Research classified by Journal of Economic Literature (JEL) codes

2010

• 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, C.E.P.R. Discussion Papers, number 7619, Jan.
• Huberman, Gur & Guasoni, Paolo & Wang, Zhenyu, 2010, "Performance Maximization of Actively Managed Funds," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 7676, Feb.
• Uppal, Raman & DeMiguel, Victor & Plyakha, Yuliya & Vilkov, Grigory, 2010, "Improving Portfolio Selection Using Option-Implied Volatility and Skewness," CEPR Discussion Papers, C.E.P.R. Discussion Papers, 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, C.E.P.R. Discussion Papers, 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.
• 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.
• Christian Camilo Vargas R, 2010, "Criterios Difusos En La Seleccion De Carteras," Revista Internacional Administracion & Finanzas, The Institute for Business and Finance Research, volume 3, issue 2, pages 29-44.

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.
• Robert A. Jarrow, 2009, "The Term Structure of Interest Rates," Annual Review of Financial Economics, Annual Reviews, volume 1, issue 1, pages 69-96, November.
• Howard C. Kunreuther & Erwann O. Michel-Kerjan, 2009, "The Development of New Catastrophe Risk Markets," Annual Review of Resource Economics, Annual Reviews, volume 1, issue 1, pages 119-137, September.
• Marco Bianchetti, 2009, "Two Curves, One Price: Pricing & Hedging Interest Rate Derivatives Decoupling Forwarding and Discounting Yield Curves," Papers, arXiv.org, number 0905.2770, May, revised Jul 2012.
• Sara Biagini & Alev{s} v{C}ern'y, 2009, "Admissible Strategies in Semimartingale Portfolio Selection," Papers, arXiv.org, number 0910.3936, Oct, revised Dec 2010.
• Tonci Lazibat & Ivana Zupanic & Tomislav Bakovic, 2009, "Weather Derivatives As A Futures Market Instrument," Economic Thought and Practice, Department of Economics and Business, University of Dubrovnik, volume 18, issue 1, pages 59-78, june.
• Conrad, Christian & Rittler, Daniel & Rotfuß, Waldemar, 2010, "Modeling and Explaining the Dynamics of European Union Allowance Prices at High-Frequency," Working Papers, University of Heidelberg, Department of Economics, number 0497, Mar.
• Alejandro García & Andrei Prokopiw, 2009, "Measures of Aggregate Credit Conditions and Their Potential Use by Central Banks," Discussion Papers, Bank of Canada, number 09-12, DOI: 10.34989/sdp-2009-12.
• Bruno Feunou & Jean-Sébastien Fontaine & Roméo Tedongap, 2009, "Structural The Equity Premium and the Volatility Spread: The Role of Risk-Neutral Skewness," Staff Working Papers, Bank of Canada, number 09-20, DOI: 10.34989/swp-2009-20.
• Claudio Henrique da Silveira Barbedo & José Valentim Machado Vicente & Octávio Manuel Bessada Lion, 2009, "Pricing Asian Interest Rate Options with a Three-Factor HJM Model," Working Papers Series, Central Bank of Brazil, Research Department, number 188, Jun.
• Elizondo Rocío & Padilla Pablo & Bladt Mogens, 2009, "An Alternative Formula to Price American Options," Working Papers, Banco de México, number 2009-06, Aug.
• León, à ngel & Mencía, Javier & Sentana, Enrique, 2009, "Parametric Properties of Semi-Nonparametric Distributions, with Applications to Option Valuation," Journal of Business & Economic Statistics, American Statistical Association, volume 27, issue 2, pages 176-192.
• Christopher F Baum & Chi Wan, 2009, "Macroeconomic Uncertainty and Credit Default Swap Spreads," Boston College Working Papers in Economics, Boston College Department of Economics, number 724, Nov, revised 03 Mar 2010.
• Fernando Antonio Lucena Aiube & Edison Americo Huarsaya Tito, 2009, "Evaluating cash benefits as real options for a commodity producer in an emerging market," Brazilian Review of Finance, Brazilian Society of Finance, volume 7, issue 3, pages 361-375.
• Ronny Kim Woo & José Valentim Machado Vicente & Claudio Henrique Barbedo, 2009, "Is It Possible to Replicate the Exchange Rate Volatility Behavior Using Dynamic Strategies?," Brazilian Review of Finance, Brazilian Society of Finance, volume 7, issue 4, pages 485-501.
• Giuliano Carroza Uzêda Iorio de Souza & Carlos Patrício Samanez, 2009, "Valuation of Discrete Barrier American Options," Brazilian Review of Finance, Brazilian Society of Finance, volume 7, issue 4, pages 503-521.
• Sara Biagini & Ales Cerny, 2009, "Admissible strategies in semimartingale portfolio selection," Carlo Alberto Notebooks, Collegio Carlo Alberto, number 117, revised 2010.
• Giovanni Villani, 2009, "A Strategic R&D Investment with Flexible Development Time in Real Option Game Analysis," CESifo Working Paper Series, CESifo, number 2728.
• Erwan MORELLEC & Norman SCHURHOFF, 2009, "Dynamic Investment and Financing under Asymmetric Information," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 09-09, Mar.
• Fulvio CORSI & Nicola FUSARI & Davide LA VECCHIA, 2010, "Realizing Smiles: Pricing Options with Realized Volatility," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 10-05, Jan, revised Jan 2010.
• Jeroen Rombouts & Lars Stentoft, 2009, "Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models," CIRANO Working Papers, CIRANO, number 2009s-19, May.
• Gaetano Bloise & Pietro Reichlin & Mario Tirelli, 2009, "Indeterminacy Of Competitive Equilibrium With Risk Of Default," Levine's Working Paper Archive, David K. Levine, number 814577000000000313, Aug.
• Max Bruche, 2009, "Bankruptcy Codes, Liquidation Timing, and Debt Valuation," Working Papers, CEMFI, number wp2009_0902, Jul.
• Javier Mencía & Enrique Sentana, 2009, "Valuation of VIX Derivatives," Working Papers, CEMFI, number wp2009_0913, Dec.
• Jakub Seidler & Petr Jakubik, 2009, "The Merton Approach to Estimating Loss Given Default: Application to the Czech Republic," Working Papers, Czech National Bank, Research and Statistics Department, number 2009/13, Dec.
• Carlos Le�n, 2009, "Una aproximaci�n te�rica a la superficie de volatilidad en el mercado colombiano a trav�s del modelo de difusi�n con saltos," Borradores de Economia, Banco de la Republica, number 5738, Aug.
• Ana Mar�a Iregui & Ligia Alba Melo & Mar�a Teresa Ram�rez, 2009, "Rigideces de los salarios a la baja en Colombia: Evidencia emp�rica a partir de una muestra de salarios a nivel de firma," Borradores de Economia, Banco de la Republica, number 5757, Aug.
• Carlo Alberto Magni, 2009, "A fuzzy expert system for solving real-option decision processes," Proyecciones Financieras y Valoración, Master Consultores, number 5677, Jun.
• Manfred Gilli & Enrico Schumann, 2009, "Implementing Binomial Trees," Working Papers, COMISEF, number 008, Feb.
• ROMBOUTS, Jeroen V.K. & STENTOFT, Lars, 2009, "Bayesian option pricing using mixed normal heteroskedasticity models," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2009013, Mar.
• DE MAERE D’AERTRYCKE, Gauthier & SMEERS, Yves, 2009, "The valuation of power futures based on optimal dispatch," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2009014, Mar.
• Acharya, Viral & Lochstoer, Lars, 2009, "Limits to Arbitrage and Hedging: Evidence from Commodity Markets," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 7327, Jun.
• Reichlin, Pietro & Bloise, Gaetano & Tirelli, Mario, 2009, "Indeterminacy of Competitive Equilibrium with Risk of Default," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 7477, Sep.
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• Jun Ma, 2009, "Pricing Foreign Equity Options with Stochastic Correlation and Volatility," Annals of Economics and Finance, Society for AEF, volume 10, issue 2, pages 303-327, November.
• Fortenbery, T. Randall, 2009, "Discussion: Commodity Price Discovery: Problems That Have Solutions or Solutions That Are Problems," Journal of Agricultural and Applied Economics, Cambridge University Press, volume 41, issue 2, pages 393-402, August.
• Sylvain Prado, 2009, "Hedging residual value risk using derivatives," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2009-31.
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• Rosu, Ioanid & Martinez, Victor Hugo & Bester, Alan, 2017, "Cash Mergers and the Volatility Smile," HEC Research Papers Series, HEC Paris, number 1213, Nov, revised 12 Jul 2018.
• Pagano, Patrizio & Pisani, Massimiliano, 2009, "Risk-adjusted forecasts of oil prices," Working Paper Series, European Central Bank, number 999, Jan.
• Stulz, Rene M., 2009, "Credit Default Swaps and the Credit Crisis," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2009-16, Sep.
• Chabi-Yo, Fousseni, 2009, "Expected Returns and Volatility of Fama-French Factors," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2009-17, Sep.
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• Branger, Nicole & Kraft, Holger & Meinerding, Christoph, 2009, "What is the impact of stock market contagion on an investor's portfolio choice?," Insurance: Mathematics and Economics, Elsevier, volume 45, issue 1, pages 94-112, August.
• Corradini, M. & Gheno, A., 2009, "Incomplete financial markets and contingent claim pricing in a dual expected utility theory framework," Insurance: Mathematics and Economics, Elsevier, volume 45, issue 2, pages 180-187, October.
• Ahoniemi, Katja & Lanne, Markku, 2009, "Joint modeling of call and put implied volatility," International Journal of Forecasting, Elsevier, volume 25, issue 2, pages 239-258.
• Chang, Eric C. & Ren, Jinjuan & Shi, Qi, 2009, "Effects of the volatility smile on exchange settlement practices: The Hong Kong case," Journal of Banking & Finance, Elsevier, volume 33, issue 1, pages 98-112, January.
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• Nakashima, Kiyotaka & Saito, Makoto, 2009, "Credit spreads on corporate bonds and the macroeconomy in Japan," Journal of the Japanese and International Economies, Elsevier, volume 23, issue 3, pages 309-331, September.
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• Víctor Manuel García de la Vega & Antonio Ruiz Porras, 2009, "Modelos Estocásticos para el Precio Spot y del Futuro de Commodities con Alta Volatilidad y Reversión a la Media," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, volume 3, issue 2, pages 1-24.
• Guillermo Benavides Perales, 2009, "Price volatility forecasts for agricultural commodities: an application of volatility models, option implieds and composite approaches forfutures prices of corn and wheat," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, volume 3, issue 2, pages 40-59.
• Francisco García Castillo, 2009, "Una contribución a la valuación de los Synthetic CDO," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, volume 3, issue 2, pages 60-73.
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• Katelijne A.E. Carbonez, 2009, "Model Selection and Estimation of Long-Memory Time-Series Models," Review of Business and Economic Literature, KU Leuven, Faculty of Economics and Business (FEB), Review of Business and Economic Literature, volume 0, issue 4, pages 512-554.
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• Jakub Seidler & Petr Jakubík, 2009, "Implied Market Loss Given Default in the Czech Republic: Structural-Model Approach," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 59, issue 1, pages 20-40, January.
• Michaela Vlasáková Baruníková, 2009, "Option Pricing: The empirical tests of the Black-Scholes pricing formula and the feed-forward networks," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2009/16, Apr, revised Apr 2009.
• Pengguo Wang, 2009, "Computational Efficiency and Accuracy in the Valuation of Basket Options," Frontiers in Finance and Economics, SKEMA Business School, volume 6, issue 1, pages 1-25, April.
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• Herbertsson, Alexander & Jang, Jiwook & Schmidt, Thorsten, 2009, "Pricing basket default swaps in a tractable shot-noise model," Working Papers in Economics, University of Gothenburg, Department of Economics, number 359, Apr.
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