Research classified by Journal of Economic Literature (JEL) codes

2006

• Freddy Delbaen & Walter Schachermayer, 2006, "The Mathematics of Arbitrage," Springer Finance, Springer, number 978-3-540-31299-4, ISBN: ARRAY(0x5f74e488), October, 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(0x5f09f330), October, 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.
• Gary Gorton & K. Geert Rouwenhorst, 2006, "Facts and Fantasies about Commodity Futures," Financial Analysts Journal, Taylor & Francis Journals, volume 62, issue 2, pages 47-68, March, DOI: 10.2469/faj.v62.n2.4083.
• 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.

2005

• Giorgio Valente, 2005, "US Monetary Policy Announcements and the Term Structure of Interest Rate Differentials: Evidence from Hong Kong and Singapore," Working Papers, Hong Kong Institute for Monetary Research, number 092005, Sep.
• José Fajardo & Ernesto Mordecki, 2005, "Duality and Derivative Pricing with Lévy Processes," IBMEC RJ Economics Discussion Papers, Economics Research Group, IBMEC Business School - Rio de Janeiro, number 2005-01, Nov.
• José Fajardo, 2005, "Equivalent Martingale Measures and Lévy Processes," IBMEC RJ Economics Discussion Papers, Economics Research Group, IBMEC Business School - Rio de Janeiro, number 2005-07, Nov.
• José Fajardo & Ernesto Mordecki, 2005, "Duality and Derivative Pricing with Time-Changed Lévy Processes," IBMEC RJ Economics Discussion Papers, Economics Research Group, IBMEC Business School - Rio de Janeiro, number 2005-12, Nov.
• Walter Novaes & Fernando N. de Oliveira, 2005, "Demanda de Derivativos de Câmbio no Brasil: Hedge ou Especulação," IBMEC RJ Economics Discussion Papers, Economics Research Group, IBMEC Business School - Rio de Janeiro, number 2005-14, Dec.
• Eva Ferreira & Mónica Gago & Angel León & Gonzalo Rubio, 2005, "An empirical comparison of the performance of alternative option pricing models," Investigaciones Economicas, Fundación SEPI, volume 29, issue 3, pages 483-523, September.
• David McCarthy & Anthony Neuberger, 2005, "The Pension Protection Fund," Fiscal Studies, Institute for Fiscal Studies, volume 26, issue 2, pages 139-167, June.
• Nagaev, Alexander V. & Nagaev, Sergei A. & Kunst, Robert M., 2005, "A Diffusion Approximation for the Riskless Profit Under Selling of Discrete Time Call Options. Non-identically Distributed Jumps," Economics Series, Institute for Advanced Studies, number 164, Jan.
• Nagaev, Alexander V. & Nagaev, Sergei A. & Kunst, Robert M., 2005, "A Diffusion Approximation to the Markov Chains Model of the Financial Market and the Expected Riskless Profit Under Selling of Call and Put Options," Economics Series, Institute for Advanced Studies, number 165, Jan.
• Richard Lu & Yi-Hwa Hsu, 2005, "Valuation of Standard Options under the Constant Elasticity of Variance Model," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, volume 4, issue 2, pages 157-165, August.
• Humberto Banda Ortiz & Orestes Gámez Díaz, 2005, "Aproximación A La Valoración De Opciones Bajo El Análisis De La Teoría De Juegos," 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 4, issue 1, pages 33-40, Marzo 200.
• Francisco Venegas-Martínez & Gerardo Pioquinto Aguilar Sánchez, 2005, "Maximización De Utilidad Y Valuación De Opciones Con Volatilidad Estocástica," 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 4, issue 2, pages 175-184, Junio 200.
• Igor P. Rivera, 2005, "Aproximación Analítica Al Precio De Una Opción Americana: Evaluación A Un Año De Su Aparición En Mexder," 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 4, issue 3, pages 211-222, Septiembr.
• V. L. Martin & G. M. Martin & G. C. Lim, 2005, "Parametric pricing of higher order moments in S&P500 options," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 20, issue 3, pages 377-404, DOI: 10.1002/jae.762.
• William M. Fonta & H. Eme Ichoku, 2005, "The application of contingent valuation method to community-led financing schemes: evidence from rural cameroon," Journal of Developing Areas, Tennessee State University, College of Business, volume 39, issue 1, pages 109-126, September.
• G. M. Constantinides & J. B. Donaldson & R. Mehra, 2005, "Junior must pay: pricing the implicit put in privatizing Social Security," Annals of Finance, Springer, volume 1, issue 1, pages 1-34, January, DOI: 10.1007/s10436-004-0002-7.
• Robert J. Elliott & Leunglung Chan & Tak Kuen Siu, 2005, "Option pricing and Esscher transform under regime switching," Annals of Finance, Springer, volume 1, issue 4, pages 423-432, October, DOI: 10.1007/s10436-005-0013-z.
• Wolfgang Breymann & Leah Kelly & Eckhard Platen, 2005, "Intraday Empirical Analysis and Modeling of Diversified World Stock Indices," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, volume 12, issue 1, pages 1-28, March, DOI: 10.1007/s10690-006-9010-0.
• David McMillan & Alan Speight, 2005, "Long-memory and heterogeneous components in high frequency Pacific-Basin exchange rate volatility," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, volume 12, issue 3, pages 199-226, September, DOI: 10.1007/s10690-006-9023-8.
• Albrecht Rothacher, 2005, "Book Review," Asia Europe Journal, Springer, volume 3, issue 1, pages 119-125, January, DOI: 10.1007/s10308-004-0126-4.
• Albrecht Rothacher, 2005, "Book Review," Asia Europe Journal, Springer, volume 3, issue 2, pages 285-289, July, DOI: 10.1007/s10308-005-0146-8.
• Albrecht Rothacher, 2005, "Book Review," Asia Europe Journal, Springer, volume 3, issue 2, pages 291-294, July, DOI: 10.1007/s10308-005-0147-7.
• Albrecht Rothacher, 2005, "Book Review," Asia Europe Journal, Springer, volume 3, issue 2, pages 295-299, July, DOI: 10.1007/s10308-005-0148-6.
• Radnai, Márton, 2005, "Indexált alaptermék árú opciók
  [Indexed options based on the underlying price]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), volume 0, issue 2, pages 130-143.
• Chiaki Hara, 2005, "Heterogeneous Risk Attitudes in a Continuous-Time Model," KIER Working Papers, Kyoto University, Institute of Economic Research, number 609, Dec.
• Georges Dionne & Geneviève Gauthier & Khemais Hammami & Mathieu Maurice & Jean-Guy Simonato, 2005, "Default Risk in Corporate Yield Spreads," Cahiers de recherche, CIRPEE, number 0532.
• Paola Zerilli, 2005, "Option pricing and spikes in volatility: theoretical and empirical analysis," Money Macro and Finance (MMF) Research Group Conference 2005, Money Macro and Finance Research Group, number 76, Sep.
• Áron Gereben & Klára Pintér, 2005, "Implied volatility of foreign exchange options: is it worth tracking?," MNB Occasional Papers, Magyar Nemzeti Bank (Central Bank of Hungary), number 2005/39.
• V. Moriggia & S. Muzzioli & C. Torricelli, 2005, "The no arbitrage condition in option implied trees: evidence from the Italian index options market," Department of Economics, University of Modena and Reggio E., Faculty of Economics "Marco Biagi", number 0491, May.
• Toshiaki Watanabe & Hirokuni Uchiyama, 2005, "Structural Change in Japanese Business Fluctuations and Nikkei 225 Stock Index Futures Transactions," Public Policy Review, Policy Research Institute, Ministry of Finance Japan, volume 1, issue 1, pages 19-32, March.
• Jae H. Kim & Hristos Doucouliagos, 2005, "Realized Volatility and Correlation in Grain Futures Markets: Testing for Spill-Over Effects," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 22/05, Sep.
• Menzie D. Chinn & Michael LeBlanc & Olivier Coibion, 2005, "The Predictive Content of Energy Futures: An Update on Petroleum, Natural Gas, Heating Oil and Gasoline," NBER Working Papers, National Bureau of Economic Research, Inc, number 11033, Jan.
• Bart Lambrecht & Stewart C. Myers, 2005, "A Theory of Takeovers and Disinvestment," NBER Working Papers, National Bureau of Economic Research, Inc, number 11082, Jan.
• Claude B. Erb & Campbell R. Harvey, 2005, "The Tactical and Strategic Value of Commodity Futures," NBER Working Papers, National Bureau of Economic Research, Inc, number 11222, Mar.
• Leonid Kogan & Dmitry Livdan & Amir Yaron, 2005, "Futures Prices in a Production Economy with Investment Constraints," NBER Working Papers, National Bureau of Economic Research, Inc, number 11509, Aug.
• Bruce N. Lehmann, 2005, "Notes for a Contingent Claims Theory of Limit Order Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 11533, Aug.
• Nicolae Garleanu & Lasse Heje Pedersen & Allen M. Poteshman, 2005, "Demand-Based Option Pricing," NBER Working Papers, National Bureau of Economic Research, Inc, number 11843, Dec.
• Jaime Casassus & Pierre Collin-Dufresne & Bryan R. Routledge, 2005, "Equilibrium Commodity Prices with Irreversible Investment and Non-Linear Technology," NBER Working Papers, National Bureau of Economic Research, Inc, number 11864, Dec.
• Alonso Bonis, Susana & Vallelado González, Eleuterio & Henriques Xavier, José Manuel, 2005, "La flexibilidad como creadora de valor. El caso de una explotación forestal en Portugal," Working Papers "New Trends on Business Administration". Documentos de Trabajo "Nuevas Tendencias en Dirección de Empresas"., Interuniversity Research Master and Doctorate Program (with a quality mention of ANECA) on "Business Economics", Universities of Valladolid, Burgos, Salamanca and León (Spain). Until 2008, Interuniversity Doctorate Program (with a quality mention of ANECA) “New trends in Business Administration”, Universities of Valladolid, Burgos, and Salamanca (Spain). Master en Investigación y Programa de Docto, number 2005-11, Dec.
• Yasuhiro Tamba, 2005, "Pricing a Bermudan Swaption with a Short Rate Lattice Method," Discussion Papers in Economics and Business, Osaka University, Graduate School of Economics, number 05-03, Mar.
• Ken-ichi Mitsui & Yoshio Tabata, 2005, "Wavelet based Multi-grid analysis, Wavelet Galerkin method and their Applications to American option: A Survey," Discussion Papers in Economics and Business, Osaka University, Graduate School of Economics, number 05-26, Oct.
• Peter C. B. Phillips, 2005, "Jackknifing Bond Option Prices," The Review of Financial Studies, Society for Financial Studies, volume 18, issue 2, pages 707-742.
• Luca Pieroni & Matteo Ricciarelli, 2005, "Modelling Dynamic Storage Function in Commodity Markets:Theory and Evidence," Quaderni del Dipartimento di Economia, Finanza e Statistica, Università di Perugia, Dipartimento Economia, number 11/2005, Jun.
• Francois-Éric Racicot & Raymond Théoret, 2005, "De l'évaluation du risque de crédit," RePAd Working Paper Series, Département des sciences administratives, UQO, number UQO-DSA-wp0322005, Sep.
• Francois-Éric Racicot & Raymond Théoret, 2005, "L'assurance de portefeuille: Simulations en Visual Basic de portefeuilles visant à reproduire les flux monétaires de stratégies d'options," RePAd Working Paper Series, Département des sciences administratives, UQO, number UQO-DSA-wp0332005, Nov.
• ilya, gikhman, 2005, "Options valuation," MPRA Paper, University Library of Munich, Germany, number 1452.
• Fleten, Stein-Erik & Maribu, Karl Magnus & Wangensteen, Ivar, 2005, "Optimal investment strategies in decentralized renewable power generation under uncertainty," MPRA Paper, University Library of Munich, Germany, number 218, Mar, revised Jun 2006.
• Carey, Alexander, 2005, "Higher-order volatility," MPRA Paper, University Library of Munich, Germany, number 4993, Dec.
• Hung, Mao-wei & Lee, Cheng-few & So, Leh-chyan, 2005, "Hedging with Foreign-listed Single Stock Futures," MPRA Paper, University Library of Munich, Germany, number 52372.
• Carol Alexandra & Emese Lazar, 2005, "The Continuous Limit of GARCH Processess," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2004-09, Feb, revised Jul 2004.
• Adrian Bell & Chris Brooks & Paul Dryburgh, 2005, "Advance Contracts for the Sale of Wool in Medieval England; An Undeveloped and Inefficient Market?," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2005-01, Feb, revised Nov 2005.
• Carol Alexandra & Emese Lazar, 2005, "On The Continuous Limit of GARCH," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2005-13, Nov.
• Carol Alexandra & Emese Lazar, 2005, "Asymmetries and Volatility Regimes in the European Equity Markets," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2005-14, Nov.
• Marcio Gomes Pinto Garcia & Fábio Urban, 2005, "O Mercado interbancário de câmbio no Brasil,Creation-Date: 2005-07," Textos para discussão, Department of Economics PUC-Rio (Brazil), number 509, Mar.
• Damiano Brigo & Massimo Morini, 2005, "Efficient pricing of default risk: Different approaches for a single goal," Journal of Financial Transformation, Capco Institute, volume 13, pages 151-160.
• Bart Lambrecht, 2005, "Mergers and acquisitions as a response to economic change," Journal of Financial Transformation, Capco Institute, volume 13, pages 73-76.
• Andrea Gheno, 2005, "Corporate valuations and the merton model," Departmental Working Papers of Economics - University 'Roma Tre', Department of Economics - University Roma Tre, number 0055, Dec.
• Oleksandr Zhylyevskyy, 2005, "Pricing American-style Derivatives under the Heston Model Dynamics: A Fast Fourier Transformation in the Geske–Johnson Scheme," Computing in Economics and Finance 2005, Society for Computational Economics, number 187, Nov.
• Christoph Schleicher & Matthew Hurd & Mark Salmon, 2005, "Using Copulas to Construct Bivariate Foreign Exchange Distributions with an Application to the Sterling Exchange Rate Index," Computing in Economics and Finance 2005, Society for Computational Economics, number 215, Nov.
• Alfredo Ibáñez, 2005, "Option-Pricing in Incomplete Markets: The Hedging Portfolio plus a Risk Premium-Based Recursive Approach," Computing in Economics and Finance 2005, Society for Computational Economics, number 216, Nov.
• Ilir Roko & Pierangelo Ciurlia, 2005, "Alternative Characterizations of the European Continuous-Installment Option Valuation Problem," Computing in Economics and Finance 2005, Society for Computational Economics, number 221, Nov.
• Ing-Chyuan Wu, 2005, "Neural Networks for Extracting the Asset Price Dynamics Implicit in Market Prices of Stock Index Options," Computing in Economics and Finance 2005, Society for Computational Economics, number 223, Nov.
• Marian Micu, 2005, "Extracting expectations from currency option prices: a comparison of methods," Computing in Economics and Finance 2005, Society for Computational Economics, number 226, Nov.
• Sheri Markose & Amadeo Alentorn, 2005, "Option Pricing and the Implied Tail Index with the Generalized Extreme Value (GEV) Distribution," Computing in Economics and Finance 2005, Society for Computational Economics, number 397, Nov.
• Gerald H. L. Cheang & Carl Chiarella & Andrew Ziogas, 2005, "The Valuation Of American Exchange Options Under," Computing in Economics and Finance 2005, Society for Computational Economics, number 483, Nov.
• A. Ziogas & G. Cheang & C. Chiarella, 2005, "The Valuation of Multiple Asset American Options under Jump Diffusion Processes," Computing in Economics and Finance 2005, Society for Computational Economics, number 83, Nov.
• Caroline M. Betts & Timothy J. Kehoe, 2005, "U.S. Real Exchange Rate Fluctuations and Relative Price Fluctuations," IEPR Working Papers, Institute of Economic Policy Research (IEPR), number 05.16, Mar.
• Samuel Hanson & M. Hashem Pesaran & Til Schuermann, 2005, "Scope for Credit Risk Diversification," IEPR Working Papers, Institute of Economic Policy Research (IEPR), number 05.18, Feb.
• Céline Azizieh & Wolfgang Breymann, 2005, "Estimation of the Stylized Facts of a Stochastic Cascade Model," Working Papers CEB, ULB -- Universite Libre de Bruxelles, number 05-009.RS.
• Boes, M.J. & Drost, F.C. & Werker, B.J.M., 2005, "The Impact of Overnight Periods on Option Pricing," Discussion Paper, Tilburg University, Center for Economic Research, number 2005-1.
• Magis, P. & Sbuelz, A., 2005, "The Value of Fighting Irreversible Demise by Softening the Irreversible Cost," Discussion Paper, Tilburg University, Center for Economic Research, number 2005-26.
• Boes, M.J. & Drost, F.C. & Werker, B.J.M., 2005, "The Impact of Overnight Periods on Option Pricing," Other publications TiSEM, Tilburg University, School of Economics and Management, number 2c3a7553-f718-4caa-90f2-b.
• Eckhard Platen, 2005, "On the Role of the Growth Optimal Portfolio in Finance," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 144, Jan.
• Kevin Fergusson & Eckhard Platen, 2005, "On the Distributional Characterization of Log-returns of a World Stock Index," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 153, Mar.
• David Heath & Eckhard Platen, 2005, "Currency Derivatives under a Minimal Market Model with Random Scaling," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 154, Mar.
• Hardy Hulley & Shane Miller & Eckhard Platen, 2005, "Benchmarking and Fair Pricing Applied to Two Market Models," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 155, Mar.
• Nicola Bruti-Liberati & Filippo Martini & Massimo Piccardi & Eckhard Platen, 2005, "A Hardware Generator of Multi-point Distributed Random Numbers for Monte Carlo Simulation," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 156, Apr.
• Nicola Bruti-Liberati & Eckhard Platen, 2005, "On the Strong Approximation of Jump-Diffusion Processes," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 157, Apr.
• Eckhard Platen, 2005, "Investments for the Short and Long Run," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 163, Aug.
• Nicola Bruti-Liberati & Eckhard Platen, 2005, "On the Strong Approximation of Pure Jump Processes," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 164, Jul.
• Carl Chiarella & Christina Nikitopoulos-Sklibosios & Erik Schlogl, 2005, "A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton with Jumps," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 167, Sep.
• G. C. Lim & G. M. Martin & V. L. Martin, 2005, "Parametric pricing of higher order moments in S&P500 options," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 20, issue 3, pages 377-404, March, DOI: 10.1002/jae.762.
• Rafal Weron, 2005, "Market price of risk implied by Asian-style electricity options," Econometrics, University Library of Munich, Germany, number 0502003, Feb.
• Raoul Pietersz & Antoon Pelsser, 2005, "Risk Managing Bermudan Swaptions in the Libor BGM Model," Finance, University Library of Munich, Germany, number 0502004, Feb.
• Raoul Pietersz & Antoon Pelsser & Marcel van Regenmortel, 2005, "Fast drift approximated pricing in the BGM model," Finance, University Library of Munich, Germany, number 0502005, Feb.
• Raoul Pietersz & Patrick J. F. Groenen, 2005, "Rank Reduction of Correlation Matrices by Majorization," Finance, University Library of Munich, Germany, number 0502006, Feb.
• Igor Grubisic & Raoul Pietersz, 2005, "Efficient Rank Reduction of Correlation Matrices," Finance, University Library of Munich, Germany, number 0502007, Feb.
• Raoul Pietersz & Antoon Pelsser, 2005, "A Comparison of Single Factor Markov-functional and Multi Factor Market Models," Finance, University Library of Munich, Germany, number 0502008, Feb.
• Raoul Pietersz & Marcel van Regenmortel, 2005, "Generic Market Models," Finance, University Library of Munich, Germany, number 0502009, Feb.
• Henrard Marc, 2005, "Eurodollar futures and options: convexity adjustment in HJM one- factor model," Finance, University Library of Munich, Germany, number 0503005, Mar.
• Christian P. Fries & Joerg Kampen, 2005, "Proxy simulation schemes using likelihood ratio weighted Monte Carlo for generic robust Monte-Carlo sensitivities and high accuracy drift approximation (with applications to the LIBOR Market Model)," Finance, University Library of Munich, Germany, number 0504010, Apr.
• Stefan Denzler & Michel M. Dacorogna & Ulrich A. Mueller & Alexander McNeil, 2005, "From Default Probabilities To Credit Spreads: Credit Risk Models Do Explain Market Prices," Finance, University Library of Munich, Germany, number 0504011, Apr.
• Joao C. A. Teixeira, 2005, "An empirical analysis of structural models of corporate debt pricing," Finance, University Library of Munich, Germany, number 0505001, May.
• Marc Henrard, 2005, "Bermudan swaptions in Hull-White one-factor model: analytical and numerical approaches," Finance, University Library of Munich, Germany, number 0505023, May.
• Manuel Ammann & Axel Kind & Christian Wilde, 2005, "Simulation-Based Pricing of Convertible Bonds," Finance, University Library of Munich, Germany, number 0507015, Jul.
• Cornelis A. Los, 2005, "The Degree of Stability of Price Diffusion," Finance, University Library of Munich, Germany, number 0508006, Aug.
• Cornelis A. Los & Bing Yu, 2005, "Persistence Characteristics of the Chinese Stock Markets," Finance, University Library of Munich, Germany, number 0508008, Aug.
• Jaime Londoño, 2005, "Dynamic State Tameness," Finance, University Library of Munich, Germany, number 0509010, Sep, revised 20 Sep 2005.
• Marc Henrard, 2005, "Convexity adjustment and delivery option in Australian dollar 90 Day Bills Futures," Finance, University Library of Munich, Germany, number 0509027, Sep.
• Stefano Galluccio & Yann Le Cam, 2005, "Implied Calibration of Stochastic Volatility Jump Diffusion Models," Finance, University Library of Munich, Germany, number 0510028, Oct.
• Christian Fries, 2005, "The Foresight Bias in Monte-Carlo Pricing of Options with Early," Finance, University Library of Munich, Germany, number 0511002, Nov, revised 08 Nov 2005.
• paolo pianca, 2005, "Simple Formulas to Option Pricing and Hedging in the Black- Scholes Model," Finance, University Library of Munich, Germany, number 0511005, Nov.
• Martina Nardon, 2005, "Valuing defaultable bonds: an excursion time approach," Finance, University Library of Munich, Germany, number 0511015, Nov.
• Marc Henrard, 2005, "Libor Market Model and Gaussian HJM explicit approaches to option on composition," Finance, University Library of Munich, Germany, number 0511016, Nov, revised 07 Dec 2005.
• Dimitris Kenourgios, 2005, "Price Discovery In The Athens Derivatives Exchange: Evidence For The Ftse/Ase-20 Futures Market," Finance, University Library of Munich, Germany, number 0512014, Dec.
• Dimitris Kenourgios, 2005, "Testing Efficiency And The Unbiasedness Hypothesis Of The Emerging Greek Futures Market," Finance, University Library of Munich, Germany, number 0512015, Dec.
• Dimitris Kenourgios & Aristeidis Samitas & Panagiotis Drosos, 2005, "Hedge ratio estimation and hedging effectiveness: the case of the S&P 500 stock index futures contract," Finance, University Library of Munich, Germany, number 0512018, Dec.
• Daniel Levy & Shantanu Dutta & Mark Bergen & Robert Venable, 2005, "Price Adjustment at Multiproduct Retailers," Industrial Organization, University Library of Munich, Germany, number 0505005, May.
• Daniel Levy & Mark Bergen & Shantanu Dutta & Robert Venable, 2005, "The Magnitude of Menu Costs: Direct Evidence from Large U.S. Supermarket Chains," Macroeconomics, University Library of Munich, Germany, number 0505012, May.
• Don U. A. Galagedera & Robert Faff, 2005, "Modeling The Risk And Return Relation Conditional On Market Volatility And Market Conditions," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., volume 8, issue 01, pages 75-95, DOI: 10.1142/S0219024905002901.
• Eckhard Platen, 2005, "An Alternative Interest Rate Term Structure Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., volume 8, issue 06, pages 717-735, DOI: 10.1142/S0219024905003244.
• M. Tudela & G. Young, 2005, "A Merton-Model Approach To Assessing The Default Risk Of Uk Public Companies," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., volume 8, issue 06, pages 737-761, DOI: 10.1142/S0219024905003256.
• David Heath & Eckhard Platen, 2005, "Currency Derivatives Under A Minimal Market Model With Random Scaling," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., volume 8, issue 08, pages 1157-1177, DOI: 10.1142/S0219024905003360.
• Mao-wei Hung & Cheng-few Lee & Leh-chyan So, 2005, "Hedging with Foreign-Listed Single Stock Futures," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 8, in: Cheng-Few Lee, "Advances In Quantitative Analysis Of Finance And Accounting New Series".
• Ewa Broszkiewicz-Suwaj & Aleksander Weron, 2005, "Calibration of the multifactor HJM model for energy market," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/05/03.
• Joan Jasiak & R. Sufana & C. Gourieroux, 2005, "The Wishart Autoregressive Process of Multivariate Stochastic Volatility," Working Papers, York University, Department of Economics, number 2005_2, Sep.
• Chen, An, 2005, "Loss Analysis of a Life Insurance Company Applying Discrete-time Risk-minimizing Hedging Strategies," Bonn Econ Discussion Papers, University of Bonn, Bonn Graduate School of Economics (BGSE), number 19/2005.
• Mahayni, Antje & Suchanecki, Michael, 2005, "Produktdesign und Semi-Statische Absicherung von Turbo-Zertifikaten," Bonn Econ Discussion Papers, University of Bonn, Bonn Graduate School of Economics (BGSE), number 8/2005.
• Krüger, Ulrich & Stötzel, Martin & Trück, Stefan, 2005, "Time series properties of a rating system based on financial ratios," Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank, number 2005,14.
• Constantinides, George M. & Jackwerth, Jens Carsten & Perrakis, Stylianos, 2005, "Option pricing: Real and risk-neutral distributions," CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE), number 05/06.
• Constantinides, George M. & Jackwerth, Jens Carsten & Perrakis, Stylianos, 2005, "Mispricing of S&P 500 index options," CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE), number 05/09.
• Hager, Svenja & Schöbel, Rainer, 2005, "A note on the correlation smile," Tübinger Diskussionsbeiträge, University of Tübingen, School of Business and Economics, number 297.
• Rodt, Marc & Schäfer, Klaus, 2005, "Absicherung von Strompreisrisiken mit Futures: Theorie und Empirie," Freiberg Working Papers, TU Bergakademie Freiberg, Faculty of Economics and Business Administration, number 2005/18.
• Manfredo, Mark R. & Richards, Timothy J., 2005, "Hedging Yield with Weather Derivatives: A Role for Options," 2005 Annual meeting, July 24-27, Providence, RI, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association), number 19369, DOI: 10.22004/ag.econ.19369.
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• Romstad, Eirik & Brimi, Live & Ljorerud, Urda, 2005, "Introducing Genetically Modified Plants: Now or Later - An Option Value Approach," 2005 International Congress, August 23-27, 2005, Copenhagen, Denmark, European Association of Agricultural Economists, number 24655, DOI: 10.22004/ag.econ.24655.
• Lanfranco, Bruno A., 2005, "Cobertura del riesgo precios en los mercados de futuros para carne bovina en el marco de la experiencia uruguaya de 1993," Serie Tecnica, Instituto Nacional de Investigacion Agropecuaria (INIA), number 121755, Dec, DOI: 10.22004/ag.econ.121755.
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• Maria Carmen Badia Batlle & Merche Galisteo & M. Teresa Preixens Benedicto, 2005, "Valoracion de credit default swaps: Una aplicacion del modelo de Hull-White al mercado espanol," Working Papers in Economics, Universitat de Barcelona. Espai de Recerca en Economia, number 130.
• Hortensia Fontanals Albiol & Ramon Lacayo, 2005, "Option Valuation As an Expectation in The Complex Domain: The Black-Scholes Case," Working Papers in Economics, Universitat de Barcelona. Espai de Recerca en Economia, number 142.
• Fousseni Chabi-Yo & René Garcia & Eric Renault, 2005, "State Dependence in Fundamentals and Preferences Explains Risk-Aversion Puzzle," Staff Working Papers, Bank of Canada, number 05-9, DOI: 10.34989/swp-2005-9.
• Marcello Pericoli, 2005, "Can option smiles forecast changes in interest rates? An application to the US, the UK and the euro area," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 545, Feb.
• Jeffery D Amato & Jacob Gyntelberg, 2005, "CDS index tranches and the pricing of credit risk correlations," BIS Quarterly Review, Bank for International Settlements, March.
• Franck Packer & Haibin Zhu, 2005, "Contractual terms and CDS pricing," BIS Quarterly Review, Bank for International Settlements, March.
• Fabio Fornari, 2005, "The rise and fall of US dollar interest rate volatility: evidence from swaptions," BIS Quarterly Review, Bank for International Settlements, September.
• Jeffery D Amato, 2005, "Risk aversion and risk premia in the CDS market," BIS Quarterly Review, Bank for International Settlements, December.
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• Jeffery D. Amato & Eli M Remolona, 2005, "The pricing of unexpected credit losses," BIS Working Papers, Bank for International Settlements, number 190, Nov.
• Martijn Cremers & Joost Driessen & Pascal Maenhout & David Weinbaum, 2005, "Explaining the level of credit spreads: option-implied jump risk premia in a firm value model," BIS Working Papers, Bank for International Settlements, number 191, Nov.
• Eckhard Platen, 2005, "On The Role Of The Growth Optimal Portfolio In Finance," Australian Economic Papers, Wiley Blackwell, volume 44, issue 4, pages 365-388, December, DOI: 10.1111/j.1467-8454.2005.00271.x.
• Gael M. Martin & Catherine S. Forbes & Vance L. Martin, 2005, "Implicit Bayesian Inference Using Option Prices," Journal of Time Series Analysis, Wiley Blackwell, volume 26, issue 3, pages 437-462, May, DOI: 10.1111/j.1467-9892.2005.00410.x.
• Ming Dong & David Hirshleifer, 2005, "A Generalized Earnings‐Based Stock Valuation Model," Manchester School, University of Manchester, volume 73, issue s1, pages 1-31, September, DOI: 10.1111/j.1467-9957.2005.00459.x.
• Vladislav Kargin, 2005, "Lattice Option Pricing By Multidimensional Interpolation," Mathematical Finance, Wiley Blackwell, volume 15, issue 4, pages 635-647, October, DOI: 10.1111/j.1467-9965.2005.00254.x.
• Prasanna Gai & Nicholas Vause, 2005, "Measuring investors' risk appetite," Bank of England Staff Working Paper series, Bank of England, number 283, Nov.
• Guilherme B. Martins & Marcos Eugênio da Silva, 2005, "A Real Option Model with Uncertain, Sequential Investment and with Time to Build," Brazilian Review of Finance, Brazilian Society of Finance, volume 3, issue 2, pages 141-172.
• Hanson, S. & Pesaran, M.H. & Schuermann, T., 2005, "Scope for Credit Risk Diversification," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0519, May.