Research classified by Journal of Economic Literature (JEL) codes

2006

• 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
  [Modeling asset prices in a stochastic volatility environment and determining prices for European options]," MPRA Paper, University Library of Munich, Germany, number 81153, Jun.
• 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(0x7a061d90).
• 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.
• Alfonso Gutierrez & Jerry Coakley & Neil Kellard, 2006, "Threshold Autoregressive Models of the Commodities Futures Basis," Computing in Economics and Finance 2006, Society for Computational Economics, number 323, Jul.
• 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.
• Carl Chiarella & Andrew Ziogas, 2006, "Pricing American Options under Stochastic Volatility and Jump Diffusion Dynamics," Computing in Economics and Finance 2006, Society for Computational Economics, number 44, Jul.
• Svetlana Borovkova & Ferry Permana, 2006, "A closed form approach to valuing and hedging basket options," Computing in Economics and Finance 2006, Society for Computational Economics, number 54, Jul.
• 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.
• Charlotte Christiansen & Angelo Ranaldo, 2006, "Realized Bond-Stock Correlation: Macroeconomic Announcement Effects," Working Papers, Swiss National Bank, number 2006-02.
• 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.
• Denis Belomestny & Markus Reiß, 2006, "Spectral calibration of exponential Lévy models," Finance and Stochastics, Springer, volume 10, issue 4, pages 449-474, December, DOI: 10.1007/s00780-006-0021-5.
• Marc Chesney & Laurent Gauthier, 2006, "American Parisian options," Finance and Stochastics, Springer, volume 10, issue 4, pages 475-506, December, DOI: 10.1007/s00780-006-0015-3.
• Raoul Pietersz & Marcel Regenmortel, 2006, "Generic market models," Finance and Stochastics, Springer, volume 10, issue 4, pages 507-528, December, DOI: 10.1007/s00780-006-0023-3.
• Alet Roux & Tomasz Zastawniak, 2006, "A counter-example to an option pricing formula under transaction costs," Finance and Stochastics, Springer, volume 10, issue 4, pages 575-578, December, DOI: 10.1007/s00780-006-0016-2.
• Luciano Campi & Walter Schachermayer, 2006, "A super-replication theorem in Kabanov’s model of transaction costs," Finance and Stochastics, Springer, volume 10, issue 4, pages 579-596, December, DOI: 10.1007/s00780-006-0022-4.
• Viral Acharya & Jing-zhi Huang & Marti Subrahmanyam & Rangarajan Sundaram, 2006, "When does Strategic Debt-service Matter?," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 29, issue 2, pages 363-378, October, DOI: 10.1007/s00199-005-0035-9.
• Puja Padhi, 2006, "Persistence and Asymmetry Volatility in Indian Stock Market," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), volume 4, issue 2, pages 103-113, July, DOI: 10.1007/BF03546451.
• Freddy Delbaen & Walter Schachermayer, 2006, "The Mathematics of Arbitrage," Springer Finance, Springer, number 978-3-540-31299-4, ISBN: ARRAY(0x8b43f078), January, DOI: 10.1007/978-3-540-31299-4.
• Eckhard Platen & David Heath, 2006, "A Benchmark Approach to Quantitative Finance," Springer Finance, Springer, number 978-3-540-47856-0, ISBN: ARRAY(0x8ac655e8), January, DOI: 10.1007/978-3-540-47856-0.
• Kevin Fergusson & Eckhard Platen, 2006, "On the Distributional Characterization of Daily Log-Returns of a World Stock Index," Applied Mathematical Finance, Taylor & Francis Journals, volume 13, issue 1, pages 19-38, DOI: 10.1080/13504860500394052.
• C. Gourieroux, 2006, "Continuous Time Wishart Process for Stochastic Risk," Econometric Reviews, Taylor & Francis Journals, volume 25, issue 2-3, pages 177-217, DOI: 10.1080/07474930600713234.
• David Heath & Eckhard Platen, 2006, "Local volatility function models under a benchmark approach," Quantitative Finance, Taylor & Francis Journals, volume 6, issue 3, pages 197-206, DOI: 10.1080/14697680600699787.
• Roger Lord & Remmert Koekkoek & Dick van Dijk, 2006, "A Comparison of Biased Simulation Schemes for Stochastic Volatility Models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 06-046/4, May, revised 07 Jun 2007.
• Roger Lord & Christian Kahl, 2006, "Why the Rotation Count Algorithm works," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 06-065/2, Jul.
• Roger Lord & Christian Kahl, 2006, "Optimal Fourier Inversion in Semi-analytical Option Pricing," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 06-066/2, Jul, revised 05 Jun 2007.
• Elisa Alòs & Jorge A. León & Josep Vives, 2006, "On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 968, Jun.
• Nicola Bruti-Liberati & Eckhard Platen, 2006, "Approximation of Jump Diffusions in Finance and Economics," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 176, May.
• Nicola Bruti-Liberati & Eckhard Platen, 2006, "On Weak Predictor-Corrector Schemes for Jump-Diffusion Processes in Finance," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 179, Jul.
• Truc Le & Eckhard Platen, 2006, "Approximating the Growth Optimal Portfolio with a Diversified World Stock Index," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 180, Aug.
• Truc Le & Eckhard Platen, 2006, "Approximating the Growth Optimal Portfolio with a Diversified World Stock Index," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 184, Sep.
• Eckhard Platen, 2006, "On the Pricing and Hedging of Long Dated Zero Coupon Bonds," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 185, Sep.
• Luca Barzanti & Corrado Corradi & Martina Nardon, 2006, "On the efficient application of the repeated Richardson extrapolation technique to option pricing," Working Papers, Department of Applied Mathematics, Università Ca' Foscari Venezia, number 147, Nov.
• Calum G. Turvey, 2006, "Managing food industry business and financial risks with commodity-linked credit instruments," Agribusiness, John Wiley & Sons, Ltd., volume 22, issue 4, pages 523-545, DOI: 10.1002/agr.20102.
• Tomas Björk & Magnus Blix & Camilla Landén, 2006, "On Finite Dimensional Realizations For The Term Structure Of Futures Prices," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., volume 9, issue 03, pages 281-314, DOI: 10.1142/S0219024906003639.
• Enlin Pan & Liuren Wu, 2006, "Taking Positive Interest Rates Seriously," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 14, in: Cheng-Few Lee, "Advances In Quantitative Analysis Of Finance And Accounting".
• Jan Iwanik, 2006, "Financial engineering methods in insurance," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/06/02.
• Marco Realdon, 2006, "Quadratic Term Structure Models in Discrete Time," Discussion Papers, Department of Economics, University of York, number 06/01, Jan.
• Marco Realdon, 2006, "Book Values and Market Values of Equity and Debt," Discussion Papers, Department of Economics, University of York, number 06/11, Jun.
• Marco Realdon, 2006, "Equity Valuation Under Stochastic Interest Rates," Discussion Papers, Department of Economics, University of York, number 06/12, Jun.
• Marco Realdon, 2006, "The Target Rate and Term Structure of Interest Rates," Discussion Papers, Department of Economics, University of York, number 06/15, Aug.
• Marco Realdon, 2006, "Valuation of the Firm's Liabilities when Equity Holders are also Creditors," Discussion Papers, Department of Economics, University of York, number 06/16, Aug.
• Su, Xia, 2006, "Hedging Basket Options by Using a Subset of Underlying Assets," Bonn Econ Discussion Papers, University of Bonn, Bonn Graduate School of Economics (BGSE), number 14/2006.
• Chen, An & Suchanecki, Michael, 2006, "Default Risk, Bankruptcy Procedures and the Market Value of Life Insurance Liabilities," Bonn Econ Discussion Papers, University of Bonn, Bonn Graduate School of Economics (BGSE), number 8/2006.
• Knetsch, Thomas A., 2006, "Forecasting the price of crude oil via convenience yield predictions," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2006,12.
• Buchner, Axel & Kaserer, Christoph & Wagner, Niklas, 2006, "Stochastic modeling of private equity: an equilibrium based approach to fund valuation," CEFS Working Paper Series, Technische Universität München (TUM), Center for Entrepreneurial and Financial Studies (CEFS), number 2006-02.
• Muermann, Alexander & Shore, Stephen H., 2006, "Strategic trading and manipulation with spot market power," CFS Working Paper Series, Center for Financial Studies (CFS), number 2006/07.
• Boenkost, Wolfram & Schmidt, Wolfgang M., 2006, "Interest rate convexity and the volatility smile," CPQF Working Paper Series, Frankfurt School of Finance and Management, Centre for Practical Quantitative Finance (CPQF), number 4.
• Detlefsen, Kai & Härdle, Wolfgang Karl, 2006, "Calibration design of implied volatility surfaces," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2006-002.
• Belomestny, Denis & Reiß, Markus, 2006, "Spectral calibration of exponential Lévy Models [1]," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2006-034.
• Belomestny, Denis & Reiß, Markus, 2006, "Spectral calibration of exponential Lévy Models [2]," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2006-035.
• Gapeev, Pavel V., 2006, "Perpetual barrier options in jump-diffusion models," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2006-058.
• Hlávka, Zdeněk & Peésta, Michal, 2006, "Constrained general regression in pseudo-Sobolev spaces with application to option pricing," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2006-069.
• Borak, Szymon & Härdle, Wolfgang Karl & Trück, Stefan & Weron, Rafał, 2006, "Convenience yields for CO₂ emission allowance futures contracts," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2006-076.
• Rostek, Stefan & Schöbel, Rainer, 2006, "Risk preference based option pricing in a fractional Brownian market," Tübinger Diskussionsbeiträge, University of Tübingen, School of Business and Economics, number 299.
• Schöbel, Rainer & Veith, Jochen, 2006, "An overreaction implementation of the coherent market hypothesis and option pricing," Tübinger Diskussionsbeiträge, University of Tübingen, School of Business and Economics, number 306.
• Scarpa, Elisa & Manera, Matteo, 2006, "Pricing and Hedging Illiquid Energy Derivatives: an Application to the JCC Index," International Energy Markets Working Papers, Fondazione Eni Enrico Mattei (FEEM), number 12115, DOI: 10.22004/ag.econ.12115.
• Bharat Ramaswami & Jatinder Bir Singh, 2006, "Underdeveloped spot markets and futures trading: The Soya Oil exchange in India," Discussion Papers, Indian Statistical Institute, Delhi, number 06-03, Mar.
• Maria Carmen Badia Batlle & M. Mercedes Galisteo Rodriguez & M. Teresa Preixens Benedicto, 2006, "Un modelo de riesgo de credito basado en opciones compuestas con barrera. Aplicacion al mercado continuo espanol," Working Papers in Economics, Universitat de Barcelona. Espai de Recerca en Economia, number 156.
• Fred Espen Benth & Alvaro Cartea & Ruediger Kiesel, 2006, "Pricing Forward Contracts in Power Markets by the Certainty Equivalence Principle: Explaining the Sign of the Market Risk Premium," Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics, number 0611, Oct.
• Fousseni Chabi-Yo, 2006, "Conditioning Information and Variance Bounds on Pricing Kernels with Higher-Order Moments: Theory and Evidence," Staff Working Papers, Bank of Canada, number 06-38, DOI: 10.34989/swp-2006-38.
• Francisco Alonso & Santiago Forte & José M. Marqués, 2006, "Implied default barrier in credit default swap premia," Working Papers, Banco de España, number 0639, Dec.
• Patrizio Pagano & Massimiliano Pisani, 2006, "Risk-Adjusted Forecasts of Oil Prices," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 585, Mar.
• Nikola Tarashev & Kostas Tsatsaronis, 2006, "Risk premia across asset markets: information from option prices," BIS Quarterly Review, Bank for International Settlements, March.
• Maurizio Luisi & Jeffery D. Amato, 2006, "Macro factors in the term structure of credit spreads," BIS Working Papers, Bank for International Settlements, number 203, Mar.
• Nikola A. Tarashev & Haibin Zhu, 2006, "The pricing of portfolio credit risk," BIS Working Papers, Bank for International Settlements, number 214, Sep.
• Chiaki Hara, 2006, "Heterogeneous Risk Attitudes In A Continuous‐Time Model," The Japanese Economic Review, Japanese Economic Association, volume 57, issue 3, pages 377-405, September, DOI: 10.1111/j.1468-5876.2006.00377.x.
• Andrew Ang & Robert J. Hodrick & Yuhang Xing & Xiaoyan Zhang, 2006, "The Cross‐Section of Volatility and Expected Returns," Journal of Finance, American Finance Association, volume 61, issue 1, pages 259-299, February, DOI: 10.1111/j.1540-6261.2006.00836.x.
• Jan Ericsson & Olivier Renault, 2006, "Liquidity and Credit Risk," Journal of Finance, American Finance Association, volume 61, issue 5, pages 2219-2250, October, DOI: 10.1111/j.1540-6261.2006.01056.x.
• Eckhard Platen, 2006, "A Benchmark Approach To Finance," Mathematical Finance, Wiley Blackwell, volume 16, issue 1, pages 131-151, January, DOI: 10.1111/j.1467-9965.2006.00265.x.
• Kjell Bjørn Nordal, 2006, "Banks’ optimal implementation strategies for a risk sensitive regulatory capital rule: a real options and signalling approach," Working Paper, Norges Bank, number 2006/12, Dec.
• Naohiko Baba & Hiromichi Goko, 2006, "Survival Analysis of Hedge Funds," Bank of Japan Working Paper Series, Bank of Japan, number 06-E-5, Mar.
• Alan De Genaro Dario, 2006, "Pricing Volatility Referenced Assets," Brazilian Review of Finance, Brazilian Society of Finance, volume 4, issue 2, pages 203-228.
• Christopher Knittel & Catherine Wolfram & James Bushnell & Severin Borenstein, 2006, "Inefficiencies and Market Power in Financial Arbitrage: A Study of California?s Electricity Markets," Working Papers, University of California, Davis, Department of Economics, number 105, Nov.
• Dirk Hackbarth & Erwan Morellec, 2006, "Stock Returns in Mergers and Acquisitions," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 06-01, Oct.
• Erwan Morellec & Alexei Zhdanov, 2006, "Financing and Takeovers," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 06-22, Oct.
• Philippe Ehlers & Philipp J. Schonbucher, 2006, "Pricing Interest Rate-SensitiveCredit Portfolio Derivatives," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 06-39, Jul, revised Dec 2006.
• Philippe Ehlers & Philipp J. Schoenbucher, 2007, "Background Filtrations andCanonical Loss Processes for Top-Down Models of Portfolio Credit Risk," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 07-07, Jan.
• Christian-Olivier Ewald & Klaus Reiner Schenk-Hoppe & Zhaojun Yang, 2007, "Closed-Form Solutions For European And Digital Calls In The Hull And White Stochastic Volatility Model And Their Relation To Locally R-Minimizing And Delta Hedges," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 07-11, Aug.
• Jaime Villamil, 2006, "Modelos de valoración de opciones europeas en tiempo continuo," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID.
• Yaiza García Padrón & Juan García Boza, 2006, "Revisión bibliográfica de la evidencia empírica de los modelos multifactoriales de valoración de activos financieros," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID.
• Wolfers, Justin & Zitzewitz, Eric & Snowberg, Erik, 2006, "Partisan Impacts on the Economy: Evidence from Prediction Markets and Close Elections," CEPR Discussion Papers, Centre for Economic Policy Research, number 5591, Apr.
• Wolfers, Justin & Zitzewitz, Eric, 2006, "Interpreting Prediction Market Prices as Probabilities," CEPR Discussion Papers, Centre for Economic Policy Research, number 5676, May.
• Uppal, Raman & Bhamra, Harjoat Singh, 2006, "The Effect of Introducing a Non-redundant Derivative on the Volatility of Stock-Market Returns," CEPR Discussion Papers, Centre for Economic Policy Research, number 5726, Jun.
• Ken Hung & Chang-Wen Duan & Chin W. Yang, 2006, "Rating, Credit Spread, and Pricing Risky Debt: Empirical Study on Taiwan's Security Market," Annals of Economics and Finance, Society for AEF, volume 7, issue 2, pages 405-424, November.
• Prasad Bhattacharaya & Harminder Singh, 2006, "Estimating Forward Pricing Function: How Efficient is Indian Stock Index Futures Market?," Working Papers, Deakin University, Department of Economics, number 2006_02, May.
• Prasad Bhattacharaya & Harminder Singh & Gerard Gannon, 2006, "Time-Varying Hedge Ratios: An Application to the Indian Stock Futures Market," Working Papers, Deakin University, Department of Economics, number 2006_03, Aug.
• Abdelaziz Elmarzougui, 2006, "Evolution et sensibilité des stock-options : cas du marché français," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2006-8.
• Quentin C. Chu & Mustafa Mesut Kayali, 2006, "Standard & Poor’S Depositary Receipts And The Market Quality Of S&P 500 Index Futures," Applied Econometrics and International Development, Euro-American Association of Economic Development, volume 6, issue 3.
• Peter C. B. Phillips & Jun Yu, 2006, "A Two-Stage Realized Volatility Approach to Estimation of Diffusion Processes with Discrete," Macroeconomics Working Papers, East Asian Bureau of Economic Research, number 22472, Jan.
• Christensen, Bent Jesper & Nielsen, Morten Orregaard, 2006, "Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting," Journal of Econometrics, Elsevier, volume 133, issue 1, pages 343-371, July.
• Rossi, Alessandro & Gallo, Giampiero M., 2006, "Volatility estimation via hidden Markov models," Journal of Empirical Finance, Elsevier, volume 13, issue 2, pages 203-230, March.
• Denzler, Stefan M. & Dacorogna, Michel M. & Muller, Ulrich A. & McNeil, Alexander J., 2006, "From default probabilities to credit spreads: Credit risk models do explain market prices," Finance Research Letters, Elsevier, volume 3, issue 2, pages 79-95, June.
• Realdon, Marco, 2006, "Quadratic term structure models in discrete time," Finance Research Letters, Elsevier, volume 3, issue 4, pages 277-289, December.
• Los, Cornelis A., 2006, "System identification in noisy data environments: An application to six Asian stock markets," Journal of Banking & Finance, Elsevier, volume 30, issue 7, pages 1997-2024, July.
• Quiggin, John & Chambers, Robert G., 2006, "Capital market equilibrium with moral hazard and flexible technology," Journal of Mathematical Economics, Elsevier, volume 42, issue 3, pages 358-363, June.
• Betts, Caroline M. & Kehoe, Timothy J., 2006, "U.S. real exchange rate fluctuations and relative price fluctuations," Journal of Monetary Economics, Elsevier, volume 53, issue 7, pages 1297-1326, October.
• Beber, Alessandro & Brandt, Michael W., 2006, "The effect of macroeconomic news on beliefs and preferences: Evidence from the options market," Journal of Monetary Economics, Elsevier, volume 53, issue 8, pages 1997-2039, November.
• Cho, Young-Hyun & Linton, Oliver & Whang, Yoon-Jae, 2006, "Are there Monday effects in stock returns: a stochastic dominance approach," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24520, Sep.
• Jorge H. del Castillo-Spíndola, 2006, "A Non-Parametric Test of the Conditional CAPM for the Mexican Economy," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, volume 21, issue 2, pages 275-297.
• Tomáš Tichý, 2006, "Model Dependency of the Digital Option Replication – Replication under an Incomplete Model (in English)," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 56, issue 7-8, pages 361-379, July.
• Matteo Manera & Elisa Scarpa, 2006, "Pricing and Hedging Illiquid Energy Derivatives:an Application to the JCC Index," Working Papers, Fondazione Eni Enrico Mattei, number 2006.130, Oct.
• Pengguo wang, 2006, "Option Pricing with Long-Short Spreads," Frontiers in Finance and Economics, SKEMA Business School, volume 3, issue 1, pages 1-28, June.
• Fajardo, Jose Santiago, 2006, "Equivalent Martingale Measures and Lévy Processes," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), volume 60, issue 4, February.
• Erik Snowberg & Justin Wolfers & Eric Zitzewitz, 2006, "Partisan Impacts on the Economy: Evidence from Prediction Markets and Close Elections," Working Paper Series, Federal Reserve Bank of San Francisco, number 2006-08, DOI: 10.24148/wp2006-08.
• Justin Wolfers & Eric Zitzewitz, 2006, "Interpreting Prediction Market Prices as Probabilities," Working Paper Series, Federal Reserve Bank of San Francisco, number 2006-11, Apr, DOI: 10.24148/wp2006-11.
• Tim Bollerslev & Hao Zhou, 2006, "Expected stock returns and variance risk premia," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2007-11.
• Timothy J. Kehoe & David K. Levine, 2006, "Bankruptcy and collateral in debt constrained markets," Staff Report, Federal Reserve Bank of Minneapolis, number 380.
• Yoon-Jae Whang & Young-Hyun Cho & Oliver Linton, 2006, "Are there Monday effects in Stock Returns: A Stochastic Dominance Approach," FMG Discussion Papers, Financial Markets Group, number dp568, Sep.
• Nicole Branger & Antje Mahayni, 2006, "Tractable Hedging - An Implementation of Robust Hedging Strategies," Working Paper Series: Finance and Accounting, Department of Finance, Goethe University Frankfurt am Main, number 135.
• A Gregoriou & A Kontonikas & R MacDonald & A Montagnoli, 2006, "Monetary Policy Shocks and Stock Returns: Evidence from the British Market," Working Papers, Business School - Economics, University of Glasgow, number 2006_15, Sep.
• Hayette Gatfaoui, 2006, "Idiosyncratic Risk, Systematic Risk and Stochastic Volatility: An Implementation of Merton's Credit Risk Valuation," Post-Print, HAL, number hal-00589918.
• Døskeland, Trond M. & Nordahl, Helge A., 2006, "Intergenerational Effects of Guaranteed Pension Contracts," Discussion Papers, Norwegian School of Economics, Department of Business and Management Science, number 2006/13, Oct, revised 21 Jun 2007.
• Døskeland, Trond M. & Nordahl, Helge A., 2006, "Optimal Pension Insurance Design," Discussion Papers, Norwegian School of Economics, Department of Business and Management Science, number 2006/14, Oct, revised 21 Jun 2007.
• Bjerksund, Petter & Stensland, Gunnar, 2006, "Closed form spread option valuation," Discussion Papers, Norwegian School of Economics, Department of Business and Management Science, number 2006/20, Dec.