Research classified by Journal of Economic Literature (JEL) codes

2011

• 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.
• Christian Bach & Bent Jesper Christensen, 2011, "Latent Integrated Stochastic Volatility, Realized Volatility, and Implied Volatility: A State Space Approach," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-61, Feb.
• Antonis Papapantoleon & John Schoenmakers & David Skovmand, 2011, "Efficient and accurate log-Lévi approximations to Lévi driven LIBOR models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-22, Jun.
• Lars Stentoft, 2011, "American Option Pricing with Discrete and Continuous Time Models: An Empirical Comparison," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-34, Sep.
• Peter Christoffersen & Kris Jacobs & Bo Young Chang, 2011, "Forecasting with Option Implied Information," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-46, Dec.
• Torben G. Andersen & Oleg Bondarenko & Maria T. Gonzalez-Perez, 2011, "Coherent Model-Free Implied Volatility: A Corridor Fix for High-Frequency VIX," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-49, Nov.
• Tim Bollerslev & Daniela Osterrieder & Natalia Sizova & George Tauchen, 2011, "Risk and Return: Long-Run Relationships, Fractional Cointegration, and Return Predictability," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-51, Dec.
• Lars Stentoft, 2011, "What we can learn from pricing 139,879 Individual Stock Options," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-52, Dec.
• Shimon Kogan & Anthony M. Kwasnica & Roberto A. Weber, 2011, "Coordination in the Presence of Asset Markets," American Economic Review, American Economic Association, volume 101, issue 2, pages 927-947, April.
• Simón Sosvilla-Rivero & Amalia Morales-Zumaquero, 2011, "Volatility in EMU sovereign bond yields: Permanent and transitory components," Working Papers, Asociación Española de Economía y Finanzas Internacionales, number 11-03, Apr.
• Bozic, Marin & Fortenbery, T. Randall, undated, "Pricing Options on Commodity Futures: The Role of Weather and Storage," 2011 Annual Meeting, July 24-26, 2011, Pittsburgh, Pennsylvania, Agricultural and Applied Economics Association, number 103638, DOI: 10.22004/ag.econ.103638.
• Baldi, Lucia & Peri, Massimo & Vandone, Daniela, 2011, "Spot and Futures Prices of Agricultural Commodities: Fundamentals and Speculation," 2011 International European Forum, February 14-18, 2011, Innsbruck-Igls, Austria, International European Forum on System Dynamics and Innovation in Food Networks, number 122002, Nov, DOI: 10.22004/ag.econ.122002.
• Robert A. Jarrow, 2011, "The Economics of Credit Default Swaps," Annual Review of Financial Economics, Annual Reviews, volume 3, issue 1, pages 235-257, December.
• Karen K. Lewis, 2011, "Global Asset Pricing," Annual Review of Financial Economics, Annual Reviews, volume 3, issue 1, pages 435-466, December.
• Colin A. Carter & Gordon C. Rausser & Aaron Smith, 2011, "Commodity Booms and Busts," Annual Review of Resource Economics, Annual Reviews, volume 3, issue 1, pages 87-118, October.
• Marco Bianchetti & Mattia Carlicchi, 2011, "Interest Rates After The Credit Crunch: Multiple-Curve Vanilla Derivatives and SABR," Papers, arXiv.org, number 1103.2567, Mar, revised Apr 2012.
• John Cotter & Jim Hanly, 2011, "Hedging Effectiveness under Conditions of Asymmetry," Papers, arXiv.org, number 1103.5411, Mar.
• Damien Lamberton & Mohammed Mikou, 2011, "Exercise Boundary of the American Put Near Maturity in an Exponential L\'evy Model," Papers, arXiv.org, number 1105.0284, May.
• Martin Forde & Antoine Jacquier & Aleksandar Mijatovic, 2011, "A note on essential smoothness in the Heston model," Papers, arXiv.org, number 1107.4881, Jul.
• Soumaré, Issouf & Youbissi, Fabien & Gendron, Michel, 2011, "Comparative analysis of multiple-guarantor agreements," Journal of Risk Management in Financial Institutions, Henry Stewart Publications, volume 4, issue 2, pages 146-161, March.
• Di Giorgio, Giorgio & Rotondi, Zeno, 2011, "Monetary policy, financial stability and interest rate rules," Journal of Risk Management in Financial Institutions, Henry Stewart Publications, volume 4, issue 3, pages 229-242, June.
• Álvaro Cartea & José Penalva, 2011, "Where is the value in high frequency trading?," Working Papers, Banco de España, number 1111, May.
• Alessio Anzuini & Fabio Fornari, 2011, "Macroeconomic determinants of carry trade activity," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 817, Sep.
• Todorov, Viktor & Tauchen, George, 2011, "Volatility Jumps," Journal of Business & Economic Statistics, American Statistical Association, volume 29, issue 3, pages 356-371.
• Beau, D. & Clerc, L. & Mojon, B., 2011, "Macro-prudential policy and the conduct of monetary policy," Occasional papers, Banque de France, number 8.
• Vorbrink, Jörg, 2016, "American options with multiple priors in continuous time," Center for Mathematical Economics Working Papers, Center for Mathematical Economics, Bielefeld University, number 448, Feb.
• George M. Constantinides & Michal Czerwonko & Jens Carsten Jackwerth & Stylianos Perrakis, 2011, "Are Options on Index Futures Profitable for Risk‐Averse Investors? Empirical Evidence," Journal of Finance, American Finance Association, volume 66, issue 4, pages 1407-1437, August.
• Joonhyuk Song, 2011, "Analysis on the Forecasting Performance of KOSPI200 Volatility between Long Memory Model and Regime-Switching Model (in Korean)," Economic Analysis (Quarterly), Economic Research Institute, Bank of Korea, volume 17, issue 4, pages 99-127, December.
• Hail Park, 2011, "Limits to Arbitrage in the Swap and Bond Markets: the Case of Korea," Working Papers, Economic Research Institute, Bank of Korea, number 2011-14, May.
• Jianjun Miao & Dirk Hackbarth, 2011, "The dynamics of mergers and acquisitions in oligopolistic industries," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number WP2011-029, Jan.
• José Renato Haas Ornelas & Marcelo Yoshio Takami, 2011, "Recovering Risk-Neutral Densities from Brazilian Interest Rate Options," Brazilian Review of Finance, Brazilian Society of Finance, volume 9, issue 1, pages 9-26.
• Marcelo Cabus Klotzle & Antonio Carlos Figueiredo Pinto & Mario Domingues Simões & Leonardo Lima Gomes, 2011, "Hedge Effectiveness in the Brazilian US Dollar Futures Market," Brazilian Review of Finance, Brazilian Society of Finance, volume 9, issue 3, pages 365-382.
• Pascal François & Georges Hübner & Jean-Roch Sibille, 2011, "A Structural Balance Sheet Model of Sovereign Credit Risk," Finance, Presses universitaires de Grenoble, volume 32, issue 2, pages 137-165.
• 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," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 11/11, Feb.
• Julien Chevallier & Yannick Le Pen & Benoît Sévi, 2011, "Options introduction and volatility in the EU ETS," Working Papers, Chaire Economie du climat, number 1107, Jun.
• Marc Gronwald & Janina Ketterer & Stefan Trück, 2011, "The Dependence Structure between Carbon Emission Allowances and Financial Markets - A Copula Analysis," CESifo Working Paper Series, CESifo, number 3418.
• Ana Fostel & John Geanakoplos, 2011, "Tranching, CDS and Asset Prices: How Financial Innovation Can Cause Bubbles and Crashes," Levine's Working Paper Archive, David K. Levine, number 786969000000000168, Jul.
• Ana Fostel & John Geanakoplos, 2011, "Tranching, CDS and Asset Prices: How Financial Innovation Can Cause Bubbles and Crashes," Levine's Working Paper Archive, David K. Levine, number 786969000000000192, Aug.
• Fiori Maccioni, 2011, "The risk neutral valuation paradox," Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia, number 201112.
• Juan Sergio Cruz Merchán & Jaime Vargas Vives, 2011, "Aproximación De Reclamos Contingentes Para La Predicción De Riesgo De Crédito En Sus Medidas De Determinación De La Distancia De Default Y Su Probabil," Estudios Gerenciales, Universidad Icesi.
• Carlos Giovanni González Espitia & Jhon James Mora Rodríguez, 2011, "Políticas Activas De Empleo Para Cali-Colombia," Estudios Gerenciales, Universidad Icesi.
• Ziegler, Alexandre & Schürhoff, Norman, 2011, "Variance risk, financial intermediation, and the cross-section of expected option returns," CEPR Discussion Papers, Centre for Economic Policy Research, number 8268, Feb.
• Chemla, Gilles & Touzi, Nizar & Aïd, René & Porchet, Arnaud, 2011, "Hedging and Vertical Integration in Electricity Markets," CEPR Discussion Papers, Centre for Economic Policy Research, number 8313, Apr.
• Makarov, Igor & Chernov, Mikhail & Gorbenko, Alexander, 2011, "CDS Auctions," CEPR Discussion Papers, Centre for Economic Policy Research, number 8456, Jun.
• Lamia Bekkour & Thorsten Lehnert & Maria Chiara Amadari, 2011, "The Relative Informational Efficiency of Stocks, Options and Credit Default Swaps," LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg, number 11-04.
• Lamia Bekkour & Thorsten Lehnert & Maria Chiara Amadori, 2011, "The Relative Informational Efficiency of Stocks, Options and Credit Default Swaps," LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg, number 11-13.
• Figuerola-Ferretti, Isabel & Paraskevopoulos, Ioannis, 2011, "Pairing market risk with credit risk," DEE - Working Papers. Business Economics. WB, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa, number wb110201, Feb.
• Balbás, Alejandro & Balbás, Beatriz & Balbás, Raquel, 2011, "Good deals in markets with frictions," DEE - Working Papers. Business Economics. WB, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa, number wb110302, Feb.
• Robert J. Shiller & Rafal M. Wojakowski & M. Shahid Ebrahim & Mark B. Shackleton, 2011, "Continuous Workout Mortgages," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1794, Apr.
• Andreas Fritz & Christoph Weber, 2011, "Informational Efficiency in Futures Markets for Crude Oil," EWL Working Papers, University of Duisburg-Essen, Chair for Management Science and Energy Economics, number 1103, Mar, revised Jan 2012.
• Bakshi, Gurdip & Chabi-Yo, Fousseni, 2011, "Variance Bounds on the Permanent and Transitory Components of Stochastic Discount Factors," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2011-11, Jun.
• Mahayni, Antje & Schoenmakers, John G.M., 2011, "Minimum return guarantees with fund switching rights—An optimal stopping problem," Journal of Economic Dynamics and Control, Elsevier, volume 35, issue 11, pages 1880-1897, DOI: 10.1016/j.jedc.2011.06.003.
• Kraft, Holger & Kühn, Christoph, 2011, "Large traders and illiquid options: Hedging vs. manipulation," Journal of Economic Dynamics and Control, Elsevier, volume 35, issue 11, pages 1898-1915, DOI: 10.1016/j.jedc.2011.06.001.
• Carmona, Julio & León, Angel & Vaello-Sebastià, Antoni, 2011, "Pricing executive stock options under employment shocks," Journal of Economic Dynamics and Control, Elsevier, volume 35, issue 1, pages 97-114, January.
• Bollerslev, Tim & Gibson, Michael & Zhou, Hao, 2011, "Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities," Journal of Econometrics, Elsevier, volume 160, issue 1, pages 235-245, January.
• Chiarella, Carl & Fanelli, Viviana & Musti, Silvana, 2011, "Modelling the evolution of credit spreads using the Cox process within the HJM framework: A CDS option pricing model," European Journal of Operational Research, Elsevier, volume 208, issue 2, pages 95-108, January.
• Wong, Alfred Y-T. & Fong, Tom Pak Wing, 2011, "Analysing interconnectivity among economies," Emerging Markets Review, Elsevier, volume 12, issue 4, pages 432-442, DOI: 10.1016/j.ememar.2011.06.004.
• Stentoft, Lars, 2011, "American option pricing with discrete and continuous time models: An empirical comparison," Journal of Empirical Finance, Elsevier, volume 18, issue 5, pages 880-902, DOI: 10.1016/j.jempfin.2011.09.004.
• Du, Xiaodong & Yu, Cindy L. & Hayes, Dermot J., 2011, "Speculation and volatility spillover in the crude oil and agricultural commodity markets: A Bayesian analysis," Energy Economics, Elsevier, volume 33, issue 3, pages 497-503, May.
• Regnard, Nazim & Zakoïan, Jean-Michel, 2011, "A conditionally heteroskedastic model with time-varying coefficients for daily gas spot prices," Energy Economics, Elsevier, volume 33, issue 6, pages 1240-1251, DOI: 10.1016/j.eneco.2011.02.004.
• Husmann, Sven & Todorova, Neda, 2011, "CAPM option pricing," Finance Research Letters, Elsevier, volume 8, issue 4, pages 213-219, DOI: 10.1016/j.frl.2011.03.001.
• Simonato, Jean-Guy, 2011, "Computing American option prices in the lognormal jump–diffusion framework with a Markov chain," Finance Research Letters, Elsevier, volume 8, issue 4, pages 220-226, DOI: 10.1016/j.frl.2011.01.002.
• Chen, An, 2011, "A risk-based model for the valuation of pension insurance," Insurance: Mathematics and Economics, Elsevier, volume 49, issue 3, pages 401-409, DOI: 10.1016/j.insmatheco.2011.06.002.
• Li, Jing & Szimayer, Alexander, 2011, "The uncertain mortality intensity framework: Pricing and hedging unit-linked life insurance contracts," Insurance: Mathematics and Economics, Elsevier, volume 49, issue 3, pages 471-486, DOI: 10.1016/j.insmatheco.2011.08.001.
• Braun, Alexander, 2011, "Pricing catastrophe swaps: A contingent claims approach," Insurance: Mathematics and Economics, Elsevier, volume 49, issue 3, pages 520-536, DOI: 10.1016/j.insmatheco.2011.08.003.
• Nielsen, J. Aase & Sandmann, Klaus & Schlögl, Erik, 2011, "Equity-linked pension schemes with guarantees," Insurance: Mathematics and Economics, Elsevier, volume 49, issue 3, pages 547-564, DOI: 10.1016/j.insmatheco.2011.08.012.
• Schmeiser, H. & Wagner, J., 2011, "A joint valuation of premium payment and surrender options in participating life insurance contracts," Insurance: Mathematics and Economics, Elsevier, volume 49, issue 3, pages 580-596, DOI: 10.1016/j.insmatheco.2011.08.004.
• Dionne, Georges & Gauthier, Geneviève & Hammami, Khemais & Maurice, Mathieu & Simonato, Jean-Guy, 2011, "A reduced form model of default spreads with Markov-switching macroeconomic factors," Journal of Banking & Finance, Elsevier, volume 35, issue 8, pages 1984-2000, August.
• Rombouts, Jeroen V.K. & Stentoft, Lars, 2011, "Multivariate option pricing with time varying volatility and correlations," Journal of Banking & Finance, Elsevier, volume 35, issue 9, pages 2267-2281, September.
• Hara, Chiaki & Huang, James & Kuzmics, Christoph, 2011, "Effects of background risks on cautiousness with an application to a portfolio choice problem," Journal of Economic Theory, Elsevier, volume 146, issue 1, pages 346-358, January.
• Bloise, Gaetano & Reichlin, Pietro, 2011, "Asset prices, debt constraints and inefficiency," Journal of Economic Theory, Elsevier, volume 146, issue 4, pages 1520-1546, July.
• Lettau, Martin & Wachter, Jessica A., 2011, "The term structures of equity and interest rates," Journal of Financial Economics, Elsevier, volume 101, issue 1, pages 90-113, July.
• Guasoni, Paolo & Huberman, Gur & Wang, Zhenyu, 2011, "Performance maximization of actively managed funds," Journal of Financial Economics, Elsevier, volume 101, issue 3, pages 574-595, September.
• Kristensen, Dennis & Mele, Antonio, 2011, "Adding and subtracting Black-Scholes: A new approach to approximating derivative prices in continuous-time models," Journal of Financial Economics, Elsevier, volume 102, issue 2, pages 390-415, DOI: 10.1016/j.jfineco.2011.05.007.
• Chalamandaris, Georgios & Tsekrekos, Andrianos E., 2011, "How important is the term structure in implied volatility surface modeling? Evidence from foreign exchange options," Journal of International Money and Finance, Elsevier, volume 30, issue 4, pages 623-640, June.
• Chen, Li-Hsueh & Hammoudeh, Shawkat & Yuan, Yuan, 2011, "Asymmetric convergence in US financial credit default swap sector index markets," The Quarterly Review of Economics and Finance, Elsevier, volume 51, issue 4, pages 408-418, DOI: 10.1016/j.qref.2011.06.001.
• Chevallier, Julien & Le Pen, Yannick & Sévi, Benoît, 2011, "Options introduction and volatility in the EU ETS," Resource and Energy Economics, Elsevier, volume 33, issue 4, pages 855-880, DOI: 10.1016/j.reseneeco.2011.07.002.
• Nishihara, Michi & Shibata, Takashi, 2011, "The effects of costly exploration on optimal investment timing," Review of Financial Economics, Elsevier, volume 20, issue 3, pages 105-112, August.
• Leo Krippner, 2011, "Modifying Gaussian term structure models when interest rates are near the zero lower bound," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2011-36, Oct.
• Linda Margarita Medina Herrera & José Benito Díaz Hernández, 2011, "Caracterización y modelado de redes: el caso de la Bolsa Mexicana de Valores," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, volume 5, issue 1, pages 23-32.
• Ghosh, Anisha & Julliard, Christian & Taylor, Alex, 2011, "What is the Consumption-CAPM missing? An information-theoretic framework for the analysis of asset pricing models," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 119061, Oct.
• Mueller, Philippe & Vedolin, Andrea & Zhou, Hao, 2011, "Short run bond risk premia," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 119065, Jun.
• Dag Einar Sommervoll & Gavin Wood, 2011, "Home equity insurance," Journal of Financial Economic Policy, Emerald Group Publishing Limited, volume 3, issue 1, pages 66-85, April, DOI: 10.1108/17576381111116768.
• Linus Wilson, 2011, "Stock demand curves and TARP returns," Journal of Financial Economic Policy, Emerald Group Publishing Limited, volume 3, issue 3, pages 229-242, August, DOI: 10.1108/17576381111152218.
• Ishida, I. & McAleer, M.J. & Oya, K., 2011, "Estimating the Leverage Parameter of Continuous-time Stochastic Volatility Models Using High Frequency S&P 500 VIX," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2011-10, Feb.
• L. Arturo Bernal Ponce & Francisco Venegas Martínez, 2011, "Impacto de los productos derivados los objetivos de política monetaria: un modelo de equilibrio general," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, volume 26, issue 2, pages 187-216.
• Nikolaos Theriou & George Mlekanis & Dimitrios Maditinos, 2011, "Herding the Mutual Fund Managers in the Athens Stock Exchange," European Research Studies Journal, European Research Studies Journal, volume 0, issue 4, pages 131-154.
• Robert Flasza & Milan Rippel & Jan Šolc, 2011, "Modelling Long-Term Electricity Contracts at EEX," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2011/08, Mar, revised Mar 2011.
• Andrea Klimešová & Tomáš Václavík, 2011, "Pricing of Gas Swing Options using Monte Carlo Methods," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2011/15, Jul, revised Jul 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.

2010

• Jeroen V.K. Rombouts & Lars Stentoft, 2010, "Multivariate Option Pricing with Time Varying Volatility and Correlations," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-19, Apr.
• Leonidas Tsiaras, 2010, "The Forecast Performance of Competing Implied Volatility Measures: The Case of Individual Stocks," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-34, Feb.
• Antonis Papapantoleon & David Skovmand, 2010, "Picard Approximation of Stochastic Differential Equations and Application to Libor Models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-40, Jul.
• Jeroen V.K. Rombouts & Lars Stentoft, 2010, "Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-44, Aug.
• Bent Jesper Christensen & Petra Posedel, 2010, "The Risk-Return Tradeoff and Leverage Effect in a Stochastic Volatility-in-Mean Model," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-50, Sep.
• Bent Jesper Christensen & Paolo Santucci de Magistris, 2010, "Level Shifts in Volatility and the Implied-Realized Volatility Relation," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-60, Sep.
• Darrell Duffie, 2010, "The Failure Mechanics of Dealer Banks," Journal of Economic Perspectives, American Economic Association, volume 24, issue 1, pages 51-72, Winter.
• Rene M. Stulz, 2010, "Credit Default Swaps and the Credit Crisis," Journal of Economic Perspectives, American Economic Association, volume 24, issue 1, pages 73-92, Winter.
• Phélippé-Guinvarc’H, Martial & Cordier, Jean, 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 (RAEStud), Institut National de la Recherche Agronomique (INRA), volume 91, issue 01, DOI: 10.22004/ag.econ.188383.
• Han, Shengfei & Durham, Catherine A., undated, "Spatial Price Analysis Incorporating Rate of Trade: Methods and Application to United States–China Soybean Trade," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, volume 42, issue 2, pages 1-16, DOI: 10.22004/ag.econ.90667.
• Silva, Roseli da & Takeuchi, Rodrigo, undated, "Mercados Futuro e à Vista de Açúcar: uma análise empírica de eficiência versus arbitragem," Brazilian Journal of Rural Economy and Sociology (Revista de Economia e Sociologia Rural-RESR), Sociedade Brasileira de Economia e Sociologia Rural, volume 48, issue 2, pages 1-24, DOI: 10.22004/ag.econ.150538.
• Wang, Zhiguang & Fausti, Scott W. & Qasmi, Bashir A., undated, "Variance Risk Premiums and Predictive Power of Alternative Forward Variances in the Corn Market," Economics Staff Papers, South Dakota State University, Department of Economics, number 61683, DOI: 10.22004/ag.econ.61683.
• McDonald, Tia Michelle & Keating, Ariel Ruth & Fausti, Scott W. & Li, Jing & Lundgren, Jonathan G. & Catangui, Mike, 2010, "Insecticide Use and Crop Selection: A South Dakota Case Study," Economics Staff Papers, South Dakota State University, Department of Economics, number 91991, Jun, DOI: 10.22004/ag.econ.91991.
• Ioan TRENCA & Maria Miruna POCHEA & Angela Maria FILIP, 2010, "Options evaluation - Black-Scholes model vs. binomial options pricing model," Finante - provocarile viitorului (Finance - Challenges of the Future), University of Craiova, Faculty of Economics and Business Administration, volume 1, issue 12, pages 137-146, December.
• Lect. Ph.D Mangra Madalina Giorgiana & Assoc. Prof. Ph.D Stanciu Marieta & Lect. Ph.D Sperdea Natalita Maria, 2010, "The Orientation Towards The Private Pension System – A Consequence Of The Public Pension System’S Unsustanability," Revista Tinerilor Economisti (The Young Economists Journal), University of Craiova, Faculty of Economics and Business Administration, volume 1, issue 14, pages 61-68, April.
• Philippe Jorion, 2010, "Risk Management," Annual Review of Financial Economics, Annual Reviews, volume 2, issue 1, pages 347-365, December.
• Marie Bernhart & Peter Tankov & Xavier Warin, 2010, "A finite dimensional approximation for pricing moving average options," Papers, arXiv.org, number 1011.3599, Nov.
• Sílvia Bou & Albert Hernández Colom & Carlota Linares Peréz, 2010, "Los Deribados Financieros como Herramienta para Evaluar la Reforma Laboral: Una Aproximación Binomial," Working Papers, Departament Empresa, Universitat Autònoma de Barcelona, number 1002, Jun, revised Jun 2010.
• Alvaro Cartea & Pablo Villaplana Conde, 2007, "Spot Price Modeling and the Valuation of Electricity Forward Contracts: the Role of Demand and Capacity," Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics, number 0718, Nov.
• Alejandro García & Andrei Prokopiw, 2010, "Market Expectations and Option Prices: Evidence for the Can$/US$ Exchange Rate," Discussion Papers, Bank of Canada, number 10-2, DOI: 10.34989/sdp-2010-2.
• Antonio Di Cesare & Giovanni Guazzarotti, 2010, "An analysis of the determinants of credit default swap spread changes before and during the subprime financial turmoil," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 749, Mar.
• Roberto Violi, 2010, "Credit ratings in structured finance and the role of systemic risk," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 774, Sep.
• Gómez-Pineda, Javier G., 2010, "El mercado de derivados," Chapters, Banco de la Republica de Colombia, chapter 10, in: Gómez-Pineda, Javier G., "Dinero, banca y mercados financieros. Los países emergentes en la economía global", DOI: 10.32468/Ebook.682-773-7.
• Christoffersen, Peter & Dorion, Christian & Jacobs, Kris & Wang, Yintian, 2010, "Volatility Components, Affine Restrictions, and Nonnormal Innovations," Journal of Business & Economic Statistics, American Statistical Association, volume 28, issue 4, pages 483-502.
• Vorbrink, Jörg, 2017, "Financial markets with volatility uncertainty," Center for Mathematical Economics Working Papers, Center for Mathematical Economics, Bielefeld University, number 441, Mar.
• Naohiko Baba & Ilhyock Shim, 2010, "Policy responses to dislocations in the FX swap market: the experience of Korea," BIS Quarterly Review, Bank for International Settlements, June.
• Darrell Duffie, 2010, "The failure mechanics of dealer banks," BIS Working Papers, Bank for International Settlements, number 301, Mar.
• Flavio Angelini & Marco Nicolosi, 2010, "On the Effect of Skewness and Kurtosis Misspecification on the Hedging Error," Economic Notes, Banca Monte dei Paschi di Siena SpA, volume 39, issue 3, pages 203-226, November, DOI: j.1468-0300.2011.00226.x.
• Georges Dionne & Geneviève Gauthier & Khemais Hammami & Mathieu Maurice & Jean‐Guy Simonato, 2010, "Default Risk in Corporate Yield Spreads," Financial Management, Financial Management Association International, volume 39, issue 2, pages 707-731, June, DOI: 10.1111/j.1755-053X.2010.01089.x.
• Hui Chen, 2010, "Macroeconomic Conditions and the Puzzles of Credit Spreads and Capital Structure," Journal of Finance, American Finance Association, volume 65, issue 6, pages 2171-2212, December, DOI: 10.1111/j.1540-6261.2010.01613.x.
• R. Andergassen & L. Sereno, 2010, "The valuation of N-phased investment projects under jump-diffusion processes," Working Papers, Dipartimento Scienze Economiche, Universita' di Bologna, number 697, Mar.
• Antonio Airton Carneiro de Freitas & José Roberto Securato, 2010, "Constructing Binomial Trees Via Random Maps for Analysis of Financial Assets," Brazilian Review of Finance, Brazilian Society of Finance, volume 8, issue 1, pages 25-43.
• Claudio Henrique Barbedo & Octávio Bessada Lion & Jose Valentim Machado Vicente, 2010, "Pricing Asian Interest Rate Options with a Three-Factor HJM Model," Brazilian Review of Finance, Brazilian Society of Finance, volume 8, issue 1, pages 9-23.
• Richard John Brostowicz Junior & Márcio Poletti Laurini, 2010, "Variance Swaps in BM&F: Pricing and Viability of Hedge," Brazilian Review of Finance, Brazilian Society of Finance, volume 8, issue 2, pages 197-228.
• Guglielmo Maria Caporale & Davide Ciferri & Alessandro Girardi, 2010, "Time-Varying Spot and Futures Oil Price Dynamics," CESifo Working Paper Series, CESifo, number 3015.
• Remco van Eijkel & José Luis Moraga Gonzalez, 2010, "Do Firms Sell Forward for Strategic Reasons? An Application to the Wholesale Market for Natural Gas," CESifo Working Paper Series, CESifo, number 3270.
• Giovanni BARONE-ADESI & Hakim DALL'O, 2010, "Is the Price Kernel Monotone?," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 10-03, Jan, revised Apr 2010.
• Jeroen Rombouts & Lars Stentoft, 2010, "Multivariate Option Pricing With Time Varying Volatility and Correlations," CIRANO Working Papers, CIRANO, number 2010s-23, May.
• Jeroen Rombouts & Lars Stentoft, 2010, "Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models," CIRANO Working Papers, CIRANO, number 2010s-38, Sep.
• Sergio Mayordomo & Juan Ignacio Peña & Juan Romo, 2010, "The Effects of Liquidity on the Price Discovery Process in Credit Derivatives Markets in Times of Financial Distress," CNMV Working Papers, CNMV- Spanish Securities Markets Commission - Research and Statistics Department, number CNMV Working Papers no. 4.
• Carlos Le�n & Francisco Vivas, 2010, "Dependencia de largo plazo y la regla de la ra�z del tiempo para escalar la volatilidad en el mercado colombiano," Borradores de Economia, Banco de la Republica, number 7011, May.
• Andrés Gómez, 2010, "estimación de una superficie de volatilidades para las opciones de tasa de cambio USD/COP," Análisis - Revista del Mercado de Valores, Autorregulador del Mercado de Valores de Colombia.
• John Parsons, 2010, "Black Gold and Fool’s Gold: Speculation in the Oil Futures Market," Economía Journal, The Latin American and Caribbean Economic Association - LACEA, volume 0, issue Spring 20, pages 81-116.
• Sandra Patricia Bello-Rodríguez & Robert Baudilio Beltr�n-Ahumada, 2010, "Caracterización y pronóstico del precio spot de la energía eléctrica en Colombia," Revista de la Maestría de Derecho Económico, Universidad Javeriana - Derecho Económico.
• Gonzalo Diaz Hoyos & Ignacio Velez Pareja, 2010, "Estimating the Appropriate Risk Profile for the Tax Savings: A Contingent Claim Approach," Proyecciones Financieras y Valoración, Master Consultores, number 7417, Sep.
• DE MAERE D’AERTRYCKE, Gauthier & SMEERS, Yves, 2010, "Liquidity risks on power exchanges," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2010005, Feb.
• ROMBOUTS, Jeroen J. K & STENTOFT, Lars, 2010, "Multivariate option pricing with time varying volatility and correlations," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2010020, May.
• CARPANTIER, Jean - François, 2010, "Commodities inventory effect," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2010040, Jul.
• ROMBOUTS, Jeroen V. K. & STENTOFT, Lars, 2010, "Option pricing with asymmetric heteroskedastic normal mixture models," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2010049, Aug.
• Sentana, Enrique & Mencía, Javier, 2010, "Valuation of VIX Derivatives," CEPR Discussion Papers, Centre for Economic Policy Research, number 7619, Jan.
• Huberman, Gur & Guasoni, Paolo & Wang, Zhenyu, 2010, "Performance Maximization of Actively Managed Funds," CEPR Discussion Papers, Centre for Economic Policy Research, number 7676, Feb.
• DeMiguel, Victor & Plyakha, Yuliya & Uppal, Raman & Vilkov, Grigory, 2010, "Improving Portfolio Selection Using Option-Implied Volatility and Skewness," CEPR Discussion Papers, Centre for Economic Policy Research, number 7686, Feb.
• de Vries, Casper & von Hagen, Jurgen & Bernoth, Kerstin, 2010, "The Forward Premium Puzzle and Latent Factors Day by Day," CEPR Discussion Papers, Centre for Economic Policy Research, number 7772, Apr.
• Gerrit Reher & Bernd Wilfling, 2010, "An exact pricing formula for European call options on zero-coupon bonds in the run-up to a currency union," CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster, number 1010, Jan.
• Friedrich Geiecke & Mark Trede, 2010, "A Direct Test of Rational Bubbles," CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster, number 1310, Mar.
• Alain MONFORT & Fulvio PEGORARO, 2010, "Asset Pricing with Second-Order Esscher Transforms," Working Papers, Center for Research in Economics and Statistics, number 2010-54.
• Cartea, Álvaro, 2010, "Derivatives pricing with marked point processes using Tick-by-tick data," DEE - Working Papers. Business Economics. WB, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa, number wb101604, Apr.
• Cartea, Álvaro & González-Pedraz, Carlos, 2010, "How much should we pay for interconnecting electricity markets? A real options approach," DEE - Working Papers. Business Economics. WB, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa, number wb103206, Jul.
• Grané Chávez, Aurea & Veiga, Helena, 2010, "Outliers in Garch models and the estimation of risk measures," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws100502, Jan.
• Òscar Mascarilla, Yuri Yegorov & Yuri Yegorov & Montse Crespi-Vallbona, 2010, "The Difficulty to Stabilize Energy Markets," Cuadernos de Economía - Spanish Journal of Economics and Finance, Asociación Cuadernos de Economía, volume 33, issue 93, pages 05-18, Octubre-D.
• J. Samuel Baixauli & Susana Alvarez, 2010, "The Role of Market-Implied Severity Modeling for Credit VaR," Annals of Economics and Finance, Society for AEF, volume 11, issue 2, pages 337-353, November.
• Menzie D. Chinn & Olivier Coibion, 2010, "The Predictive Content of Commodity Futures," Working Papers, Economics Department, William & Mary, number 89, Mar.