Research classified by Journal of Economic Literature (JEL) codes

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

• Vincent Louis Ovlia & David Enke & Michael C. Davis, 2008, "The Effects Of Congressional Elections On Future Equity Market Returns," Global Journal of Business Research, The Institute for Business and Finance Research, volume 2, issue 1, pages 1-15.
• 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.
• 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.
• Silvia Muzzioli, 2008, "Option based forecasts of volatility: An empirical study 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 0011, May.
• Jing Zhang & Dominique Guegan, 2008, "Pricing bivariate option under GARCH processes with time-varying copula," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number b08015, Feb, DOI: 10.1016/j.insmatheco.2008.02.003.
• Christophe Chorro & Dominique Guegan & Florian Ielpo, 2008, "Option pricing under GARCH models with generalized hyperbolic innovations (I): methodology," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number b08037, May.
• Christophe Chorro & Dominique Guegan & Florian Ielpo, 2008, "Option pricing under GARCH models with generalized hyperbolic innovations (II): data and results," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number b08047, Jul.
• Bruce Lehmann, 2008, "Arbitrage-free Limit Order Books and the Pricing of Order Flow Risk," NBER Working Papers, National Bureau of Economic Research, Inc, number 13848, Mar.
• Yacine Aït-Sahalia & Michael W. Brandt, 2008, "Consumption and Portfolio Choice with Option-Implied State Prices," NBER Working Papers, National Bureau of Economic Research, Inc, number 13854, Mar.
• Robert J. Shiller, 2008, "Derivatives Markets for Home Prices," NBER Working Papers, National Bureau of Economic Research, Inc, number 13962, Apr.
• Geetesh Bhardwaj & Gary B. Gorton & K. Geert Rouwenhorst, 2008, "Fooling Some of the People All of the Time: The Inefficient Performance and Persistence of Commodity Trading Advisors," NBER Working Papers, National Bureau of Economic Research, Inc, number 14424, Oct.
• Alexander W. Blocker & Laurence J. Kotlikoff & Stephen A. Ross, 2008, "The True Cost of Social Security," NBER Working Papers, National Bureau of Economic Research, Inc, number 14427, Oct.
• George M. Constantinides & Jens Carsten Jackwerth & Stylianos Perrakis, 2008, "Mispricing of S&P 500 Index Options," NBER Working Papers, National Bureau of Economic Research, Inc, number 14544, Dec.
• Lars Stentoft, 2008, "American Option Pricing Using GARCH Models and the Normal Inverse Gaussian Distribution," Journal of Financial Econometrics, Oxford University Press, volume 6, issue 4, pages 540-582, Fall.
• K.J. Martijn Cremers & Joost Driessen & Pascal Maenhout, 2008, "Explaining the Level of Credit Spreads: Option-Implied Jump Risk Premia in a Firm Value Model," The Review of Financial Studies, Society for Financial Studies, volume 21, issue 5, pages 2209-2242, September.
• Hernández Fernández, Isabel & Mateos Contreras, Consuelo & Núñez Valdés, Juan & Tenorio Villalón, Ángel F., 2008, "Algunas aplicaciones de la Teoría de Lie a la Economía y las Finanzas = Some Applications of Lie Theory to Economics and Finance," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, volume 6, issue 1, pages 74-94, December.
• Michele Moretto & Gianpaolo Rossini, 2008, "Are Workers Enterprises Entry Policies Conventional?," "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno", number 0066.
• Massimiliano Caporin & Juliusz Pres, 2008, "Forecasting temperature indices with timevarying long-memory models," "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno", number 0088.
• Trond M Døskeland & Helge A Nordahl, 2008, "Intergenerational Effects of Guaranteed Pension Contracts," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), volume 33, issue 1, pages 19-46, June.
• Flavio Angelini & Marco Nicolosi, 2008, "Hedging error in Lévy models with a Fast Fourier Transform approach," Quaderni del Dipartimento di Economia, Finanza e Statistica, Università di Perugia, Dipartimento Economia, number 43/2008, Feb.
• José Eduardo Correia & João Duque, 2008, "Dilution and Dividend Effects on the Portuguese Equity Warrants Market," Portuguese Journal of Management Studies, ISEG, Universidade de Lisboa, volume 0, issue 2, pages 161-192.
• Borak, Szymon & Weron, Rafal, 2008, "A semiparametric factor model for electricity forward curve dynamics," MPRA Paper, University Library of Munich, Germany, number 10421, Jul.
• Penasse, Julien, 2008, "Cash Flow-Wise ABCDS pricing," MPRA Paper, University Library of Munich, Germany, number 10853, Sep.
• Li, Minqiang, 2008, "A Damped Diffusion Framework for Financial Modeling and Closed-form Maximum Likelihood Estimation," MPRA Paper, University Library of Munich, Germany, number 11185, Jul.
• Li, Minqiang, 2008, "Price Deviations of S&P 500 Index Options from the Black-Scholes Formula Follow a Simple Pattern," MPRA Paper, University Library of Munich, Germany, number 11530.
• Martzoukos, Spiros H & Zacharias, Eleftherios, 2008, "Real Option Games with R&D and Learning Spillovers," MPRA Paper, University Library of Munich, Germany, number 12686, Apr.
• Ulibarri, Carlos A. & Anselmo, Peter & Hovsepian, Karen & Florescu, Ionut & Tolk, Jacob, 2008, "'Noise trader risk' and Bayesian market making in FX derivatives: rolling loaded dice?," MPRA Paper, University Library of Munich, Germany, number 14814.
• Balakrishna, B S, 2008, "Levy Density Based Intensity Modeling of the Correlation Smile," MPRA Paper, University Library of Munich, Germany, number 14922, Jul, revised 06 Apr 2009.
• Dell'Era Mario, M.D., 2008, "Pricing of the European Options by Spectral Theory," MPRA Paper, University Library of Munich, Germany, number 17429, Mar.
• Dell'Era Mario, M.D., 2008, "Pricing of Double Barrier Options by Spectral Theory," MPRA Paper, University Library of Munich, Germany, number 17502, Mar.
• Giandomenico, Rossano, 2008, "Asset Liability Management for Banks," MPRA Paper, University Library of Munich, Germany, number 18848, Jul.
• Giandomenico, Rossano, 2008, "Valuing Coupon Bond Linked to Variable Interest Rate," MPRA Paper, University Library of Munich, Germany, number 21974.
• Bianchetti, Marco, 2008, "Two Curves, One Price :Pricing & Hedging Interest Rate Derivatives Decoupling Forwarding and Discounting Yield Curves," MPRA Paper, University Library of Munich, Germany, number 22022, Nov, revised 24 Jan 2010.
• Lanne, Markku & Ahoniemi, Katja, 2008, "Implied Volatility with Time-Varying Regime Probabilities," MPRA Paper, University Library of Munich, Germany, number 23721, Dec.
• Ilya, Gikhman, 2008, "Multiple risky securities valuation I," MPRA Paper, University Library of Munich, Germany, number 34511, revised 2011.
• Rosenthal, Dale W.R., 2008, "Approximating correlated defaults," MPRA Paper, University Library of Munich, Germany, number 36788, revised 15 Feb 2012.
• Fagan, Stephen & Gencay, Ramazan, 2008, "Liquidity-Induced Dynamics in Futures Markets," MPRA Paper, University Library of Munich, Germany, number 6677, Jan.
• Carey, Alexander, 2008, "Natural volatility and option pricing," MPRA Paper, University Library of Munich, Germany, number 6709, Jan.
• Li, Minqiang, 2008, "An Adaptive Succesive Over-relaxation Method for Computing the Black-Scholes Implied Volatility," MPRA Paper, University Library of Munich, Germany, number 6867, Jan.
• Gikhman, Ilya, 2008, "Risky Swaps," MPRA Paper, University Library of Munich, Germany, number 6933, Jan.
• Li, Minqiang, 2008, "Closed-Form Approximations for Spread Option Prices and Greeks," MPRA Paper, University Library of Munich, Germany, number 6994.
• Gikhman, Ilya, 2008, "Risky Swaps," MPRA Paper, University Library of Munich, Germany, number 7078, Feb, revised 31 Mar 2008.
• Gikhman, Ilya, 2008, "Risky Swaps," MPRA Paper, University Library of Munich, Germany, number 7079, Feb.
• Jamshidian, Farshid, 2008, "Numeraire Invariance and application to Option Pricing and Hedging," MPRA Paper, University Library of Munich, Germany, number 7167, Feb.
• Fang, Fang & Oosterlee, Kees, 2008, "A Novel Pricing Method For European Options Based On Fourier-Cosine Series Expansions," MPRA Paper, University Library of Munich, Germany, number 7700, Mar.
• Li, Minqiang & Deng, Shijie & Zhou, Jieyun, 2008, "Multi-asset Spread Option Pricing and Hedging," MPRA Paper, University Library of Munich, Germany, number 8259, Jan.
• Albanese, Claudio & Vidler, Alicia, 2008, "Dynamic Conditioning and Credit Correlation Baskets," MPRA Paper, University Library of Munich, Germany, number 8368, Jan, revised 21 Apr 2008.
• Los, Cornelis A. & Tungsong, Satjaporn, 2008, "Investment Model Uncertainty and Fair Pricing," MPRA Paper, University Library of Munich, Germany, number 8859, May.
• Fang, Fang & Oosterlee, Kees, 2008, "Pricing Early-Exercise and Discrete Barrier Options by Fourier-Cosine Series Expansions," MPRA Paper, University Library of Munich, Germany, number 9248, Jun.
• Fang, Fang & Oosterlee, Kees, 2008, "A Novel Pricing Method For European Options Based On Fourier-Cosine Series Expansions," MPRA Paper, University Library of Munich, Germany, number 9319, Mar.
• Nwaobi, Godwin C, 2008, "The Economics of Financial Derivative Instruments," MPRA Paper, University Library of Munich, Germany, number 9463, Jul.
• Ciurlia, Pierangelo & Gheno, Andrea, 2008, "A model for pricing real estate derivatives with stochastic interest rates," MPRA Paper, University Library of Munich, Germany, number 9924, Aug.
• Jan Vlachý, 2008, "K daňové uznatelnosti nákladů z úvěrů: Analýza pomocí opčního modelu
  [Investigating a thin-capitalization rule: An option-based analysis]," Politická ekonomie, Prague University of Economics and Business, volume 2008, issue 5, pages 656-668, DOI: 10.18267/j.polek.657.
• Tomáš Tichý, 2008, "Posouzení vybraných možností zefektivnění simulace Monte Carlo při opčním oceňování
  [Examination of selected improvement approaches to Monte Carlo simulation in option pricing]," Politická ekonomie, Prague University of Economics and Business, volume 2008, issue 6, pages 772-794, DOI: 10.18267/j.polek.663.
• Carol Alexander & Emese Lazar, 2008, "Markov Switching GARCH Diffusion," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2008-01, Mar.
• Naoufel El-Bachir & Damiano Brigo, 2008, "An analytically tractable time-changed jump-diffusion default intensity model," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2008-06, Oct.
• Yinqiu Lu & Salih Neftci, 2008, "Financial instruments to hedge commodity price risk for developing countries," Journal of Financial Transformation, Capco Institute, volume 24, pages 137-143.
• George Jabbour & Fatena El Masri & Stephen Young, 2008, "On the lognormality of forward credit default swap spreads," Journal of Financial Transformation, Capco Institute, volume 22, pages 41-48.
• Myron S. Scholes, 2008, "Interview with Nobel Prize Laureate Myron S. Scholes," Nobel Prize in Economics documents, Nobel Prize Committee, number 1997-6, Aug.
• Paul Zarembka (ed.), 2008, "THE HIDDEN HISTORY OF 9-11, 2nd edition, paperback," RESEARCH IN POLITICAL ECONOMY, Paul Zarembka, number volm23b, ISBN: ARRAY(0x735ba230).
• Gaia Barone, 2008, "Arbitrages and Arrow-Debreu Prices," Rivista di Politica Economica, SIPI Spa, volume 98, issue 6, pages 43-78, November-.
• Massimiliano Corradini & Andrea Gheno, 2008, "Incomplete Financial Markets and Contingent Claim Pricing in a dual expected utility theory framework," Departmental Working Papers of Economics - University 'Roma Tre', Department of Economics - University Roma Tre, number 0085, Jan.
• Gaetano Bloise & Pietro Reichlin, 2008, "Asset prices, debt constraints and inefficiency," Departmental Working Papers of Economics - University 'Roma Tre', Department of Economics - University Roma Tre, number 0089, Jan.
• Bruce Mizrach, 2008, "Jump and Cojump Risk in Subprime Home Equity Derivatives," Departmental Working Papers, Rutgers University, Department of Economics, number 200802, Feb.
• Jean-François Boulier & Marie Briere & Jean-Renaud Viala, 2008, "Do Leveraged Credit Derivatives Modify Credit Allocation?," Working Papers CEB, ULB -- Universite Libre de Bruxelles, number 08-014.RS.
• Marie Briere & Alexandre Burgues & Ombretta Signori, 2008, "Volatility Exposure for Strategic Asset Allocation," Working Papers CEB, ULB -- Universite Libre de Bruxelles, number 08-034.RS.
• Benjamin Jourdain & Antonino Zanette, 2008, "A moments and strike matching binomial algorithm for pricing American Put options," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 31, issue 1, pages 33-49, May, DOI: 10.1007/s10203-007-0077-5.
• Erik Ekström & Johan Tysk, 2008, "Convexity theory for the term structure equation," Finance and Stochastics, Springer, volume 12, issue 1, pages 117-147, January, DOI: 10.1007/s00780-007-0055-3.
• Andrea Pascucci, 2008, "Free boundary and optimal stopping problems for American Asian options," Finance and Stochastics, Springer, volume 12, issue 1, pages 21-41, January, DOI: 10.1007/s00780-007-0051-7.
• Delia Coculescu & Hélyette Geman & Monique Jeanblanc, 2008, "Valuation of default-sensitive claims under imperfect information," Finance and Stochastics, Springer, volume 12, issue 2, pages 195-218, April, DOI: 10.1007/s00780-007-0060-6.
• Ernst Eberlein & Antonis Papapantoleon & Albert Shiryaev, 2008, "On the duality principle in option pricing: semimartingale setting," Finance and Stochastics, Springer, volume 12, issue 2, pages 265-292, April, DOI: 10.1007/s00780-008-0061-0.
• Zhengjun Jiang & Martijn Pistorius, 2008, "On perpetual American put valuation and first-passage in a regime-switching model with jumps," Finance and Stochastics, Springer, volume 12, issue 3, pages 331-355, July, DOI: 10.1007/s00780-008-0065-9.
• Christian Bender & Tommi Sottinen & Esko Valkeila, 2008, "Pricing by hedging and no-arbitrage beyond semimartingales," Finance and Stochastics, Springer, volume 12, issue 4, pages 441-468, October, DOI: 10.1007/s00780-008-0074-8.
• Martin Schweizer & Johannes Wissel, 2008, "Arbitrage-free market models for option prices: the multi-strike case," Finance and Stochastics, Springer, volume 12, issue 4, pages 469-505, October, DOI: 10.1007/s00780-008-0068-6.
• Zhiyong Chen & Paul Glasserman, 2008, "Sensitivity estimates for portfolio credit derivatives using Monte Carlo," Finance and Stochastics, Springer, volume 12, issue 4, pages 507-540, October, DOI: 10.1007/s00780-008-0071-y.
• Damien Lamberton & Mohammed Mikou, 2008, "The critical price for the American put in an exponential Lévy model," Finance and Stochastics, Springer, volume 12, issue 4, pages 561-581, October, DOI: 10.1007/s00780-008-0073-9.
• Saul Jacka & Abdelkarem Berkaoui & Jon Warren, 2008, "No arbitrage and closure results for trading cones with transaction costs," Finance and Stochastics, Springer, volume 12, issue 4, pages 583-600, October, DOI: 10.1007/s00780-008-0075-7.
• Xindan Li & Bing Zhang, 2008, "Price linkages between Chinese and world copper futures markets," Psychometrika, Springer;The Psychometric Society, volume 3, issue 3, pages 451-461, September, DOI: 10.1007/s11459-008-0021-9.
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• Mariarosaria Coppola & Valeria D’Amato & Marilena Sibillo, 2008, "Remarks on Insured Loan Valuations," Springer Books, Springer, in: Cira Perna & Marilena Sibillo, "Mathematical and Statistical Methods in Insurance and Finance", DOI: 10.1007/978-88-470-0704-8_12.
• Gianluca Fusai & Andrea Roncoroni, 2008, "Implementing Models in Quantitative Finance: Methods and Cases," Springer Finance, Springer, number 978-3-540-49959-6, ISBN: ARRAY(0x8a7e6758), January, DOI: 10.1007/978-3-540-49959-6.
• Yue-Kuen Kwok, 2008, "Mathematical Models of Financial Derivatives," Springer Finance, Springer, number 978-3-540-68688-0, edition 2, ISBN: ARRAY(0x8d234c80), January, DOI: 10.1007/978-3-540-68688-0.
• Diana-Andrada Filip & Dorina Lazăr, 2008, "The premium of inflation-indexed life insurances for the Romanian life table," Transition Studies Review, Springer;Central Eastern European University Network (CEEUN), volume 15, issue 1, pages 53-62, July, DOI: 10.1007/s11300-008-0173-4.
• N. K. Nomikos & O. Soldatos, 2008, "Using Affine Jump Diffusion Models for Modelling and Pricing Electricity Derivatives," Applied Mathematical Finance, Taylor & Francis Journals, volume 15, issue 1, pages 41-71, DOI: 10.1080/13504860701427362.
• E. Papageorgiou & R. Sircar, 2008, "Multiscale Intensity Models for Single Name Credit Derivatives," Applied Mathematical Finance, Taylor & Francis Journals, volume 15, issue 1, pages 73-105, DOI: 10.1080/13504860701352222.
• B. Peeters & C. L. Dert & A. Lucas, 2008, "Hedging Large Portfolios of Options in Discrete Time," Applied Mathematical Finance, Taylor & Francis Journals, volume 15, issue 3, pages 251-275, DOI: 10.1080/13504860701718471.