Research classified by Journal of Economic Literature (JEL) codes

2008

• 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.
• Bruti-Liberati, Nicola & Martini, Filippo & Piccardi, Massimo & Platen, Eckhard, 2008, "A hardware generator of multi-point distributed random numbers for Monte Carlo simulation," Mathematics and Computers in Simulation (MATCOM), Elsevier, volume 77, issue 1, pages 45-56, DOI: 10.1016/j.matcom.2007.01.031.
• 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.
• Timothy J. Kehoe & David K. Levine, 2008, "Bankruptcy and Collateral in Debt Constrained Markets," Chapters, Edward Elgar Publishing, chapter 5, in: Roger E.A. Farmer, "Macroeconomics in the Small and the Large".
• Guillermo Benavides Perales & Israel Felipe Mora Cuevas, 2008, "Parametric vs. non-parametric methods for estimating option implied risk-neutral densities: the case of the exchange rate Mexican peso – US dollar," Ensayos Revista de Economia, Universidad Autonoma de Nuevo Leon, Facultad de Economia, volume 0, issue 1, pages 33-52, May.
• C. de Ville de Goyet, 2008, "The Performance of the A0( ) Diffusion Model to Hedge a Forward Commitment in the Corn Market," 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 444-474.
• 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.
• Jiří Witzany, 2008, "Valuation of Convexity Related Derivatives," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2008/04, Mar, revised Mar 2008.
• Jakub Seidler, 2008, "Implied Market Loss Given Default: structural-model approach," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2008/26, Oct, revised Oct 2008.
• Roseli da Silva & Rodrigo Takeuchi, 2008, "Uma análise empírica de eficiência relativa nos mercados futuro e à vista de açúcar," Working Papers, Universidade de São Paulo, Faculdade de Economia, Administração e Contabilidade de Ribeirão Preto, number 08_06.
• LI Xindan & ZHANG Bing, 2008, "Price linkages between Chinese and world copper futures markets," Frontiers of Economics in China-Selected Publications from Chinese Universities, Higher Education Press, volume 3, issue 3, pages 451-461, September.
• 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.
• Jing-zhi Huang & Hao Zhou, 2008, "Specification analysis of structural credit risk models," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2008-55.
• 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.
• Helder Sebastião, 2008, "The partial adjustment factors of FTSE 100 stock index and stock index futures: The informational impact of electronic trading systems," GEMF Working Papers, GEMF, Faculty of Economics, University of Coimbra, number 2008-07, Oct.
• Jing Zhang & Dominique Guegan, 2008, "Pricing bivariate option under GARCH processes with time-varying copula," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00259242, Feb.
• Christophe Chorro & Dominique Guegan & Florian Ielpo, 2008, "Option Pricing under GARCH models with Generalized Hyperbolic innovations (I) : Methodology," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00281585, May.
• Jing Zhang & Dominique Guegan, 2008, "Pricing bivariate option under GARCH processes with time-varying copula," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00286054, Jun, DOI: 10.1016/j.insmatheco.2008.02.003.
• Elmarzougui Abdelaziz Isg Sousse & Mohamed El Hedi Arouri, 2008, "Evolution Et Effets Incitatifs Des Stock-Options : Le Cas Des Dirigeants Du Cac40," Working Papers, HAL, number hal-00387102.
• Holmberg, Pär, 2008, "Game-theoretical, Strategic forward Contracting in the Electricity Market," Working Paper Series, Research Institute of Industrial Economics, number 756, Jun.
• Mjøs, Aksel & Persson, Svein-Arne, 2008, "Level dependent annuities: Defaults of multiple degrees," Discussion Papers, Norwegian School of Economics, Department of Business and Management Science, number 2008/6, Mar.
• Lindset, Snorre & Persson, Svein-Arne, 2008, "Continuous Monitoring: Look before You Leap," Discussion Papers, Norwegian School of Economics, Department of Business and Management Science, number 2008/8, Mar.
• Fujita, Takahiko & 藤田, 岳彦 & Ishimura, Naoyuki & 石村, 直之 & Tanaka, Daichi, 2008, "An Arbitrage Approach to the Pricing of Catastrophe Options Involving the Cox Process," Hitotsubashi Journal of Economics, Hitotsubashi University, volume 49, issue 2, pages 67-74, December, DOI: 10.15057/16521.
• Hara, Chiaki & 原, 千秋 & ハラ, チアキ & Huang, James & Kuzmics, Christoph, 2008, "Effects of Background Risks on Cautiousness with an Application to a Portfolio Choice Problem," PIE/CIS Discussion Paper, Center for Intergenerational Studies, Institute of Economic Research, Hitotsubashi University, number 368, Mar.
• Hara, Chiaki & 原, 千秋 & ハラ, チアキ, 2008, "Heterogeneous Impatience in a Continuous-Time Model," PIE/CIS Discussion Paper, Center for Intergenerational Studies, Institute of Economic Research, Hitotsubashi University, number 396, Aug.
• Cho-Hoi Hui & Chi-Fai Lo & Tsz-Kin Chung, 2008, "Market Expectation of Appreciation of the Renminbi," Working Papers, Hong Kong Monetary Authority, number 0803, Apr.
• Cho-Hoi Hui & Chi-Fai Lo, 2008, "A Note on Estimating Realignment Probabilities -- A First-Passage-Time Approach," Working Papers, Hong Kong Monetary Authority, number 0809, Jun.
• C. F. Lo & T. C. Wong & C. H. Hui & M. X. Huang, 2008, "Assessing Credit Risk of Companies with Mean-Reverting Leverage Ratios," Working Papers, Hong Kong Institute for Monetary Research, number 042008, Apr.
• 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.

2007

• Tim Bollerslev & Michael Gibson & Hao Zhou, 2007, "Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-16, Aug.
• Torben G. Andersen & Oleg Bondarenko, 2007, "Construction and Interpretation of Model-Free Implied Volatility," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-24, Sep.
• Bent Jesper Christensen & Thomas Elgaard Jensen & Rune Mølgaard, 2007, "Market Power in Power Markets: Evidence from Forward Prices of Electricity," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-30, Oct.
• Power, Gabriel J. & Turvey, Calum G., 2007, "Spurious Long Memory in Commodity Futures: Implications for Agribusiness Option Pricing," 2007 Annual Meeting, July 29-August 1, 2007, Portland, Oregon, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association), number 9782, DOI: 10.22004/ag.econ.9782.
• Jou, Jyh-Bang & Lee, Tan, 2007, "The Impacts of Fees and Taxes on Choices of Development Timing and Capital Intensity," 2007 Conference (51st), February 13-16, 2007, Queenstown, New Zealand, Australian Agricultural and Resource Economics Society, number 10352, DOI: 10.22004/ag.econ.10352.
• Cyr, Don & Kusy, Martin, 2007, "Identification of stochastic processes for an estimated icewine temperature hedging variable," Working Papers, American Association of Wine Economists, number 37298, Apr, DOI: 10.22004/ag.econ.37298.
• Ramaswami, Bharat & Singh, Jatinder, 2007, "Underdeveloped Spot Markets and Futures Trading: The Soya Oil Exchange in India," 106th Seminar, October 25-27, 2007, Montpellier, France, European Association of Agricultural Economists, number 7919, DOI: 10.22004/ag.econ.7919.
• Moretto, Michele & Rossini, Gianpaolo, 2007, "Are Workers' Enterprises Entry Policies Conventional," Economic Theory and Applications Working Papers, Fondazione Eni Enrico Mattei (FEEM), number 9334, DOI: 10.22004/ag.econ.9334.
• Torro, Hipolit, 2007, "Forecasting Weekly Electricity Prices at Nord Pool," International Energy Markets Working Papers, Fondazione Eni Enrico Mattei (FEEM), number 7437, DOI: 10.22004/ag.econ.7437.
• Lima, Ricardo Chaves & Góis, Marcos Roberto & Ulises, Charles, None, "Previsão de preços futuros de Commodities Agrícolas com diferenciações inteira e fracionária, e erros heteroscedásticos," Brazilian Journal of Rural Economy and Sociology (Revista de Economia e Sociologia Rural-RESR), Sociedade Brasileira de Economia e Sociologia Rural, volume 45, issue 3, pages 1-24, DOI: 10.22004/ag.econ.161512.
• Eric Benhamou & Emmanuel Gobet & Mohammed Miri, 2007, "Smart expansion and fast calibration for jump diffusion," Papers, arXiv.org, number 0712.3485, Dec, revised Sep 2008.
• Erhan Bayraktar & Virginia R. Young, 2007, "Pricing Options in Incomplete Equity Markets via the Instantaneous Sharpe Ratio," Papers, arXiv.org, number math/0701650, Jan, revised Jul 2007.
• Tonci Lazibat & Tomislav Bakovic, 2007, "Options Hedging As A Mean Of Price Risk Elimination," Economic Thought and Practice, Department of Economics and Business, University of Dubrovnik, volume 16, issue 1, pages 63-78, june.
• Christopher Chung & Bryan Campbell & Scott Hendry, 2007, "Price Discovery in Canadian Government Bond Futures and Spot Markets," Staff Working Papers, Bank of Canada, number 07-4, DOI: 10.34989/swp-2007-4.
• Bryan Campbell & Scott Hendry, 2007, "Price Discovery in Canadian and U.S. 10-Year Government Bond Markets," Staff Working Papers, Bank of Canada, number 07-43, DOI: 10.34989/swp-2007-43.
• Ángel León & Javier Mencía & Enrique Sentana, 2007, "Parametric properties of semi-nonparametric distributions, with applications to option valuation," Working Papers, Banco de España, number 0707, Mar.
• Blaise Gadanecz & Richhild Moessner & Christian Upper, 2007, "Economic derivatives," BIS Quarterly Review, Bank for International Settlements, March.
• Nikola Tarashev & Haibin Zhu, 2007, "Measuring portfolio credit risk: modelling versus calibration errors," BIS Quarterly Review, Bank for International Settlements, March.
• Christian Upper & Thomas Werner, 2007, "The tail wags the dog: time-varying information shares in the Bund market," BIS Working Papers, Bank for International Settlements, number 224, Jan.
• Wolfgang Drobetz & Pascal Pensa & Markus M. Schmid, 2007, "Estimating the Cost of Executive Stock Options: evidence from Switzerland," Corporate Governance: An International Review, Wiley Blackwell, volume 15, issue 5, pages 798-815, September, DOI: 10.1111/j.1467-8683.2007.00612.x.
• Gary S. Shea, 2007, "Financial market analysis can go mad (in the search for irrational behaviour during the South Sea Bubble)," Economic History Review, Economic History Society, volume 60, issue 4, pages 742-765, November, DOI: 10.1111/j.1468-0289.2007.00379.x.
• S. Galluccio & J.‐M. Ly & Z. Huang & O. Scaillet, 2007, "Theory And Calibration Of Swap Market Models," Mathematical Finance, Wiley Blackwell, volume 17, issue 1, pages 111-141, January, DOI: 10.1111/j.1467-9965.2007.00296.x.
• Francesca Biagini & Tomas Björk, 2007, "On The Timing Option In A Futures Contract," Mathematical Finance, Wiley Blackwell, volume 17, issue 2, pages 267-283, April, DOI: 10.1111/j.1467-9965.2006.00303.x.
• Matthew Hurd & Mark Salmon & Christoph Schleicher, 2007, "Using copulas to construct bivariate foreign exchange distributions with an application to the sterling exchange rate index," Bank of England working papers, Bank of England, number 334, Nov.
• M. Moretto & G. Rossini, 2007, "Are Workers' Enterprises entry policies conventional?," Working Papers, Dipartimento Scienze Economiche, Universita' di Bologna, number 582, Feb.
• Dirk Hackbarth & Jianjun Maio, 2007, "The Dynamics of Mergers and Acquisitions in Oligopolistic Industries," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number WP2007-017, Apr.
• Felipe Pinheiro & Caio Ibsen Rodrigues de Almeida & José Valentim Vicente, 2007, "A Polynomial Term Structure Model with Macroeconomic Variables," Brazilian Review of Finance, Brazilian Society of Finance, volume 5, issue 1, pages 79-92.
• Drobetz, Wolfgang & Pensa, Pascal & Schmid, Markus M., 2007, "Estimating the Cost of Executive Stock Options: Evidence from Switzerland," Working papers, Faculty of Business and Economics - University of Basel, number 2007/17.
• Elisa Luciano & Patrizia Semeraro, 2007, "Extending Time-Changed Lévy Asset Models Through Multivariate Subordinators," Carlo Alberto Notebooks, Collegio Carlo Alberto, number 42.
• Azeredo, Francisco, 2007, "The Equity Premium: A Deeper Puzzle," University of California at Santa Barbara, Economics Working Paper Series, Department of Economics, UC Santa Barbara, number qt6ks5p6v5, Sep.
• Christian-Olivier Ewald & Rolf Poulsen & Klaus Reiner Schenk-Hoppe, 2007, "Stochastic Volatility: Risk Minimization and Model Risk," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 07-10, Feb.
• Martin Cincibuch & Martina Hornikova, 2007, "Measuring the Financial Markets' Perception of EMU Enlargement: The Role of Ambiguity Aversion," Working Papers, Czech National Bank, Research and Statistics Department, number 2007/13, Dec.
• Chernov, Mikhail & Broadie, Mark & Johannes, Michael, 2007, "Understanding Index Option Returns," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 6239, May.
• Perotti, Enrico & Rossetto, Silvia, 2007, "Unlocking Value: Equity Carve outs as Strategic Real Options," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 6268, Apr.
• Kilian, Lutz & Alquist, Ron, 2007, "What Do We Learn from the Price of Crude Oil Futures?," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 6548, Nov.
• Schaefer, Stephen & Acharya, Viral & Zhang, Yili, 2007, "Liquidity Risk and Correlation Risk: A Clinical Study of the General Motors and Ford Downgrade of May 2005," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 6619, Dec.
• Figuerola-Ferretti, Isabel & Gonzalo, Jesús, 2007, "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 wb074510, May.
• Grané Chávez, Aurea & Veiga, Helena, 2007, "The effect of realised volatility on stock returns risk estimates," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws076316, Sep.
• Wang Xiaodong, 2007, "The Closed-form Solution for Pricing American Put Options," Annals of Economics and Finance, Society for AEF, volume 8, issue 1, pages 197-215, May.
• Boes, Mark-Jan & Drost, Feike C. & Werker, Bas J. M., 2007, "The Impact of Overnight Periods on Option Pricing," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 42, issue 2, pages 517-533, June.
• Cyr, Don & Kusy, Martin, 2007, "Canadian Ice Wine Production: A Case for the Use of Weather Derivatives," Journal of Wine Economics, Cambridge University Press, volume 2, issue 2, pages 145-167, October.
• Gerard Gannon & Chi-Ying Chang, 2007, "Regulatory Change and Micro Structure Effects in SPI Futures," Working Papers, Deakin University, Department of Economics, number 2007_08, May.
• Groh, Alexander P. & Baule, Rainer & Gottschalg, Oliver, 2007, "Measuring idiosyncratic risks in leveraged buyout transactions," IESE Research Papers, IESE Business School, number D/682, Mar.
• Hilscher, Jens, 2007, "Is the corporate bond market forward looking?," Working Paper Series, European Central Bank, number 800, Aug.
• Berndt, Antje & Obreja, Iulian, 2007, "The pricing of risk in European credit and corporate bond markets," Working Paper Series, European Central Bank, number 805, Aug.
• Dumitrescu, Ariadna, 2007, "Valuation of defaultable bonds and debt restructuring," Journal of Corporate Finance, Elsevier, volume 13, issue 1, pages 94-111, March.
• Perotti, Enrico & Rossetto, Silvia, 2007, "Unlocking value: Equity carve outs as strategic real options," Journal of Corporate Finance, Elsevier, volume 13, issue 5, pages 771-792, December.
• Bidarkota, Prasad V. & Dupoyet, Brice V., 2007, "The impact of fat tails on equilibrium rates of return and term premia," Journal of Economic Dynamics and Control, Elsevier, volume 31, issue 3, pages 887-905, March.
• Cho, Young-Hyun & Linton, Oliver & Whang, Yoon-Jae, 2007, "Are there Monday effects in stock returns: A stochastic dominance approach," Journal of Empirical Finance, Elsevier, volume 14, issue 5, pages 736-755, December.
• Fleten, S.-E. & Maribu, K.M. & Wangensteen, I., 2007, "Optimal investment strategies in decentralized renewable power generation under uncertainty," Energy, Elsevier, volume 32, issue 5, pages 803-815, DOI: 10.1016/j.energy.2006.04.015.
• Chen, An & Suchanecki, Michael, 2007, "Default risk, bankruptcy procedures and the market value of life insurance liabilities," Insurance: Mathematics and Economics, Elsevier, volume 40, issue 2, pages 231-255, March.
• Hara, Chiaki & Huang, James & Kuzmics, Christoph, 2007, "Representative consumer's risk aversion and efficient risk-sharing rules," Journal of Economic Theory, Elsevier, volume 137, issue 1, pages 652-672, November.
• Acharya, Viral V. & Johnson, Timothy C., 2007, "Insider trading in credit derivatives," Journal of Financial Economics, Elsevier, volume 84, issue 1, pages 110-141, April.
• Francisco Venegas Martínez & J. Víctor Reynoso Vendrell, 2007, "The Valuation of Mortgage Backed Securities with Stochastic Probabilities of Default and Prepayment," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, volume 1, issue 2, pages 148-168.
• Mencia, Javier & Leon, Angel & Sentana, Enrique, 2007, "Parametric properties of semi-nonparametric distributions, with applications to option valuation," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24496, Oct.
• José Manuel Chamorro Gómez, 2007, "Valoración de la garantía de los planes de pensiones en España," EKONOMIAZ. Revista vasca de Economía, Gobierno Vasco / Eusko Jaurlaritza / Basque Government, volume 65, issue 02, pages 342-361.
• Hernández del Valle, Adrián & Martínez García, Claudia Icela, 2007, "Modelo de opciones reales y aplicación al mercado petrolero," El Trimestre Económico, Fondo de Cultura Económica, volume 74, issue 294, pages 329-348, abril-jun, DOI: http://dx.doi.org/10.20430/ete.v74i.
• Venegas-Martínez, Francisco, 2007, "Mercados de notas estructuradas. Un análisis descriptivo y métodos de evaluación," El Trimestre Económico, Fondo de Cultura Económica, volume 74, issue 295, pages 615-661, julio-sep, DOI: http://dx.doi.org/10.20430/ete.v74i.
• Huisman, R. & Mahieu, R.J. & Schlichter, F., 2007, "Hedging Exposure to Electricity Price Risk in a Value at Risk Framework," ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam, number ERS-2007-013-F&A, Feb.
• Bert Willems & Joris Morbee, 2008, "Risk management in electricity markets: hedging and market incompleteness," Working Papers of Department of Economics, Leuven, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven, number ces0823, Aug.
• Michele Moretto & Gianpaolo Rossini, 2007, "Are Workers. Enterprises Entry Policies Conventional," Working Papers, Fondazione Eni Enrico Mattei, number 2007.31, Mar.
• Hipòlit Torró, 2007, "Forecasting Weekly Electricity Prices at Nord Pool," Working Papers, Fondazione Eni Enrico Mattei, number 2007.88, Sep.
• V. Moriggia, S. Muzzioli, C. Torricelli, 2007, "Call an Put Implied Volatilities and the Derivation of Option Implied Trees," Frontiers in Finance and Economics, SKEMA Business School, volume 4, issue 1, pages 35-64, June.
• Stephanie E. Curcuru, 2007, "U.S. Cross-Border Derivatives Data: A User's Guide," Federal Reserve Bulletin, Board of Governors of the Federal Reserve System (U.S.), volume 93, issue May, pages .1-16, May, DOI: 10.17016/bulletin.2007.93-5-1.
• Hayette Gatfaoui, 2007, "How Does Systematic Risk Impact Stocks? A Study on the French Financial Market," Post-Print, HAL, number hal-00589908.
• Borglin, Anders & Flåm, Sjur Didrik, 2007, "Risk exchange as a market or production game," Working Papers in Economics, University of Bergen, Department of Economics, number 09/07, Sep.
• Bajlum, Claus & Tind Larsen, Peter, 2007, "Accounting Transparency and the Term Structure of Credit Default Swap Spreads," Working Papers, Copenhagen Business School, Department of Finance, number 2007-229, Jan.
• Herbertsson, Alexander & Rootzén, Holger, 2007, "Pricing k-th-to-default Swaps under Default Contagion: The Matrix-Analytic Approach," Working Papers in Economics, University of Gothenburg, Department of Economics, number 269, Oct.
• Herbertsson, Alexander, 2007, "Pricing Synthetic CDO Tranches in a Model with Default Contagion Using the Matrix-Analytic Approach," Working Papers in Economics, University of Gothenburg, Department of Economics, number 270, Oct.
• Herbertsson, Alexander, 2007, "Modelling Default Contagion Using Multivariate Phase-Type Distributions," Working Papers in Economics, University of Gothenburg, Department of Economics, number 271, Oct.
• Herbertsson, Alexander, 2007, "Default Contagion in Large Homogeneous Portfolios," Working Papers in Economics, University of Gothenburg, Department of Economics, number 272, Oct.
• Borglin, Anders & Flåm, Sjur, 2007, "Rationalizing Constrained Contingent Claims," Working Papers, Lund University, Department of Economics, number 2007:12, Jun.
• Borglin, Anders & Flåm, Sjur, 2007, "Risk Exchange as a Market or Production Game," Working Papers, Lund University, Department of Economics, number 2007:16, Oct.
• Hara, Chiaki & 原, 千秋 & ハラ, チアキ & Huang, James & Kuzmics, Christoph, 2007, "Representative Consumer's Risk Aversion and Efficient Risk-Sharing Rules," Discussion Paper, Center for Intergenerational Studies, Institute of Economic Research, Hitotsubashi University, number 323, Mar.
• Ip-wing Yu & Chi-sang Tam, 2007, "Measuring Market Sentiment in Hong Kong's Stock Market," Working Papers, Hong Kong Monetary Authority, number 0705, Apr.
• Cho-hoi Hui & Vincent Yeung & Laurence Fung & Chi-Fai Lo, 2007, "Valuing Foreign Currency Options with a Mean-Reverting Process: A Study of Hong Kong Dollar," Working Papers, Hong Kong Monetary Authority, number 0708, May.
• Eric Wong & Cho-Hoi Hui & Chi-fai Lo, 2007, "Ratings Versus Market-Based Measures of Default Risk of East Asian Banks," Working Papers, Hong Kong Monetary Authority, number 0712, Aug.
• Cho-Hoi Hui & Tom Fong, 2007, "Is the Hong Kong Dollar Exchange Rate "Bounded" in the Convertibility Zone?," Working Papers, Hong Kong Monetary Authority, number 0713, Sep.
• Alexander K. Koch & Hui-Fai Shing, 2007, "Bookmaker and pari-mutuel betting: Is a (reverse) favourite-longshot bias built-in?," Royal Holloway, University of London: Discussion Papers in Economics, Department of Economics, Royal Holloway University of London, number 07/04, Nov.
• Elisa Luciano, 2007, "Copulas and Dependence models in Credit Risk: Diffusions versus Jumps," ICER Working Papers - Applied Mathematics Series, ICER - International Centre for Economic Research, number 31-2007, Mar.
• Simon H. Yen & Jai Jen Wang, 2007, "General Equilibrium Stock Index Futures Pricing Allowing for Event Risk," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, volume 6, issue 2, pages 103-119, August.
• Chou-Wen Wang & Ting-Yi Wu, 2007, "An Alternative Formulation for the Pricing of Stock Index Futures: Theoretical and Empirical Perspectives," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, volume 6, issue 2, pages 121-134, August.
• Luís Antonio Ahumada & Jorge Selaive C., 2007, "Desarrollo del mercado de derivados cambiarios en Chile," Revista de Analisis Economico – Economic Analysis Review, Universidad Alberto Hurtado/School of Economics and Business, volume 22, issue 1, pages 35-58, June.
• Venegas-Martínez, Francisco, 2007, "Una introducción a los procesos de Lévy y su aplicación a la valuación de opciones," Panorama Económico, Escuela Superior de Economía, Instituto Politécnico Nacional, volume 0, issue 04, pages 35-68, segundo s.
• Thomas A. Knetsch, 2007, "Forecasting the price of crude oil via convenience yield predictions," Journal of Forecasting, John Wiley & Sons, Ltd., volume 26, issue 7, pages 527-549, DOI: 10.1002/for.1040.
• Marc Atlan & Hélyette Geman & Dilip Madan & Marc Yor, 2007, "Correlation and the pricing of risks," Annals of Finance, Springer, volume 3, issue 4, pages 411-453, October, DOI: 10.1007/s10436-006-0063-x.
• Cyrus Ramezani & Yong Zeng, 2007, "Maximum likelihood estimation of the double exponential jump-diffusion process," Annals of Finance, Springer, volume 3, issue 4, pages 487-507, October, DOI: 10.1007/s10436-006-0062-y.
• Eckhard Platen & Wolfgang Runggaldier, 2007, "A Benchmark Approach to Portfolio Optimization under Partial Information," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, volume 14, issue 1, pages 25-43, March, DOI: 10.1007/s10690-007-9045-x.
• Nicola Bruti-Liberati & Eckhard Platen, 2007, "Approximation of jump diffusions in finance and economics," Computational Economics, Springer;Society for Computational Economics, volume 29, issue 3, pages 283-312, May, DOI: 10.1007/s10614-006-9066-y.
• Kanak Patel & Ricardo Pereira, 2007, "Expected Default Probabilities in Structural Models: Empirical Evidence," The Journal of Real Estate Finance and Economics, Springer, volume 34, issue 1, pages 107-133, January, DOI: 10.1007/s11146-007-9006-1.
• YongQiang Chu & Tien Sing, 2007, "Optimal Timing of Real Estate Investment under an Asymmetric Duopoly," The Journal of Real Estate Finance and Economics, Springer, volume 34, issue 3, pages 327-345, April, DOI: 10.1007/s11146-007-9016-z.
• Charles Cao & Jing-Zhi Huang, 2007, "Determinants of S&P 500 index option returns," Review of Derivatives Research, Springer, volume 10, issue 1, pages 1-38, January, DOI: 10.1007/s11147-007-9015-5.
• R. Jarrow & A. Purnanandam, 2007, "The valuation of a firm’s investment opportunities: a reduced form credit risk perspective," Review of Derivatives Research, Springer, volume 10, issue 1, pages 39-58, January, DOI: 10.1007/s11147-007-9012-8.
• Jan Seifert & Marliese Uhrig-Homburg, 2007, "Modelling jumps in electricity prices: theory and empirical evidence," Review of Derivatives Research, Springer, volume 10, issue 1, pages 59-85, January, DOI: 10.1007/s11147-007-9011-9.
• In Kim & In-Seok Baek & Jaesun Noh & Sol Kim, 2007, "The role of stochastic volatility and return jumps: reproducing volatility and higher moments in the KOSPI 200 returns dynamics," Review of Quantitative Finance and Accounting, Springer, volume 29, issue 1, pages 69-110, July, DOI: 10.1007/s11156-007-0022-2.
• Jean-Marc Bourgeon & Georges Dionne, 2007, "On Debt Service and Renegotiation when Debt-holders Are More Strategic," Cahiers de recherche, CIRPEE, number 0729.
• Georges Dionne & Geneviève Gauthier & Khemais Hammami & Mathieu Maurice & Jean-Guy Simonato, 2007, "A Reduced Form Model of Default Spreads with Markov Switching Macroeconomic Factors," Cahiers de recherche, CIRPEE, number 0741.
• George Milunovich & Roselyne Joyeux, 2007, "Testing Market Efficiency and Price Discovery in European Carbon Markets," Research Papers, Macquarie University, Department of Economics, number 0701, Mar.
• Christos S. Savva & Kyriakos C. Neanidis & Denise R. Osborn, 2007, "Business Cycle Synchronization of the Euro Area with the New and Negotiating Member Countries," Centre for Growth and Business Cycle Research Discussion Paper Series, Economics, The University of Manchester, number 91.
• Pascal Alphonse, 2007, "Mispricing Persistence and the Effectiveness of Arbitrage Trading," Multinational Finance Journal, Multinational Finance Journal, volume 11, issue 1-2, pages 123-156, March-Jun.
• Manfred Fruhwirth & Paul Schneider & Markus S. Schwaiger, 2007, "Timing Decisions in a Multinational Context: Implementing the Amin/Bodurtha Framework," Multinational Finance Journal, Multinational Finance Journal, volume 11, issue 3-4, pages 157-178, September.
• Silvia Muzzioli, 2007, "The relation between implied and realised volatility: are call options more informative than put options? Evidence from 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 0004, Oct.
• Kristian R. Miltersen & Eduardo S. Schwartz, 2007, "Real Options With Uncertain Maturity and Competition," NBER Working Papers, National Bureau of Economic Research, Inc, number 12990, Mar.
• Xavier Gabaix, 2007, "Linearity-Generating Processes: A Modelling Tool Yielding Closed Forms for Asset Prices," NBER Working Papers, National Bureau of Economic Research, Inc, number 13430, Sep.
• Torben G. Andersen & Oleg Bondarenko, 2007, "Construction and Interpretation of Model-Free Implied Volatility," NBER Working Papers, National Bureau of Economic Research, Inc, number 13449, Sep.
• Snowberg, Erik & Wolfers, Justin & Zitzewitz, Eric, 2007, "Party Influence in Congress and the Economy," Quarterly Journal of Political Science, now publishers, volume 2, issue 3, pages 277-286, August, DOI: 10.1561/100.00006060.
• Egil Matsen & Snorre Lindset, 2007, "Optimal Portfolio Choice and Investment in Education," Working Paper Series, Department of Economics, Norwegian University of Science and Technology, number 8707, Jul.
• Yasuo Takatsuki, 2007, "The institutional aspects of the Dojima rice exchange market in Tokugawa era: The role of governance mechanism," Discussion Papers in Economics and Business, Osaka University, Graduate School of Economics, number 07-44, Dec.
• Yasuo Takatsuki, 2007, "The institutional aspects of the Dojima rice exchange market in Tokugawa era: The role of governance mechanism," Discussion Papers in Economics and Business, Osaka University, Graduate School of Economics, number 07-44-Rev, Dec, revised Feb 2008.
• Kazuhiro Takino, 2007, "Utility Indifference Pricing in an Incomplete Market Model with Incomplete Information," Discussion Papers in Economics and Business, Osaka University, Graduate School of Economics, number 07-46, Dec.
• Erik Snowberg & Justin Wolfers & Eric Zitzewitz, 2007, "Partisan Impacts on the Economy: Evidence from Prediction Markets and Close Elections," The Quarterly Journal of Economics, President and Fellows of Harvard College, volume 122, issue 2, pages 807-829.
• Jenke Ter Horst & Marno Verbeek, 2007, "Fund Liquidation, Self-selection, and Look-ahead Bias in the Hedge Fund Industry," Review of Finance, European Finance Association, volume 11, issue 4, pages 605-632.
• Steven L. Heston & Mark Loewenstein & Gregory A. Willard, 2007, "Options and Bubbles," The Review of Financial Studies, Society for Financial Studies, volume 20, issue 2, pages 359-390.
• Josef Lakonishok & Inmoo Lee & Neil D. Pearson & Allen M. Poteshman, 2007, "Option Market Activity," The Review of Financial Studies, Society for Financial Studies, volume 20, issue 3, pages 813-857.
• Alexandre Ziegler, 2007, "Why Does Implied Risk Aversion Smile?," The Review of Financial Studies, Society for Financial Studies, volume 20, issue 3, pages 859-904.
• Merino, María & Vadillo, Fernando, 2007, "Matemática Financiera con MATLAB© = Mathematical Finance with MATLAB©," 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 4, issue 1, pages 35-55, December.
• Michele Moretto & Gianpaolo Rossini, 2007, "Partnerships vs. Firms Entry Strategies," "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno", number 0049, Sep.
• Flavio Angelini & Stefano Herzel, 2007, "Measuring the error of dynamic hedging: a Laplace transform approach," Quaderni del Dipartimento di Economia, Finanza e Statistica, Università di Perugia, Dipartimento Economia, number 33/2007, Aug.
• Flavio Angelini & Stefano Herzel, 2007, "Explicit formulas for the minimal variance hedging strategy in a martingale case," Quaderni del Dipartimento di Economia, Finanza e Statistica, Università di Perugia, Dipartimento Economia, number 35/2007, Aug.
• Francois-Éric Racicot & Raymond Théoret, 2007, "Programmes de volatilité stochastique et de volatilité implicite : applications Visual Basic (Excel) et Matlab," RePAd Working Paper Series, Département des sciences administratives, UQO, number UQO-DSA-wp012007, Jan.
• Francois-Éric Racicot, 2007, "Techniques alternatives d’estimation et tests en présence d’erreurs de mesure sur les variables explicatives," RePAd Working Paper Series, Département des sciences administratives, UQO, number UQO-DSA-wp022007, Apr.
• Ilya, Gikhman, 2007, "Corporate debt pricing I," MPRA Paper, University Library of Munich, Germany, number 1450, Oct.
• Balakrishna, B S, 2007, "Delayed Default Dependency and Default Contagion," MPRA Paper, University Library of Munich, Germany, number 14921, Apr, revised 15 May 2007.
• Henrard, Marc, 2007, "Skewed Libor Market Model and Gaussian HJM explicit approaches to rolled deposit options," MPRA Paper, University Library of Munich, Germany, number 1534, Jan.
• Torresetti, Roberto & Pallavicini, Andrea, 2007, "Stressing rating criteria allowing for default clustering: the CPDO case," MPRA Paper, University Library of Munich, Germany, number 17104, Oct, revised 04 Sep 2009.
• Lord, Roger & Fang, Fang & Bervoets, Frank & Oosterlee, Kees, 2007, "A fast and accurate FFT-based method for pricing early-exercise options under Lévy processes," MPRA Paper, University Library of Munich, Germany, number 1952, Feb.
• Henrard, Marc, 2007, "The irony in the derivatives discounting," MPRA Paper, University Library of Munich, Germany, number 3115, Mar.
• Henrard, Marc, 2007, "CMS swaps in separable one-factor Gaussian LLM and HJM model," MPRA Paper, University Library of Munich, Germany, number 3228, May.
• Alos, Elisa & Ewald, Christian-Oliver, 2007, "Malliavin differentiability of the Heston volatility and applications to option pricing," MPRA Paper, University Library of Munich, Germany, number 3237, May.
• Cotter, John & Hanly, James, 2007, "Hedging Effectiveness under Conditions of Asymmetry," MPRA Paper, University Library of Munich, Germany, number 3501.
• Sun, David & Lin, William T. & Nieh, Chien-Chung, 2007, "Long run credit risk diversification: empirical decomposition of corporate bond spreads," MPRA Paper, University Library of Munich, Germany, number 37283, Oct, revised Jul 2008.
• Jamshidian, Farshid, 2007, "Exchange Options," MPRA Paper, University Library of Munich, Germany, number 4471, Jul, revised 14 Aug 2007.
• Andrea, Pascucci, 2007, "Free boundary and optimal stopping problems for American Asian options," MPRA Paper, University Library of Munich, Germany, number 4766, Sep.
• Pospisil, Libor & Vecer, Jan & Xu, Mingxin, 2007, "Tradable measure of risk," MPRA Paper, University Library of Munich, Germany, number 5059, Sep.
• Albanese, Claudio & Vidler, Alicia, 2007, "A STRUCTURAL MODEL FOR CREDIT-EQUITY DERIVATIVES AND BESPOKE CDOs," MPRA Paper, University Library of Munich, Germany, number 5227, Jan, revised 09 Sep 2007.
• Albanese, Claudio, 2007, "Callable Swaps, Snowballs And Videogames," MPRA Paper, University Library of Munich, Germany, number 5229, Sep, revised 01 Oct 2007.
• Albanese, Claudio & Osseiran, Adel, 2007, "Moment Methods for Exotic Volatility Derivatives," MPRA Paper, University Library of Munich, Germany, number 5330, Oct.
• Paschke, Raphael & Prokopczuk, Marcel, 2007, "Integrating Multiple Commodities in a Model of Stochastic Price Dynamics," MPRA Paper, University Library of Munich, Germany, number 5412, Oct.
• Laib, Fodil & Laib, M.S., 2007, "Some mathematical properties of the futures market platform," MPRA Paper, University Library of Munich, Germany, number 6126, Dec.
• Ahoniemi, Katja & Lanne, Markku, 2007, "Joint Modeling of Call and Put Implied Volatility," MPRA Paper, University Library of Munich, Germany, number 6318.
• Brace, Alan & Fabbri, Giorgio & Goldys, Benjamin, 2007, "An Hilbert space approach for a class of arbitrage free implied volatilities models," MPRA Paper, University Library of Munich, Germany, number 6321, Dec.
• Saurabha, Rritu & Tiwari, Manvendra, 2007, "Empirical Study of the effect of including Skewness and Kurtosis in Black Scholes option pricing formula on S&P CNX Nifty index Options," MPRA Paper, University Library of Munich, Germany, number 6329, Nov.
• Li, Minqiang, 2007, "The Impact of Return Nonnormality on Exchange Options," MPRA Paper, University Library of Munich, Germany, number 7020.