2011, "The large-maturity smile for the Heston model," Finance and Stochastics, Springer, volume 15, issue 4, pages 755-780, December, DOI: 10.1007/s00780-010-0147-3.
• Martin Forde & Antoine Jacquier & Aleksandar Mijatović, 2011, "A note on essential smoothness in the Heston model," Finance and Stochastics, Springer, volume 15, issue 4, pages 781-784, December, DOI: 10.1007/s00780-011-0162-z.
• David Hobson & Martin Klimmek, 2012, "Model-independent hedging strategies for variance swaps," Finance and Stochastics, Springer, volume 16, issue 4, pages 611-649, October, DOI: 10.1007/s00780-012-0190-3.
• Ralf Korn & Stefanie Müller, 2013, "The optimal-drift model: an accelerated binomial scheme," Finance and Stochastics, Springer, volume 17, issue 1, pages 135-160, January, DOI: 10.1007/s00780-012-0179-y.
• Bruno Bouchard & Ngoc-Minh Dang, 2013, "Generalized stochastic target problems for pricing and partial hedging under loss constraints—application in optimal book liquidation," Finance and Stochastics, Springer, volume 17, issue 1, pages 31-72, January, DOI: 10.1007/s00780-012-0198-8.
• Yan Dolinsky & Halil Soner, 2013, "Duality and convergence for binomial markets with friction," Finance and Stochastics, Springer, volume 17, issue 3, pages 447-475, July, DOI: 10.1007/s00780-012-0192-1.
• Mathias Beiglböck & Pierre Henry-Labordère & Friedrich Penkner, 2013, "Model-independent bounds for option prices—a mass transport approach," Finance and Stochastics, Springer, volume 17, issue 3, pages 477-501, July, DOI: 10.1007/s00780-013-0205-8.
• Liao Wang & Johannes Wissel, 2013, "Mean-variance hedging with oil futures," Finance and Stochastics, Springer, volume 17, issue 4, pages 641-683, October, DOI: 10.1007/s00780-013-0203-x.
• Tim Leung & Qingshuo Song & Jie Yang, 2013, "Outperformance portfolio optimization via the equivalence of pure and randomized hypothesis testing," Finance and Stochastics, Springer, volume 17, issue 4, pages 839-870, October, DOI: 10.1007/s00780-013-0213-8.
• Zhaojun Yang & Christian-Oliver Ewald & Olaf Menkens, 2011, "Pricing and hedging of Asian options: quasi-explicit solutions via Malliavin calculus," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), volume 74, issue 1, pages 93-120, August, DOI: 10.1007/s00186-011-0352-7.
• Maria Gonzalez-Perez & Alfonso Novales, 2011, "The information content in a volatility index for Spain," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, volume 2, issue 2, pages 185-216, June, DOI: 10.1007/s13209-010-0031-6.
• Gerald Cheang & Carl Chiarella, 2011, "Exchange Options Under Jump-Diffusion Dynamics," Applied Mathematical Finance, Taylor & Francis Journals, volume 18, issue 3, pages 245-276, DOI: 10.1080/1350486X.2010.505390.
• Sergio Mayordomo & Juan Ignacio Peña & Juan Romo, 2011, "The effect of liquidity on the price discovery process in credit derivatives markets in times of financial distress," The European Journal of Finance, Taylor & Francis Journals, volume 17, issue 9-10, pages 851-881, November, DOI: 10.1080/1351847X.2010.538529.
• Viktor Todorov & George Tauchen, 2011, "Volatility Jumps," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 29, issue 3, pages 356-371, July, DOI: 10.1198/jbes.2010.08342.
• Harendra Kumar Behera, 2011, "Onshore and offshore market for Indian rupee: recent evidence on volatility and shock spillover," Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals, volume 4, issue 1, pages 43-55, DOI: 10.1080/17520843.2010.509918.
• Susanne Griebsch & Uwe Wystup, 2011, "On the valuation of fader and discrete barrier options in Heston's stochastic volatility model," Quantitative Finance, Taylor & Francis Journals, volume 11, issue 5, pages 693-709, DOI: 10.1080/14697688.2010.503375.
• Minqiang Li & Kyuseok Lee, 2011, "An adaptive successive over-relaxation method for computing the Black-Scholes implied volatility," Quantitative Finance, Taylor & Francis Journals, volume 11, issue 8, pages 1245-1269, DOI: 10.1080/14697680902849361.
• Isao Ishida & Michael McAleer & Kosuke Oya, 2011, "Estimating the Leverage Parameter of Continuous-time Stochastic Volatility Models Using High Frequency S&P 500 and VIX," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2011-17.
• Simón Sosvilla-Rivero & Amalia Morales-Zumaquero, 2011, "Volatility in EMU sovereign bond yields: Permanent and transitory components," Working Papers del Instituto Complutense de Estudios Internacionales, Universidad Complutense de Madrid, Instituto Complutense de Estudios Internacionales, number 1106.
• Iain Fraser & Katsuyuki Shibayama, 2011, "A General Equilibrium Model of Environmental Option Values," Studies in Economics, School of Economics, University of Kent, number 1107, Apr.
• Fengler, Matthias & Hin, Lin-Yee, 2011, "Semi-nonparametric estimation of the call price surface under strike and time-to-expiry no-arbitrage constraints," Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science, number 1136, Sep, revised May 2013.
• Daniele Girardi, 2011, "Do financial investors affect commodity prices? The case of Hard Red Winter Wheat," Department of Economic Policy, Finance and Development (DEPFID) University of Siena, Department of Economic Policy, Finance and Development (DEPFID), University of Siena, number 0611, Aug.
• Ke Du & Eckhard Platen, 2011, "Three-Benchmarked Risk Minimization for Jump Diffusion Markets," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 296, Aug.
• Michael Weber & Marcel Prokopczuk, 2011, "American option valuation: Implied calibration of GARCH pricing models," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 31, issue 10, pages 971-994, October.
• James D. Hamilton & Tatsuyoshi Okimoto, 2011, "Sources of variation in holding returns for fed funds futures contracts," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 31, issue 3, pages 205-229, March.
• Marcel Prokopczuk, 2011, "Pricing and hedging in the freight futures market," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 31, issue 5, pages 440-464, May.
• Michi Nishihara & Takashi Shibata, 2011, "The effects of costly exploration on optimal investment timing," Review of Financial Economics, John Wiley & Sons, volume 20, issue 3, pages 105-112, August, DOI: 10.1016/j.rfe.2011.06.001.
• Pravakar Sahoo & Rajiv Kumar, 2011, "The Impact Of Commodity Transaction Tax On Futures Trading In India: An Ex-Ante Analysis," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., volume 56, issue 03, pages 423-440, DOI: 10.1142/S0217590811004328.
• Eckhard Platen, 2011, "A Benchmark Approach to Investing and Pricing," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 28, in: Leonard C MacLean & Edward O Thorp & William T Ziemba, "THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE".
• Marcin Magdziarz & Sebastian Orzel & Aleksander Weron, 2011, "Option pricing in subdiffusive Bachelier model," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/11/05, DOI: 10.1007/s10955-011-0310-z.
• Fäßler, Robert & Kraus, Christina & Weiler, Sebastian M. & Abukadyrova, Kamila, 2011, "Portfolio-Management für Privatanleger auf Basis des State Preference Ansatzes," Bayreuth Working Papers on Finance, Accounting and Taxation (FAcT-Papers), University of Bayreuth, Chair of Finance and Banking, number 2011-03.
• Hilpert, Christian & Li, Jing & Szimayer, Alexander, 2011, "The Effect of Secondary Markets on Equity-Linked Life Insurance with Surrender Guarantees," Bonn Econ Discussion Papers, University of Bonn, Bonn Graduate School of Economics (BGSE), number 11/2011.
• Gündüz, Yalin & Uhrig-Homburg, Marliese, 2011, "Does modeling framework matter? A comparative study of structural and reduced-form models," Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank, number 2011,05.
• Theissen, Erik, 2011, "Price discovery in spot and futures markets: A reconsideration," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 09-17 [rev.].
• Chesney, Marc & Kempf, Alexander, 2011, "The value of tradeability," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 10-11 [rev.].
• Kempf, Alexander & Korn, Olaf & Saßning, Sven, 2011, "Portfolio optimization using forward-looking information," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 11-10.
• Xiao, Tim, 2011, "An Efficient Lattice Algorithm for the LIBOR Market Model," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, volume 19, issue 1, pages 25-40.
• Härdle, Wolfgang Karl & Osipenko, Maria, 2011, "Pricing Chinese rain: A multisite mulit-period equilibrium pricing model for rainfall derivatives," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2011-055.
• Trabs, Mathias, 2011, "Calibration of self-decomposable Lévy models," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2011-073.

2010

• Marin Bozic, 2010, "Pricing Options on Commodity Futures: The Role of Weather and Storage," Working Papers, The Institute of Economics, Zagreb, number 1003, Dec.
• Halil İbrahim AYDIN & Ahmet DEĞERLİ & Pınar ÖZLÜ, 2010, "Recovering risk-neutral densities from exchange rate options: Evidence from Lira-Dollar options," Iktisat Isletme ve Finans, Bilgesel Yayincilik, volume 25, issue 291, pages 9-26.
• Christos S. Savva & Kyriakos C. Neanidis & Denise R. Osborn, 2010, "Business cycle synchronization of the euro area with the new and negotiating member countries," International Journal of Finance & Economics, John Wiley & Sons, Ltd., volume 15, issue 3, pages 288-306, DOI: 10.1002/ijfe.396.
• Yoshihiko Sugihara & Nobuyuki Oda, 2010, "An Empirical Analysis of Equity Market Expectations in the Recent Financial Turmoil Using Implied Moments and Jump Diffusion Processes," IMES Discussion Paper Series, Institute for Monetary and Economic Studies, Bank of Japan, number 10-E-09, Jun.
• Arianna Agosto & Enrico Moretto, 2010, "Applying default probabilities in an exponential barrier structural model," Economics and Quantitative Methods, Department of Economics, University of Insubria, number qf1005, Jun.