Research classified by Journal of Economic Literature (JEL) codes

2009

• 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.
• Tim Bollerslev & Natalia Sizova & George Tauchen, 2009, "Volatility in Equilibrium: Asymmetries and Dynamic Dependencies," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-05, Feb.
• Jeroen V.K. Rombouts & Lars Stentoft, 2009, "Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-07, Feb.
• Dennis Kristensen & Antonio Mele, 2009, "Adding and Subtracting Black-Scholes: A New Approach to Approximating Derivative Prices in Continuous Time Models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-14, Apr.
• Eduardo Rossi & Paolo Santucci de Magistris, 2009, "A No Arbitrage Fractional Cointegration Analysis Of The Range Based Volatility," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-31, Jul.
• James L. Smith, 2009, "World Oil: Market or Mayhem?," Journal of Economic Perspectives, American Economic Association, volume 23, issue 3, pages 145-164, Summer.
• Du, Xiaodong & Yu, Cindy L. & Hayes, Dermot J., 2009, "Speculation and Volatility Spillover in the Crude Oil and Agricultural Commodity Markets: A Bayesian Analysis," 2009 Annual Meeting, July 26-28, 2009, Milwaukee, Wisconsin, Agricultural and Applied Economics Association, number 49276, DOI: 10.22004/ag.econ.49276.
• Bekkerman, Anton & Pelletier, Denis, 2009, "Basis Volatilities of Corn and Soybean in Spatially Separated Markets: The Effect of Ethanol Demand," 2009 Annual Meeting, July 26-28, 2009, Milwaukee, Wisconsin, Agricultural and Applied Economics Association, number 49281, DOI: 10.22004/ag.econ.49281.
• Du, Xiaodong & Yu, Cindy L. & Hayes, Dermot J., 2009, "Speculation and Volatility Spillover in the Crude Oil and Agricultural Commodity Markets: A Bayesian Analysis," Hebrew University of Jerusalem Archive, Hebrew University of Jerusalem, number 50073, May, DOI: 10.22004/ag.econ.50073.
• McKenzie, Andrew M. & Kunda, Eugene L., undated, "Managing Price Risk in Volatile Grain Markets, Issues and Potential Solutions," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, volume 41, issue 2, DOI: 10.22004/ag.econ.53081.
• Fortenbery, T. Randall, undated, "Discussion: Commodity Price Discovery: Problems That Have Solutions or Solutions That Are Problems," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, volume 41, issue 2, DOI: 10.22004/ag.econ.53084.
• Mircea CIOLPAN, 2009, "New financial derivatives on Romanian market - contracts for difference," Finante - provocarile viitorului (Finance - Challenges of the Future), University of Craiova, Faculty of Economics and Business Administration, volume 1, issue 10, pages 190-195, December.
• Peter Carr & Roger Lee, 2009, "Volatility Derivatives," Annual Review of Financial Economics, Annual Reviews, volume 1, issue 1, pages 319-339, November.
• Yacine Aït-Sahalia, 2009, "Estimating and Testing Continuous-Time Models in Finance: The Role of Transition Densities," Annual Review of Financial Economics, Annual Reviews, volume 1, issue 1, pages 341-359, November.
• Robert A. Jarrow, 2009, "Credit Risk Models," Annual Review of Financial Economics, Annual Reviews, volume 1, issue 1, pages 37-68, November.
• Robert A. Jarrow, 2009, "The Term Structure of Interest Rates," Annual Review of Financial Economics, Annual Reviews, volume 1, issue 1, pages 69-96, November.
• Howard C. Kunreuther & Erwann O. Michel-Kerjan, 2009, "The Development of New Catastrophe Risk Markets," Annual Review of Resource Economics, Annual Reviews, volume 1, issue 1, pages 119-137, September.
• Marco Bianchetti, 2009, "Two Curves, One Price: Pricing & Hedging Interest Rate Derivatives Decoupling Forwarding and Discounting Yield Curves," Papers, arXiv.org, number 0905.2770, May, revised Aug 2012.
• Sara Biagini & Alev{s} v{C}ern'y, 2009, "Admissible Strategies in Semimartingale Portfolio Selection," Papers, arXiv.org, number 0910.3936, Oct, revised Dec 2010.
• Tonci Lazibat & Ivana Zupanic & Tomislav Bakovic, 2009, "Weather Derivatives As A Futures Market Instrument," Economic Thought and Practice, Department of Economics and Business, University of Dubrovnik, volume 18, issue 1, pages 59-78, june.
• Conrad, Christian & Rittler, Daniel & Rotfuß, Waldemar, 2010, "Modeling and Explaining the Dynamics of European Union Allowance Prices at High-Frequency," Working Papers, University of Heidelberg, Department of Economics, number 0497, Mar.
• Alejandro García & Andrei Prokopiw, 2009, "Measures of Aggregate Credit Conditions and Their Potential Use by Central Banks," Discussion Papers, Bank of Canada, number 09-12, DOI: 10.34989/sdp-2009-12.
• Bruno Feunou & Jean-Sébastien Fontaine & Roméo Tedongap, 2009, "Structural The Equity Premium and the Volatility Spread: The Role of Risk-Neutral Skewness," Staff Working Papers, Bank of Canada, number 09-20, DOI: 10.34989/swp-2009-20.
• Claudio Henrique da Silveira Barbedo & José Valentim Machado Vicente & Octávio Manuel Bessada Lion, 2009, "Pricing Asian Interest Rate Options with a Three-Factor HJM Model," Working Papers Series, Central Bank of Brazil, Research Department, number 188, Jun.
• Elizondo Rocío & Padilla Pablo & Bladt Mogens, 2009, "An Alternative Formula to Price American Options," Working Papers, Banco de México, number 2009-06, Aug.
• León, à ngel & Mencía, Javier & Sentana, Enrique, 2009, "Parametric Properties of Semi-Nonparametric Distributions, with Applications to Option Valuation," Journal of Business & Economic Statistics, American Statistical Association, volume 27, issue 2, pages 176-192.
• Christopher F Baum & Chi Wan, 2009, "Macroeconomic Uncertainty and Credit Default Swap Spreads," Boston College Working Papers in Economics, Boston College Department of Economics, number 724, Nov, revised 03 Mar 2010.
• Fernando Antonio Lucena Aiube & Edison Americo Huarsaya Tito, 2009, "Evaluating cash benefits as real options for a commodity producer in an emerging market," Brazilian Review of Finance, Brazilian Society of Finance, volume 7, issue 3, pages 361-375.
• Ronny Kim Woo & José Valentim Machado Vicente & Claudio Henrique Barbedo, 2009, "Is It Possible to Replicate the Exchange Rate Volatility Behavior Using Dynamic Strategies?," Brazilian Review of Finance, Brazilian Society of Finance, volume 7, issue 4, pages 485-501.
• Giuliano Carroza Uzêda Iorio de Souza & Carlos Patrício Samanez, 2009, "Valuation of Discrete Barrier American Options," Brazilian Review of Finance, Brazilian Society of Finance, volume 7, issue 4, pages 503-521.
• Sara Biagini & Ales Cerny, 2009, "Admissible strategies in semimartingale portfolio selection," Carlo Alberto Notebooks, Collegio Carlo Alberto, number 117, revised 2010.
• Giovanni Villani, 2009, "A Strategic R&D Investment with Flexible Development Time in Real Option Game Analysis," CESifo Working Paper Series, CESifo, number 2728.
• Erwan MORELLEC & Norman SCHURHOFF, 2009, "Dynamic Investment and Financing under Asymmetric Information," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 09-09, Mar.
• Fulvio CORSI & Nicola FUSARI & Davide LA VECCHIA, 2010, "Realizing Smiles: Pricing Options with Realized Volatility," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 10-05, Jan, revised Jan 2010.
• Jeroen Rombouts & Lars Stentoft, 2009, "Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models," CIRANO Working Papers, CIRANO, number 2009s-19, May.
• Gaetano Bloise & Pietro Reichlin & Mario Tirelli, 2009, "Indeterminacy Of Competitive Equilibrium With Risk Of Default," Levine's Working Paper Archive, David K. Levine, number 814577000000000313, Aug.
• Max Bruche, 2009, "Bankruptcy Codes, Liquidation Timing, and Debt Valuation," Working Papers, CEMFI, number wp2009_0902, Jul.
• Javier Mencía & Enrique Sentana, 2009, "Valuation of VIX Derivatives," Working Papers, CEMFI, number wp2009_0913, Dec.
• Jakub Seidler & Petr Jakubik, 2009, "The Merton Approach to Estimating Loss Given Default: Application to the Czech Republic," Working Papers, Czech National Bank, Research and Statistics Department, number 2009/13, Dec.
• Carlos Le�n, 2009, "Una aproximaci�n te�rica a la superficie de volatilidad en el mercado colombiano a trav�s del modelo de difusi�n con saltos," Borradores de Economia, Banco de la Republica, number 5738, Aug.
• Ana Mar�a Iregui & Ligia Alba Melo & Mar�a Teresa Ram�rez, 2009, "Rigideces de los salarios a la baja en Colombia: Evidencia emp�rica a partir de una muestra de salarios a nivel de firma," Borradores de Economia, Banco de la Republica, number 5757, Aug.
• Carlo Alberto Magni, 2009, "A fuzzy expert system for solving real-option decision processes," Proyecciones Financieras y Valoración, Master Consultores, number 5677, Jun.
• Manfred Gilli & Enrico Schumann, 2009, "Implementing Binomial Trees," Working Papers, COMISEF, number 008, Feb.
• ROMBOUTS, Jeroen V.K. & STENTOFT, Lars, 2009, "Bayesian option pricing using mixed normal heteroskedasticity models," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2009013, Mar.
• DE MAERE D’AERTRYCKE, Gauthier & SMEERS, Yves, 2009, "The valuation of power futures based on optimal dispatch," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2009014, Mar.
• Acharya, Viral & Lochstoer, Lars, 2009, "Limits to Arbitrage and Hedging: Evidence from Commodity Markets," CEPR Discussion Papers, Centre for Economic Policy Research, number 7327, Jun.
• Reichlin, Pietro & Bloise, Gaetano & Tirelli, Mario, 2009, "Indeterminacy of Competitive Equilibrium with Risk of Default," CEPR Discussion Papers, Centre for Economic Policy Research, number 7477, Sep.
• Jeanne, Olivier & Borensztein, Eduardo & Sandri, Damiano, 2009, "Macro-Hedging for Commodity Exporters," CEPR Discussion Papers, Centre for Economic Policy Research, number 7513, Oct.
• Balbás, Alejandro & Balbás, Raquel, 2009, "Compatibility between pricing rules and risk measures: the CCVaR," DEE - Working Papers. Business Economics. WB, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa, number wb090201, Jan.
• Jun Ma, 2009, "Pricing Foreign Equity Options with Stochastic Correlation and Volatility," Annals of Economics and Finance, Society for AEF, volume 10, issue 2, pages 303-327, November.
• Fortenbery, T. Randall, 2009, "Discussion: Commodity Price Discovery: Problems That Have Solutions or Solutions That Are Problems," Journal of Agricultural and Applied Economics, Cambridge University Press, volume 41, issue 2, pages 393-402, August.
• Sylvain Prado, 2009, "Hedging residual value risk using derivatives," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2009-31.
• Tim Bollerslev & Natalia Sizova & George Tauchen, 2009, "Volatility in Equilibrium: Asymmetries and Dynamic Dependencies," Working Papers, Duke University, Department of Economics, number 10-73.
• Rosu, Ioanid & Martinez, Victor Hugo & Bester, Alan, 2017, "Cash Mergers and the Volatility Smile," HEC Research Papers Series, HEC Paris, number 1213, Nov, revised 12 Jul 2018.
• Pagano, Patrizio & Pisani, Massimiliano, 2009, "Risk-adjusted forecasts of oil prices," Working Paper Series, European Central Bank, number 999, Jan.
• Stulz, Rene M., 2009, "Credit Default Swaps and the Credit Crisis," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2009-16, Sep.
• Chabi-Yo, Fousseni, 2009, "Expected Returns and Volatility of Fama-French Factors," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2009-17, Sep.
• Gourieroux, C. & Jasiak, J. & Sufana, R., 2009, "The Wishart Autoregressive process of multivariate stochastic volatility," Journal of Econometrics, Elsevier, volume 150, issue 2, pages 167-181, June.
• Branger, Nicole & Kraft, Holger & Meinerding, Christoph, 2009, "What is the impact of stock market contagion on an investor's portfolio choice?," Insurance: Mathematics and Economics, Elsevier, volume 45, issue 1, pages 94-112, August.
• Corradini, M. & Gheno, A., 2009, "Incomplete financial markets and contingent claim pricing in a dual expected utility theory framework," Insurance: Mathematics and Economics, Elsevier, volume 45, issue 2, pages 180-187, October.
• Ahoniemi, Katja & Lanne, Markku, 2009, "Joint modeling of call and put implied volatility," International Journal of Forecasting, Elsevier, volume 25, issue 2, pages 239-258.
• Chang, Eric C. & Ren, Jinjuan & Shi, Qi, 2009, "Effects of the volatility smile on exchange settlement practices: The Hong Kong case," Journal of Banking & Finance, Elsevier, volume 33, issue 1, pages 98-112, January.
• Krylova, Elizaveta & Nikkinen, Jussi & Vähämaa, Sami, 2009, "Cross-dynamics of volatility term structures implied by foreign exchange options," Journal of Economics and Business, Elsevier, volume 61, issue 5, pages 355-375, September.
• Nakashima, Kiyotaka & Saito, Makoto, 2009, "Credit spreads on corporate bonds and the macroeconomy in Japan," Journal of the Japanese and International Economies, Elsevier, volume 23, issue 3, pages 309-331, September.
• Chalamandaris, Georgios & Tsekrekos, Andrianos E., 2009, "Common Factors and Causality in the Dynamics of Implied Volatility Surfaces: Evidence from the FX OTC Market," The Journal of Economic Asymmetries, Elsevier, volume 6, issue 1, pages 49-74, DOI: 10.1016/j.jeca.2009.01.005.
• El Qalli Yassine, 2009, "Term Structure Equations Under Benchmark Framework," EERI Research Paper Series, Economics and Econometrics Research Institute (EERI), Brussels, number EERI_RP_2009_13, 08.
• Víctor Manuel García de la Vega & Antonio Ruiz Porras, 2009, "Modelos Estocásticos para el Precio Spot y del Futuro de Commodities con Alta Volatilidad y Reversión a la Media," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, volume 3, issue 2, pages 1-24.
• Guillermo Benavides Perales, 2009, "Price volatility forecasts for agricultural commodities: an application of volatility models, option implieds and composite approaches forfutures prices of corn and wheat," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, volume 3, issue 2, pages 40-59.
• Francisco García Castillo, 2009, "Una contribución a la valuación de los Synthetic CDO," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, volume 3, issue 2, pages 60-73.
• Nikolaos L. Hourvouliades, 2009, "International Portfolio Diversification: Evidence from European Emerging Markets," European Research Studies Journal, European Research Studies Journal, volume 0, issue 4, pages 55-78.
• Katelijne A.E. Carbonez, 2009, "Model Selection and Estimation of Long-Memory Time-Series Models," Review of Business and Economic Literature, KU Leuven, Faculty of Economics and Business (FEB), Review of Business and Economic Literature, volume 0, issue 4, pages 512-554.
• C. Peter Timmer, 2009, "Did Speculation Affect World Rice Prices?," Working Papers, Agricultural and Development Economics Division of the Food and Agriculture Organization of the United Nations (FAO - ESA), number 09-07.
• Jakub Seidler & Petr Jakubík, 2009, "Implied Market Loss Given Default in the Czech Republic: Structural-Model Approach," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 59, issue 1, pages 20-40, January.
• Michaela Vlasáková Baruníková, 2009, "Option Pricing: The empirical tests of the Black-Scholes pricing formula and the feed-forward networks," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2009/16, Apr, revised Apr 2009.
• Pengguo Wang, 2009, "Computational Efficiency and Accuracy in the Valuation of Basket Options," Frontiers in Finance and Economics, SKEMA Business School, volume 6, issue 1, pages 1-25, April.
• Erkko Etula, 2009, "Broker-dealer risk appetite and commodity returns," Staff Reports, Federal Reserve Bank of New York, number 406, Nov.
• Nicole Branger & Holger Kraft & Christoph Meinerding, 2009, "What is the Impact of Stock Market Contagion on an Investor's Portfolio Choice?," Working Paper Series: Finance and Accounting, Department of Finance, Goethe University Frankfurt am Main, number 198.
• Eric Benhamou & Emmanuel Gobet & Mohammed Miri, 2009, "Smart expansion and fast calibration for jump diffusion," Post-Print, HAL, number hal-00200395, Sep, DOI: 10.1007/s00780-009-0102-3.
• Julien Chevallier & Yannick Le Pen & Benoît Sévi, 2009, "Options introduction and volatility in the EU ETS," Working Papers, HAL, number hal-00419339, Sep.
• Sylvain Prado, 2009, "Hedging residual value risk using derivatives," Working Papers, HAL, number hal-04140859.
• Amir E. Khandani & Andrew W. Lo & Robert C. Merton, 2009, "Systemic Risk and the Refinancing Ratchet Effect," Harvard Business School Working Papers, Harvard Business School, number 10-023, Sep, revised Jul 2010.
• Tsiaras, Leonidas, 2009, "The Forecast Performance of Competing Implied Volatility Measures: The Case of Individual Stocks," Finance Research Group Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies, number F-2009-02, Mar.
• Herbertsson, Alexander & Jang, Jiwook & Schmidt, Thorsten, 2009, "Pricing basket default swaps in a tractable shot-noise model," Working Papers in Economics, University of Gothenburg, Department of Economics, number 359, Apr.
• Mjøs, Aksel & Persson, Svein-Arne, 2009, "A Model of Deferred Callability in Defaultable Debt," Discussion Papers, Norwegian School of Economics, Department of Business and Management Science, number 2009/4, May.
• Hara, Chiaki & 原, 千秋 & ハラ, チアキ, 2009, "Heterogeneous Impatience in a Continuous-Time Model," PIE/CIS Discussion Paper, Center for Intergenerational Studies, Institute of Economic Research, Hitotsubashi University, number 425, Mar.
• Eric Wong & Cho-Hoi Hui, 2009, "A Liquidity Risk Stress-Testing Framework with Interaction between Market and Credit Risks," Working Papers, Hong Kong Monetary Authority, number 0906, Mar.

2008

• Peter Christoffersen & Kris Dorion & Yintian Wang, 2008, "Volatility Components, Affine Restrictions and Non-Normal Innovations," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-10, Feb.
• Lars Stentoft, 2008, "Option Pricing using Realized Volatility," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-13, Mar.
• Lars Stentoft, 2008, "American Option Pricing using GARCH models and the Normal Inverse Gaussian distribution," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-41, Sep.
• Tim Bollerslev & Tzuo Hao & George Tauchen, 2008, "Expected Stock Returns and Variance Risk Premia," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-48, Sep.
• Mark, Darrell R. & Brorsen, B. Wade & Anderson, Kim B. & Small, Rebecca M., 2008, "Price Risk Management Alternatives for Farmers in the Absence of Forward Contracts with Grain Merchants," Choices: The Magazine of Food, Farm, and Resource Issues, Agricultural and Applied Economics Association, volume 23, issue 2, pages 1-4, DOI: 10.22004/ag.econ.94647.
• Dahlgran, Roger A., 2008, "Online Homework for Agricultural Economics Instruction: Frankenstein’s Monster or Robo TA?," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, volume 40, issue 01, pages 1-12, April, DOI: 10.22004/ag.econ.45510.
• Deng, Xiaohui & Barnett, Barry J. & Hoogenboom, Gerrit & Yu, Yingzhuo & Garcia y Garcia, Axel, 2008, "Alternative Crop Insurance Indexes," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, volume 40, issue 01, pages 1-15, April, DOI: 10.22004/ag.econ.45521.
• Power, Gabriel J. & Turvey, Calum G., 2008, "On Term Structure Models of Commodity Futures Prices and the Kaldor-Working Hypothesis," 2008 Conference, April 21-22, 2008, St. Louis, Missouri, NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management, number 37608, DOI: 10.22004/ag.econ.37608.
• Milne, Frank & Madan, Dilip, 2008, "Contingent Claims Valued And Hedged By Pricing And Investing In A Basis," Queen's Economics Department Working Papers, Queen's University - Department of Economics, number 273634, Jul, DOI: 10.22004/ag.econ.273634.
• Milne, Frank & Madan, Dilip, 2008, "Option Pricing With V. G. Martingale Components," Queen's Economics Department Working Papers, Queen's University - Department of Economics, number 273635, Oct, DOI: 10.22004/ag.econ.273635.
• Stuart Turnbull & Jun Yang, 2008, "Default Dependence: The Equity Default Relationship," Staff Working Papers, Bank of Canada, number 08-1, DOI: 10.34989/swp-2008-1.
• Elif Arbatli, 2008, "Futures Markets, Oil Prices and the Intertemporal Approach to the Current Account," Staff Working Papers, Bank of Canada, number 08-48, DOI: 10.34989/swp-2008-48.
• Münür Yayla & Alper Hekimoglu & Mahmut Kutlukaya, 2008, "Financial Stability of the Turkish Banking Sector," Journal of BRSA Banking and Financial Markets, Banking Regulation and Supervision Agency, volume 2, issue 1, pages 9-26.
• Jérôme Coffinet, 2008, "La pr vision des taux d int r t partir de contrats futures : l apport de variables conomiques et financiéres," Working papers, Banque de France, number 193.
• Herzberg, Frederik, 2011, "On the foundations of Lévy finance. Equilibrium for a single-agent financial market with jumps," Center for Mathematical Economics Working Papers, Center for Mathematical Economics, Bielefeld University, number 406, Aug.
• Eli M Remolona & Ilhyock Shim, 2008, "Credit derivatives an structured creit: the nascant markets of Asia and the Pacific," BIS Quarterly Review, Bank for International Settlements, June.
• Ingo Fender & Martin Scheicher, 2008, "The ABX: how do the markets price subprime mortgage risk?," BIS Quarterly Review, Bank for International Settlements, September.
• Dirk Hackbarth & Erwan Morellec, 2008, "Stock Returns in Mergers and Acquisitions," Journal of Finance, American Finance Association, volume 63, issue 3, pages 1213-1252, June, DOI: 10.1111/j.1540-6261.2008.01356.x.
• Michele Moretto & Gianpaolo Rossini, 2008, "Are Workers' Enterprises Entry Policies Conventional?," LABOUR, CEIS, volume 22, issue 2, pages 369-381, June, DOI: 10.1111/j.1467-9914.2007.00405.x.
• Damien Lynch & Nikolaos Panigirtzoglou, 2008, "Summary statistics of option-implied probability density functions and their properties," Bank of England Staff Working Paper series, Bank of England, number 345, Mar.
• Rafael Machado Santana & Rodrigo De Losso da Silveira Bueno, 2008, "SWARCH and the implicit volatility of the Real/USD exchange rate," Brazilian Review of Finance, Brazilian Society of Finance, volume 6, issue 2, pages 235-265.
• Ciprian Necula, 2008, "A Framework for Derivative Pricing in the Fractional Black-Scholes Market," Advances in Economic and Financial Research - DOFIN Working Paper Series, Bucharest University of Economics, Center for Advanced Research in Finance and Banking - CARFIB, number 19, Oct.
• Cipian Necula, 2008, "Option Pricing in a Fractional Brownian Motion Environment," Advances in Economic and Financial Research - DOFIN Working Paper Series, Bucharest University of Economics, Center for Advanced Research in Finance and Banking - CARFIB, number 2, Jan.
• Ciprian Necula, 2008, "Pricing European and Barrier Options in the Fractional Black-Scholes Market," Advances in Economic and Financial Research - DOFIN Working Paper Series, Bucharest University of Economics, Center for Advanced Research in Finance and Banking - CARFIB, number 20, Oct.
• Cipian Necula, 2008, "Barrier Options and a Reflection Principle of the Fractional Brownian Motion," Advances in Economic and Financial Research - DOFIN Working Paper Series, Bucharest University of Economics, Center for Advanced Research in Finance and Banking - CARFIB, number 6, Apr.
• Deng, Yongheng & Quigley, John M., 2008, "Index Revision, House Price Risk, and the Market for House Price Derivatives," Berkeley Program on Housing and Urban Policy, Working Paper Series, Berkeley Program on Housing and Urban Policy, number qt4sw0x30t, Apr.
• Marc Chesney & Luca Taschini, 2008, "The Endogenous Price Dynamics of the Emission Allowances: An Application to CO2 Option Pricing," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 08-02, Jan, revised Jan 2008.
• Mariano Gonzalez Sanchez & Ignacio Velez-Pareja & Ana Isabel Mateos Ansotegui, 2008, "La subvencion financiera del coste de la deuda: la importancia de la pregunta en la investigacion financiera," Proyecciones Financieras y Valoración, Master Consultores, number 4707, Jun.
• Fabra, Natalia & de Frutos, Maria-Angeles, 2008, "On the Impact of Forward Contract Obligations in Multi-Unit Auctions," CEPR Discussion Papers, Centre for Economic Policy Research, number 6756, Mar.
• Reichlin, Pietro & Bloise, Gaetano, 2008, "Asset Prices, Debt Constraints and Inefficiency," CEPR Discussion Papers, Centre for Economic Policy Research, number 6779, Apr.
• Nikolay Gospodinov & Masayuki Hirukawa, 2008, "Nonparametric Estimation of Scalar Diffusion Processes of Interest Rates Using Asymmetric Kernels," Working Papers, Concordia University, Department of Economics, number 08011, Oct, revised Dec 2008.
• Figuerola-Ferretti, Isabel & Gonzalo, Jesús, 2008, "Modelling and Measuring Price Discovery in Commodity Markets," DEE - Working Papers. Business Economics. WB, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa, number 15951.
• Balbás, Alejandro, 2008, "Capital requirements: Are they the best solution?," DEE - Working Papers. Business Economics. WB, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa, number wb087114, Dec.
• Deng, Xiaohui & Barnett, Barry J. & Hoogenboom, Gerrit & Yu, Yingzhuo & Garcia, Axel Garcia y, 2008, "Alternative Crop Insurance Indexes," Journal of Agricultural and Applied Economics, Cambridge University Press, volume 40, issue 1, pages 223-237, April.
• Branger, Nicole & Schlag, Christian, 2008, "Can Tests Based on Option Hedging Errors Correctly Identify Volatility Risk Premia?," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 43, issue 4, pages 1055-1090, December.
• Cyr, Don & Kusy, Martin & Shaw, Anthony B., 2008, "Hedging Adverse Bioclimatic Conditions Employing a Short Condor Position," Journal of Wine Economics, Cambridge University Press, volume 3, issue 2, pages 149-171, January.
• J. Doyne Farmer & John Geanakoplos, 2008, "The Virtues and Vices of Equilibrium and the Future of Financial Economics," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1647, Mar.
• Robert J. Shiller, 2008, "Derivatives Markets for Home Prices," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1648, Mar.
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• Marcus Stronzik & Margarethe Rammerstorfer & Anne Neumann, 2008, "Theory of Storage: An Empirical Assessment of the European Natural Gas Market," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 821.
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• Gottschalg, Oliver & Groh, Alexander Peter & Baule, Rainer, 2008, "Measuring idiosyncratic risks in leveraged buyout transactions," HEC Research Papers Series, HEC Paris, number 894, Nov.
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• Scheicher, Martin, 2008, "How has CDO market pricing changed during the turmoil? Evidence from CDS index tranches," Working Paper Series, European Central Bank, number 910, Jun.
• Scheicher, Martin & Raunig, Burkhard, 2008, "A value at risk analysis of cedit default swaps," Working Paper Series, European Central Bank, number 968, Nov.
• Ait-Sahalia, Yacine & Kimmel, Robert L., 2008, "Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2008-19, Oct.
• Shiller, Robert J., 2008, "Derivatives Markets for Home Prices," Working Papers, Yale University, Department of Economics, number 46, Mar.
• Cerrato, Mario, 2008, "Valuing American Derivatives by Least Squares Methods," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE), number 2008-44.
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• Fleten, Stein-Erik & Lindset, Snorre, 2008, "Optimal hedging strategies for multi-period guarantees in the presence of transaction costs: A stochastic programming approach," European Journal of Operational Research, Elsevier, volume 185, issue 3, pages 1680-1689, March.
• Bøckman, Thor & Fleten, Stein-Erik & Juliussen, Erik & Langhammer, Håvard J. & Revdal, Ingemar, 2008, "Investment timing and optimal capacity choice for small hydropower projects," European Journal of Operational Research, Elsevier, volume 190, issue 1, pages 255-267, October.
• Ammann, Manuel & Kind, Axel & Wilde, Christian, 2008, "Simulation-based pricing of convertible bonds," Journal of Empirical Finance, Elsevier, volume 15, issue 2, pages 310-331, March.
• Los, Cornelis A. & Yu, Bing, 2008, "Persistence characteristics of the Chinese stock markets," International Review of Financial Analysis, Elsevier, volume 17, issue 1, pages 64-82.
• Lien, Donald & Yang, Li, 2008, "Hedging with Chinese metal futures," Global Finance Journal, Elsevier, volume 19, issue 2, pages 123-138.
• Moretto, Michele, 2008, "Competition and irreversible investments under uncertainty," Information Economics and Policy, Elsevier, volume 20, issue 1, pages 75-88, March.
• Chen, An, 2008, "Loss analysis of a life insurance company applying discrete-time risk-minimizing hedging strategies," Insurance: Mathematics and Economics, Elsevier, volume 42, issue 3, pages 1035-1049, June.
• Frehen, Rik G.P. & Hoevenaars, Roy P.M.M. & Palm, Franz C. & Schotman, Peter C., 2008, "Regret aversion and annuity risk in defined contribution pension plans," Insurance: Mathematics and Economics, Elsevier, volume 42, issue 3, pages 1050-1061, June.
• Zhang, J. & Guégan, D., 2008, "Pricing bivariate option under GARCH processes with time-varying copula," Insurance: Mathematics and Economics, Elsevier, volume 42, issue 3, pages 1095-1103, June.
• Boyle, Phelim & Tian, Weidong, 2008, "The design of equity-indexed annuities," Insurance: Mathematics and Economics, Elsevier, volume 43, issue 3, pages 303-315, December.
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• Fusai, Gianluca & Marena, Marina & Roncoroni, Andrea, 2008, "Analytical pricing of discretely monitored Asian-style options: Theory and application to commodity markets," Journal of Banking & Finance, Elsevier, volume 32, issue 10, pages 2033-2045, October.
• Cartea, Álvaro & Villaplana, Pablo, 2008, "Spot price modeling and the valuation of electricity forward contracts: The role of demand and capacity," Journal of Banking & Finance, Elsevier, volume 32, issue 12, pages 2502-2519, December.
• Døskeland, Trond M. & Nordahl, Helge A., 2008, "Optimal pension insurance design," Journal of Banking & Finance, Elsevier, volume 32, issue 3, pages 382-392, March.
• Morellec, Erwan & Zhdanov, Alexei, 2008, "Financing and takeovers," Journal of Financial Economics, Elsevier, volume 87, issue 3, pages 556-581, March.
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• Li, Ming-Yuan Leon, 2008, "Clarifying the dynamics of the relationship between option and stock markets using the threshold vector error correction model," Mathematics and Computers in Simulation (MATCOM), Elsevier, volume 79, issue 3, pages 511-520, DOI: 10.1016/j.matcom.2008.02.023.
• Francisco Ortiz Arango & Francisco Venegas-Martínez, 2008, "El modelo de Vasicek y la integral de trayectoria de Feynman," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, volume 2, issue 1, pages 9-19.
• Francisco Venegas Martínez & Francisco J. Sánchez Torres, 2008, "Sobre la convergencia del modelo GARCH(1,1)-M al movimiento geométrico browniano con reversión a la media," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, volume 2, issue 2, pages 92-103.
• Gaetano Bloise & Pietro Reichlin, 2008, "Asset Prices, Debt Constraints and Inefficiency," EIEF Working Papers Series, Einaudi Institute for Economics and Finance (EIEF), number 0803, revised Mar 2008.
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• Domingo Rodríguez Benavides & Arturo Morales Castro, 2008, "Rendimientos del mercado accionario y depreciaciones cambiarias en México: 1988-2007," Economía: teoría y práctica, Universidad Autónoma Metropolitana, México, volume 28, issue 1, pages 89-110, Enero-Jun, DOI: 10.24275/ETYPUAM/NE/282008/Rodrigue.
• Martin Cincibuch & Matrina Horníková, 2008, "Measuring the Financial Markets’ Perception of EMU Enlargement: The Role of Ambiguity Aversion," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 58, issue 05-06, pages 210-230, August.
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• Martina Nardon, 2008, "First Passage and Excursion Time Models for Valuing Defautltable Bonds: a Review with Some Insights," Frontiers in Finance and Economics, SKEMA Business School, volume 5, issue 2, pages 1-25, October.
• Song Han & Hao Zhou, 2008, "Effects of liquidity on the nondefault component of corporate yield spreads: evidence from intraday transactions data," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2008-40.
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• Nicole Branger & Christian Schlag, 2008, "Can Tests Based on Option Hedging Errors Correctly Identify Volatility Risk Premia?," Working Paper Series: Finance and Accounting, Department of Finance, Goethe University Frankfurt am Main, number 136.
• Mario Cerrato, 2008, "Valuing American Derivatives by Least Squares Methods," Working Papers, Business School - Economics, University of Glasgow, number 2008_12, Apr, revised Sep 2008.
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