Research classified by Journal of Economic Literature (JEL) codes

2010

• 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.
• Christian Camilo Vargas R, 2010, "Criterios Difusos En La Seleccion De Carteras," Revista Internacional Administracion & Finanzas, The Institute for Business and Finance Research, volume 3, issue 2, pages 29-44.
• Marin Bozic, 2010, "Pricing Options on Commodity Futures: The Role of Weather and Storage," Working Papers, The Institute of Economics, Zagreb, number 1003, Dec.
• Halil İbrahim AYDIN & Ahmet DEĞERLİ & Pınar ÖZLÜ, 2010, "Recovering risk-neutral densities from exchange rate options: Evidence from Lira-Dollar options," Iktisat Isletme ve Finans, Bilgesel Yayincilik, volume 25, issue 291, pages 9-26.
• Christos S. Savva & Kyriakos C. Neanidis & Denise R. Osborn, 2010, "Business cycle synchronization of the euro area with the new and negotiating member countries," International Journal of Finance & Economics, John Wiley & Sons, Ltd., volume 15, issue 3, pages 288-306, DOI: 10.1002/ijfe.396.
• Yoshihiko Sugihara & Nobuyuki Oda, 2010, "An Empirical Analysis of Equity Market Expectations in the Recent Financial Turmoil Using Implied Moments and Jump Diffusion Processes," IMES Discussion Paper Series, Institute for Monetary and Economic Studies, Bank of Japan, number 10-E-09, Jun.
• Arianna Agosto & Enrico Moretto, 2010, "Applying default probabilities in an exponential barrier structural model," Economics and Quantitative Methods, Department of Economics, University of Insubria, number qf1005, Jun.
• Jaime Casassus & Diego Ceballos, 2010, "Correlation Structure between Inflation and Oil Futures Returns: An Equilibrium Approach," Documentos de Trabajo, Instituto de Economia. Pontificia Universidad Católica de Chile., number 373.
• Álvarez-Echeverría, Francisco. & Venegas-Martínez, Francisco. & López-Sarabia, Pablo., 2010, "Valuación financiera de proyectos de energía nuclear en Argentina mediante opciones reales," Panorama Económico, Escuela Superior de Economía, Instituto Politécnico Nacional, volume 0, issue 11, pages 7-28, segundo s.
• Ron Alquist & Lutz Kilian, 2010, "What do we learn from the price of crude oil futures?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 25, issue 4, pages 539-573, DOI: 10.1002/jae.1159.
• Luca Taschini, 2010, "Environmental Economics and Modeling Marketable Permits," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, volume 17, issue 4, pages 325-343, December, DOI: 10.1007/s10690-009-9108-2.
• William Lang & Julapa Jagtiani, 2010, "The Mortgage and Financial Crises: The Role of Credit Risk Management and Corporate Governance," Atlantic Economic Journal, Springer;International Atlantic Economic Society, volume 38, issue 2, pages 123-144, June, DOI: 10.1007/s11293-010-9221-7.
• William Lang & Julapa Jagtiani, 2010, "The Mortgage and Financial Crises: The Role of Credit Risk Management and Corporate Governance," Atlantic Economic Journal, Springer;International Atlantic Economic Society, volume 38, issue 3, pages 295-316, September, DOI: 10.1007/s11293-010-9240-4.
• Tan Lee & Jyh-Bang Jou, 2010, "Urban Spatial Development: a Real Options Approach," The Journal of Real Estate Finance and Economics, Springer, volume 40, issue 2, pages 161-187, February, DOI: 10.1007/s11146-008-9135-1.
• Robert Jarrow, 2010, "Convenience yields," Review of Derivatives Research, Springer, volume 13, issue 1, pages 25-43, April, DOI: 10.1007/s11147-009-9042-5.
• F. Antonelli & A. Ramponi & S. Scarlatti, 2010, "Exchange option pricing under stochastic volatility: a correlation expansion," Review of Derivatives Research, Springer, volume 13, issue 1, pages 45-73, April, DOI: 10.1007/s11147-009-9043-4.
• Minqiang Li, 2010, "Analytical approximations for the critical stock prices of American options: a performance comparison," Review of Derivatives Research, Springer, volume 13, issue 1, pages 75-99, April, DOI: 10.1007/s11147-009-9044-3.
• Frank Zhang, 2010, "An empirical analysis of alternative recovery risk models and implied recovery rates," Review of Derivatives Research, Springer, volume 13, issue 2, pages 101-124, July, DOI: 10.1007/s11147-009-9046-1.
• Gabriel Drimus, 2010, "A forward started jump-diffusion model and pricing of cliquet style exotics," Review of Derivatives Research, Springer, volume 13, issue 2, pages 125-140, July, DOI: 10.1007/s11147-009-9045-2.
• Minqiang Li, 2010, "A quasi-analytical interpolation method for pricing American options under general multi-dimensional diffusion processes," Review of Derivatives Research, Springer, volume 13, issue 2, pages 177-217, July, DOI: 10.1007/s11147-009-9047-0.
• Raoul Pietersz & Antoon Pelsser, 2010, "A comparison of single factor Markov-functional and multi factor market models," Review of Derivatives Research, Springer, volume 13, issue 3, pages 245-272, October, DOI: 10.1007/s11147-009-9050-5.
• Robert Jarrow & Jeff Oxman & Yildiray Yildirim, 2010, "The cost of operational risk loss insurance," Review of Derivatives Research, Springer, volume 13, issue 3, pages 273-295, October, DOI: 10.1007/s11147-010-9054-1.
• Masayuki Ikeda, 2010, "Equilibrium preference free pricing of derivatives under the generalized beta distributions," Review of Derivatives Research, Springer, volume 13, issue 3, pages 297-332, October, DOI: 10.1007/s11147-010-9051-4.
• Chia-Ying Chan & Ling-Chu Lee & Ming-Chun Wang, 2010, "Employee stock options pricing and the implication of restricted exercise price: evidence from Taiwan," Review of Quantitative Finance and Accounting, Springer, volume 34, issue 2, pages 247-271, February, DOI: 10.1007/s11156-010-0166-3.
• Wei He & Yen-Sheng Lee & Peihwang Wei, 2010, "Do option traders on value and growth stocks react differently to new information?," Review of Quantitative Finance and Accounting, Springer, volume 34, issue 3, pages 371-381, April, DOI: 10.1007/s11156-009-0134-y.
• Chuang-Chang Chang & Ruey-Jenn Ho & Chengfew Lee, 2010, "Pricing credit card loans with default risks: a discrete-time approach," Review of Quantitative Finance and Accounting, Springer, volume 34, issue 4, pages 413-438, May, DOI: 10.1007/s11156-009-0130-2.
• Dimitris Psychoyios & George Dotsis & Raphael Markellos, 2010, "A jump diffusion model for VIX volatility options and futures," Review of Quantitative Finance and Accounting, Springer, volume 35, issue 3, pages 245-269, October, DOI: 10.1007/s11156-009-0153-8.
• Yao-Wen Hsu, 2010, "Staging of venture capital investment: a real options analysis," Small Business Economics, Springer, volume 35, issue 3, pages 265-281, October, DOI: 10.1007/s11187-008-9158-2.
• Benjamin Golez & Jens Carsten Jackwerth, 2010, "Pinning in the S&P 500 Futures," Working Paper Series of the Department of Economics, University of Konstanz, Department of Economics, University of Konstanz, number 2010-12, Aug.
• Masahiko Egami & Tadao Oryu, 2010, "Options on Multiple Assets in a Mean-Reverting Model," Discussion papers, Graduate School of Economics Project Center, Kyoto University, number e-10-005, Jul.
• Chiaki Hara, 2010, "Heterogeneous Beliefs in a Continuous-Time Model," KIER Working Papers, Kyoto University, Institute of Economic Research, number 701, Mar.
• Luca Taschini, 2010, "Environmental economics and modeling marketable permits," GRI Working Papers, Grantham Research Institute on Climate Change and the Environment, number 25, Sep.
• Georg Gr�ll & Luca Taschini, 2010, "A comparison of reduced-form permit price models and their empirical performances," GRI Working Papers, Grantham Research Institute on Climate Change and the Environment, number 33, Dec.
• Jeroen V.K. Rombouts & Lars Stentoft, 2010, "Multivariate Option Pricing with Time Varying Volatility and Correlations," Cahiers de recherche, CIRPEE, number 1020.
• Georges Dionne & Geneviève Gauthier & Khemais Hammami & Mathieu Maurice & Jean-Guy Simonato, 2010, "A Reduced Form Model of Default Spreads with Markov-Switching Macroeconomic Factors," Cahiers de recherche, CIRPEE, number 1042.
• Joril Maeland, 2010, "Asymmetric Information and Irreversible Investments: an Auction Model," Multinational Finance Journal, Multinational Finance Journal, volume 14, issue 3-4, pages 255-289, September.
• Ephraim Clark & Patrick Rousseau & Magid Gadad, 2010, "Investor Valuation of the Abandonment Option: Empirical Evidence from UK Divestitures 1985-1991," Multinational Finance Journal, Multinational Finance Journal, volume 14, issue 3-4, pages 291-317, September.
• Robert M. Stern, 2010, "Trade in Financial ServicesÑHas the IMF Been Involved Constructively?," Working Papers, Research Seminar in International Economics, University of Michigan, number 613, Oct.
• Silvia Muzzioli, 2010, "Towards a volatility index for the Italian stock market," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance), Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi", number 0023, Sep.
• Silvia Muzzioli, 2010, "Towards a volatility index for the Italian stock market," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance), Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi", number 10091, Sep.
• Christophe Chorro & Dominique Guegan & Florian Ielpo, 2010, "Option pricing for GARCH-type models with generalized hyperbolic innovations," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 10023, Mar, DOI: 10.1080/14697688.2010.493180.
• Christophe Chorro & Dominique Guegan & Florian Ielpo, 2010, "Likelihood-Related Estimation Methods and Non-Gaussian GARCH Processes," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 10067, Jul.
• Mark Mitchell & Todd Pulvino, 2010, "Arbitrage Crashes and the Speed of Capital," NBER Chapters, National Bureau of Economic Research, Inc, "Market Institutions and Financial Market Risk".
• Pierre Collin-Dufresne & Robert S. Goldstein & Jean Helwege, 2010, "Is Credit Event Risk Priced? Modeling Contagion via the Updating of Beliefs," NBER Working Papers, National Bureau of Economic Research, Inc, number 15733, Feb.
• Pierre Collin-Dufresne & Robert S. Goldstein & Fan Yang, 2010, "On the Relative Pricing of long Maturity S&P 500 Index Options and CDX Tranches," NBER Working Papers, National Bureau of Economic Research, Inc, number 15734, Feb.
• James D. Hamilton & Tatsuyoshi Okimoto, 2010, "Sources of Variation in Holding Returns for Fed Funds Futures Contracts," NBER Working Papers, National Bureau of Economic Research, Inc, number 15736, Feb.
• Menzie D. Chinn & Olivier Coibion, 2010, "The Predictive Content of Commodity Futures," NBER Working Papers, National Bureau of Economic Research, Inc, number 15830, Mar.
• Erik Snowberg & Justin Wolfers, 2010, "Explaining the Favorite-Longshot Bias: Is it Risk-Love or Misperceptions?," NBER Working Papers, National Bureau of Economic Research, Inc, number 15923, Apr.
• Hui Chen, 2010, "Macroeconomic Conditions and the Puzzles of Credit Spreads and Capital Structure," NBER Working Papers, National Bureau of Economic Research, Inc, number 16151, Jul.
• George M. Constantinides & Michal Czerwonko & Jens Carsten Jackwerth & Stylianos Perrakis, 2010, "Are Options on Index Futures Profitable for Risk Averse Investors? Empirical Evidence," NBER Working Papers, National Bureau of Economic Research, Inc, number 16302, Aug.
• Ke Tang & Wei Xiong, 2010, "Index Investment and Financialization of Commodities," NBER Working Papers, National Bureau of Economic Research, Inc, number 16385, Sep.
• Viral V. Acharya & Yakov Amihud & Sreedhar T. Bharath, 2010, "Liquidity Risk of Corporate Bond Returns: A Conditional Approach," NBER Working Papers, National Bureau of Economic Research, Inc, number 16394, Sep.
• Anders B. Trolle & Eduardo S. Schwartz, 2010, "An Empirical Analysis of the Swaption Cube," NBER Working Papers, National Bureau of Economic Research, Inc, number 16549, Nov.
• Turcan Radu Olimpiu Calin, 2010, "„Black-Scholes Model Used To Evaluate Stocks Options”," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, volume 1, issue 2, pages 795-799, December.
• Michi Nishihara, 2010, "A model for determining whether a firm should exercise multiple real options individually or simultaneously," Discussion Papers in Economics and Business, Osaka University, Graduate School of Economics, number 10-12, Apr.
• Michi Nishihara, 2010, "Evaluating the occurrence and disappearance of real options," Discussion Papers in Economics and Business, Osaka University, Graduate School of Economics, number 10-19, Jul.
• Michi NISHIHARA & Takashi SHIBATA, 2010, "The effects of costly exploration on optimal investment timing," Discussion Papers in Economics and Business, Osaka University, Graduate School of Economics, number 10-27, Nov.
• Zhiguang (Gerald) Wang & Prasad V. Bidarkota, 2010, "A Long-Run Risks Model of Asset Pricing with Fat Tails," Review of Finance, European Finance Association, volume 14, issue 3, pages 409-449.
• Álvaro Cartea & Thilo Meyer-Brandis, 2010, "How Duration Between Trades of Underlying Securities Affects Option Prices," Review of Finance, European Finance Association, volume 14, issue 4, pages 749-785.
• Massimiliano Caporin & Juliusz Pres, 2010, "Modelling and forecasting wind speed intensity for weather risk management," "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno", number 0106, Jan.
• Guglielmo Caporale & Davide Ciferri & Alessandro Girardi, 2010, "Time-varying spot and futures oil price dynamics," Quaderni del Dipartimento di Economia, Finanza e Statistica, Università di Perugia, Dipartimento Economia, number 75/2010, Jul.
• Scandizzo, Pasquale & Pagliacci, Carolina, 2010, "Foreign Reserve Management in an Oil Economy: Macroeconomic Risk as a Real Option," MPRA Paper, University Library of Munich, Germany, number 106539, Jun.
• Moreno, María Antonia & Pagliacci, Carolina, 2010, "Análisis de Riesgo Macro-financiero para Venezuela
  [Macro-financial risk for Venezuela]," MPRA Paper, University Library of Munich, Germany, number 106552, Jul.
• Balakrishna, BS, 2010, "Alpha-root Processes for Derivatives pricing," MPRA Paper, University Library of Munich, Germany, number 19949, Jan.
• Li, Hui, 2010, "Downturn LGD: A Spot Recovery Approach," MPRA Paper, University Library of Munich, Germany, number 20010, Jan.
• Grzelak, Lech & Oosterlee, Kees, 2010, "An Equity-Interest Rate Hybrid Model With Stochastic Volatility and the Interest Rate Smile," MPRA Paper, University Library of Munich, Germany, number 20574, Jan.
• Carey, Alexander, 2010, "Higher-order volatility: time series," MPRA Paper, University Library of Munich, Germany, number 21087, Jan.
• Balakrishna, B S, 2010, "Levy Subordinator Model of Default Dependency," MPRA Paper, University Library of Munich, Germany, number 21386, Mar.
• Giandomenico, Rossano, 2010, "Credit Derivatives," MPRA Paper, University Library of Munich, Germany, number 21793, Feb.
• Campbell, Gareth, 2010, "Leveraging the British Railway Mania: Derivatives for the Individual Investor," MPRA Paper, University Library of Munich, Germany, number 21822, Mar.
• Behera, Harendra, 2010, "Onshore and offshore market for Indian Rupee: recent evidence on volatility and shock spillover," MPRA Paper, University Library of Munich, Germany, number 22247, Jan.
• Elverhøi, Morten & Fleten, Stein-Erik & Fuss, Sabine & Heggedal, Ane Marte & Szolgayova, Jana & Troland, Ole Christian, 2010, "Evaluation of hydropower upgrade projects - a real options approach," MPRA Paper, University Library of Munich, Germany, number 23005, May.
• Grzelak, Lech & Oosterlee, Kees, 2010, "On cross-currency models with stochastic volatility and correlated interest rates," MPRA Paper, University Library of Munich, Germany, number 23020, Jun.
• Fries, Christian P., 2010, "Discounting Revisited. Valuations under Funding Costs, Counterparty Risk and Collateralization," MPRA Paper, University Library of Munich, Germany, number 23082, May, revised 30 May 2010.
• Siddiqi, Hammad, 2010, "Coarse thinking, implied volatility, and the valuation of call and put options," MPRA Paper, University Library of Munich, Germany, number 23261, Jan.
• Cadogan, Godfrey, 2010, "Canonical Representation Of Option Prices and Greeks with Implications for Market Timing," MPRA Paper, University Library of Munich, Germany, number 23426, Jun.
• Morini, Massimo & Prampolini, Andrea, 2010, "Risky funding: a unified framework for counterparty and liquidity risk," MPRA Paper, University Library of Munich, Germany, number 23555, May.
• Siddiqi, Hammad, 2010, "The relevance of coarse thinking for investors' willingness to pay: An experimental study," MPRA Paper, University Library of Munich, Germany, number 23924, Jul.
• Cavalcante, Mileno, 2010, "An Analysis of the relationship between WTI term structure and oil market fundamentals in 2002-2009," MPRA Paper, University Library of Munich, Germany, number 24263, Aug.
• Janek, Agnieszka & Kluge, Tino & Weron, Rafal & Wystup, Uwe, 2010, "FX Smile in the Heston Model," MPRA Paper, University Library of Munich, Germany, number 25491, Sep.
• Caporin, Massimiliano & Pres, Juliusz & Torro, Hipolit, 2010, "Model based Monte Carlo pricing of energy and temperature quanto options," MPRA Paper, University Library of Munich, Germany, number 25538, Sep.
• Balakrishna, B S, 2010, "Levy Subordinator Model: A Two Parameter Model of Default Dependency," MPRA Paper, University Library of Munich, Germany, number 26274, Oct.
• Bao, Qunfang & Chen, Si & Liu, Guimei & Li, Shenghong, 2010, "Unilateral CVA for CDS in Contagion Model_with Volatilities and Correlation of Spread and Interest," MPRA Paper, University Library of Munich, Germany, number 26277, Oct.
• Su, Yongyang & Lau, Marco Chi Keung, 2010, "Strategic asset allocation and intertemporal demands: with commodities as an asset class," MPRA Paper, University Library of Munich, Germany, number 26337, Oct.
• Amira, Khaled & Bennour, Khaled, 2010, "Borrowing Constraint and the Effect of Option Introduction," MPRA Paper, University Library of Munich, Germany, number 26440, Oct.
• Bao, Qunfang & Li, Shenghong & Liu, Guimei, 2010, "Survival Measures and Interacting Intensity Model: with Applications in Guaranteed Debt Pricing," MPRA Paper, University Library of Munich, Germany, number 27698, Aug, revised 27 Dec 2010.
• Bao, Qunfang & Chen, Si & Liu, Guimei & Li, Shenghong, 2010, "Unilateral CVA for CDS in Contagion model: With volatilities and correlation of spread and interest," MPRA Paper, University Library of Munich, Germany, number 28250, Oct, revised 27 Dec 2010.
• Schneider, Stefan & Schneider, Stefan, 2010, "Power Spot Price Models with negative Prices," MPRA Paper, University Library of Munich, Germany, number 29958, Dec.
• Brogi, Athos, 2010, "A binomial tree to price European options," MPRA Paper, University Library of Munich, Germany, number 33604, Feb, revised Aug 2011.
• Ilya, Gikhman, 2010, "Multiple risky securities valuation II," MPRA Paper, University Library of Munich, Germany, number 34587, revised 2011.
• Reiffen, David & Buyuksahin, Bahattin, 2010, "The puzzle of privately-imposed price limits: are the limits imposed by financial exchanges effective?," MPRA Paper, University Library of Munich, Germany, number 35927, Dec.
• Olsen, Eirik Tandberg & Sanda, Gaute Egeland & Fleten, Stein-Erik, 2010, "Selective Hedging in Hydro-Based Electricity Companies," MPRA Paper, University Library of Munich, Germany, number 47820, Jun, revised 25 Jun 2013.
• Li, Hui, 2010, "Downturn LGD: A Spot Recovery Approach," MPRA Paper, University Library of Munich, Germany, number 71986, Jan, revised 30 Apr 2013.
• Degiannakis, Stavros & Floros, Christos, 2010, "Hedge Ratios in South African Stock Index Futures," MPRA Paper, University Library of Munich, Germany, number 96301.
• Gisèle Chanel-Reynaud, 2010, "La longue marche vers la mise en place de chambres de compensation sur les marchés de dérivés de crédit," Revue d'Économie Financière, Programme National Persée, volume 97, issue 2, pages 35-63, DOI: 10.3406/ecofi.2010.5391.
• Julien Chevallier, 2010, "Spéculation et marchés dérivés du pétrole," Revue d'Économie Financière, Programme National Persée, volume 98, issue 3, pages 353-371, DOI: 10.3406/ecofi.2010.5801.
• Francisco Venegas Martinez & Salvador Cruz Ake, 2010, "Productos derivados sobre bienes de consumo," EconoQuantum, Revista de Economia y Finanzas, Universidad de Guadalajara, Centro Universitario de Ciencias Economico Administrativas, Departamento de Metodos Cuantitativos y Maestria en Economia., volume 6, issue 2, pages 25-54, Enero-Jun.
• Martial Phélippé-Guinvarc’H & Jean Cordier, 2010, "An option on the average European futures prices for an efficient hog producer risk management," Review of Agricultural and Environmental Studies - Revue d'Etudes en Agriculture et Environnement, INRA Department of Economics, volume 91, issue 1, pages 27-42.
• Steffen Mahringer & Marcel Prokopczuk, 2010, "An Empirical Model Comparison for Valuing Crack Spread Options," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2010-01, Jan.
• Michael Weber & Marcel Prokopczuk, 2010, "American Option Valuation: Implied Calibration of GARCH Pricing-Models," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2010-02, Jan.
• Marcel Prokopczuk, 2010, "Pricing and Hedging in the Freight Futures Market," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2010-04, Apr.
• Carol Alexander & Andreas Kaeck, 2010, "Does model fit matter for hedging? Evidence from FTSE 100 options," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2010-05, Jun.
• Janis Back & Marcel Prokopczuk & Markus Rudolf, 2010, "Seasonality and the Valuation of Commodity Options," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2010-08, Jun.
• Carol Alexander & Alexander Rubinov & Markus Kalepky & Stamatis Leontsinis, 2010, "Regime-Dependent Smile-Adjusted Delta Hedging," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2010-10, Sep.
• Andreas Kaeck & Carol Alexander, 2010, "VIX Dynamics with Stochastic Volatility of Volatility," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2010-11, Sep.
• Olivier Jeanne & Damiano Sandri & Eduardo Borensztein, 2010, "Macro-Hedging for Commodity Exporters," 2010 Meeting Papers, Society for Economic Dynamics, number 832.
• Jan Vlachý, 2010, "Assessing and Negotiating Commercial Contracts," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, volume 13, issue 37, pages 143-163, September.
• Constance Smith & Stuart Landon, 2010, "Government Revenue Volatility in Alberta," Working Papers, University of Alberta, Department of Economics, number 2010-10, Jul.
• Leonid Varshavsky, 2010, "Crisis of financial system and evolution of commodities market," Applied Econometrics, Russian 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.