Research classified by Journal of Economic Literature (JEL) codes

2010

• 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.
• 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.
• Uppal, Raman & DeMiguel, Victor & Plyakha, Yuliya & 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.
• Mihaela NICOLAU, 2010, "Financial Markets Interactions between Economic Theory and Practice," Economics and Applied Informatics, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, issue 2, pages 27-36.
• Guglielmo Maria Caporale & Davide Ciferri & Allessandro Girardi, 2010, "Time-Varying Spot and Futures Oil Price Dynamics," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 988.
• Kerstin Bernoth & Jürgen von Hagen & Casper G. de Vries, 2010, "The Forward Premium Puzzle and Latent Factors Day by Day," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 989.
• Rihab Bedoui & Haykel Hamdi, 2010, "Implied Risk-Neutral probability Density functions from options prices : A comparison of estimation methods," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2010-16.
• Viktor Todorov & George Tauchen, 2010, "Volatility Jumps," Working Papers, Duke University, Department of Economics, number 10-09.
• Tim Bollerslev & Natalia Sizova & George Tauchen, 2010, "Volatility in Equilibrium: Asymmetries and Dynamic Dependencies," Working Papers, Duke University, Department of Economics, number 10-34.
• van Eijkel, Remco & Moraga-González, Jose L., 2010, "Do firms sell forward for strategic reasons? An application to the wholesale market for natural gas," IESE Research Papers, IESE Business School, number D/864, Jun.
• Christoffersen, Peter & Jacobs, Kris & Ornthanalai, Chayawat, 2010, "Time-Varying Jump Intensities and Fat Tail Dynamics: Evidence from S&P500 Returns and Options," Working Papers, University of Pennsylvania, Wharton School, Weiss Center, number 11-19, May.
• Li, Minqiang, 2010, "A damped diffusion framework for financial modeling and closed-form maximum likelihood estimation," Journal of Economic Dynamics and Control, Elsevier, volume 34, issue 2, pages 132-157, February.
• Li, Liuling & Mizrach, Bruce, 2010, "Tail return analysis of Bear Stearns' credit default swaps," Economic Modelling, Elsevier, volume 27, issue 6, pages 1529-1536, November.
• Figuerola-Ferretti, Isabel & Gonzalo, Jesús, 2010, "Modelling and measuring price discovery in commodity markets," Journal of Econometrics, Elsevier, volume 158, issue 1, pages 95-107, September.
• Fornari, Fabio, 2010, "Assessing the compensation for volatility risk implicit in interest rate derivatives," Journal of Empirical Finance, Elsevier, volume 17, issue 4, pages 722-743, September.
• Keppler, Jan Horst & Mansanet-Bataller, Maria, 2010, "Causalities between CO2, electricity, and other energy variables during phase I and phase II of the EU ETS," Energy Policy, Elsevier, volume 38, issue 7, pages 3329-3341, July.
• Tang, Dragon Yongjun & Yan, Hong, 2010, "Market conditions, default risk and credit spreads," Journal of Banking & Finance, Elsevier, volume 34, issue 4, pages 743-753, April.
• Aït-Sahalia, Yacine & Kimmel, Robert L., 2010, "Estimating affine multifactor term structure models using closed-form likelihood expansions," Journal of Financial Economics, Elsevier, volume 98, issue 1, pages 113-144, October.
• Hakenes, Hendrik & Schnabel, Isabel, 2010, "Credit risk transfer and bank competition," Journal of Financial Intermediation, Elsevier, volume 19, issue 3, pages 308-332, July.
• Casassus, Jaime & Ceballos, Diego & Higuera, Freddy, 2010, "Correlation structure between inflation and oil futures returns: An equilibrium approach," Resources Policy, Elsevier, volume 35, issue 4, pages 301-310, December.
• Stuart Landon & Constance Smith, 2010, "Government Revenue Volatility: The Case of Alberta, an Energy Dependent Economy," EERI Research Paper Series, Economics and Econometrics Research Institute (EERI), Brussels, number EERI_RP_2010_23, Aug.
• Jian Zhang & Lee W. Sanning & Sherrill Shaffer, 2010, "Market Efficiency Test in the VIX Futures Market," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2010-08, Feb.
• L. Arturo Bernal Ponce & Humberto Valencia Herrera, 2010, "Relación entre inflación y volatilidad de derivados financieros: el caso de México," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, volume 4, issue 1, pages 18-28.
• Claudia Estrella Castillo Ramírez, 2010, "Volatilidad estocástica y la ecuación de Fokker-Planck: parámetros dependientes del tiempo y filtro de Kalman," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, volume 4, issue 1, pages 64-75.
• Parsons, John E., 2010, "Black gold and fool's gold: speculation in the oil futures market," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 123354, Apr.
• Soner, H. Mete & Cetin, Umut & Touzi, Nizar, 2010, "Option hedging for small investors under liquidity costs," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 28992.
• Taschini, Luca, 2010, "Environmental economics and modeling marketable permits," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 37596, Sep.
• Grüll, Georg & Taschini, Luca, 2010, "A comparison of reduced-form permit price models and their empirical performances," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 37603, Dec.
• Venegas-Martínez, Francisco, 2010, "Planes no creíbles de estabilización de precios, riesgo cambiario y opciones reales para posponer consumo. Un análisis con volatilidad estocástica," El Trimestre Económico, Fondo de Cultura Económica, volume 77, issue 308, pages 899-936, octubre-d, DOI: http://dx.doi.org/10.20430/ete.v77i.
• Lorne N. Switzer & Haibo Fan, 2010, "Limit Orders, Trading Activity, and Transactions Costs in Equity Futures in an Electronic Trading Environment," International Econometric Review (IER), Economic Research Association, volume 2, issue 1, pages 11-35, April.
• Hans Gersbach & Nicolae Surulescu, 2010, "Default Risk in Stochastic Volatility Models," CER-ETH Economics working paper series, CER-ETH - Center of Economic Research (CER-ETH) at ETH Zurich, number 10/131, Jun.
• Staffan Linden, 2010, "The Price and Risk Effects of Option Introductions on the Nordic Markets," European Economy - Economic Papers 2008 - 2015, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission, number 434, Dec.
• Martin Saldias Zambrana, 2010, "Systemic risk analysis using forward-looking distance-to-default series," Working Papers (Old Series), Federal Reserve Bank of Cleveland, number 1005, DOI: 10.26509/frbc-wp-201005.
• Paolo Guasoni & Gur Huberman & Zhenyu Wang, 2010, "Performance maximization of actively managed funds," Staff Reports, Federal Reserve Bank of New York, number 427.
• Giulio Cifarelli & Giovanna Paladino, 2010, "Commodity Futures Returns: A Non Linear Markov Regime Switching Model of Hedging and Speculative Pressures," Working Papers - Economics, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa, number wp2010_13.rdf.
• Christophe Chorro & Dominique Guegan & Florian Ielpo, 2010, "Option pricing for GARCH-type models with generalized hyperbolic innovations," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00469529, Mar.
• Christophe Chorro & Dominique Guegan & Florian Ielpo, 2010, "Likelihood-Related Estimation Methods and Non-Gaussian GARCH Processes," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00523371, Jul.
• Emmanuel Denis & Yuri Kabanov, 2010, "Mean square error for the Leland-Lott hedging strategy: convex pay-offs," Post-Print, HAL, number hal-00488278, DOI: 10.1007/s00780-010-0130-z.
• Julio Carmona & Angel León & Antoni Vaello-Sebastià, 2010, "Pricing executive stock options under employment shocks," Post-Print, HAL, number hal-00753042, Nov, DOI: 10.1016/j.jedc.2010.08.002.
• Sami Attaoui & Pierre Six, 2010, "Interest rate risk hedging demand under a Gaussian framework," Post-Print, HAL, number hal-00826291, Mar.
• Ephraim Clark & Magid Gadad & Patrick Rousseau, 2010, "Investor Valuation of the Abandonment Option: Empirical Evidence from UK Divestitures 1985-1991," Post-Print, HAL, number hal-01847055.
• Marie Bernhart & Peter Tankov & Xavier Warin, 2010, "A finite dimensional approximation for pricing moving average options," Working Papers, HAL, number hal-00554216, Nov.
• Jean-Francois Carpantier, 2010, "Commodities inventory effect," Working Papers, HAL, number hal-01821158, Jul.
• Julien Chevallier, 2010, "Spéculation et marchés dérivés du pétrole," Working Papers, HAL, number halshs-00458916, Feb.
• Sofiane Aboura, 2010, "Disentangling crashes from tail events," Working Papers, HAL, number halshs-00638072, Jan.
• Alfred Wong & Tom Fong, 2010, "Analysing Interconnectivity among Economies," Working Papers, Hong Kong Monetary Authority, number 1003, May.
• Cho-Hoi Hui & Tsz-Kin Chung & Chi-Fai Lo, 2010, "Using Interest Rate Derivative Prices to Estimate LIBOR-OIS Spread Dynamics and Systemic Funding Liquidity Shock Probabilities," Working Papers, Hong Kong Monetary Authority, number 1004, Jun.
• Cho-Hoi Hui & Tsz-Kin Chung, 2010, "The Risk of Sudden Depreciation of the Euro in the Sovereign Debt Crisis of 2009-2010," Working Papers, Hong Kong Institute for Monetary Research, number 252010, Oct.

2009

• Tim Bollerslev & Natalia Sizova & George Tauchen, 2009, "Volatility in Equilibrium: Asymmetries and Dynamic Dependencies," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-05, Feb.
• Jeroen V.K. Rombouts & Lars Stentoft, 2009, "Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-07, Feb.
• Dennis Kristensen & Antonio Mele, 2009, "Adding and Subtracting Black-Scholes: A New Approach to Approximating Derivative Prices in Continuous Time Models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-14, Apr.
• Eduardo Rossi & Paolo Santucci de Magistris, 2009, "A No Arbitrage Fractional Cointegration Analysis Of The Range Based Volatility," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-31, Jul.
• James L. Smith, 2009, "World Oil: Market or Mayhem?," Journal of Economic Perspectives, American Economic Association, volume 23, issue 3, pages 145-164, Summer.
• Du, Xiaodong & Yu, Cindy L. & Hayes, Dermot J., 2009, "Speculation and Volatility Spillover in the Crude Oil and Agricultural Commodity Markets: A Bayesian Analysis," 2009 Annual Meeting, July 26-28, 2009, Milwaukee, Wisconsin, Agricultural and Applied Economics Association, number 49276, DOI: 10.22004/ag.econ.49276.
• Bekkerman, Anton & Pelletier, Denis, 2009, "Basis Volatilities of Corn and Soybean in Spatially Separated Markets: The Effect of Ethanol Demand," 2009 Annual Meeting, July 26-28, 2009, Milwaukee, Wisconsin, Agricultural and Applied Economics Association, number 49281, DOI: 10.22004/ag.econ.49281.
• Du, Xiaodong & Yu, Cindy L. & Hayes, Dermot J., 2009, "Speculation and Volatility Spillover in the Crude Oil and Agricultural Commodity Markets: A Bayesian Analysis," Hebrew University of Jerusalem Archive, Hebrew University of Jerusalem, number 50073, May, DOI: 10.22004/ag.econ.50073.
• McKenzie, Andrew M. & Kunda, Eugene L., None, "Managing Price Risk in Volatile Grain Markets, Issues and Potential Solutions," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, volume 41, issue 2, DOI: 10.22004/ag.econ.53081.
• Fortenbery, T. Randall, None, "Discussion: Commodity Price Discovery: Problems That Have Solutions or Solutions That Are Problems," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, volume 41, issue 2, DOI: 10.22004/ag.econ.53084.
• Mircea CIOLPAN, 2009, "New financial derivatives on Romanian market - contracts for difference," Finante - provocarile viitorului (Finance - Challenges of the Future), University of Craiova, Faculty of Economics and Business Administration, volume 1, issue 10, pages 190-195, December.
• Peter Carr & Roger Lee, 2009, "Volatility Derivatives," Annual Review of Financial Economics, Annual Reviews, volume 1, issue 1, pages 319-339, November.
• Yacine Aït-Sahalia, 2009, "Estimating and Testing Continuous-Time Models in Finance: The Role of Transition Densities," Annual Review of Financial Economics, Annual Reviews, volume 1, issue 1, pages 341-359, November.
• Robert A. Jarrow, 2009, "Credit Risk Models," Annual Review of Financial Economics, Annual Reviews, volume 1, issue 1, pages 37-68, November.