Research classified by Journal of Economic Literature (JEL) codes

2007

• Cho-hoi Hui & Vincent Yeung & Laurence Fung & Chi-Fai Lo, 2007, "Valuing Foreign Currency Options with a Mean-Reverting Process: A Study of Hong Kong Dollar," Working Papers, Hong Kong Monetary Authority, number 0708, May.
• Eric Wong & Cho-Hoi Hui & Chi-fai Lo, 2007, "Ratings Versus Market-Based Measures of Default Risk of East Asian Banks," Working Papers, Hong Kong Monetary Authority, number 0712, Aug.
• Cho-Hoi Hui & Tom Fong, 2007, "Is the Hong Kong Dollar Exchange Rate "Bounded" in the Convertibility Zone?," Working Papers, Hong Kong Monetary Authority, number 0713, Sep.
• Alexander K. Koch & Hui-Fai Shing, 2007, "Bookmaker and pari-mutuel betting: Is a (reverse) favourite-longshot bias built-in?," Royal Holloway, University of London: Discussion Papers in Economics, Department of Economics, Royal Holloway University of London, number 07/04, Nov.
• Elisa Luciano, 2007, "Copulas and Dependence models in Credit Risk: Diffusions versus Jumps," ICER Working Papers - Applied Mathematics Series, ICER - International Centre for Economic Research, number 31-2007, Mar.
• Simon H. Yen & Jai Jen Wang, 2007, "General Equilibrium Stock Index Futures Pricing Allowing for Event Risk," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, volume 6, issue 2, pages 103-119, August.
• Chou-Wen Wang & Ting-Yi Wu, 2007, "An Alternative Formulation for the Pricing of Stock Index Futures: Theoretical and Empirical Perspectives," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, volume 6, issue 2, pages 121-134, August.
• Luís Antonio Ahumada & Jorge Selaive C., 2007, "Desarrollo del mercado de derivados cambiarios en Chile," Revista de Analisis Economico – Economic Analysis Review, Universidad Alberto Hurtado/School of Economics and Business, volume 22, issue 1, pages 35-58, June.
• Venegas-Martínez, Francisco, 2007, "Una introducción a los procesos de Lévy y su aplicación a la valuación de opciones," Panorama Económico, Escuela Superior de Economía, Instituto Politécnico Nacional, volume 0, issue 04, pages 35-68, segundo s.
• Thomas A. Knetsch, 2007, "Forecasting the price of crude oil via convenience yield predictions," Journal of Forecasting, John Wiley & Sons, Ltd., volume 26, issue 7, pages 527-549, DOI: 10.1002/for.1040.
• Marc Atlan & Hélyette Geman & Dilip Madan & Marc Yor, 2007, "Correlation and the pricing of risks," Annals of Finance, Springer, volume 3, issue 4, pages 411-453, October, DOI: 10.1007/s10436-006-0063-x.
• Cyrus Ramezani & Yong Zeng, 2007, "Maximum likelihood estimation of the double exponential jump-diffusion process," Annals of Finance, Springer, volume 3, issue 4, pages 487-507, October, DOI: 10.1007/s10436-006-0062-y.
• Eckhard Platen & Wolfgang Runggaldier, 2007, "A Benchmark Approach to Portfolio Optimization under Partial Information," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, volume 14, issue 1, pages 25-43, March, DOI: 10.1007/s10690-007-9045-x.
• Nicola Bruti-Liberati & Eckhard Platen, 2007, "Approximation of jump diffusions in finance and economics," Computational Economics, Springer;Society for Computational Economics, volume 29, issue 3, pages 283-312, May, DOI: 10.1007/s10614-006-9066-y.
• Kanak Patel & Ricardo Pereira, 2007, "Expected Default Probabilities in Structural Models: Empirical Evidence," The Journal of Real Estate Finance and Economics, Springer, volume 34, issue 1, pages 107-133, January, DOI: 10.1007/s11146-007-9006-1.
• YongQiang Chu & Tien Sing, 2007, "Optimal Timing of Real Estate Investment under an Asymmetric Duopoly," The Journal of Real Estate Finance and Economics, Springer, volume 34, issue 3, pages 327-345, April, DOI: 10.1007/s11146-007-9016-z.
• Charles Cao & Jing-Zhi Huang, 2007, "Determinants of S&P 500 index option returns," Review of Derivatives Research, Springer, volume 10, issue 1, pages 1-38, January, DOI: 10.1007/s11147-007-9015-5.
• R. Jarrow & A. Purnanandam, 2007, "The valuation of a firm’s investment opportunities: a reduced form credit risk perspective," Review of Derivatives Research, Springer, volume 10, issue 1, pages 39-58, January, DOI: 10.1007/s11147-007-9012-8.
• Jan Seifert & Marliese Uhrig-Homburg, 2007, "Modelling jumps in electricity prices: theory and empirical evidence," Review of Derivatives Research, Springer, volume 10, issue 1, pages 59-85, January, DOI: 10.1007/s11147-007-9011-9.
• In Kim & In-Seok Baek & Jaesun Noh & Sol Kim, 2007, "The role of stochastic volatility and return jumps: reproducing volatility and higher moments in the KOSPI 200 returns dynamics," Review of Quantitative Finance and Accounting, Springer, volume 29, issue 1, pages 69-110, July, DOI: 10.1007/s11156-007-0022-2.
• Jean-Marc Bourgeon & Georges Dionne, 2007, "On Debt Service and Renegotiation when Debt-holders Are More Strategic," Cahiers de recherche, CIRPEE, number 0729.
• Georges Dionne & Geneviève Gauthier & Khemais Hammami & Mathieu Maurice & Jean-Guy Simonato, 2007, "A Reduced Form Model of Default Spreads with Markov Switching Macroeconomic Factors," Cahiers de recherche, CIRPEE, number 0741.
• George Milunovich & Roselyne Joyeux, 2007, "Testing Market Efficiency and Price Discovery in European Carbon Markets," Research Papers, Macquarie University, Department of Economics, number 0701, Mar.
• Christos S. Savva & Kyriakos C. Neanidis & Denise R. Osborn, 2007, "Business Cycle Synchronization of the Euro Area with the New and Negotiating Member Countries," Centre for Growth and Business Cycle Research Discussion Paper Series, Economics, The University of Manchester, number 91.
• Pascal Alphonse, 2007, "Mispricing Persistence and the Effectiveness of Arbitrage Trading," Multinational Finance Journal, Multinational Finance Journal, volume 11, issue 1-2, pages 123-156, March-Jun.
• Manfred Fruhwirth & Paul Schneider & Markus S. Schwaiger, 2007, "Timing Decisions in a Multinational Context: Implementing the Amin/Bodurtha Framework," Multinational Finance Journal, Multinational Finance Journal, volume 11, issue 3-4, pages 157-178, September.
• Silvia Muzzioli, 2007, "The relation between implied and realised volatility: are call options more informative than put options? Evidence from the DAX index options market," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance), Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi", number 0004, Oct.
• Kristian R. Miltersen & Eduardo S. Schwartz, 2007, "Real Options With Uncertain Maturity and Competition," NBER Working Papers, National Bureau of Economic Research, Inc, number 12990, Mar.
• Xavier Gabaix, 2007, "Linearity-Generating Processes: A Modelling Tool Yielding Closed Forms for Asset Prices," NBER Working Papers, National Bureau of Economic Research, Inc, number 13430, Sep.
• Torben G. Andersen & Oleg Bondarenko, 2007, "Construction and Interpretation of Model-Free Implied Volatility," NBER Working Papers, National Bureau of Economic Research, Inc, number 13449, Sep.
• Snowberg, Erik & Wolfers, Justin & Zitzewitz, Eric, 2007, "Party Influence in Congress and the Economy," Quarterly Journal of Political Science, now publishers, volume 2, issue 3, pages 277-286, August, DOI: 10.1561/100.00006060.
• Egil Matsen & Snorre Lindset, 2007, "Optimal Portfolio Choice and Investment in Education," Working Paper Series, Department of Economics, Norwegian University of Science and Technology, number 8707, Jul.
• Yasuo Takatsuki, 2007, "The institutional aspects of the Dojima rice exchange market in Tokugawa era: The role of governance mechanism," Discussion Papers in Economics and Business, Osaka University, Graduate School of Economics, number 07-44, Dec.
• Yasuo Takatsuki, 2007, "The institutional aspects of the Dojima rice exchange market in Tokugawa era: The role of governance mechanism," Discussion Papers in Economics and Business, Osaka University, Graduate School of Economics, number 07-44-Rev, Dec, revised Feb 2008.
• Kazuhiro Takino, 2007, "Utility Indifference Pricing in an Incomplete Market Model with Incomplete Information," Discussion Papers in Economics and Business, Osaka University, Graduate School of Economics, number 07-46, Dec.
• Erik Snowberg & Justin Wolfers & Eric Zitzewitz, 2007, "Partisan Impacts on the Economy: Evidence from Prediction Markets and Close Elections," The Quarterly Journal of Economics, President and Fellows of Harvard College, volume 122, issue 2, pages 807-829.
• Jenke Ter Horst & Marno Verbeek, 2007, "Fund Liquidation, Self-selection, and Look-ahead Bias in the Hedge Fund Industry," Review of Finance, European Finance Association, volume 11, issue 4, pages 605-632.
• Steven L. Heston & Mark Loewenstein & Gregory A. Willard, 2007, "Options and Bubbles," The Review of Financial Studies, Society for Financial Studies, volume 20, issue 2, pages 359-390.
• Josef Lakonishok & Inmoo Lee & Neil D. Pearson & Allen M. Poteshman, 2007, "Option Market Activity," The Review of Financial Studies, Society for Financial Studies, volume 20, issue 3, pages 813-857.
• Alexandre Ziegler, 2007, "Why Does Implied Risk Aversion Smile?," The Review of Financial Studies, Society for Financial Studies, volume 20, issue 3, pages 859-904.
• Merino, María & Vadillo, Fernando, 2007, "Matemática Financiera con MATLAB© = Mathematical Finance with MATLAB©," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, volume 4, issue 1, pages 35-55, December.
• Michele Moretto & Gianpaolo Rossini, 2007, "Partnerships vs. Firms Entry Strategies," "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno", number 0049, Sep.
• Flavio Angelini & Stefano Herzel, 2007, "Measuring the error of dynamic hedging: a Laplace transform approach," Quaderni del Dipartimento di Economia, Finanza e Statistica, Università di Perugia, Dipartimento Economia, number 33/2007, Aug.
• Flavio Angelini & Stefano Herzel, 2007, "Explicit formulas for the minimal variance hedging strategy in a martingale case," Quaderni del Dipartimento di Economia, Finanza e Statistica, Università di Perugia, Dipartimento Economia, number 35/2007, Aug.
• Francois-Éric Racicot & Raymond Théoret, 2007, "Programmes de volatilité stochastique et de volatilité implicite : applications Visual Basic (Excel) et Matlab," RePAd Working Paper Series, Département des sciences administratives, UQO, number UQO-DSA-wp012007, Jan.
• Francois-Éric Racicot, 2007, "Techniques alternatives d’estimation et tests en présence d’erreurs de mesure sur les variables explicatives," RePAd Working Paper Series, Département des sciences administratives, UQO, number UQO-DSA-wp022007, Apr.
• Ilya, Gikhman, 2007, "Corporate debt pricing I," MPRA Paper, University Library of Munich, Germany, number 1450, Oct.
• Balakrishna, B S, 2007, "Delayed Default Dependency and Default Contagion," MPRA Paper, University Library of Munich, Germany, number 14921, Apr, revised 15 May 2007.
• Henrard, Marc, 2007, "Skewed Libor Market Model and Gaussian HJM explicit approaches to rolled deposit options," MPRA Paper, University Library of Munich, Germany, number 1534, Jan.
• Torresetti, Roberto & Pallavicini, Andrea, 2007, "Stressing rating criteria allowing for default clustering: the CPDO case," MPRA Paper, University Library of Munich, Germany, number 17104, Oct, revised 04 Sep 2009.
• Lord, Roger & Fang, Fang & Bervoets, Frank & Oosterlee, Kees, 2007, "A fast and accurate FFT-based method for pricing early-exercise options under Lévy processes," MPRA Paper, University Library of Munich, Germany, number 1952, Feb.
• Henrard, Marc, 2007, "The irony in the derivatives discounting," MPRA Paper, University Library of Munich, Germany, number 3115, Mar.
• Henrard, Marc, 2007, "CMS swaps in separable one-factor Gaussian LLM and HJM model," MPRA Paper, University Library of Munich, Germany, number 3228, May.
• Alos, Elisa & Ewald, Christian-Oliver, 2007, "Malliavin differentiability of the Heston volatility and applications to option pricing," MPRA Paper, University Library of Munich, Germany, number 3237, May.
• Cotter, John & Hanly, James, 2007, "Hedging Effectiveness under Conditions of Asymmetry," MPRA Paper, University Library of Munich, Germany, number 3501.
• Sun, David & Lin, William T. & Nieh, Chien-Chung, 2007, "Long run credit risk diversification: empirical decomposition of corporate bond spreads," MPRA Paper, University Library of Munich, Germany, number 37283, Oct, revised Jul 2008.
• Jamshidian, Farshid, 2007, "Exchange Options," MPRA Paper, University Library of Munich, Germany, number 4471, Jul, revised 14 Aug 2007.
• Andrea, Pascucci, 2007, "Free boundary and optimal stopping problems for American Asian options," MPRA Paper, University Library of Munich, Germany, number 4766, Sep.
• Pospisil, Libor & Vecer, Jan & Xu, Mingxin, 2007, "Tradable measure of risk," MPRA Paper, University Library of Munich, Germany, number 5059, Sep.
• Albanese, Claudio & Vidler, Alicia, 2007, "A STRUCTURAL MODEL FOR CREDIT-EQUITY DERIVATIVES AND BESPOKE CDOs," MPRA Paper, University Library of Munich, Germany, number 5227, Jan, revised 09 Sep 2007.
• Albanese, Claudio, 2007, "Callable Swaps, Snowballs And Videogames," MPRA Paper, University Library of Munich, Germany, number 5229, Sep, revised 01 Oct 2007.
• Albanese, Claudio & Osseiran, Adel, 2007, "Moment Methods for Exotic Volatility Derivatives," MPRA Paper, University Library of Munich, Germany, number 5330, Oct.
• Paschke, Raphael & Prokopczuk, Marcel, 2007, "Integrating Multiple Commodities in a Model of Stochastic Price Dynamics," MPRA Paper, University Library of Munich, Germany, number 5412, Oct.
• Laib, Fodil & Laib, M.S., 2007, "Some mathematical properties of the futures market platform," MPRA Paper, University Library of Munich, Germany, number 6126, Dec.
• Ahoniemi, Katja & Lanne, Markku, 2007, "Joint Modeling of Call and Put Implied Volatility," MPRA Paper, University Library of Munich, Germany, number 6318.
• Brace, Alan & Fabbri, Giorgio & Goldys, Benjamin, 2007, "An Hilbert space approach for a class of arbitrage free implied volatilities models," MPRA Paper, University Library of Munich, Germany, number 6321, Dec.
• Saurabha, Rritu & Tiwari, Manvendra, 2007, "Empirical Study of the effect of including Skewness and Kurtosis in Black Scholes option pricing formula on S&P CNX Nifty index Options," MPRA Paper, University Library of Munich, Germany, number 6329, Nov.
• Li, Minqiang, 2007, "The Impact of Return Nonnormality on Exchange Options," MPRA Paper, University Library of Munich, Germany, number 7020.
• 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.
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• 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.
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• 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.
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• 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.
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