Research classified by Journal of Economic Literature (JEL) codes

2008

• Keller-Ressel, Martin & Kilin, Fiodar, 2008, "Forward-start options in the Barndorff-Nielsen-Shephard Model," CPQF Working Paper Series, Frankfurt School of Finance and Management, Centre for Practical Quantitative Finance (CPQF), number 18.
• Becker, Christoph & Wystup, Uwe, 2008, "Was kostet eine Garantie? Ein statistischer Vergleich der Rendite von langfristigen Anlagen," CPQF Working Paper Series, Frankfurt School of Finance and Management, Centre for Practical Quantitative Finance (CPQF), number 8.
• Härdle, Wolfgang Karl & Myšičková, Alena, 2008, "Numerics of implied binomial trees," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2008-044.
• Borak, Szymon & Weron, Rafał, 2008, "A semiparametric factor model for electricity forward curve dynamics," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2008-050.
• Frontczak, Robert & Schöbel, Rainer, 2008, "Pricing American options with Mellin transforms," Tübinger Diskussionsbeiträge, University of Tübingen, School of Business and Economics, number 319.
• 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 working papers, 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.
• Geman, Hélyette (ed.), 2008, "Méthodes numériques pour la valorisation d'options swings et autres problèmes sur les matières premières," Economics Thesis from University Paris Dauphine, Paris Dauphine University, number 123456789/116.
• 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.
• Pravakar Sahoo & Rajiv Kumar, 2008, "Impact Of Proposed Commodity Transaction Tax On Futures Trading In India," Finance Working Papers, East Asian Bureau of Economic Research, number 22239, Jan.
• Gottschalg, Oliver & Groh, Alexander Peter & Baule, Rainer, 2008, "Measuring idiosyncratic risks in leveraged buyout transactions," HEC Research Papers Series, HEC Paris, number 894, Nov.
• Fornari, Fabio, 2008, "Assessing the compensation for volatility risk implicit in interest rate derivatives," Working Paper Series, European Central Bank, number 859, Jan.
• Amisano, Gianni & Savona, Roberto, 2008, "Imperfect predictability and mutual fund dynamics. How managers use predictors in changing systematic risk," Working Paper Series, European Central Bank, number 881, Mar.
• 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.
• Pieroni, Luca & Ricciarelli, Matteo, 2008, "Modelling dynamic storage function in commodity markets: Theory and evidence," Economic Modelling, Elsevier, volume 25, issue 5, pages 1080-1092, September.
• 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.
• Benth, Fred Espen & Cartea, Álvaro & Kiesel, Rüdiger, 2008, "Pricing forward contracts in power markets by the certainty equivalence principle: Explaining the sign of the market risk premium," Journal of Banking & Finance, Elsevier, volume 32, issue 10, pages 2006-2021, October.
• 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.
• 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.

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.
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• 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, Centre for Economic Policy Research, number 6239, May.
• Perotti, Enrico & Rossetto, Silvia, 2007, "Unlocking Value: Equity Carve outs as Strategic Real Options," CEPR Discussion Papers, Centre for Economic Policy Research, number 6268, Apr.
• Kilian, Lutz & Alquist, Ron, 2007, "What Do We Learn from the Price of Crude Oil Futures?," CEPR Discussion Papers, Centre for Economic Policy Research, 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, Centre for Economic Policy Research, 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.
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• 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.
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• 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.