Research classified by Journal of Economic Literature (JEL) codes

2009

• Kiyotaka Nakashima & Makoto Saito, 2009, "Credit Spreads on Corporate Bonds and the Macroeconomy in Japan," Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number gd09-068, May.
• Xiaodong Du & Cindy L. Yu & Dermot J. Hayes, 2009, "Speculation and Volatility Spillover in the Crude Oil and Agricultural Commodity Markets: A Bayesian Analysis," Center for Agricultural and Rural Development (CARD) Publications, Center for Agricultural and Rural Development (CARD) at Iowa State University, number 09-wp491, May.
• Xiaodong Du & Cindy L. Yu & Dermot J. Hayes, 2009, "Speculation and Volatility Spillover in the Crude Oil and Agricultural Commodity Markets: A Bayesian Analysis," Food and Agricultural Policy Research Institute (FAPRI) Publications (archive only), Center for Agricultural and Rural Development (CARD) at Iowa State University, number 09-wp491, May.
• Chien-Cheng Wang & Yung-Shi Liau & Jack J.W. Yang, 2009, "Information Spillovers In The Spot And Etf Indices In Taiwan," Global Journal of Business Research, The Institute for Business and Finance Research, volume 3, issue 1, pages 117-131.
• Philip Maymin, 2009, "The Hazards Of Propping Up: Bubbles And Chaos," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 3, issue 2, pages 83-93.
• Jadranka Kapic, 2009, "Cash Flow Statements," Economic Analysis, Institute of Economic Sciences, volume 42, issue 3-4, pages 38-49.
• Paul PISJAK & Stefan FELDER & Ernst-Olav RUHLE & Martin LUNDBORG & Matthias EHRLER, 2009, "Pervasive Gaming: Testing Future Context Aware Applications," Communications & Strategies, IDATE, Com&Strat dept., volume 1, issue 73, pages 129-152, 1st quart.
• Carlos A. Ulibarri & Peter C. Anselmo & Karen Hovespian & Jacob Tolk & Ionut Florescu, 2009, "'Noise-trader risk' and Bayesian market making in FX derivatives: rolling loaded dice?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., volume 14, issue 3, pages 268-279, DOI: 10.1002/ijfe.373.
• Carlos A. Ulibarri & Peter C. Anselmo & Karen Hovsepian & Jacob Tolk & Ionut Florescu, 2009, "'Noise-trader risk' and Bayesian market making in FX derivatives: rolling loaded dice?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., volume 14, issue 3, pages 1-1, DOI: 10.1002/ijfe.388.
• Mr. Eduardo Borensztein & Mr. Damiano Sandri & Mr. Olivier D Jeanne, 2009, "Macro-Hedging for Commodity Exporters," IMF Working Papers, International Monetary Fund, number 2009/229, Oct.
• Ángel León Valle & Antonio Vaello & Julio Carmona, 2009, "Pricing executive stock options under employment shocks," Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2009-22, Sep.
• Onur Olgun & Ý. Hakan Yetkiner, 2009, "The Superiority of Time-Varying Hedge Ratios in Turkish Futures," Working Papers, Izmir University of Economics, number 0907, Nov.
• Bjarne Jensen, 2009, "Valuation before and after tax in the discrete time, finite state no arbitrage model," Annals of Finance, Springer, volume 5, issue 1, pages 91-123, January, DOI: 10.1007/s10436-007-0091-1.
• Howard Qi & Sheen Liu & Chunchi Wu, 2009, "On the calibration of structural credit spread models," Annals of Finance, Springer, volume 5, issue 2, pages 189-208, March, DOI: 10.1007/s10436-008-0097-3.
• Nicola Bruti-Liberati & Christina Nikitopoulos-Sklibosios & Eckhard Platen & Erik Schlögl, 2009, "Alternative Defaultable Term Structure Models," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, volume 16, issue 1, pages 1-31, March, DOI: 10.1007/s10690-009-9084-6.
• Flavia Cortelezzi & Giovanni Villani, 2009, "Valuation of R&D Sequential Exchange Options Using Monte Carlo Approach," Computational Economics, Springer;Society for Computational Economics, volume 33, issue 3, pages 209-236, April, DOI: 10.1007/s10614-008-9157-z.
• A. Gregoriou & A. Kontonikas & R. MacDonald & A. Montagnoli, 2009, "Monetary policy shocks and stock returns: evidence from the British market," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 23, issue 4, pages 401-410, December, DOI: 10.1007/s11408-009-0113-2.
• Jyh-Bang Jou & Tan (Charlene) Lee, 2009, "How Does a Development Moratorium Affect Development Timing Choices and Land Values?," The Journal of Real Estate Finance and Economics, Springer, volume 39, issue 3, pages 301-315, October, DOI: 10.1007/s11146-009-9184-0.
• Keiichi Hori & Keizo Mizuno, 2009, "Competition schemes and investment in network infrastructure under uncertainty," Journal of Regulatory Economics, Springer, volume 35, issue 2, pages 179-200, April, DOI: 10.1007/s11149-008-9075-y.
• Koichi Matsumoto, 2009, "Dynamic programming and mean-variance hedging with partial execution risk," Review of Derivatives Research, Springer, volume 12, issue 1, pages 29-53, April, DOI: 10.1007/s11147-009-9033-6.
• Jan Kallsen & Richard Vierthauer, 2009, "Quadratic hedging in affine stochastic volatility models," Review of Derivatives Research, Springer, volume 12, issue 1, pages 3-27, April, DOI: 10.1007/s11147-009-9034-5.
• Sasha Stoikov & Mehmet Sağlam, 2009, "Option market making under inventory risk," Review of Derivatives Research, Springer, volume 12, issue 1, pages 55-79, April, DOI: 10.1007/s11147-009-9036-3.
• Andrew Carverhill & Terry Cheuk & Sigurd Dyrting, 2009, "The smirk in the S&P500 futures options prices: a linearized factor analysis," Review of Derivatives Research, Springer, volume 12, issue 2, pages 109-139, July, DOI: 10.1007/s11147-009-9037-2.
• Bertram Düring, 2009, "Asset pricing under information with stochastic volatility," Review of Derivatives Research, Springer, volume 12, issue 2, pages 141-167, July, DOI: 10.1007/s11147-009-9031-8.
• Oleg Bondarenko & Iñaki Longarela, 2009, "A general framework for the derivation of asset price bounds: an application to stochastic volatility option models," Review of Derivatives Research, Springer, volume 12, issue 2, pages 81-107, July, DOI: 10.1007/s11147-009-9032-7.
• Patrick Dennis & Stewart Mayhew, 2009, "Microstructural biases in empirical tests of option pricing models," Review of Derivatives Research, Springer, volume 12, issue 3, pages 169-191, October, DOI: 10.1007/s11147-009-9039-0.
• Johannes Siven & Rolf Poulsen, 2009, "Auto-static for the people: risk-minimizing hedges of barrier options," Review of Derivatives Research, Springer, volume 12, issue 3, pages 193-211, October, DOI: 10.1007/s11147-009-9040-7.
• Dilip Madan, 2009, "A tale of two volatilities," Review of Derivatives Research, Springer, volume 12, issue 3, pages 213-230, October, DOI: 10.1007/s11147-009-9038-1.
• Cho-Jieh Chen & Harry Panjer, 2009, "A bridge from ruin theory to credit risk," Review of Quantitative Finance and Accounting, Springer, volume 32, issue 4, pages 373-403, May, DOI: 10.1007/s11156-008-0100-0.
• Steven Li & Qianqian Yang, 2009, "The relationship between implied and realized volatility: evidence from the Australian stock index option market," Review of Quantitative Finance and Accounting, Springer, volume 32, issue 4, pages 405-419, May, DOI: 10.1007/s11156-008-0099-2.
• Chiaki Hara, 2009, "Heterogeneous Impatience in a Continuous-Time Model," KIER Working Papers, Kyoto University, Institute of Economic Research, number 665, Jan.
• Gann, Philipp, 2009, "Liquidität, Risikoeinstellung des Kapitalmarktes und Konjunkturerwartung als Preisdeterminanten von Collateralized Debt Obligations (CDOs) - Eine simulationsgestützte Analyse," Discussion Papers in Business Administration, University of Munich, Munich School of Management, number 10582, Apr.
• Olfa Maalaoui & Georges Dionne & Pascal François, 2009, "Credit Spread Changes within Switching Regimes," Cahiers de recherche, CIRPEE, number 0905.
• Georges Dionne & Geneviève Gauthier & Nadia Ouertani, 2009, "Basket Options on Heterogeneous Underlying Assets," Cahiers de recherche, CIRPEE, number 0918.
• Jeroen V.K. Rombouts & Lars Stentoft, 2009, "Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models," Cahiers de recherche, CIRPEE, number 0926.
• Georg Grüll & Luca Taschini, 2009, "A Comparison of Reduced-Form Permit Price Models and their Empirical Performances," Working Papers, Massachusetts Institute of Technology, Center for Energy and Environmental Policy Research, number 0918, Sep.
• Geoffrey Poitras & Chris Veld & Yuriy Zabolotnyuk, 2009, "European Put-Call Parity and the Early Exercise Premium for American Currency Options," Multinational Finance Journal, Multinational Finance Journal, volume 13, issue 1-2, pages 39-54, March-Jun.
• Ariful Hoque & Felix Chan & Meher Manzur, 2009, "Modeling Volatility in Foreign Currency Option Pricing," Multinational Finance Journal, Multinational Finance Journal, volume 13, issue 3-4, pages 189-208, September.
• Silvia Muzzioli, 2009, "The skew pattern of implied volatility in the DAX index options market," Department of Economics, University of Modena and Reggio E., Faculty of Economics "Marco Biagi", number 0617, Jul.
• Silvia Muzzioli, 2009, "The skew pattern of implied volatility in the DAX index options 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 0020, Dec.
• Hendrik Hakenes & Isabel Schnabel, 2009, "Credit Risk Transfer and Bank Competition," Discussion Paper Series of the Max Planck Institute for Behavioral Economics, Max Planck Institute for Behavioral Economics, number 2009_33, Oct.
• Jan Annaert & Marc De Ceuster & Patrick Van Roy & Cristina Vespro, 2009, "What determines euro area bank CDS spreads ?," Financial Stability Review, National Bank of Belgium, volume 7, issue 1, pages 153-169, June.
• Gary B. Gorton, 2009, "Information, Liquidity, and the (Ongoing) Panic of 2007," NBER Working Papers, National Bureau of Economic Research, Inc, number 14649, Jan.
• Martin Lettau & Jessica A. Wachter, 2009, "The Term Structures of Equity and Interest Rates," NBER Working Papers, National Bureau of Economic Research, Inc, number 14698, Jan.
• Francis A. Longstaff & Brett Myers, 2009, "Valuing Toxic Assets: An Analysis of CDO Equity," NBER Working Papers, National Bureau of Economic Research, Inc, number 14871, Apr.
• David S. Bates, 2009, "U.S. Stock Market Crash Risk, 1926-2006," NBER Working Papers, National Bureau of Economic Research, Inc, number 14913, Apr.
• Geert Bekaert & Eric Engstrom, 2009, "Asset Return Dynamics under Bad Environment Good Environment Fundamentals," NBER Working Papers, National Bureau of Economic Research, Inc, number 15222, Aug.
• Amir E. Khandani & Andrew W. Lo & Robert C. Merton, 2009, "Systemic Risk and the Refinancing Ratchet Effect," NBER Working Papers, National Bureau of Economic Research, Inc, number 15362, Sep.
• René M. Stulz, 2009, "Credit Default Swaps and the Credit Crisis," NBER Working Papers, National Bureau of Economic Research, Inc, number 15384, Sep.
• Eduardo Borensztein & Olivier Jeanne & Damiano Sandri, 2009, "Macro-Hedging for Commodity Exporters," NBER Working Papers, National Bureau of Economic Research, Inc, number 15452, Oct.
• Anna Naszódi, 2007, "Are the Exchange Rates of EMU Candidate Countries Anchored by their Expected Euro Locking Rates?," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 1, pages 115-134.
• Burkhard Raunig & Martin Scheicher, 2009, "Are Banks Different? Evidence from the CDS Market," Working Papers, Oesterreichische Nationalbank (Austrian Central Bank), number 152, Feb.
• Socaciu Tiberiu & Danubianu Mirela & Maxim Ioan & Naaji Antoanela, 2009, "Algorithm For Generalized Garman Equation In Option Pricing Of A Financial Derivatives With Stochastic Volatility Models," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, volume 4, issue 1, pages 1044-1048, May.
• Michi Nishihara, 2009, "Preemptive Investment Game with Alternative Projects," Discussion Papers in Economics and Business, Osaka University, Graduate School of Economics, number 09-16, Jun.
• Youki Kohsaka, 2009, "Did the ETF enhance arbitrage between cash and futures of the Nikkei225?," Discussion Papers in Economics and Business, Osaka University, Graduate School of Economics, number 09-20, Jul.
• Michi NISHIHARA, 2009, "Hybrid or Electric Vehicles? A Real Options Perspective," Discussion Papers in Economics and Business, Osaka University, Graduate School of Economics, number 09-31, Sep.
• Sergio H. Lence, 2009, "Do Futures Benefit Farmers?," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, volume 91, issue 1, pages 154-167.
• Patrick Gagliardini & Paolo Porchia & Fabio Trojani, 2009, "Ambiguity Aversion and the Term Structure of Interest Rates," The Review of Financial Studies, Society for Financial Studies, volume 22, issue 10, pages 4157-4188, October.
• Nicolae Garleanu & Lasse Heje Pedersen & Allen M. Poteshman, 2009, "Demand-Based Option Pricing," The Review of Financial Studies, Society for Financial Studies, volume 22, issue 10, pages 4259-4299, October.
• Tim Bollerslev & George Tauchen & Hao Zhou, 2009, "Expected Stock Returns and Variance Risk Premia," The Review of Financial Studies, Society for Financial Studies, volume 22, issue 11, pages 4463-4492, November.
• Mark Broadie & Mikhail Chernov & Michael Johannes, 2009, "Understanding Index Option Returns," The Review of Financial Studies, Society for Financial Studies, volume 22, issue 11, pages 4493-4529, November.
• Benjamin Yibin Zhang & Hao Zhou & Haibin Zhu, 2009, "Explaining Credit Default Swap Spreads with the Equity Volatility and Jump Risks of Individual Firms," The Review of Financial Studies, Society for Financial Studies, volume 22, issue 12, pages 5099-5131, December.
• George M. Constantinides & Jens Carsten Jackwerth & Stylianos Perrakis, 2009, "Mispricing of S&P 500 Index Options," The Review of Financial Studies, Society for Financial Studies, volume 22, issue 3, pages 1247-1277, March.
• George M. Constantinides & Jens Carsten Jackwerth & Stylianos Perrakis, 2009, "Mispricing of S&P 500 Index Options," The Review of Financial Studies, Society for Financial Studies, volume 22, issue 3, pages 1247-1277.
• Fleten, Stein-Erik & Ringen, Geir, 2009, "New renewable electricity capacity under uncertainty: The potential in Norway," MPRA Paper, University Library of Munich, Germany, number 12857, Jan.
• Povh, Martin & Fleten, Stein-Erik, 2009, "Modeling long-term electricity forward prices," MPRA Paper, University Library of Munich, Germany, number 13162, Jan.
• Minqiang Li, Li, 2009, "Analytical Approximations for the Critical Stock Prices of American Options: A Performance Comparison," MPRA Paper, University Library of Munich, Germany, number 15018.
• Vazquez, Miguel & Barquín, Julián, 2009, "A fundamental power price model with oligopolistic competition representation," MPRA Paper, University Library of Munich, Germany, number 15629, Jun.
• El Qalli, Yassine, 2009, "Term Structure Equations Under Benchmark Framework," MPRA Paper, University Library of Munich, Germany, number 15667.
• Li, Hui, 2009, "On Models of Stochastic Recovery for Base Correlation," MPRA Paper, University Library of Munich, Germany, number 15750, Jun.
• Cartea, Álvaro & Meyer-Brandis, Thilo, 2009, "How Duration Between Trades of Underlying Securities Affects Option Prices," MPRA Paper, University Library of Munich, Germany, number 16179, Apr.
• Walker, Todd B & Haley, M. Ryan, 2009, "Alternative Tilts for Nonparametric Option Pricing," MPRA Paper, University Library of Munich, Germany, number 17140, Sep.
• Li, Minqiang, 2009, "A Quasi-analytical Interpolation Method for Pricing American Options under General Multi-dimensional Diffusion Processes," MPRA Paper, University Library of Munich, Germany, number 17348.
• Nagarajan, Thirukumaran & Malipeddi, Koteswararao, 2009, "Effects of market sentiment in index option pricing: a study of CNX NIFTY index option," MPRA Paper, University Library of Munich, Germany, number 17943, Oct.
• Li, Hui, 2009, "Extension of Spot Recovery Model for Gaussian Copula," MPRA Paper, University Library of Munich, Germany, number 17944, Oct.
• Torro, Hipolit, 2009, "Assessing the influence of spot price predictability on electricity futures hedging," MPRA Paper, University Library of Munich, Germany, number 18892, Mar.
• Li, Hui, 2009, "Double Impact on CVA for CDS: Wrong-Way Risk with Stochastic Recovery," MPRA Paper, University Library of Munich, Germany, number 19684, Dec.
• Bennani, Norddine & Maetz, Jerome, 2009, "A Spot Stochastic Recovery Extension of the Gaussian Copula," MPRA Paper, University Library of Munich, Germany, number 19736, Jul.
• Grzelak, Lech & Oosterlee, Kees, 2009, "On The Heston Model with Stochastic Interest Rates," MPRA Paper, University Library of Munich, Germany, number 20620, Feb, revised 18 Jan 2010.
• García de la Vega, Victor Manuel & Ruiz-Porras, Antonio, 2009, "Modelos estocásticos para el precio spot y del futuro de commodities con alta volatilidad y reversión a la media
  [Stochastic models for the spot and future prices of commodities with high volatility and mean reversion]," MPRA Paper, University Library of Munich, Germany, number 23177, Oct.
• Hung, Mao-Wei & So, Leh-Chyan, 2009, "New insights into India’s single stock futures markets," MPRA Paper, University Library of Munich, Germany, number 52491.
• Anginer, Deniz & Yildizhan, Celim, 2009, "Is there a Distress Risk Anomaly? Pricing of Systematic Default Risk in the Cross Section of Equity Returns," MPRA Paper, University Library of Munich, Germany, number 53885, Sep, revised 23 Apr 2013.
• MacDonald, Stephen & Meyer, Leslie, 2009, "Trends in U.S. Cotton Basis Since 2001," MPRA Paper, University Library of Munich, Germany, number 70909, Jun.
• Nakashima, Kiyotaka & Saito, Makoto, 2009, "Credit Spreads on Corporate Bonds and the Macroeconomy in Japan," MPRA Paper, University Library of Munich, Germany, number 89089, Apr.
• Jiří Witzany, 2009, "Valuation of Convexity Related Interest Rate Derivatives," Prague Economic Papers, Prague University of Economics and Business, volume 2009, issue 4, pages 309-326, DOI: 10.18267/j.pep.356.
• Raphael Paschke & Marcel ProkopczukÂ, 2009, "Commodity Derivatives Valuation with Autoregression and Moving Average in the Price Dynamics," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2009-10, May, revised Sep 2009.
• Bryan Routledge & Stanley Zin, 2009, "Code files for "Model Uncertainty and Liquidity"," Computer Codes, Review of Economic Dynamics, number 08-143, revised .
• Bryan Routledge & Stanley Zin, 2009, "Model Uncertainty and Liquidity," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, volume 12, issue 4, pages 543-566, October, DOI: 10.1016/j.red.2008.10.002.
• Elif C. Arbatli, 2009, "Futures Markets, Oil Prices, and the Intertemporal Approach to the Current Account," 2009 Meeting Papers, Society for Economic Dynamics, number 406.
• Rossella Agliardi, 2009, "Option Pricing Under Lã‰Vy Processes: A Unifying Formula," Working Paper series, Rimini Centre for Economic Analysis, number 18_09, Jan.
• André Ventura & Marcio Gomes Pinto Garcia, 2009, "Mercados futuro e à vista de câmbio no Brasil: O rabo balança o cachorro," Textos para discussão, Department of Economics PUC-Rio (Brazil), number 563, Nov.
• Wing Hong Chan & Denise Young, 2009, "A New Look at Copper Markets: A Regime-Switching Jump Model," Working Papers, University of Alberta, Department of Economics, number 2009-13, Mar.
• Leonid Varshavsky, 2009, "Modeling Dynamics of Oil Prices under Different Regimes of Oil Market Development," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), volume 13, issue 1, pages 70-88.
• Georges Dionne & Geneviève Gauthier & Nadia Ouertani, 2009, "Basket options on heterogeneous underlying assets," Working Papers, HEC Montreal, Canada Research Chair in Risk Management, number 09-3, May.
• Samuel Malone & Abel Rodriguez & Enrique ter Horst, 2009, "What executives should know about structural credit risk models and their limitations: a primer with examples," Journal of Financial Transformation, Capco Institute, volume 27, pages 58-62.
• Bernd Schmid & Rudi Zagst & Stefan Antes & Fayssal El Moufatich, 2009, "Modeling and pricing of credit derivatives using macroeconomic information," Journal of Financial Transformation, Capco Institute, volume 26, pages 60-68.
• Gaetano Bloise & Pietro Reichlin & Mario Tirelli, 2009, "Indeterminacy of competitive equilibrium with risk of default," Departmental Working Papers of Economics - University 'Roma Tre', Department of Economics - University Roma Tre, number 0109.
• Bruce Mizrach, 2009, "Integration of the Global Emissions Trading Markets," Departmental Working Papers, Rutgers University, Department of Economics, number 200901, Mar.
• Hans J. Skaug & Jun Yu, 2009, "Automated Likelihood Based Inference for Stochastic Volatility Models," Working Papers, Singapore Management University, School of Economics, number 15-2009, Nov.
• Markku Kallio & Antti Pirjetä, 2009, "Computational methods for incentive option valuation," Computational Management Science, Springer, volume 6, issue 2, pages 209-231, May, DOI: 10.1007/s10287-008-0085-0.
• Piergiacomo Sabino, 2009, "Efficient quasi-Monte simulations for pricing high-dimensional path-dependent options," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 32, issue 1, pages 49-65, May, DOI: 10.1007/s10203-009-0084-9.
• Marcellino Gaudenzi & Antonino Zanette, 2009, "Pricing American barrier options with discrete dividends by binomial trees," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 32, issue 2, pages 129-148, November, DOI: 10.1007/s10203-009-0089-4.
• Philippe Ehlers & Philipp Schönbucher, 2009, "Background filtrations and canonical loss processes for top-down models of portfolio credit risk," Finance and Stochastics, Springer, volume 13, issue 1, pages 79-103, January, DOI: 10.1007/s00780-008-0080-x.
• J. Anderluh & J. Weide, 2009, "Double-sided Parisian option pricing," Finance and Stochastics, Springer, volume 13, issue 2, pages 205-238, April, DOI: 10.1007/s00780-009-0090-3.
• Fabio Antonelli & Sergio Scarlatti, 2009, "Pricing options under stochastic volatility: a power series approach," Finance and Stochastics, Springer, volume 13, issue 2, pages 269-303, April, DOI: 10.1007/s00780-008-0086-4.
• Liming Feng & Vadim Linetsky, 2009, "Computing exponential moments of the discrete maximum of a Lévy process and lookback options," Finance and Stochastics, Springer, volume 13, issue 4, pages 501-529, September, DOI: 10.1007/s00780-009-0096-x.
• Oleg Kudryavtsev & Sergei Levendorskiǐ, 2009, "Fast and accurate pricing of barrier options under Lévy processes," Finance and Stochastics, Springer, volume 13, issue 4, pages 531-562, September, DOI: 10.1007/s00780-009-0103-2.
• E. Benhamou & E. Gobet & M. Miri, 2009, "Smart expansion and fast calibration for jump diffusions," Finance and Stochastics, Springer, volume 13, issue 4, pages 563-589, September, DOI: 10.1007/s00780-009-0102-3.
• Carole Bernard & Zhenyu Cui & Martin Forde & Antoine Jacquier & Don McLeish & Aleksandar Mijatović, 2013, "Correction note for ‘The large-maturity smile for the Heston model’," Finance and Stochastics, Springer, volume 17, issue 1, pages 223-224, January, DOI: 10.1007/s00780-012-0197-9.
• Damien Lamberton & Mohammed Mikou, 2013, "Exercise boundary of the American put near maturity in an exponential Lévy model," Finance and Stochastics, Springer, volume 17, issue 2, pages 355-394, April, DOI: 10.1007/s00780-012-0194-z.
• Jocelyne Bion-Nadal & Giulia Nunno, 2013, "Dynamic no-good-deal pricing measures and extension theorems for linear operators on L ∞," Finance and Stochastics, Springer, volume 17, issue 3, pages 587-613, July, DOI: 10.1007/s00780-012-0195-y.
• Peter Carr & Roger Lee, 2013, "Variation and share-weighted variation swaps on time-changed Lévy processes," Finance and Stochastics, Springer, volume 17, issue 4, pages 685-716, October, DOI: 10.1007/s00780-013-0212-9.
• Pauline Barrieu & Olivier Scaillet, 2009, "A Primer on Weather Derivatives," International Series in Operations Research & Management Science, Springer, chapter 0, in: Jerzy A. Filar & Alain Haurie, "Uncertainty and Environmental Decision Making", DOI: 10.1007/978-1-4419-1129-2_5.
• Ray Sturm & Drew Winters, 2009, "Does time have value? An empirical examination of the put option embedded in refundable U.S. air fares," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 33, issue 4, pages 376-392, October, DOI: 10.1007/s12197-008-9025-7.
• André Schöne, 2009, "Zur Handelbarkeit der Volatilitätsindizes VDAX und VDAX-New der Deutsche Börse AG," Schmalenbach Journal of Business Research, Springer, volume 61, issue 8, pages 881-910, December, DOI: 10.1007/BF03373672.
• Claudio Albanese & Harry Lo & Aleksandar Mijatovic, 2009, "Spectral methods for volatility derivatives," Quantitative Finance, Taylor & Francis Journals, volume 9, issue 6, pages 663-692, DOI: 10.1080/14697680902773603.
• Giovanni Villani, 2009, "Valuation of R&D Investment Opportunities with the Threat of Competitors Entry in Real Option Analysis," Quaderni DSEMS, Dipartimento di Scienze Economiche, Matematiche e Statistiche, Universita' di Foggia, number 21-2009, Dec.
• Galtier, F., 2009, "Comment gérer l'instabilité des prix alimentaires dans les pays en développement ?," Working Papers MoISA, UMR MoISA : Montpellier Interdisciplinary center on Sustainable Agri-food systems (social and nutritional sciences): CIHEAM-IAMM, CIRAD, INRAE, L'Institut Agro, Montpellier SupAgro, IRD - Montpellier, France, number 200904.
• Galtier, F., 2009, "How to Manage Food Price Instability in Developing Countries ?," Working Papers MoISA, UMR MoISA : Montpellier Interdisciplinary center on Sustainable Agri-food systems (social and nutritional sciences): CIHEAM-IAMM, CIRAD, INRAE, L'Institut Agro, Montpellier SupAgro, IRD - Montpellier, France, number 200905.
• Elisa Alòs, 2009, "A decomposition formula for option prices in the Heston model and applications to option pricing approximation," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 1188, Dec.
• Francesco Audrino & Dominik Colangelo, 2009, "Option trading strategies based on semi-parametric implied volatility surface prediction," University of St. Gallen Department of Economics working paper series 2009, Department of Economics, University of St. Gallen, number 2009-24, Aug.
• Jury Falini, 2009, "Pricing caps with HJM models: the benefits of humped volatility," Department of Economics University of Siena, Department of Economics, University of Siena, number 563, Aug.
• Nicola Bruti-Liberati & Christina Nikitopoulos-Sklibosios & Eckhard Platen & Erik Schlogl, 2009, "Alternative Defaultable Term Structure Models," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 242, Jan.
• Eckhard Platen & Willi Semmler, 2009, "Asset Markets and Monetary Policy," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 247, Apr.
• Eckhard Platen, 2009, "A Benchmark Approach to Investing and Pricing," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 253, Aug.
• Carl Chiarella & Viviana Fanelli & Silvana Musti, 2009, "Modelling the Evolution of Credit Spreads Using the Cox Process Within the HJM Framework A CDS Option Pricing Model," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 255, Aug.
• Martina Nardon & Paolo Pianca, 2009, "Implied volatilities of American options with cash dividends: an application to Italian Derivatives Market (IDEM)," Working Papers, Department of Applied Mathematics, Università Ca' Foscari Venezia, number 195, Nov.
• Ephraim Clark & Sélima Baccar, 2009, "Pricing Default Risk With Parisian Options: Empirical Evidence From High Growth Companies," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., volume 5, issue 01, pages 1-18, DOI: 10.1142/S2010495209500018.
• Sebastian Orzel & Aleksander Weron, 2009, "Calibration of the subdiffusive Black–Scholes model," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/09/02.
• Berg, Tobias & Mölls, Sascha H. & Willershausen, Timo, 2009, "(Real-)options, uncertainty and comparative statics: Are Black and Scholes mistaken?," Manuskripte aus den Instituten für Betriebswirtschaftslehre der Universität Kiel, Christian-Albrechts-Universität zu Kiel, Institut für Betriebswirtschaftslehre, number 645.
• Pietz, Matthäus, 2009, "Risk premia in the German electricity futures market," CEFS Working Paper Series, Technische Universität München (TUM), Center for Entrepreneurial and Financial Studies (CEFS), number 2009-07.
• Pietz, Matthäus, 2009, "Risk premia in electricity wholesale spot markets: empirical evidence from Germany," CEFS Working Paper Series, Technische Universität München (TUM), Center for Entrepreneurial and Financial Studies (CEFS), number 2009-11.
• Taylor, Stephen J. & Yadav, Pradeep K. & Zhang, Yuanyuan, 2009, "The information content of implied volatilities and model-free volatility expectations: Evidence from options written on individual stocks," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 09-07.
• Kempf, Alexander & Korn, Olaf & Uhrig-Homburg, Marliese, 2009, "The term structure of illiquidity premia," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 09-14.
• Trapp, Monika, 2009, "Trading the bond-CDS basis: The role of credit risk and liquidity," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 09-16.
• Theissen, Erik, 2009, "Price discovery in spot and futures markets: A reconsideration," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 09-17.
• Theissen, Erik, 2009, "Price discovery in spot and futures markets: A reconsideration," CFS Working Paper Series, Center for Financial Studies (CFS), number 2009/27.
• Packham, Natalie & Schlögl, Lutz & Schmidt, Wolfgang M., 2009, "Credit dynamics in a first passage time model with jumps," CPQF Working Paper Series, Frankfurt School of Finance and Management, Centre for Practical Quantitative Finance (CPQF), number 21.
• Packham, Natalie & Schlögl, Lutz & Schmidt, Wolfgang M., 2009, "Credit gap risk in a first passage time model with jumps," CPQF Working Paper Series, Frankfurt School of Finance and Management, Centre for Practical Quantitative Finance (CPQF), number 22.
• Härdle, Wolfgang Karl & Krätschmer, Volker & Moro, Rouslan A., 2009, "A microeconomic explanation of the EPK paradox," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2009-010.
• Choroś, Barbara & Härdle, Wolfgang Karl & Okhrin, Ostap, 2009, "CDO pricing with copulae," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2009-013.
• Choroś, Barbara & Härdle, Wolfgang Karl & Okhrin, Ostap, 2009, "CDO and HAC," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2009-038.
• Krätschmer, Volker & Schoenmakers, John G. M., 2009, "Representations for optimal stopping under dynamic monetary utility functionals," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2009-055.
• Söhl, Jakob, 2009, "Polar sets of anisotropic Gaussian random fields," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2009-058.
• Galeotti, Marcello & Gürtler, Marc & Winkelvos, Christine, 2009, "Accuracy of premium calculation models for CAT bonds: An empirical analysis," Working Papers, Technische Universität Braunschweig, Institute of Finance, number IF29V4.
• Bieta, Volker & Broll, Udo & Milde, Hellmuth & Siebel, Wilfried, 2009, "Strategic pricing of financial options," Dresden Discussion Paper Series in Economics, Technische Universität Dresden, Faculty of Business and Economics, Department of Economics, number 16/09.
• Frontczak, Robert & Schöbel, Rainer, 2009, "On modified Mellin transforms, Gauss-Laguerre quadrature, and the valuation of American call options," Tübinger Diskussionsbeiträge, University of Tübingen, School of Business and Economics, number 320.
• Frontczak, Robert, 2009, "Valuing options in Heston's stochastic volatility model: Another analytical approach," Tübinger Diskussionsbeiträge, University of Tübingen, School of Business and Economics, number 326.
• Rotfuß, Waldemar, 2009, "Intraday price formation and volatility in the European Union emissions trading scheme: an introductory analysis," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 09-018.
• Rotfuß, Waldemar & Conrad, Christian & Rittler, Daniel, 2009, "The European Commission and EUA prices: a high-frequency analysis of the EC's decisions on second NAPs," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 09-045.

2008

• Alper ÖZÜN & Mehmet TÜRK, 2008, "Türkiye’de Döviz ve Endeks Futures Sözleşmelerinin Stokastik Modellenmesi," Iktisat Isletme ve Finans, Bilgesel Yayincilik, volume 23, issue 271, pages 61-92.
• Nikola Tarashev & Haibin Zhu, 2008, "Specification and Calibration Errors in Measures of Portfolio Credit Risk: The Case of the ASRF Model," International Journal of Central Banking, International Journal of Central Banking, volume 4, issue 2, pages 129-173, June.
• Miss Yinqiu Lu & Salih N. Neftci, 2008, "Financial Instruments to Hedge Commodity Price Risk for Developing Countries," IMF Working Papers, International Monetary Fund, number 2008/006, Jan.
• Juan-Pablo Montero & Matti Liski, 2008, "Forward Trading in Exhaustible-Resource Oligopoly," Documentos de Trabajo, Instituto de Economia. Pontificia Universidad Católica de Chile., number 341.
• Lence, Sergio H., 2008, "Do Futures Benefit Farmers?," Staff General Research Papers Archive, Iowa State University, Department of Economics, number 12919, Apr.
• Borenstein, Severin & Bushnell, James & Knittel, Chris & Wolfram, Catherine, 2008, "Inefficiencies and Market Power in Financial Arbitrage: A Study of California's Electricity Markets," Staff General Research Papers Archive, Iowa State University, Department of Economics, number 13133, Jun.
• Hipòlit Torró & Julio Lucia, 2008, "Short-term electricity futures prices: Evidence on the time-varying risk premium," Working Papers. Serie EC, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2008-08, May.
• Robert Elliott & Tak Siu & Leunglung Chan, 2008, "A PDE approach for risk measures for derivatives with regime switching," Annals of Finance, Springer, volume 4, issue 1, pages 55-74, January, DOI: 10.1007/s10436-006-0068-5.
• Yu Chen & Thomas Cosimano & Alex Himonas, 2008, "Solving an asset pricing model with hybrid internal and external habits, and autocorrelated Gaussian shocks," Annals of Finance, Springer, volume 4, issue 3, pages 305-344, July, DOI: 10.1007/s10436-007-0079-x.
• Erhan Bayraktar & Virginia Young, 2008, "Pricing options in incomplete equity markets via the instantaneous Sharpe ratio," Annals of Finance, Springer, volume 4, issue 4, pages 399-429, October, DOI: 10.1007/s10436-007-0084-0.
• Giovanni Villani, 2008, "An R&D Investment Game under Uncertainty in Real Option Analysis," Computational Economics, Springer;Society for Computational Economics, volume 32, issue 1, pages 199-219, September, DOI: 10.1007/s10614-008-9133-7.
• Reinhold Hafner & Martin Wallmeier, 2008, "Optimal investments in volatility," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 22, issue 2, pages 147-167, June, DOI: 10.1007/s11408-008-0076-8.
• Shinhua Liu, 2008, "Index Futures and Predictability of the Underlying Stocks’ Returns: The Case of the Nikkei 225," Journal of Financial Services Research, Springer;Western Finance Association, volume 34, issue 1, pages 77-91, August, DOI: 10.1007/s10693-008-0034-7.
• Kanak Patel & Ricardo Pereira, 2008, "Pricing Property Index Linked Swaps with Counterparty Default Risk," The Journal of Real Estate Finance and Economics, Springer, volume 36, issue 1, pages 5-21, January, DOI: 10.1007/s11146-007-9073-3.
• Yongheng Deng & John Quigley, 2008, "Index Revision, House Price Risk, and the Market for House Price Derivatives," The Journal of Real Estate Finance and Economics, Springer, volume 37, issue 3, pages 191-209, October, DOI: 10.1007/s11146-008-9113-7.
• Jyh-Bang Jou & Tan Lee, 2008, "Neutral Property Taxation Under Uncertainty," The Journal of Real Estate Finance and Economics, Springer, volume 37, issue 3, pages 211-231, October, DOI: 10.1007/s11146-008-9132-4.
• Mark Bertus & Harris Hollans & Steve Swidler, 2008, "Hedging House Price Risk with CME Futures Contracts: The Case of Las Vegas Residential Real Estate," The Journal of Real Estate Finance and Economics, Springer, volume 37, issue 3, pages 265-279, October, DOI: 10.1007/s11146-008-9129-z.
• Brent Ambrose & Yildiray Yildirim, 2008, "Credit Risk and the Term Structure of Lease Rates: A Reduced Form Approach," The Journal of Real Estate Finance and Economics, Springer, volume 37, issue 3, pages 281-298, October, DOI: 10.1007/s11146-008-9119-1.
• Nelson Areal & Artur Rodrigues & Manuel Armada, 2008, "On improving the least squares Monte Carlo option valuation method," Review of Derivatives Research, Springer, volume 11, issue 1, pages 119-151, March, DOI: 10.1007/s11147-008-9026-x.
• Henrik Jönsson & Wim Schoutens, 2008, "Single name credit default swaptions meet single sided jump models," Review of Derivatives Research, Springer, volume 11, issue 1, pages 153-169, March, DOI: 10.1007/s11147-008-9027-9.
• Marc Chesney & Rajna Gibson, 2008, "Stock options and managers’ incentives to cheat," Review of Derivatives Research, Springer, volume 11, issue 1, pages 41-59, March, DOI: 10.1007/s11147-008-9023-0.
• Thomas Busch, 2008, "Testing the martingale restriction for option implied densities," Review of Derivatives Research, Springer, volume 11, issue 1, pages 61-81, March, DOI: 10.1007/s11147-008-9024-z.
• Tian-Shyr Dai & Jr-Yan Wang & Hui-Shan Wei, 2008, "Adaptive placement method on pricing arithmetic average options," Review of Derivatives Research, Springer, volume 11, issue 1, pages 83-118, March, DOI: 10.1007/s11147-008-9025-y.
• Xin Guo & Robert Jarrow & Haizhi Lin, 2008, "Distressed debt prices and recovery rate estimation," Review of Derivatives Research, Springer, volume 11, issue 3, pages 171-204, October, DOI: 10.1007/s11147-009-9029-2.
• Alfredo Ibáñez, 2008, "The cross-section of average delta-hedge option returns under stochastic volatility," Review of Derivatives Research, Springer, volume 11, issue 3, pages 205-244, October, DOI: 10.1007/s11147-009-9030-9.
• Hongming Huang & Yildiray Yildirim, 2008, "Leverage, options liabilities, and corporate bond pricing," Review of Derivatives Research, Springer, volume 11, issue 3, pages 245-276, October, DOI: 10.1007/s11147-008-9028-8.
• Marat Kramin & Saikat Nandi & Alexander Shulman, 2008, "A multi-factor Markovian HJM model for pricing American interest rate derivatives," Review of Quantitative Finance and Accounting, Springer, volume 31, issue 4, pages 359-378, November, DOI: 10.1007/s11156-007-0078-z.
• Chiaki Hara & James Huang & Christoph Kuzmics, 2008, "Effects of Background Risks on Cautiousness with an Application to a Portfolio Choice Problem," KIER Working Papers, Kyoto University, Institute of Economic Research, number 654, Jun.
• Matti Liski & Juan-Pablo Montero, 2008, "Forward Trading in Exhaustible-Resource Oligopoly," Working Papers, Massachusetts Institute of Technology, Center for Energy and Environmental Policy Research, number 0806, Jun.
• James L. Smith, 2008, "World Oil: Market or Mayhem?," Working Papers, Massachusetts Institute of Technology, Center for Energy and Environmental Policy Research, number 0815, Sep.
• Anna Naszódi, 2008, "Are the exchange rates of EMU candidate countries anchored by their expected euro locking rates?," MNB Working Papers, Magyar Nemzeti Bank (Central Bank of Hungary), number 2008/1.
• Csaba Csávás, 2008, "Density forecast evaluation and the effect of risk-neutral central moments on the currency risk premium: tests based on EUR/HUF option-implied densities," MNB Working Papers, Magyar Nemzeti Bank (Central Bank of Hungary), number 2008/3.