Research classified by Journal of Economic Literature (JEL) codes

2011

• 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.
• Agnieszka Janek & Tino Kluge & Rafał Weron & Uwe Wystup, 2011, "FX smile in the Heston model," Springer Books, Springer, chapter 4, in: Pavel Cizek & Wolfgang Karl Härdle & Rafał Weron, "Statistical Tools for Finance and Insurance", DOI: 10.1007/978-3-642-18062-0_4.
• 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

• Christian Camilo Vargas R, 2010, "Criterios Difusos En La Seleccion De Carteras," Revista Internacional Administracion & Finanzas, The Institute for Business and Finance Research, volume 3, issue 2, pages 29-44.
• 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.
• Jaime Casassus & Diego Ceballos, 2010, "Correlation Structure between Inflation and Oil Futures Returns: An Equilibrium Approach," Documentos de Trabajo, Instituto de Economia. Pontificia Universidad Católica de Chile., number 373.
• Álvarez-Echeverría, Francisco. & Venegas-Martínez, Francisco. & López-Sarabia, Pablo., 2010, "Valuación financiera de proyectos de energía nuclear en Argentina mediante opciones reales," Panorama Económico, Escuela Superior de Economía, Instituto Politécnico Nacional, volume 0, issue 11, pages 7-28, segundo s.
• Ron Alquist & Lutz Kilian, 2010, "What do we learn from the price of crude oil futures?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 25, issue 4, pages 539-573, DOI: 10.1002/jae.1159.
• Luca Taschini, 2010, "Environmental Economics and Modeling Marketable Permits," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, volume 17, issue 4, pages 325-343, December, DOI: 10.1007/s10690-009-9108-2.
• William Lang & Julapa Jagtiani, 2010, "The Mortgage and Financial Crises: The Role of Credit Risk Management and Corporate Governance," Atlantic Economic Journal, Springer;International Atlantic Economic Society, volume 38, issue 2, pages 123-144, June, DOI: 10.1007/s11293-010-9221-7.
• William Lang & Julapa Jagtiani, 2010, "The Mortgage and Financial Crises: The Role of Credit Risk Management and Corporate Governance," Atlantic Economic Journal, Springer;International Atlantic Economic Society, volume 38, issue 3, pages 295-316, September, DOI: 10.1007/s11293-010-9240-4.
• Tan Lee & Jyh-Bang Jou, 2010, "Urban Spatial Development: a Real Options Approach," The Journal of Real Estate Finance and Economics, Springer, volume 40, issue 2, pages 161-187, February, DOI: 10.1007/s11146-008-9135-1.
• Robert Jarrow, 2010, "Convenience yields," Review of Derivatives Research, Springer, volume 13, issue 1, pages 25-43, April, DOI: 10.1007/s11147-009-9042-5.
• F. Antonelli & A. Ramponi & S. Scarlatti, 2010, "Exchange option pricing under stochastic volatility: a correlation expansion," Review of Derivatives Research, Springer, volume 13, issue 1, pages 45-73, April, DOI: 10.1007/s11147-009-9043-4.
• Minqiang Li, 2010, "Analytical approximations for the critical stock prices of American options: a performance comparison," Review of Derivatives Research, Springer, volume 13, issue 1, pages 75-99, April, DOI: 10.1007/s11147-009-9044-3.
• Frank Zhang, 2010, "An empirical analysis of alternative recovery risk models and implied recovery rates," Review of Derivatives Research, Springer, volume 13, issue 2, pages 101-124, July, DOI: 10.1007/s11147-009-9046-1.
• Gabriel Drimus, 2010, "A forward started jump-diffusion model and pricing of cliquet style exotics," Review of Derivatives Research, Springer, volume 13, issue 2, pages 125-140, July, DOI: 10.1007/s11147-009-9045-2.
• Minqiang Li, 2010, "A quasi-analytical interpolation method for pricing American options under general multi-dimensional diffusion processes," Review of Derivatives Research, Springer, volume 13, issue 2, pages 177-217, July, DOI: 10.1007/s11147-009-9047-0.
• Raoul Pietersz & Antoon Pelsser, 2010, "A comparison of single factor Markov-functional and multi factor market models," Review of Derivatives Research, Springer, volume 13, issue 3, pages 245-272, October, DOI: 10.1007/s11147-009-9050-5.
• Robert Jarrow & Jeff Oxman & Yildiray Yildirim, 2010, "The cost of operational risk loss insurance," Review of Derivatives Research, Springer, volume 13, issue 3, pages 273-295, October, DOI: 10.1007/s11147-010-9054-1.
• Masayuki Ikeda, 2010, "Equilibrium preference free pricing of derivatives under the generalized beta distributions," Review of Derivatives Research, Springer, volume 13, issue 3, pages 297-332, October, DOI: 10.1007/s11147-010-9051-4.
• Chia-Ying Chan & Ling-Chu Lee & Ming-Chun Wang, 2010, "Employee stock options pricing and the implication of restricted exercise price: evidence from Taiwan," Review of Quantitative Finance and Accounting, Springer, volume 34, issue 2, pages 247-271, February, DOI: 10.1007/s11156-010-0166-3.
• Wei He & Yen-Sheng Lee & Peihwang Wei, 2010, "Do option traders on value and growth stocks react differently to new information?," Review of Quantitative Finance and Accounting, Springer, volume 34, issue 3, pages 371-381, April, DOI: 10.1007/s11156-009-0134-y.
• Chuang-Chang Chang & Ruey-Jenn Ho & Chengfew Lee, 2010, "Pricing credit card loans with default risks: a discrete-time approach," Review of Quantitative Finance and Accounting, Springer, volume 34, issue 4, pages 413-438, May, DOI: 10.1007/s11156-009-0130-2.
• Dimitris Psychoyios & George Dotsis & Raphael Markellos, 2010, "A jump diffusion model for VIX volatility options and futures," Review of Quantitative Finance and Accounting, Springer, volume 35, issue 3, pages 245-269, October, DOI: 10.1007/s11156-009-0153-8.
• Yao-Wen Hsu, 2010, "Staging of venture capital investment: a real options analysis," Small Business Economics, Springer, volume 35, issue 3, pages 265-281, October, DOI: 10.1007/s11187-008-9158-2.
• Benjamin Golez & Jens Carsten Jackwerth, 2010, "Pinning in the S&P 500 Futures," Working Paper Series of the Department of Economics, University of Konstanz, Department of Economics, University of Konstanz, number 2010-12, Aug.
• Masahiko Egami & Tadao Oryu, 2010, "Options on Multiple Assets in a Mean-Reverting Model," Discussion papers, Graduate School of Economics Project Center, Kyoto University, number e-10-005, Jul.
• Chiaki Hara, 2010, "Heterogeneous Beliefs in a Continuous-Time Model," KIER Working Papers, Kyoto University, Institute of Economic Research, number 701, Mar.
• Luca Taschini, 2010, "Environmental economics and modeling marketable permits," GRI Working Papers, Grantham Research Institute on Climate Change and the Environment, number 25, Sep.
• Georg Gr�ll & Luca Taschini, 2010, "A comparison of reduced-form permit price models and their empirical performances," GRI Working Papers, Grantham Research Institute on Climate Change and the Environment, number 33, Dec.
• Jeroen V.K. Rombouts & Lars Stentoft, 2010, "Multivariate Option Pricing with Time Varying Volatility and Correlations," Cahiers de recherche, CIRPEE, number 1020.
• Georges Dionne & Geneviève Gauthier & Khemais Hammami & Mathieu Maurice & Jean-Guy Simonato, 2010, "A Reduced Form Model of Default Spreads with Markov-Switching Macroeconomic Factors," Cahiers de recherche, CIRPEE, number 1042.
• Joril Maeland, 2010, "Asymmetric Information and Irreversible Investments: an Auction Model," Multinational Finance Journal, Multinational Finance Journal, volume 14, issue 3-4, pages 255-289, September.
• Ephraim Clark & Patrick Rousseau & Magid Gadad, 2010, "Investor Valuation of the Abandonment Option: Empirical Evidence from UK Divestitures 1985-1991," Multinational Finance Journal, Multinational Finance Journal, volume 14, issue 3-4, pages 291-317, September.
• Robert M. Stern, 2010, "Trade in Financial ServicesÑHas the IMF Been Involved Constructively?," Working Papers, Research Seminar in International Economics, University of Michigan, number 613, Oct.
• Silvia Muzzioli, 2010, "Towards a volatility index for the Italian stock 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 0023, Sep.
• Silvia Muzzioli, 2010, "Towards a volatility index for the Italian stock 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 10091, Sep.
• Christophe Chorro & Dominique Guegan & Florian Ielpo, 2010, "Option pricing for GARCH-type models with generalized hyperbolic innovations," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 10023, Mar, DOI: 10.1080/14697688.2010.493180.
• Christophe Chorro & Dominique Guegan & Florian Ielpo, 2010, "Likelihood-Related Estimation Methods and Non-Gaussian GARCH Processes," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 10067, Jul.
• Mark Mitchell & Todd Pulvino, 2010, "Arbitrage Crashes and the Speed of Capital," NBER Chapters, National Bureau of Economic Research, Inc, "Market Institutions and Financial Market Risk".
• Pierre Collin-Dufresne & Robert S. Goldstein & Jean Helwege, 2010, "Is Credit Event Risk Priced? Modeling Contagion via the Updating of Beliefs," NBER Working Papers, National Bureau of Economic Research, Inc, number 15733, Feb.
• Pierre Collin-Dufresne & Robert S. Goldstein & Fan Yang, 2010, "On the Relative Pricing of long Maturity S&P 500 Index Options and CDX Tranches," NBER Working Papers, National Bureau of Economic Research, Inc, number 15734, Feb.
• James D. Hamilton & Tatsuyoshi Okimoto, 2010, "Sources of Variation in Holding Returns for Fed Funds Futures Contracts," NBER Working Papers, National Bureau of Economic Research, Inc, number 15736, Feb.
• Menzie D. Chinn & Olivier Coibion, 2010, "The Predictive Content of Commodity Futures," NBER Working Papers, National Bureau of Economic Research, Inc, number 15830, Mar.
• Erik Snowberg & Justin Wolfers, 2010, "Explaining the Favorite-Longshot Bias: Is it Risk-Love or Misperceptions?," NBER Working Papers, National Bureau of Economic Research, Inc, number 15923, Apr.
• Hui Chen, 2010, "Macroeconomic Conditions and the Puzzles of Credit Spreads and Capital Structure," NBER Working Papers, National Bureau of Economic Research, Inc, number 16151, Jul.
• George M. Constantinides & Michal Czerwonko & Jens Carsten Jackwerth & Stylianos Perrakis, 2010, "Are Options on Index Futures Profitable for Risk Averse Investors? Empirical Evidence," NBER Working Papers, National Bureau of Economic Research, Inc, number 16302, Aug.
• Ke Tang & Wei Xiong, 2010, "Index Investment and Financialization of Commodities," NBER Working Papers, National Bureau of Economic Research, Inc, number 16385, Sep.
• Viral V. Acharya & Yakov Amihud & Sreedhar T. Bharath, 2010, "Liquidity Risk of Corporate Bond Returns: A Conditional Approach," NBER Working Papers, National Bureau of Economic Research, Inc, number 16394, Sep.
• Anders B. Trolle & Eduardo S. Schwartz, 2010, "An Empirical Analysis of the Swaption Cube," NBER Working Papers, National Bureau of Economic Research, Inc, number 16549, Nov.
• Turcan Radu Olimpiu Calin, 2010, "„Black-Scholes Model Used To Evaluate Stocks Options”," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, volume 1, issue 2, pages 795-799, December.
• Michi Nishihara, 2010, "A model for determining whether a firm should exercise multiple real options individually or simultaneously," Discussion Papers in Economics and Business, Osaka University, Graduate School of Economics, number 10-12, Apr.
• Michi Nishihara, 2010, "Evaluating the occurrence and disappearance of real options," Discussion Papers in Economics and Business, Osaka University, Graduate School of Economics, number 10-19, Jul.
• Michi NISHIHARA & Takashi SHIBATA, 2010, "The effects of costly exploration on optimal investment timing," Discussion Papers in Economics and Business, Osaka University, Graduate School of Economics, number 10-27, Nov.
• Zhiguang (Gerald) Wang & Prasad V. Bidarkota, 2010, "A Long-Run Risks Model of Asset Pricing with Fat Tails," Review of Finance, European Finance Association, volume 14, issue 3, pages 409-449.
• Álvaro Cartea & Thilo Meyer-Brandis, 2010, "How Duration Between Trades of Underlying Securities Affects Option Prices," Review of Finance, European Finance Association, volume 14, issue 4, pages 749-785.
• Massimiliano Caporin & Juliusz Pres, 2010, "Modelling and forecasting wind speed intensity for weather risk management," "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno", number 0106, Jan.
• Guglielmo Caporale & Davide Ciferri & Alessandro Girardi, 2010, "Time-varying spot and futures oil price dynamics," Quaderni del Dipartimento di Economia, Finanza e Statistica, Università di Perugia, Dipartimento Economia, number 75/2010, Jul.
• Scandizzo, Pasquale & Pagliacci, Carolina, 2010, "Foreign Reserve Management in an Oil Economy: Macroeconomic Risk as a Real Option," MPRA Paper, University Library of Munich, Germany, number 106539, Jun.
• Moreno, María Antonia & Pagliacci, Carolina, 2010, "Análisis de Riesgo Macro-financiero para Venezuela
  [Macro-financial risk for Venezuela]," MPRA Paper, University Library of Munich, Germany, number 106552, Jul.
• Balakrishna, BS, 2010, "Alpha-root Processes for Derivatives pricing," MPRA Paper, University Library of Munich, Germany, number 19949, Jan.
• Li, Hui, 2010, "Downturn LGD: A Spot Recovery Approach," MPRA Paper, University Library of Munich, Germany, number 20010, Jan.
• Grzelak, Lech & Oosterlee, Kees, 2010, "An Equity-Interest Rate Hybrid Model With Stochastic Volatility and the Interest Rate Smile," MPRA Paper, University Library of Munich, Germany, number 20574, Jan.
• Carey, Alexander, 2010, "Higher-order volatility: time series," MPRA Paper, University Library of Munich, Germany, number 21087, Jan.
• Balakrishna, B S, 2010, "Levy Subordinator Model of Default Dependency," MPRA Paper, University Library of Munich, Germany, number 21386, Mar.
• Giandomenico, Rossano, 2010, "Credit Derivatives," MPRA Paper, University Library of Munich, Germany, number 21793, Feb.
• Campbell, Gareth, 2010, "Leveraging the British Railway Mania: Derivatives for the Individual Investor," MPRA Paper, University Library of Munich, Germany, number 21822, Mar.
• Behera, Harendra, 2010, "Onshore and offshore market for Indian Rupee: recent evidence on volatility and shock spillover," MPRA Paper, University Library of Munich, Germany, number 22247, Jan.
• Elverhøi, Morten & Fleten, Stein-Erik & Fuss, Sabine & Heggedal, Ane Marte & Szolgayova, Jana & Troland, Ole Christian, 2010, "Evaluation of hydropower upgrade projects - a real options approach," MPRA Paper, University Library of Munich, Germany, number 23005, May.
• Grzelak, Lech & Oosterlee, Kees, 2010, "On cross-currency models with stochastic volatility and correlated interest rates," MPRA Paper, University Library of Munich, Germany, number 23020, Jun.
• Fries, Christian P., 2010, "Discounting Revisited. Valuations under Funding Costs, Counterparty Risk and Collateralization," MPRA Paper, University Library of Munich, Germany, number 23082, May, revised 30 May 2010.
• Siddiqi, Hammad, 2010, "Coarse thinking, implied volatility, and the valuation of call and put options," MPRA Paper, University Library of Munich, Germany, number 23261, Jan.
• Cadogan, Godfrey, 2010, "Canonical Representation Of Option Prices and Greeks with Implications for Market Timing," MPRA Paper, University Library of Munich, Germany, number 23426, Jun.
• Morini, Massimo & Prampolini, Andrea, 2010, "Risky funding: a unified framework for counterparty and liquidity risk," MPRA Paper, University Library of Munich, Germany, number 23555, May.
• Siddiqi, Hammad, 2010, "The relevance of coarse thinking for investors' willingness to pay: An experimental study," MPRA Paper, University Library of Munich, Germany, number 23924, Jul.
• Cavalcante, Mileno, 2010, "An Analysis of the relationship between WTI term structure and oil market fundamentals in 2002-2009," MPRA Paper, University Library of Munich, Germany, number 24263, Aug.
• Janek, Agnieszka & Kluge, Tino & Weron, Rafal & Wystup, Uwe, 2010, "FX Smile in the Heston Model," MPRA Paper, University Library of Munich, Germany, number 25491, Sep.
• Caporin, Massimiliano & Pres, Juliusz & Torro, Hipolit, 2010, "Model based Monte Carlo pricing of energy and temperature quanto options," MPRA Paper, University Library of Munich, Germany, number 25538, Sep.
• Balakrishna, B S, 2010, "Levy Subordinator Model: A Two Parameter Model of Default Dependency," MPRA Paper, University Library of Munich, Germany, number 26274, Oct.
• Bao, Qunfang & Chen, Si & Liu, Guimei & Li, Shenghong, 2010, "Unilateral CVA for CDS in Contagion Model_with Volatilities and Correlation of Spread and Interest," MPRA Paper, University Library of Munich, Germany, number 26277, Oct.
• Su, Yongyang & Lau, Marco Chi Keung, 2010, "Strategic asset allocation and intertemporal demands: with commodities as an asset class," MPRA Paper, University Library of Munich, Germany, number 26337, Oct.
• Amira, Khaled & Bennour, Khaled, 2010, "Borrowing Constraint and the Effect of Option Introduction," MPRA Paper, University Library of Munich, Germany, number 26440, Oct.
• Bao, Qunfang & Li, Shenghong & Liu, Guimei, 2010, "Survival Measures and Interacting Intensity Model: with Applications in Guaranteed Debt Pricing," MPRA Paper, University Library of Munich, Germany, number 27698, Aug, revised 27 Dec 2010.
• Bao, Qunfang & Chen, Si & Liu, Guimei & Li, Shenghong, 2010, "Unilateral CVA for CDS in Contagion model: With volatilities and correlation of spread and interest," MPRA Paper, University Library of Munich, Germany, number 28250, Oct, revised 27 Dec 2010.
• Schneider, Stefan & Schneider, Stefan, 2010, "Power Spot Price Models with negative Prices," MPRA Paper, University Library of Munich, Germany, number 29958, Dec.
• Brogi, Athos, 2010, "A binomial tree to price European options," MPRA Paper, University Library of Munich, Germany, number 33604, Feb, revised Aug 2011.
• Ilya, Gikhman, 2010, "Multiple risky securities valuation II," MPRA Paper, University Library of Munich, Germany, number 34587, revised 2011.
• Reiffen, David & Buyuksahin, Bahattin, 2010, "The puzzle of privately-imposed price limits: are the limits imposed by financial exchanges effective?," MPRA Paper, University Library of Munich, Germany, number 35927, Dec.
• Olsen, Eirik Tandberg & Sanda, Gaute Egeland & Fleten, Stein-Erik, 2010, "Selective Hedging in Hydro-Based Electricity Companies," MPRA Paper, University Library of Munich, Germany, number 47820, Jun, revised 25 Jun 2013.
• Li, Hui, 2010, "Downturn LGD: A Spot Recovery Approach," MPRA Paper, University Library of Munich, Germany, number 71986, Jan, revised 30 Apr 2013.
• Degiannakis, Stavros & Floros, Christos, 2010, "Hedge Ratios in South African Stock Index Futures," MPRA Paper, University Library of Munich, Germany, number 96301.
• Gisèle Chanel-Reynaud, 2010, "La longue marche vers la mise en place de chambres de compensation sur les marchés de dérivés de crédit," Revue d'Économie Financière, Programme National Persée, volume 97, issue 2, pages 35-63, DOI: 10.3406/ecofi.2010.5391.
• Julien Chevallier, 2010, "Spéculation et marchés dérivés du pétrole," Revue d'Économie Financière, Programme National Persée, volume 98, issue 3, pages 353-371, DOI: 10.3406/ecofi.2010.5801.
• Francisco Venegas Martinez & Salvador Cruz Ake, 2010, "Productos derivados sobre bienes de consumo," EconoQuantum, Revista de Economia y Finanzas, Universidad de Guadalajara, Centro Universitario de Ciencias Economico Administrativas, Departamento de Metodos Cuantitativos y Maestria en Economia., volume 6, issue 2, pages 25-54, Enero-Jun.
• Martial Phélippé-Guinvarc’H & Jean Cordier, 2010, "An option on the average European futures prices for an efficient hog producer risk management," Review of Agricultural and Environmental Studies - Revue d'Etudes en Agriculture et Environnement, INRA Department of Economics, volume 91, issue 1, pages 27-42.
• Steffen Mahringer & Marcel Prokopczuk, 2010, "An Empirical Model Comparison for Valuing Crack Spread Options," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2010-01, Jan.
• Michael Weber & Marcel Prokopczuk, 2010, "American Option Valuation: Implied Calibration of GARCH Pricing-Models," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2010-02, Jan.
• Marcel Prokopczuk, 2010, "Pricing and Hedging in the Freight Futures Market," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2010-04, Apr.
• Carol Alexander & Andreas Kaeck, 2010, "Does model fit matter for hedging? Evidence from FTSE 100 options," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2010-05, Jun.
• Janis Back & Marcel Prokopczuk & Markus Rudolf, 2010, "Seasonality and the Valuation of Commodity Options," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2010-08, Jun.
• Carol Alexander & Alexander Rubinov & Markus Kalepky & Stamatis Leontsinis, 2010, "Regime-Dependent Smile-Adjusted Delta Hedging," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2010-10, Sep.
• Andreas Kaeck & Carol Alexander, 2010, "VIX Dynamics with Stochastic Volatility of Volatility," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2010-11, Sep.
• Olivier Jeanne & Damiano Sandri & Eduardo Borensztein, 2010, "Macro-Hedging for Commodity Exporters," 2010 Meeting Papers, Society for Economic Dynamics, number 832.
• Jan Vlachý, 2010, "Assessing and Negotiating Commercial Contracts," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, volume 13, issue 37, pages 143-163, September.
• Constance Smith & Stuart Landon, 2010, "Government Revenue Volatility in Alberta," Working Papers, University of Alberta, Department of Economics, number 2010-10, Jul.
• Leonid Varshavsky, 2010, "Crisis of financial system and evolution of commodities market," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), volume 17, issue 1, pages 30-44.
• Olfa Maalaoui Chun & Georges Dionne & Pascal François, 2010, "Credit spread changes within switching regimes," Working Papers, HEC Montreal, Canada Research Chair in Risk Management, number 09-1, Oct.
• Georges Dionne & Geneviève Gauthier & Khemais Hammami & Mathieu Maurice & Jean-Guy Simonato, 2010, "A reduced form model of default spreads with Markov-switching macroeconomic factors," Working Papers, HEC Montreal, Canada Research Chair in Risk Management, number 10-6, Nov.
• Sami Attaoui & Pierre Six, 2010, "Interest rate risk hedging demand under a Gaussian framework," Journal of Financial Transformation, Capco Institute, volume 28, pages 103-107.
• Conall O'Sullivan & Michael Moloney, 2010, "The Variance Gamma Self-Decomposable Process in Actuarial Modelling," Centre for Financial Markets Working Papers, Research Repository, University College Dublin, number 10197/2565, Jun.
• Pierangelo Ciurlia, 2010, "On the evaluation of European continuous-istallment options," Departmental Working Papers of Economics - University 'Roma Tre', Department of Economics - University Roma Tre, number 0113, Apr.
• Pierangelo Ciurlia, 2010, "A systematic approach for valuing European-style installment options with continuous payment plan," Departmental Working Papers of Economics - University 'Roma Tre', Department of Economics - University Roma Tre, number 0115, Apr.
• Pierangelo Ciurlia, 2010, "A systematic approach for valuing American-style installment options with continuous payment plan," Departmental Working Papers of Economics - University 'Roma Tre', Department of Economics - University Roma Tre, number 0120, Sep.
• Liuling Li & Bruce Mizrach, 2010, "Tail Return Analysis of Bear Stearns Credit Default Swaps," Departmental Working Papers, Rutgers University, Department of Economics, number 201003, Mar.
• Bruce Mizrach & Yoichi Otsubo, 2010, "The Market Microstructure of the European Climate Exchange," Departmental Working Papers, Rutgers University, Department of Economics, number 201005, Jul.
• Jayadev M. & Joshy Jacob, 2010, "Default Risk Characteristics of Poll-Based Bond Spreads," Journal of Emerging Market Finance, Institute for Financial Management and Research, volume 9, issue 1, pages 51-70, April, DOI: 10.1177/097265271000900103.