Research classified by Journal of Economic Literature (JEL) codes

2007

• 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.

2006

• Paul Sweeting, 2006, "Correlation and the Pension Protection Fund," Fiscal Studies, Institute for Fiscal Studies, volume 27, issue 2, pages 157-182, June.
• Weiyu Guo & Tie Su, 2006, "Option Put-Call Parity Relations When the Underlying Security Pays Dividends," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, volume 5, issue 3, pages 225-230, December.
• Prasanna Gai & Nicholas Vause, 2006, "Measuring Investors' Risk Appetite," International Journal of Central Banking, International Journal of Central Banking, volume 2, issue 1, March.
• Steven Li, 2006, "The Arbitrage Efficiency of the Nikkei 225 Options Market: A Put-Call Parity Analysis," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, volume 24, issue 2, pages 33-54, November.
• Jun Pan & Kenneth J. Singleton, 2006, "Interpreting Recent Changes in the Credit Spreads of Japanese Banks," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, volume 24, issue S1, pages 129-141, December.
• Mr. Michael G. Papaioannou, 2006, "Exchange Rate Risk Measurement and Management: Issues and Approaches for Firms," IMF Working Papers, International Monetary Fund, number 2006/255, Nov.
• Francisco Venegas-Martínez, 2006, "Decisiones De Consumo Y Portafolio Bajo Condiciones De Riesgo E Incertidumbre," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, volume 5, issue 1, pages 3-11, Marzo 200.
• Snowberg, Erik & Wolfers, Justin & Zitzewitz, Eric, 2006, "Partisan Impacts on the Economy: Evidence from Prediction Markets and Close Elections," IZA Discussion Papers, IZA Network @ LISER, number 1996, Mar.
• Wolfers, Justin & Zitzewitz, Eric, 2006, "Interpreting Prediction Market Prices as Probabilities," IZA Discussion Papers, IZA Network @ LISER, number 2092, Apr.
• Mingxin Xu, 2006, "Risk measure pricing and hedging in incomplete markets," Annals of Finance, Springer, volume 2, issue 1, pages 51-71, January, DOI: 10.1007/s10436-005-0023-x.
• Kristian Miltersen & J. Nielsen & Klaus Sandmann, 2006, "New No-arbitrage Conditions and the Term Structure of Interest Rate Futures," Annals of Finance, Springer, volume 2, issue 3, pages 303-325, July, DOI: 10.1007/s10436-006-0040-4.
• M. Dempster & I. Evstigneev & M. Taksar, 2006, "Asset Pricing and Hedging in Financial Markets with Transaction Costs: An Approach Based on the Von Neumann–Gale Model," Annals of Finance, Springer, volume 2, issue 4, pages 327-355, October, DOI: 10.1007/s10436-006-0042-2.
• Steven Li & Elia Alfay, 2006, "Evidence on the arbitrage efficiency of SPI index futures and options markets," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, volume 13, issue 1, pages 71-93, March, DOI: 10.1007/s10690-007-9035-z.
• Arantza Murillas & José Manuel Chamorro, 2006, "Valuation and Management of Fishing Resources Under Price Uncertainty," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, volume 33, issue 1, pages 39-71, January, DOI: 10.1007/s10640-005-0591-2.
• Heinz Zimmermann, 2006, "Martingales and Portfolio Decisions: A User’s Guide," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 20, issue 1, pages 75-101, April, DOI: 10.1007/s11408-006-0006-6.
• Bernd Brommundt & Jochen Felsenheimer & Philip Gisdakis & Michael Zaiser, 2006, "Recent Developments in Credit Markets," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 20, issue 2, pages 221-234, June, DOI: 10.1007/s11408-006-0017-3.
• Samih Azar, 2006, "Liquidity Cost Premia," International Advances in Economic Research, Springer;International Atlantic Economic Society, volume 12, issue 4, pages 461-467, November, DOI: 10.1007/s11294-006-9040-4.
• Dragon Tang & Hong Yan, 2006, "Macroeconomic Conditions, Firm Characteristics, and Credit Spreads," Journal of Financial Services Research, Springer;Western Finance Association, volume 29, issue 3, pages 177-210, June, DOI: 10.1007/s10693-006-7625-y.
• Robert Hahn & Paul Tetlock, 2006, "A New Approach for Regulating Information Markets," Journal of Regulatory Economics, Springer, volume 29, issue 3, pages 265-281, May, DOI: 10.1007/s11149-006-7399-z.
• Mireille Bossy & Rajna Gibson & Francois-Serge Lhabitant & Nathalie Pistre & Denis Talay, 2006, "Model misspecification analysis for bond options and Markovian hedging strategies," Review of Derivatives Research, Springer, volume 9, issue 2, pages 109-135, September, DOI: 10.1007/s11147-007-9006-6.
• Lung-Fu Chang & Mao-Wei Hung, 2006, "Valuation of vulnerable American options with correlated credit risk," Review of Derivatives Research, Springer, volume 9, issue 2, pages 137-165, September, DOI: 10.1007/s11147-007-9007-5.
• Nengjiu Ju & Rui Zhong, 2006, "Fourier transformation and the pricing of average-rate derivatives," Review of Derivatives Research, Springer, volume 9, issue 3, pages 187-212, November, DOI: 10.1007/s11147-007-9013-7.
• Guenter Franke & James Huang & Richard Stapleton, 2006, "Two-dimensional risk-neutral valuation relationships for the pricing of options," Review of Derivatives Research, Springer, volume 9, issue 3, pages 213-237, November, DOI: 10.1007/s11147-007-9009-3.
• Bernd Engelmann & Matthias Fengler & Morten Nalholm & Peter Schwendner, 2006, "Static versus dynamic hedges: an empirical comparison for barrier options," Review of Derivatives Research, Springer, volume 9, issue 3, pages 239-264, November, DOI: 10.1007/s11147-007-9010-x.
• Holger Kraft & Mogens Steffensen, 2006, "Bankruptcy, Counterparty Risk, and Contagion," FRU Working Papers, University of Copenhagen. Department of Economics. Finance Research Unit, number 2006/03, May.
• Chiaki Hara & James Huang & Christoph Kuzmics, 2006, "Representative Consumer's Risk Aversion and Efficient Risk-Sharing Rules," KIER Working Papers, Kyoto University, Institute of Economic Research, number 620, May.
• Chiaki Hara & James Huang & Christoph Kuzmics, 2006, "Efficient Risk-Sharing Rules with Heterogeneous Risk Attitudes and Background Risks," KIER Working Papers, Kyoto University, Institute of Economic Research, number 621, May.
• Rossella Bisignani & Giovanni Masala & Marco Micocci, 2006, "Economic Capital Management For Insurance Companies Using Conditional Value At Risk And A Copula Approach," Economia, Societa', e Istituzioni, Dipartimento di Economia e Finanza, LUISS Guido Carli, volume 0, issue 3.
• Georges Dionne & Geneviève Gauthier & Nadia Ouertani & Nabil Tahani, 2006, "Heterogeneous Basket Options Pricing Using Analytical Approximations," Cahiers de recherche, CIRPEE, number 0605.
• George Milunovich & Ronald D. Ripple, 2006, "Hedgers, Investors and Futures Return Volatility: the Case of NYMEX Crude Oil," Research Papers, Macquarie University, Department of Economics, number 0607, Oct.
• Riadh Belhaj, 2006, "The Valuation of Options on Bonds with Default Risk," Multinational Finance Journal, Multinational Finance Journal, volume 10, issue 3-4, pages 277-306, September.
• Erik Snowberg & Justin Wolfers & Eric Zitzewitz, 2006, "Partisan Impacts on the Economy: Evidence from Prediction Markets and Close Elections," NBER Working Papers, National Bureau of Economic Research, Inc, number 12073, Mar.
• Justin Wolfers & Eric Zitzewitz, 2006, "Interpreting Prediction Market Prices as Probabilities," NBER Working Papers, National Bureau of Economic Research, Inc, number 12200, May.
• Anders B. Trolle & Eduardo S. Schwartz, 2006, "A General Stochastic Volatility Model for the Pricing and Forecasting of Interest Rate Derivatives," NBER Working Papers, National Bureau of Economic Research, Inc, number 12337, Jun.
• Timothy J. Kehoe & David K. Levine, 2006, "Bankruptcy and Collateral in Debt Constrained Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 12656, Oct.
• Anders B. Trolle & Eduardo S. Schwartz, 2006, "Unspanned Stochastic Volatility and the Pricing of Commodity Derivatives," NBER Working Papers, National Bureau of Economic Research, Inc, number 12744, Dec.
• Erik Snowberg & Justin Wolfers & Eric Zitzewitz, 2006, "Party Influence in Congress and the Economy," NBER Working Papers, National Bureau of Economic Research, Inc, number 12751, Dec.
• Kazuhiko Nishina & Nabil Maghrebi & Mark J. Holmes, 2006, "Are Volatility Expectations Characterized By Regime Shifts? Evidence From Implied Volatility Indices," Discussion Papers in Economics and Business, Osaka University, Graduate School of Economics, number 06-20, Jul.
• Tomas Björk & Irina Slinko, 2006, "Towards a General Theory of Good-Deal Bounds," Review of Finance, European Finance Association, volume 10, issue 2, pages 221-260.
• Francois-Éric Racicot & Raymond Théoret, 2006, "La Value-at-Risk: Modèles de la VaR, simulations en Visual Basic (Excel) et autres mesures récentes du risque de marché," RePAd Working Paper Series, Département des sciences administratives, UQO, number UQO-DSA-wp022006, Jan.
• Francois-Éric Racicot & Raymond Théoret, 2006, "Les modèles HJM et LMM revisités," RePAd Working Paper Series, Département des sciences administratives, UQO, number UQO-DSA-wp042006, Jan.
• Francois-Éric Racicot & Raymond Théoret, 2006, "La simulation de Monte Carlo: forces et faiblesses (avec applications Visual Basic et Matlab et présentation d’une nouvelle méthode QMC)," RePAd Working Paper Series, Département des sciences administratives, UQO, number UQO-DSA-wp052006, Apr.
• Francois-Éric Racicot & Raymond Théoret, 2006, "Simulations de la couverture delta et de la couverture delta-gamma d’un portefeuille dans le cadre du modèle de Black et Scholes," RePAd Working Paper Series, Département des sciences administratives, UQO, number UQO-DSA-wp122006, Jun.
• Henrard, Marc, 2006, "TIPS Options in the Jarrow-Yildirim model," MPRA Paper, University Library of Munich, Germany, number 1423, Jan.
• ilya, gikhman, 2006, "Some critical comments on credit risk modeling," MPRA Paper, University Library of Munich, Germany, number 1451, Jul, revised Jul 2006.
• Balakrishna, B S, 2006, "A Semi-Analytical Parametric Model for Dependent Defaults," MPRA Paper, University Library of Munich, Germany, number 14918, Aug, revised 15 May 2007.
• Giandomenico, Rossano, 2006, "Asset Liability Management in Insurance Company," MPRA Paper, University Library of Munich, Germany, number 16333, Jun, revised Jan 2009.
• Giandomenico, Rossano, 2006, "Pricing of the Policy Life in Absence of Default Risk and Asset Liability Management," MPRA Paper, University Library of Munich, Germany, number 18844, Aug.
• Henrard, Marc, 2006, "Bonds futures and their options: more than the cheapest-to-deliver; quality option and marginning," MPRA Paper, University Library of Munich, Germany, number 2001, May.
• Giandomenico, Rossano, 2006, "Valuing an American Put Option," MPRA Paper, University Library of Munich, Germany, number 20082, Nov.
• Abramov, Vyacheslav & Klebaner, Fima, 2006, "Forecasting and testing a non-constant volatility," MPRA Paper, University Library of Munich, Germany, number 207, Jun.
• Giandomenico, Rossano, 2006, "Martingale Model," MPRA Paper, University Library of Munich, Germany, number 21973.
• Henrard, Marc, 2006, "Bonds futures: Delta? No gamma!," MPRA Paper, University Library of Munich, Germany, number 2249, Apr, revised 01 May 2006.
• Bøckman, Thor & Fleten, Stein-Erik & Juliussen, Erik & Langhammer, Håvard & Revdal, Ingemar, 2006, "Investment timing and optimal capacity choice for small hydropower projects," MPRA Paper, University Library of Munich, Germany, number 2693, Jun, revised 31 Dec 2006.
• Kilin, Fiodar, 2006, "Accelerating the calibration of stochastic volatility models," MPRA Paper, University Library of Munich, Germany, number 2975, Dec, revised 22 Apr 2007.
• Lin, William & Sun, David, 2006, "Diversification with idiosyncratic credit spreads: a pooled estimation on heterogeneous panels," MPRA Paper, University Library of Munich, Germany, number 37288, Sep, revised Jun 2007.
• Carey, Alexander, 2006, "Path-conditional forward volatility," MPRA Paper, University Library of Munich, Germany, number 4964, Feb.
• Carey, Alexander, 2006, "Higher-order volatility: dynamics and sensitivities," MPRA Paper, University Library of Munich, Germany, number 5009, Aug.
• Albanese, Claudio & Mijatovic, Aleksandar, 2006, "Spectral Methods For Volatility Derivatives," MPRA Paper, University Library of Munich, Germany, number 5244, Mar.
• Albanese, Claudio & Lo, Harry & Stathis, Tompaidis, 2006, "A Numerical Method for Pricing Electricity Derivatives for Jump-Diffusion Processes Based on Continuous Time Lattices," MPRA Paper, University Library of Munich, Germany, number 5245, May.
• Albanese, Claudio, 2006, "Operator Methods, Abelian Processes And Dynamic Conditioning," MPRA Paper, University Library of Munich, Germany, number 5246, Dec, revised 06 Nov 2007.
• Luciano, Elisa, 2006, "Copulas and dependence models in credit risk: diffusions versus jumps," MPRA Paper, University Library of Munich, Germany, number 59638.
• Rose, Martin & Zitouni, Loubna, 2006, "Modélisation d'actifs à volatilité stochastique et pricing d'options européennes
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• Carol Alexander & Leonardo M. Nogueira, 2006, "Hedging Options with Scale-Invariant Models," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2006-03, Jun.
• Chris Brooks & A.Cerny & J. Miffre, 2006, "Optimal Hedging with Higher Moments," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2006-12, Nov.
• Damiano Brigo & Naoufel El-Bachir, 2006, "Credit Derivatives Pricing with a Smile-Extended Jump Stochastic Intensity Model," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2006-13, Dec.
• Ran Bi, 2006, "Debt Dilution and Maturity Structure of Sovereign Bonds," 2006 Meeting Papers, Society for Economic Dynamics, number 652.
• Pamela Labadie, 2006, "Allocation of Individual Risks in a Market Economy," 2006 Meeting Papers, Society for Economic Dynamics, number 672.
• Craig Burnside & Martin Eichenbaum & Isaac Kleshchelski & Sergio Rebelo, 2006, "The Returns to Currency Speculation," 2006 Meeting Papers, Society for Economic Dynamics, number 864.
• Robert Weiner, 2006, "Do Birds of a Feather Flock Together? Speculator Herding in the World Oil Market," RFF Working Paper Series, Resources for the Future, number dp-06-31, Jun.
• Georges Dionne & Geneviève Gauthier & Nadia Ouertani & Nabil Tahani, 2006, "Heterogeneous basket options pricing using analytical approximations," Working Papers, HEC Montreal, Canada Research Chair in Risk Management, number 06-1, Jan.
• Paul Zarembka, 2006, "Initiation of the 9-11 Operation, with Evidence of Insider Trading Beforehand," RESEARCH IN POLITICAL ECONOMY, Paul Zarembka, chapter 2, in: Paul Zarembka, "THE HIDDEN HISTORY OF 9-11-2001".
• Paul Zarembka (ed.), 2006, "The Hidden History Of 9-11-2001," RESEARCH IN POLITICAL ECONOMY, Paul Zarembka, number volm23a, ISBN: ARRAY(0x82c3e8b8).
• Jangkoo Kang & Chang Joo Lee & Soonhee Lee, 2006, "An Empirical Investigation of the Lead-Lag Relations of Returns and Volatilities among the KOSPI200 Spot, Futures and Options Markets and their Explanations," Journal of Emerging Market Finance, Institute for Financial Management and Research, volume 5, issue 3, pages 235-261, December, DOI: 10.1177/097265270600500303.
• Panayiotis C. Andreou & Chris Charalambous & Spiros H. Martzoukos, 2006, "Artificial Neural Network Enhanced Parametric Option Pricing," Computing in Economics and Finance 2006, Society for Computational Economics, number 118, Jul.
• Finance, University of Technology, Sydney,; Gunter Meyer, School of Mathematics, Georgia Institute of Technology,; Andrew Ziogas, School of Economics & Gerald H. L. Cheang & Carl Chiarella & Gunter Me, 2006, "Numerical Methods for American Spread Options under Jump Diffusion Processes," Computing in Economics and Finance 2006, Society for Computational Economics, number 137, Jul.
• Dominique Pujal & Patrick Saint-Pierre, 2006, "Capture Basin Algorithm for Evaluating and Managing Complex Financial Instruments," Computing in Economics and Finance 2006, Society for Computational Economics, number 186, Jul.
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• Paolo Foschi, 2006, "Non-constant volatility models a comparison," Computing in Economics and Finance 2006, Society for Computational Economics, number 344, Jul.
• Yoshifumi Muroi & Takashi Yamada, 2006, "Pricing problems of perpetual Bermudan options," Computing in Economics and Finance 2006, Society for Computational Economics, number 345, Jul.
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• Ramzi Ben Abdallah & Hatem Ben Ameur & Michèle Breton, 2006, "Pricing the CBT T-Bonds Futures," Computing in Economics and Finance 2006, Society for Computational Economics, number 68, Jul.
• Michael G. Papaioannou, 2006, "Exchange Rate Risk Measurement and Management: Issues and Approaches for Firms," South-Eastern Europe Journal of Economics, Association of Economic Universities of South and Eastern Europe and the Black Sea Region, volume 4, issue 2, pages 129-146.
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• André Farber & Van Huu Nguyen & Quan-Hoang Vuong, 2006, "A new proposition on the martingale representation theorem and on the approximate hedging of contingent claim in mean-variance criterion," Working Papers CEB, ULB -- Universite Libre de Bruxelles, number 06-004.RS, Apr.
• Roland Gillet & Isabelle Nagot & Ariane Szafarz, 2006, "Stratégies d'investissement en actions et fonds à capital garanti," Working Papers CEB, ULB -- Universite Libre de Bruxelles, number 06-008.RS, May.
• Marie Briere, 2006, "Market Reactions to Central Bank Communication Policies :Reading Interest Rate Options Smiles," Working Papers CEB, ULB -- Universite Libre de Bruxelles, number 38.
• Xavier De Scheemaekere, 2006, "The epistemology of modern finance," Working Papers CEB, ULB -- Universite Libre de Bruxelles, number 06-017.RS, Sep.
• Jan Bergenthum & Ludger Rüschendorf, 2006, "Comparison of Option Prices in Semimartingale Models," Finance and Stochastics, Springer, volume 10, issue 2, pages 222-249, April, DOI: 10.1007/s00780-006-0001-9.
• Robert J. Elliott & Carlton-James U. Osakwe, 2006, "Option Pricing for Pure Jump Processes with Markov Switching Compensators," Finance and Stochastics, Springer, volume 10, issue 2, pages 250-275, April, DOI: 10.1007/s00780-006-0004-6.
• Hans Buehler, 2006, "Consistent Variance Curve Models," Finance and Stochastics, Springer, volume 10, issue 2, pages 178-203, April, DOI: 10.1007/s00780-006-0008-2.
• Jan Bergenthum & Ludger Rüschendorf, 2006, "Comparison of Option Prices in Semimartingale Models," Finance and Stochastics, Springer, volume 10, issue 2, pages 222-249, April, DOI: 10.1007/s00780-006-0001-9.
• Robert Elliott & Carlton-James Osakwe, 2006, "Option Pricing for Pure Jump Processes with Markov Switching Compensators," Finance and Stochastics, Springer, volume 10, issue 2, pages 250-275, April, DOI: 10.1007/s00780-006-0004-6.
• Peter Carr & Vadim Linetsky, 2006, "A jump to default extended CEV model: an application of Bessel processes," Finance and Stochastics, Springer, volume 10, issue 3, pages 303-330, September, DOI: 10.1007/s00780-006-0012-6.
• Elisa Alòs, 2006, "A generalization of the Hull and White formula with applications to option pricing approximation," Finance and Stochastics, Springer, volume 10, issue 3, pages 353-365, September, DOI: 10.1007/s00780-006-0013-5.