Research classified by Journal of Economic Literature (JEL) codes

2007

• 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.
• Zhou, Qi-Yuan & Wu, Chong-Feng & Feng, Yun, 2007, "Decomposing and valuing callable convertible bonds: a new method based on exotic options," MPRA Paper, University Library of Munich, Germany, number 7421, Feb.
• Venier, Guido, 2007, "A new Model for Stock Price Movements," MPRA Paper, University Library of Munich, Germany, number 9146, Aug.
• Francisco Venegas Martinez, 2007, "Racionalidad economica implicita en teoria financiera," EconoQuantum, Revista de Economia y Finanzas, Universidad de Guadalajara, Centro Universitario de Ciencias Economico Administrativas, Departamento de Metodos Cuantitativos y Maestria en Economia., volume 4, issue 1, pages 7-42, Julio-Dic.
• Damiano Brigo & Naoufel El-Bachir, 2007, "An exact formula for default swaptions' pricing in the SSRJD stochastic intensity model," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2007-14, Nov.
• Jean-Marc Bourgeon & Georges Dionne, 2007, "On debt service and renegotiation when debt-holders are more strategic," Working Papers, HEC Montreal, Canada Research Chair in Risk Management, number 07-7, Sep.
• Georges Dionne & Geneviève Gauthier & Khemais Hammami & Mathieu Maurice & Jean-Guy Simonato, 2007, "A reduced form model of default spreads with Markov switching macroeconomic factors," Working Papers, HEC Montreal, Canada Research Chair in Risk Management, number 07-8, Oct.
• Massimiliano Corradini & Andrea Gheno, 2007, "Contingent Claim Pricing In A Dual Expected Utility Theory Framework," Departmental Working Papers of Economics - University 'Roma Tre', Department of Economics - University Roma Tre, number 0082, Dec.
• Christos Floros, 2007, "Price and Open Interest in Greek Stock Index Futures Market," Journal of Emerging Market Finance, Institute for Financial Management and Research, volume 6, issue 2, pages 191-202, May, DOI: 10.1177/097265270700600203.
• Jun Yu, 2007, "Automated Likelihood Based Inference for Stochastic Volatility Models," Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics, number 01-2007, Nov.
• Hans J. Skaug & Jun Yu, 2007, "Automated Likelihood Based Inference for Stochastic Volatility Models," Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics, number CoFie-01-2007, Nov.
• Monique Jeanblanc & Stoyan Valchev, 2007, "Default-risky bond prices with jumps, liquidity risk and incomplete information," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 30, issue 2, pages 109-136, November, DOI: 10.1007/s10203-007-0070-z.
• Leif Andersen & Vladimir Piterbarg, 2007, "Moment explosions in stochastic volatility models," Finance and Stochastics, Springer, volume 11, issue 1, pages 29-50, January, DOI: 10.1007/s00780-006-0011-7.
• Lo-Bin Chang & Ken Palmer, 2007, "Smooth convergence in the binomial model," Finance and Stochastics, Springer, volume 11, issue 1, pages 91-105, January, DOI: 10.1007/s00780-006-0020-6.
• Nan Chen & Paul Glasserman, 2007, "Additive and multiplicative duals for American option pricing," Finance and Stochastics, Springer, volume 11, issue 2, pages 153-179, April, DOI: 10.1007/s00780-006-0031-3.
• Mark Davis & Vicente Mataix-Pastor, 2007, "Negative Libor rates in the swap market model," Finance and Stochastics, Springer, volume 11, issue 2, pages 181-193, April, DOI: 10.1007/s00780-006-0032-2.
• Robert Jarrow & Philip Protter & A. Sezer, 2007, "Information reduction via level crossings in a credit risk model," Finance and Stochastics, Springer, volume 11, issue 2, pages 195-212, April, DOI: 10.1007/s00780-006-0033-1.
• Sara Biagini & Marco Frittelli, 2007, "The supermartingale property of the optimal wealth process for general semimartingales," Finance and Stochastics, Springer, volume 11, issue 2, pages 253-266, April, DOI: 10.1007/s00780-006-0026-0.
• B. Jourdain, 2007, "Stochastic flow approach to Dupire’s formula," Finance and Stochastics, Springer, volume 11, issue 4, pages 521-535, October, DOI: 10.1007/s00780-007-0042-8.
• Alexander Cherny, 2007, "Pricing and hedging European options with discrete-time coherent risk," Finance and Stochastics, Springer, volume 11, issue 4, pages 537-569, October, DOI: 10.1007/s00780-007-0050-8.
• Elisa Alòs & Jorge León & Josep Vives, 2007, "On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility," Finance and Stochastics, Springer, volume 11, issue 4, pages 571-589, October, DOI: 10.1007/s00780-007-0049-1.
• João Correia-da-Silva & Carlos Hervés-Beloso, 2007, "Private Information: Similarity as Compatibility," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 30, issue 3, pages 395-407, March, DOI: 10.1007/s00199-005-0066-2.
• Lars Nielsen, 2007, "Dividends in the theory of derivative securities pricing," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 31, issue 3, pages 447-471, June, DOI: 10.1007/s00199-006-0106-6.
• Timo Willershausen & Sascha H. Mölls & Karl-Heinz Schild, 2007, "Unsicherheit und der Wert realer Optionen," Schmalenbach Journal of Business Research, Springer, volume 59, issue 3, pages 314-332, May, DOI: 10.1007/BF03371699.
• Steffen Brenner & Rainer Schulz & Wolfgang Härdle, 2007, "Realoptionen und Immobilienbewertung: Eine Umsetzungsstudie," Schmalenbach Journal of Business Research, Springer, volume 59, issue 8, pages 1002-1028, December, DOI: 10.1007/BF03372786.
• Joao Teixeira, 2007, "An empirical analysis of structural models of corporate debt pricing," Applied Financial Economics, Taylor & Francis Journals, volume 17, issue 14, pages 1141-1165, DOI: 10.1080/09603100600770994.
• Andrea Gamba & Lenos Trigeorgis, 2007, "An Improved Binomial Lattice Method for Multi-Dimensional Options," Applied Mathematical Finance, Taylor & Francis Journals, volume 14, issue 5, pages 453-475, DOI: 10.1080/13504860701532237.
• Kerstin Bernoth & Jürgen von Hagen & Casper G. de Vries, 2007, "The Forward Premium Puzzle only emerges gradually," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 07-033/2, Mar.
• Rodriguez, J.C., 2007, "A Preference-Free Formula to Value Commodity Derivatives," Discussion Paper, Tilburg University, Center for Economic Research, number 2007-92.
• Rodriguez, J.C., 2007, "Option Pricing and Momentum," Discussion Paper, Tilburg University, Center for Economic Research, number 2007-93.
• Boes, M.J. & Drost, F.C. & Werker, B.J.M., 2007, "The impact of overnight periods on option pricing," Other publications TiSEM, Tilburg University, School of Economics and Management, number fc062462-2359-45ac-8826-d.
• Gianni Amisano & Roberto Savona, 2007, "Imperfect Predictability and Mutual Fund Dynamics: How Managers Use Predictors in Changing Systematic Risk," Working Papers, University of Brescia, Department of Economics, number 0706.
• Christos S. Savva & Kyriakos C. Neanidis & Denise R. Osborn, 2007, "Business Cycle Synchrinization of the Euro Area with the New and Negotiating Member Countries," University of Cyprus Working Papers in Economics, University of Cyprus Department of Economics, number 7-2007, Apr.
• Giovanni Villani, 2007, "A Monte Carlo approach to value exchange options using a single stochastic factor," Quaderni DSEMS, Dipartimento di Scienze Economiche, Matematiche e Statistiche, Universita' di Foggia, number 08-2007, May.
• Flavia Cortelezzi & Giovanni Villani, 2007, "Strategic Technology Adoption and Market Dynamics as Option Games," Quaderni DSEMS, Dipartimento di Scienze Economiche, Matematiche e Statistiche, Universita' di Foggia, number 14-2007, Jul.
• Luca Anzilli & Luigi De Cesare, 2007, "Valuation of the surrender option in unit-linked life insurance policies in a non-rational behaviour framework," Quaderni DSEMS, Dipartimento di Scienze Economiche, Matematiche e Statistiche, Universita' di Foggia, number 20-2007, Oct.
• Viviana Fanelli & Silvana Musti, 2007, "Pricing of CDS Options with the HJM approach: a Numerical Implementation," Quaderni DSEMS, Dipartimento di Scienze Economiche, Matematiche e Statistiche, Universita' di Foggia, number 26-2007, Dec.
• Viviana Fanelli & Silvana Musti, 2007, "Modelling Credit Spreads evolution using the Cox Process within the HJM framework," Quaderni DSEMS, Dipartimento di Scienze Economiche, Matematiche e Statistiche, Universita' di Foggia, number 27-2007, Dec.
• Maria Letizia Guerra & Laerte Sorini & Luciano Stefanini, 2007, "Interval LU-fuzzy arithmetic in the Black and Scholes option pricing," Working Papers, University of Urbino Carlo Bo, Department of Economics, Society & Politics - Scientific Committee - L. Stefanini & G. Travaglini, number 0704, revised 2007.
• Patrick Gagliardini & Paolo Porchia & Fabio Trojani, 2007, "Ambiguity Aversion and the Term Structure of Interest Rates," University of St. Gallen Department of Economics working paper series 2007, Department of Economics, University of St. Gallen, number 2007-29, Jul.
• Francesco Audrino & Dominik Colagelo, 2007, "Forecasting Implied Volatility Surfaces," University of St. Gallen Department of Economics working paper series 2007, Department of Economics, University of St. Gallen, number 2007-42, Nov.
• Eckhard Platen & Wolfgang Runggaldier, 2007, "A Benchmark Approach to Portfolio Optimization under Partial Information," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 191, Jan.
• Eckhard Platen & Renata Rendek, 2007, "Empirical Evidence on Student-t Log-Returns of Diversified World Stock Indices," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 194, Mar.
• Uwe Küchler & Eckhard Platen, 2007, "Time Delay and Noise Explaining Cyclical Fluctuations in Prices of Commodities," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 195, Apr.
• Nicola Bruti-Liberati & Christina Nikitopoulos-Sklibosios & Eckhard Platen, 2007, "Pricing under the Real-World Probability Measure for Jump-Diffusion Term Structure Models," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 198, Jun.
• María Bielza & Alberto Garrido & José M. Sumpsi, 2007, "Feasibility of a cash forward contract: An application to the French and Spanish potato sectors," Agribusiness, John Wiley & Sons, Ltd., volume 23, issue 2, pages 245-261, DOI: 10.1002/agr.20118.
• Charlotte Christiansen & Angelo Ranaldo, 2007, "Realized bond—stock correlation: Macroeconomic announcement effects," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 27, issue 5, pages 439-469, May.
• Chenghu Ma, 2007, "Preferences, Lévy Jumps And Option Pricing," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., volume 3, issue 01, pages 1-33, DOI: 10.1142/S2010495207500017.
• Carl Chiarella & Christina Nikitopoulos Sklibosios & Erik Schlögl, 2007, "A Markovian Defaultable Term Structure Model With State Dependent Volatilities," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., volume 10, issue 01, pages 155-202, DOI: 10.1142/S0219024907004147.
• Apostolos Serletis, 2007, "Unit Root Behavior in Energy Futures Prices," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 1, "Quantitative And Empirical Analysis Of Energy Markets".
• Paola Zerilli, 2007, "Option Pricing and Spikes in Volatility: Theoretical and Empirical Analysis," Discussion Papers, Department of Economics, University of York, number 07/08, May.
• Marco Realdon, 2007, "A Two Factor Black-Karasinski Credit Default Swap Pricing Model (forthcoming in the Icfai Journal of Derivatives Markets, Vol IV, No 4, October 2007; all copyrights rest with the Icfai University Press)," Discussion Papers, Department of Economics, University of York, number 07/25, Sep.
• Marco Realdon, 2007, "An Extended Structural Credit Risk Model (forthcoming in the Icfai Journal of Financial Risk Management; all copyrights rest with the Icfai University Press)," Discussion Papers, Department of Economics, University of York, number 07/26, Sep.
• Marco Realdon, 2007, "Extended-Gaussian Term Structure Models and Credit Risk Applications," Discussion Papers, Department of Economics, University of York, number 07/27, Sep.
• Kilin, Fiodar, 2007, "Accelerating the calibration of stochastic volatility models," CPQF Working Paper Series, Frankfurt School of Finance and Management, Centre for Practical Quantitative Finance (CPQF), number 6.
• Schmidt, Wolfgang M., 2007, "Default swaps and hedging credit baskets," CPQF Working Paper Series, Frankfurt School of Finance and Management, Centre for Practical Quantitative Finance (CPQF), number 7.
• Detlefsen, Kai & Härdle, Wolfgang Karl & Moro, Rouslan A., 2007, "Empirical pricing kernels and investor preferences," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2007-017.
• Giacomini, Enzo & Härdle, Wolfgang Karl, 2007, "Statistics of risk aversion," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2007-025.
• 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, undated, "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 Staff Working Paper series, 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, 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.
• 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.