Research classified by Journal of Economic Literature (JEL) codes

2010

• 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.
• Stavros Degiannakis & Christos Floros, 2010, "Hedge Ratios in South African Stock Index Futures," Journal of Emerging Market Finance, Institute for Financial Management and Research, volume 9, issue 3, pages 285-304, December, DOI: 10.1177/097265271000900302.
• David McMillan & Pako Thupayagale, 2010, "Evaluating Stock Index Return Value-at-Risk Estimates in South Africa," Journal of Emerging Market Finance, Institute for Financial Management and Research, volume 9, issue 3, pages 325-345, December, DOI: 10.1177/097265271000900304.
• Xavier De Scheemaekere, 2010, "Upper and lower bounds on dynamic risk indifference prices in incomplete markets," Working Papers CEB, ULB -- Universite Libre de Bruxelles, number 10-044, Sep.
• Marie Briere, 2010, "Managing Commodity Risk: Can Sovereign Funds Help?," Working Papers CEB, ULB -- Universite Libre de Bruxelles, number 10-056, Nov.
• Flavio Angelini & Stefano Herzel, 2010, "Explicit formulas for the minimal variance hedging strategy in a martingale case," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 33, issue 1, pages 63-79, May, DOI: 10.1007/s10203-009-0097-4.
• Denis Belomestny & G. Milstein & John Schoenmakers, 2010, "Sensitivities for Bermudan options by regression methods," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 33, issue 2, pages 117-138, November, DOI: 10.1007/s10203-009-0101-z.
• David Hobson, 2010, "Comparison results for stochastic volatility models via coupling," Finance and Stochastics, Springer, volume 14, issue 1, pages 129-152, January, DOI: 10.1007/s00780-008-0083-7.
• Aleksandar Mijatović, 2010, "Local time and the pricing of time-dependent barrier options," Finance and Stochastics, Springer, volume 14, issue 1, pages 13-48, January, DOI: 10.1007/s00780-008-0077-5.
• Valdo Durrleman, 2010, "From implied to spot volatilities," Finance and Stochastics, Springer, volume 14, issue 2, pages 157-177, April, DOI: 10.1007/s00780-009-0112-1.
• Peter Carr & Roger Lee, 2010, "Hedging variance options on continuous semimartingales," Finance and Stochastics, Springer, volume 14, issue 2, pages 179-207, April, DOI: 10.1007/s00780-009-0110-3.
• L. Rogers & M. Tehranchi, 2010, "Can the implied volatility surface move by parallel shifts?," Finance and Stochastics, Springer, volume 14, issue 2, pages 235-248, April, DOI: 10.1007/s00780-008-0081-9.
• Jean Jacod & Philip Protter, 2010, "Risk-neutral compatibility with option prices," Finance and Stochastics, Springer, volume 14, issue 2, pages 285-315, April, DOI: 10.1007/s00780-009-0109-9.
• Umut Çetin & H. Soner & Nizar Touzi, 2010, "Option hedging for small investors under liquidity costs," Finance and Stochastics, Springer, volume 14, issue 3, pages 317-341, September, DOI: 10.1007/s00780-009-0116-x.
• Freddy Delbaen & Shige Peng & Emanuela Rosazza Gianin, 2010, "Representation of the penalty term of dynamic concave utilities," Finance and Stochastics, Springer, volume 14, issue 3, pages 449-472, September, DOI: 10.1007/s00780-009-0119-7.
• Angelos Dassios & Shanle Wu, 2010, "Perturbed Brownian motion and its application to Parisian option pricing," Finance and Stochastics, Springer, volume 14, issue 3, pages 473-494, September, DOI: 10.1007/s00780-009-0113-0.
• Rüdiger Frey & Wolfgang Runggaldier, 2010, "Pricing credit derivatives under incomplete information: a nonlinear-filtering approach," Finance and Stochastics, Springer, volume 14, issue 4, pages 495-526, December, DOI: 10.1007/s00780-010-0129-5.
• Emmanuel Denis & Yuri Kabanov, 2010, "Mean square error for the Leland–Lott hedging strategy: convex pay-offs," Finance and Stochastics, Springer, volume 14, issue 4, pages 625-667, December, DOI: 10.1007/s00780-010-0130-z.
• Martin Keller-Ressel & Johannes Muhle-Karbe, 2013, "Asymptotic and exact pricing of options on variance," Finance and Stochastics, Springer, volume 17, issue 1, pages 107-133, January, DOI: 10.1007/s00780-012-0178-z.
• Peter Carr & Travis Fisher & Johannes Ruf, 2014, "On the hedging of options on exploding exchange rates," Finance and Stochastics, Springer, volume 18, issue 1, pages 115-144, January, DOI: 10.1007/s00780-013-0218-3.
• Vitaly Guzhva & Kseniya Beltsova & Vladimir Golubev, 2010, "Market undervaluation of risky convertible offerings: Evidence from the airline industry," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 34, issue 1, pages 30-45, January, DOI: 10.1007/s12197-007-9015-1.
• Yu Chen & Thomas Cosimano & Alex Himonas, 2010, "Continuous time one-dimensional asset-pricing models with analytic price–dividend functions," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 42, issue 3, pages 461-503, March, DOI: 10.1007/s00199-008-0404-2.
• Udo Broll & Kit Wong, 2010, "Banking firm and hedging over the business cycle," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, volume 9, issue 1, pages 29-33, April, DOI: 10.1007/s10258-010-0055-7.
• Carlos Budnevich & Salvador Zurita, 2010, "Diagnóstico, Evaluación y Propuesta de Desarrollo del Mercado de Derivados en Chile," Serie de Documentos de Trabajo, Superintendencia de Valores y Seguros, number 06, Feb.
• Christopher Baum & Chi Wan, 2010, "Macroeconomic uncertainty and credit default swap spreads," Applied Financial Economics, Taylor & Francis Journals, volume 20, issue 15, pages 1163-1171, DOI: 10.1080/09603101003781455.
• Shane Miller & Eckhard Platen, 2010, "Real-World Pricing for a Modified Constant Elasticity of Variance Model," Applied Mathematical Finance, Taylor & Francis Journals, volume 17, issue 2, pages 147-175, DOI: 10.1080/13504860903155035.
• S. Muzzioli, 2010, "Option-based forecasts of volatility: an empirical study in the DAX-index options market," The European Journal of Finance, Taylor & Francis Journals, volume 16, issue 6, pages 561-586, DOI: 10.1080/13518471003640134.
• Roger Lord & Remmert Koekkoek & Dick Van Dijk, 2010, "A comparison of biased simulation schemes for stochastic volatility models," Quantitative Finance, Taylor & Francis Journals, volume 10, issue 2, pages 177-194, DOI: 10.1080/14697680802392496.
• Minqiang Li & Jieyun Zhou & Shi-Jie Deng, 2010, "Multi-asset spread option pricing and hedging," Quantitative Finance, Taylor & Francis Journals, volume 10, issue 3, pages 305-324, DOI: 10.1080/14697680802626323.
• Halil Ibrahim Aydin & Ahmet Degerli & Pinar Ozlu, 2010, "Recovering Risk-Neutral Densities from Exchange Rate Options: Evidence in Turkey (Kur Opsiyonlarindan Riske Duyarsiz Yogunluk Fonksiyonu Cikarimi: Turkiye Ornegi)," Working Papers, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, number 1003.
• Remco van Eijkel & Jose Luis Moraga, 2010, "Do Firms sell forward for Strategic Reasons? An Application to the Wholesale Market for Natural Gas," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 10-058/1, Jun.
• Mehtap Kilic & Ronald Huisman, 2010, "Is Power Production Flexibility a Substitute for Storability? Evidence from Electricity Futures Prices," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 10-070/2, Jul.
• Conall O'Sullivan & Michael Moloney, 2010, "The Variance Gamma Scaled Self-Decomposable Process in Actuarial Modelling," Working Papers, Geary Institute, University College Dublin, number 201030, Jun.
• Erik Snowberg & Justin Wolfers, 2010, "Explaining the Favorite-Long Shot Bias: Is it Risk-Love or Misperceptions?," Journal of Political Economy, University of Chicago Press, volume 118, issue 4, pages 723-746, August, DOI: 10.1086/655844.
• Giuseppe Pulitano & Emmanuel Borgucci, 2010, "Spot price and future price for Brent and WTI markers: Behavior and determinants (1998-2008)," Economía, Instituto de Investigaciones Económicas y Sociales (IIES). Facultad de Ciencias Económicas y Sociales. Universidad de Los Andes. Mérida, Venezuela, volume 35, issue 29, pages 173-208, January-j.
• Marie Briere & Alexandre Burgues & Ombretta Signori, 2010, "Volatility exposure for strategic asset allocation," ULB Institutional Repository, ULB -- Universite Libre de Bruxelles, number 2013/169642, Mar.
• Matthias Fengler, 2010, "Option data and modeling BSM implied volatility," University of St. Gallen Department of Economics working paper series 2010, Department of Economics, University of St. Gallen, number 2010-32, Dec.
• Matthias Fengler & Helmut Herwartz & Christian Werner, 2010, "A dynamic copula approach to recovering the index implied volatility skew," University of St. Gallen Department of Economics working paper series 2010, Department of Economics, University of St. Gallen, number 1132, Dec, revised Nov 2011.
• J. Aase Nielsen & Klaus Sandmann & Erik Schlogl, 2010, "Equity-Linked Pension Schemes with Guarantees," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 270, Jan.
• Jörg Kienitz & Manuel Wittke, 2010, "Option Valuation in Multivariate SABR Models," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 272, Feb.
• Eckhard Platen & Renata Rendek, 2010, "Approximating the Numeraire Portfolio by Naive Diversification," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 281, Aug.
• Silvia Centanni & Marco Minozzo, 2010, "Monte Carlo derivative pricing with partial information in a class of doubly stochastic Poisson processes with marks," Working Papers, University of Verona, Department of Economics, number 22/2010, Dec.
• Martina Nardon & Paolo Pianca, 2010, "Extracting Implied Dividends from Options Prices: some Applications to the Italian Derivatives Market," Working Papers, Department of Applied Mathematics, Università Ca' Foscari Venezia, number 198, Sep.
• Anginer, Deniz & Yildizhan, Celim, 2010, "Is there a distress risk anomaly ? pricing of systematic default risk in the cross section of equity returns," Policy Research Working Paper Series, The World Bank, number 5319, Jan.
• M. Ryan Haley & Todd B. Walker, 2010, "Alternative tilts for nonparametric option pricing," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 30, issue 10, pages 983-1006, October.
• Agnieszka Janek & Tino Kluge & Rafal Weron & Uwe Wystup, 2010, "FX Smile in the Heston Model," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/10/02.
• Magdalena Weglarz & Agnieszka Wylomanska, 2010, "Optimal bidding strategies on the power market based on the stochastic models," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/10/06.
• Li, Jing & Szimayer, Alexander, 2010, "The Uncertain Mortality Intensity Framework: Pricing and Hedging Unit-Linked Life Insurance Contracts," Bonn Econ Discussion Papers, University of Bonn, Bonn Graduate School of Economics (BGSE), number 13/2010.
• Li, Jing & Szimayer, Alexander, 2010, "The effect of policyholders' rationality on unit-linked life insurance contracts with surrender guarantees," Bonn Econ Discussion Papers, University of Bonn, Bonn Graduate School of Economics (BGSE), number 22/2010.
• Chesney, Marc & Kempf, Alexander, 2010, "The value of tradeability," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 10-11.
• Kraeussl, Roman & Wiehenkamp, Christian, 2010, "A call on Art investments," CFS Working Paper Series, Center for Financial Studies (CFS), number 2010/03.
• Härdle, Wolfgang Karl & Silyakova, Elena, 2010, "Volatility investing with variance swaps," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2010-001.
• Horst, Ulrich & Naujokat, Felix, 2010, "Illiquidity and derivative valuation," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2010-011.
• Kappus, Johanna & Reiß, Markus, 2010, "Estimation of the characteristics of a Lévy process observed at arbitrary frequency," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2010-015.
• Ritter, Matthias & Mußhoff, Oliver & Odening, Martin, 2010, "Meteorological forecasts and the pricing of weather derivatives," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2010-043.
• Grith, Maria & Krätschmer, Volker, 2010, "Parametric estimation of risk neutral density functions," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2010-045.
• Janek, Agnieszka & Kluge, Tino & Weron, Rafał & Wystup, Uwe, 2010, "FX smile in the Heston model," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2010-047.
• Schulz, Frowin C., 2010, "Explaining time-varying risk of electricity forwards: trading activity and news announcements," Discussion Papers in Econometrics and Statistics, University of Cologne, Institute of Econometrics and Statistics, number 8/10.
• Conrad, Christian & Rittler, Daniel & Rotfuß, Waldemar, 2010, "Modeling and explaining the dynamics of European Union allowance prices at high-frequency," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 10-038.
• 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., None, "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, None, "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., , "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.