Research classified by Journal of Economic Literature (JEL) codes

2004

• Masaaki Kijima & Hajime Fujiwara, 2004, "Pricing a Path-dependent American Option by Monte Carlo Simulation," Computing in Economics and Finance 2004, Society for Computational Economics, number 293, Aug.
• Brice Dupoyet, 2004, "Asymmetric Jump Processes: Option Pricing Implications," Computing in Economics and Finance 2004, Society for Computational Economics, number 40, Aug.
• Dietmar Leisen, 2004, "Mixed Lognormal Distributions for Derivatives Pricing and Risk-Management," Computing in Economics and Finance 2004, Society for Computational Economics, number 48, Aug.
• Florian Wagener & William Brock & Cars Hommes, 2004, "Do hedging instruments stabilize markets?," Computing in Economics and Finance 2004, Society for Computational Economics, number 94, Aug.
• Ahmed Loulit, 2004, "Approximating equity volatility," Working Papers CEB, ULB -- Universite Libre de Bruxelles, number 04-028.RS.
• Raoul Pietersz & Patrick Groenen, 2004, "Rank reduction of correlation matrices by majorization," Quantitative Finance, Taylor & Francis Journals, volume 4, issue 6, pages 649-662, DOI: 10.1080/14697680400016182.
• Daal, Elton & Farhat, Joseph Basheer & Wei, Peihwang P., 2004, "Does futures exhibit maturity effect? New evidence from an extensive set of US and foreign futures contracts," Working Papers, University of New Orleans, Department of Economics and Finance, number 2004-03.
• Elisa Alòs, 2004, "A generalization of Hull and White formula and applications to option pricing approximation," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 740, Feb.
• Thierry Chauveau & Hayette Gatfaoui, 2004, "Pricing and Hedging Options in Incomplete Markets: Idiosyncratic Risk, Systematic Risk and Stochastic Volatility," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 122, Apr.
• Hayette Gatfaoui, 2004, "Idiosyncratic Risk, Systematic Risk and Stochastic Volatility: An Implementation of Merton's Credit Risk Valuation," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 123, Apr.
• David Heath & Eckhard Platen, 2004, "Local Volatility Function Models under a Benchmark Approach," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 124, Apr.
• Wolfgang Breymann & Leah Kelly & Eckhard Platen, 2004, "Intraday Empirical Analysis and Modeling of Diversified World Stock Indices," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 125, May.
• David Heath & Eckhard Platen, 2004, "Understanding the Implied Volatility Surface for Options on a Diversified Index," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 128, Jun.
• Eckhard Platen, 2004, "Diversified Portfolios with Jumps in a Benchmark Framework," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 129, Jun.
• Shane Miller & Eckhard Platen, 2004, "Two-Factor Model for Low Interest Rate Regimes," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 130, Aug.
• Carl Chiarella & Erik Schlögl & Christina Nikitopoulos-Sklibosios, 2004, "A Markovian Defaultable Term Structure Model with State Dependent Volatilities," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 135, Oct.
• Eckhard Platen, 2004, "A Benchmark Approach to Finance," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 138, Oct.
• Eckhard Platen & Jason West & Wolfgang Breymann, 2004, "An Intraday Empirical Analysis of Electricity Price Behaviour," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 140, Nov.
• Eckhard Platen, 2004, "Capital Asset Pricing for Markets with Intensity Based Jumps," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 143, Dec.
• Thuy-Duong To, 2004, "A Note on the Bias of using Futures Rates as a Proxy for the Instantaneous Forward Rate," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 149, Dec.
• Mark R. Manfredo & Dwight R. Sanders, 2004, "The forecasting performance of implied volatility from live cattle options contracts: Implications for agribusiness risk management," Agribusiness, John Wiley & Sons, Ltd., volume 20, issue 2, pages 217-230, DOI: 10.1002/agr.20003.
• Thomas Werner & Christian Upper, 2004, "Time variation in the tail behavior of Bund future returns," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 24, issue 4, pages 387-398, April.
• Marc Henrard, 2004, "Overnight Indexed Swaps and Floored Compounded Instrument in HJM One-Factor Model," Finance, University Library of Munich, Germany, number 0402008, Feb.
• Gatfaoui Hayette & Chauveau Thierry, 2004, "Pricing and Hedging Options in Incomplete Markets: Idiosyncratic Risk, Systematic Risk and Stochastic Volatility," Finance, University Library of Munich, Germany, number 0404002, Apr.
• Gatfaoui Hayette, 2004, "How Does Systematic Risk Impact Stocks? A Study On the French Financial Market," Finance, University Library of Munich, Germany, number 0404003, Apr.
• Gatfaoui Hayette, 2004, "Idiosyncratic Risk, Systematic Risk and Stochastic Volatility: An Implementation of Merton’s Credit Risk Valuation," Finance, University Library of Munich, Germany, number 0404004, Apr.
• Sofiane ABOURA, 2004, "GARCH Option Pricing Under Skew," Finance, University Library of Munich, Germany, number 0405032, May.
• Don U.A. Galagedera, 2004, "A survey on risk-return analysis," Finance, University Library of Munich, Germany, number 0406010, Jun.
• Farshid Jamshidian, 2004, "Numeraire-invariant option pricing and american, bermudan, trigger stream rollover (v1.6)," Finance, University Library of Munich, Germany, number 0407015, Jul.
• Marc Henrard, 2004, "Swaptions: 1 price, 10 deltas, and ... 6 1/2 gammas," Finance, University Library of Munich, Germany, number 0407018, Jul, revised 27 Sep 2005.
• Alon Raviv, 2004, "Bank Stability and Market Discipline: Debt-for-Equity Swap versus Subordinated Notes," Finance, University Library of Munich, Germany, number 0408003, Aug.
• Ram Bhar & Carl Chiarella & Thuy-Duong To, 2004, "Estimating the Volatility Structure of an Arbitrage-Free Interest Rate Model Via the Futures Markets," Finance, University Library of Munich, Germany, number 0409003, Sep.
• Enlin Pan & Liuren Wu, 2004, "Taking Positive Interest Rates Seriously," Finance, University Library of Munich, Germany, number 0409013, Sep.
• Peter Carr & Liuren Wu, 2004, "Variance Risk Premia," Finance, University Library of Munich, Germany, number 0409015, Sep.
• Peter Carr & Liuren Wu, 2004, "Static Hedging of Standard Options," Finance, University Library of Munich, Germany, number 0409016, Sep.
• Massoud Heidari & Liuren Wu, 2004, "What Constitutes a Good Model? An Analysis of Models for Mortgage Backed Securities," Finance, University Library of Munich, Germany, number 0409017, Sep.
• Cornelis A. Los, 2004, "The Changing Concept of Financial Risk," Finance, University Library of Munich, Germany, number 0409034, Sep.
• Cornelis A. Los, 2004, "Optimal Multi-Currency Investment Strategies with Exact Attribution in Three Asian Countries," Finance, University Library of Munich, Germany, number 0409047, Sep.
• Cornelis A. Los & Rossitsa M. Yalamova, 2004, "Multi-Fractal Spectral Analysis of the 1987 Stock Market Crash," Finance, University Library of Munich, Germany, number 0409050, Sep.
• Junning Cai, 2004, "Accounting for Employee Stock Options: An Economics Perspective," Finance, University Library of Munich, Germany, number 0410007, Oct, revised 27 Oct 2005.
• Akash Gupta & Samik Metia & Prashant Trivedi, 2004, "The Effects of Option Expiration on NSE volume and prices," Finance, University Library of Munich, Germany, number 0411035, Nov.
• Cornelis A. Los, 2004, "When to Put All Your Eggs in One Basket.....When Diversification Increases Portfolio Risk!," Finance, University Library of Munich, Germany, number 0411037, Nov.
• Zhiwu Chen & Ming Dong, 2004, "Stock Valuation and Investment Strategies," Finance, University Library of Munich, Germany, number 0412007, Dec.
• Ming Dong & David Hirshleifer, 2004, "A Generalized Earnings-Based Stock Valuation Model," Finance, University Library of Munich, Germany, number 0412008, Dec.
• Cornelis A. Los, 2004, "Why VAR Fails: Long Memory and Extreme Events in Financial Markets," Finance, University Library of Munich, Germany, number 0412014, Dec.
• Cornelis A Los, 2004, "System Identification in Noisy Data Environments: An Application to Six Asian Stock Markets," International Finance, University Library of Munich, Germany, number 0410005, Oct.
• Shantanu Dutta & Mark Bergen & Daniel Levy, 2004, "Price Flexibility in Channels of Distribution: Evidence from Scanner Data," Macroeconomics, University Library of Munich, Germany, number 0402018, Feb.
• Daniel Levy & Shantanu Dutta & Mark Bergen, 2004, "Heterogeneity in Price Rigidity: Evidence from a Case Study Using Micro-Level Data," Macroeconomics, University Library of Munich, Germany, number 0402021, Feb.
• Eckhard Platen, 2004, "Modeling The Volatility And Expected Value Of A Diversified World Index," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., volume 7, issue 04, pages 511-529, DOI: 10.1142/S0219024904002499.
• Marco Realdon, 2004, "Valuation Of Exchangeable Convertible Bonds," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., volume 7, issue 06, pages 701-721, DOI: 10.1142/S0219024904002657.
• Mao-wei Hung & Cheng-few Lee & Leh-chyan So, 2004, "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".
• Eckhard Platen, 2004, "A Benchmark Framework for Risk Management," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 15, in: Jiro Akahori & Shigeyoshi Ogawa & Shinzo Watanabe, "Stochastic Processes And Applications To Mathematical Finance".
• Bartosz Stawiarski, 2004, "Finding the optimal exercise time for American warrants on WIG20 futures (Wyznaczanie optymalnego momentu wykonania warrantów amerykańskich na kontrakty futures na indeks WIG20)," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/04/01.
• Rafal Weron & Slawomir Wojcik, 2004, "Principal Components Analysis in implied volatility modeling (Analiza skladowych glownych w modelowaniu implikowanej zmiennosci)," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/04/03.
• Krzysztof Burnecki & Joanna Nowicka-Zagrajek & Aleksander Weron, 2004, "Pure risk premiums under deductibles. A quantitative management in actuarial practice," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/04/05.
• Suchanecki, Michael, 2004, "On an Alternative Approach to Pricing General Barrier Options," Bonn Econ Discussion Papers, University of Bonn, Bonn Graduate School of Economics (BGSE), number 27/2004.
• Boenkost, Wolfram & Schmidt, Wolfgang M., 2004, "Cross currency swap valuation," CPQF Working Paper Series, Frankfurt School of Finance and Management, Centre for Practical Quantitative Finance (CPQF), number 2.
• René M. Stulz, 2004, "Should We Fear Derivatives?," Journal of Economic Perspectives, American Economic Association, volume 18, issue 3, pages 173-192, Summer, DOI: 10.1257/0895330042162359.
• DE SCHEPPER, Ann & HEIJNEN, Bart, 2004, "On the pricing of options under limited information," Working Papers, University of Antwerp, Faculty of Business and Economics, number 2004004, Mar.
• Joseph Atta-Mensah, 2004, "Commodity-Linked Bonds: A Potential Means for Less-Developed Countries to Raise Foreign Capital," Staff Working Papers, Bank of Canada, number 04-20, DOI: 10.34989/swp-2004-20.
• Stuart Turnbull & Jun Yang, 2004, "Modelling the Evolution of Credit Spreads in the United States," Staff Working Papers, Bank of Canada, number 04-45, DOI: 10.34989/swp-2004-45.
• Antonio Di Cesare, 2004, "Estimating expectations of shocks using option prices," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 506, Jul.
• Paolo Guasoni, 2004, "Estimating state price densities by Hermite polynomials: theory and application to the Italian derivatives market," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 507, Jul.
• Díaz de León Carrillo Alejandro & Casanova Martha, 2004, "Market Expectations Implicit in Derivative Prices: Applications to Exchange and Oil Markets," Working Papers, Banco de México, number 2004-01, Jul.
• Igor V. Evstigneev & Klaus Schürger & Michael I. Taksar, 2004, "On The Fundamental Theorem Of Asset Pricing: Random Constraints And Bang‐Bang No‐Arbitrage Criteria," Mathematical Finance, Wiley Blackwell, volume 14, issue 2, pages 201-221, April, DOI: 10.1111/j.0960-1627.2004.00189.x.
• Wolfers Justin & Zitzewitz Eric, 2004, "Experimental Political Betting Markets and the 2004 Election," The Economists' Voice, De Gruyter, volume 1, issue 2, pages 1-8, October, DOI: 10.2202/1553-3832.1016.
• Jorge C. Kapotas & Pedro Paulo Schirmer & Sandro Magalhães Manteiga, 2004, "Forward Volatility Contract Pricing in the Brazilian Market," Brazilian Review of Finance, Brazilian Society of Finance, volume 2, issue 1, pages 1-21.
• Marcelo Nóbrega da Costa & Joe Akira Yoshino, 2004, "Heston Model Calibration in the Brazilian Foreign Exchange (FX) Options Market," Brazilian Review of Finance, Brazilian Society of Finance, volume 2, issue 1, pages 23-46.
• Ney Roberto Ottoni de Brito & Alexandre Bona & Affonso Tarciro, Jr., 2004, "Estimating Risk and Return Combinations for New Derivatives Funds," Brazilian Review of Finance, Brazilian Society of Finance, volume 2, issue 2, pages 119-136.
• Jorge C. Kapotas & Pedro Paulo Schirmer & Marcelo M. Taddeo, 2004, "Credit Derivatives Pricing in Brazil," Brazilian Review of Finance, Brazilian Society of Finance, volume 2, issue 2, pages 159-182.
• Sophie Pardo & Robert Kast & André Lapied, 2004, "Construction d'un portefeuille sous-jacent virtuel," Revue économique, Presses de Sciences-Po, volume 55, issue 3, pages 407-418.
• Hara, C. & Christoph Kuzmics, 2004, "Representative Consumer's Risk Aversion and Efficient Risk-Sharing Rules," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0452, Jul.
• Caroline M. Betts & Timothy J. Kehoe, 2004, "U.S. Real Exchange Rate Fluctuations and Relative Price Fluctuations," Levine's Bibliography, UCLA Department of Economics, number 122247000000000587, Oct.
• Ángel León & Diego Piñeiro, 2004, "Valuation of a Biotech Company: A Real Options Approach," Working Papers, CEMFI, number wp2004_0420.
• Perotti, Enrico & Driessen, Joost, 2004, "Confidence Building on Euro Conversion: Theory and Evidence from Currency Options," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4180, Jan.
• Sarno, Lucio & Valente, Giorgio, 2004, "Asset Prices and International Spillovers: An Empirical Investigation," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4380, May.
• Chin-Tsai Lin & Cheng-Ru Wu, 2004, "Decision for the Optimal Location -- Waiting Timing Relationship in A Real Options Model," Annals of Economics and Finance, Society for AEF, volume 5, issue 2, pages 271-282, November.
• Basab Dasgupta, 2004, "Role of Commodity Futures Market in Spot Price Stabilization, Production and Inventory Decisions with Reference to India," Indian Economic Review, Department of Economics, Delhi School of Economics, volume 39, issue 2, pages 315-325, July.
• Fernandez, Pablo, 2004, "Comments on "A reconsideration of tax shield valuation" by Enrique R. Arzac and Lawrence R. Glosten," IESE Research Papers, IESE Business School, number D/578, Nov.
• Vähämaa, Sami, 2004, "Option-implied asymmetries in bond market expectations around monetary policy actions of the ECB," Working Paper Series, European Central Bank, number 315, Mar.
• Christoffersen, Peter & Mazzotta, Stefano, 2004, "The informational content of over-the-counter currency options," Working Paper Series, European Central Bank, number 366, Jun.
• Goto, Mika & Karolyi, G. Andrew, 2004, "Understanding Electricity Price Volatility within and across Markets," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2004-12, Jul.
• Stulz, Rene M., 2004, "Should We Fear Derivatives?," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2004-5, May.
• Richard Heaney, 2004, "Pricing LME Commodity Futures Contracts," Econometric Society 2004 Australasian Meetings, Econometric Society, number 172, Aug.
• Patrick McGlenchy & Paul Kofman, 2004, "Structurally Sound Dynamic Index Futures Hedging," Econometric Society 2004 Australasian Meetings, Econometric Society, number 80, Aug.
• Wright, Brian D. & Bobenrieth & Eugenio S. A., 2004, "Prognoses for a Non-Predictable Discounted Commodity Price Process," Econometric Society 2004 Latin American Meetings, Econometric Society, number 19, Aug.
• Alexei Onatski & Slava Kargin, 2004, "Dynamics of Interest Rate Curve by Functional Auto-regression," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 229, Aug.
• Ernesto Mordecki & José Fajardo, 2004, "Pricing Derivatives on Two Lé}vy-driven Stocks," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 139, Aug.
• Marcin Kacperczyk; Paul Damien; Stephen Walker, 2004, "A Bayesian semiparametric approach to pricing the S&P 500 index options," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 202, Aug.
• Wei Xiong & Ronnie Sircar, 2004, "Evaluating Incentive Options," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 253, Aug.
• Jing-zhi Huang & Liuren Wu, 2004, "Specification Analysis of Option Pricing Models Based on Time-Changed Levy Processes," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 405, Aug.
• J. Huston McCulloch, 2004, "The Risk-Neutral Measure and Option Pricing under Log-Stable Uncertainty," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 428, Aug.
• Prigent, Jean-Luc & Renault, Olivier & Scaillet, Olivier, 2004, "Option pricing with discrete rebalancing," Journal of Empirical Finance, Elsevier, volume 11, issue 1, pages 133-161, January.
• Carr, Peter & Wu, Liuren, 2004, "Time-changed Levy processes and option pricing," Journal of Financial Economics, Elsevier, volume 71, issue 1, pages 113-141, January.
• Christoffersen, Peter & Jacobs, Kris, 2004, "The importance of the loss function in option valuation," Journal of Financial Economics, Elsevier, volume 72, issue 2, pages 291-318, May.
• Alizadeh, Amir H. & Nomikos, Nikos K., 2004, "Cost of carry, causality and arbitrage between oil futures and tanker freight markets," Transportation Research Part E: Logistics and Transportation Review, Elsevier, volume 40, issue 4, pages 297-316, July.
• Arregui Ayastuy, Gerardo, 2004, "Los Modelos Implícitos de Valoración de Opciones," Cuadernos de Gestión, Universidad del País Vasco - Instituto de Economía Aplicada a la Empresa (IEAE).
• Chamorro Gómez, José Manuel, 2004, "Valoración de la garantía de los planes de pensiones en España," IKERLANAK, Universidad del País Vasco - Departamento de Fundamentos del Análisis Económico I, number 6494, Sep.
• Díaz-Tinoco, Jaime & Venegas-Martínez, Francisco, 2004, "Márgenes con spread intraclase para el mercado mexicano de derivados," El Trimestre Económico, Fondo de Cultura Económica, volume 71, issue 283, pages 681-715, julio-sep.
• Pietersz, R. & Groenen, P.J.F., 2004, "Rank reduction of correlation matrices by majorization," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2004-11, Apr.
• Hallerbach, W.G.P.M., 2004, "An Improved Estimator For Black-Scholes-Merton Implied Volatility," ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam, number ERS-2004-054-F&A, Aug.
• ter Horst, J.R. & Verbeek, M.J.C.M., 2004, "Fund liquidation, self-selection and look-ahead bias in the hedge fund industry," ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam, number ERS-2004-104-F&A, Dec.
• Alessandro BEBER & Michael W. BRANDT, 2004, "The Effects of Macroeconomic News on Beliefs and Preferences: Evidence from the Options Market," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp105, Jan.
• Julien Hugonnier & Erwan Morellec, 2004, "Investment under Uncertainty and Incomplete Markets," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp122, May.
• Erwan Morellec & Alexei Zdhanov, 2004, "The Dynamics of Mergers and Acquisitions," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp126, Oct.
• Zdenìk Zmeškal, 2004, "Hedging Strategies and Financial Risks," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 54, issue 1-2, pages 50-63, January.
• Pavel Bouc & Martin Cincibuch, 2004, "An Interpretation of Czech FX Options," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 54, issue 7-8, pages 286-304, July.
• Tichý Tomáš, 2004, "Replication Methods in the Pricing and Hedging of Barrier Options," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 54, issue 7-8, pages 305-324, July.
• Vladimír Gazda & Karel Koøený & Tomáš Výrost, 2004, "Defection of Traditional Standard Deviation Scaling of Capital Asset Returns," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 54, issue 7-8, pages 325-334, July.
• Nicola Cetorelli, 2004, "Real effects of bank competition," Proceedings, Federal Reserve Bank of Cleveland, pages 543-562.
• Tim Bollerslev & Michael S. Gibson & Hao Zhou, 2004, "Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2004-56.
• Nicola Cetorelli, 2004, "Real effects of bank competition," Working Paper Series, Federal Reserve Bank of Chicago, number WP-04-03.
• Caroline M. Betts & Timothy J. Kehoe, 2004, "U.S. real exchange rate fluctuations and relative price fluctuations," Staff Report, Federal Reserve Bank of Minneapolis, number 334, DOI: 10.21034/sr.334.
• Nicole Branger & Angelika Esser & Christian Schlag, 2004, "When Are Static Superhedging Strategies Optimal?," Working Paper Series: Finance and Accounting, Department of Finance, Goethe University Frankfurt am Main, number 138, Oct.
• Nicole Branger & Christian Schlag, 2004, "Is Jump Risk Priced? - What We Can (and Cannot) Learn From Option Hedging Errors," Working Paper Series: Finance and Accounting, Department of Finance, Goethe University Frankfurt am Main, number 140, Oct.
• Jean-Luc Prigent & Olivier Renault & Olivier Scaillet, 2004, "Option pricing with discrete rebalancing," Post-Print, HAL, number hal-03679686, Jan, DOI: 10.1016/j.jempfin.2003.09.001.
• Bartels, Patrick & Breitner, Michael H., 2004, "Warrant Pro 1: Market Price Synthesis with a Software Agent and a Neurosimulator," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-300, Jul.
• Lando, David & Mortensen, Allan, 2004, "On the Pricing of Step-Up Bonds in the European Telecom Sector," Working Papers, Copenhagen Business School, Department of Finance, number 2004-9, Nov.
• Gaspar, Raquel M., 2004, "General Quadratic Term Structures of Bond, Futures and Forward Prices," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 559, Mar.
• Gaspar, Raquel M., 2004, "On Finite Dimensional Realizations of Forward Price Term Structure Models," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 569, Sep.
• Björk, Tomas & Slinko, Irina, 2004, "Towards a General Theory of Good Deal Bounds," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 595, Feb.
• Anuchitworawong, Chaiyasit, 2004, "Deposit Insurance, Corporate Governance and Discretionary Behavior: Evidence from Thai Financial Institutions," CEI Working Paper Series, Center for Economic Institutions, Institute of Economic Research, Hitotsubashi University, number 2004-15, Sep.
• Anuchitworawong, Chaiyasit, 2004, "Financial fragility under implicit insurance scheme: Evidence from the collapse of Thai financial institutions," CEI Working Paper Series, Center for Economic Institutions, Institute of Economic Research, Hitotsubashi University, number 2004-16, Sep.

2003

• Yoshino, Joe Akira, 2003, "Market Risk and Volatility in the Brazilian Stock Market," Journal of Applied Economics, Universidad del CEMA, volume 6, issue 2, pages 1-19, November, DOI: 10.22004/ag.econ.44000.
• Franken, Jason R.V. & Parcell, Joseph L., 2003, "Cash Ethanol Cross-Hedging Opportunities," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, volume 35, issue 3, pages 1-8, December, DOI: 10.22004/ag.econ.43152.
• Milne, Frank & Neave, Edwin, 2003, "A General Equilibrium Financial Asset Economy with Transaction Costs and Trading Constraints," Queen's Economics Department Working Papers, Queen's University - Department of Economics, number 273558, Sep, DOI: 10.22004/ag.econ.273558.
• Maria Helena Lopes Moreira da Veiga, 2003, "Forecasting Volatility Using A Continuous Time Model," UFAE and IAE Working Papers, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC), number 584.03, Sep.
• Maria Helena Lopes Moreira da Veiga, 2003, "Are One Factor Logarithmic Volatility Models Useful to Fit the Features of Financial Data? An Application to Microsoft Data," UFAE and IAE Working Papers, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC), number 585.03, Sep.
• Ariadna Dumitrescu, 2003, "Valuation of Defaultable Bonds and Debt Restructuring," UFAE and IAE Working Papers, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC), number 590.03, Oct.
• Joseph Atta-Mensah, 2003, "Collateral and Credit Supply," Staff Working Papers, Bank of Canada, number 03-11, DOI: 10.34989/swp-2003-11.
• Krishna Ramaswamy & Patrick Waldron, 2003, "Looking for Spot in the Presence of Futures," International Review of Finance, International Review of Finance Ltd., volume 4, issue 3‐4, pages 101-123, September, DOI: 10.1111/j.1468-2443.2005.00048.x.
• Alain Venditti, 2003, "Altruism and Determinacy of Equilibria in Overlapping Generations Models with Externalities," The Japanese Economic Review, Japanese Economic Association, volume 54, issue 2, pages 179-202, June, DOI: 10.1111/1468-5876.t01-1-00253.
• Peter Carr & Liuren Wu, 2003, "The Finite Moment Log Stable Process and Option Pricing," Journal of Finance, American Finance Association, volume 58, issue 2, pages 753-777, April, DOI: 10.1111/1540-6261.00544.
• Peter Carr & Liuren Wu, 2003, "What Type of Process Underlies Options? A Simple Robust Test," Journal of Finance, American Finance Association, volume 58, issue 6, pages 2581-2610, December, DOI: 10.1046/j.1540-6261.2003.00616.x.
• Merxe Tudela & Garry Young, 2003, "A Merton-model approach to assessing the default risk of UK public companies," Bank of England working papers, Bank of England, number 194, Jun.
• Thanasis N. Christodoulopoulos & Ioulia Grigoratou, 2003, "The Effect of Dynamic Hedging of Options Positions on Intermediate-Maturity Interest Rates," Working Papers, Bank of Greece, number 08, Dec.
• Franklin de O. Gonçalves & Luiz Otavio Calôba, 2003, "The Dynamics of the Option-Adjusted Spread of Brady Bond Securities," Brazilian Review of Finance, Brazilian Society of Finance, volume 1, issue 1, pages 89-112.
• Paulo Coutinho & Benjamin Miranda Tabak, 2003, "Decentralized Portfolio Management," Brazilian Review of Finance, Brazilian Society of Finance, volume 1, issue 2, pages 243-270.
• Alexis Cellier, 2003, "Lead lag relatîonships between short term options and the french stock index cac 40: the impact of time measurement," Brussels Economic Review, ULB -- Universite Libre de Bruxelles, volume 46, issue 2, pages 65-82.
• Oscar Jorda & Holly Liu & Jeffrey Williams, 2003, "Non-Institutional Market Making Behavior: The Dalian Futures Exchange," Working Papers, University of California, Davis, Department of Economics, number 41, Jan.
• José Dapena & Santiago Fidalgo, 2003, "A real options approach to tender offers and acquisitions processes," CEMA Working Papers: Serie Documentos de Trabajo., Universidad del CEMA, number 232, Feb.
• Joe Akira Yoshino, 2003, "Market Risk and Volatility in the Brazilian Stock Market," Journal of Applied Economics, Universidad del CEMA, volume 6, pages 385-403, November.
• Bronka Rzepkowski, 2003, "Order Flows, Delta Hedging and Exchange Rate Dynamics," Working Papers, CEPII research center, number 2003-18, Dec.
• Peter Christoffersen & Kris Jacobs, 2003, "The Importance of the Loss Function in Option Valuation," CIRANO Working Papers, CIRANO, number 2003s-52, Aug.
• Meritxell Albertí & Ángel León & Gerard Llobet, 2003, "Evaluation of a Taxi Sector Reform: A Real Options Approach," Working Papers, CEMFI, number wp2003_0312.
• Franke, Günter & Weber, Martin, 2003, "Heterogeneity of Investors and Asset Pricing in a Risk-Value World," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3832, Mar.
• Ottaviani, Marco & Sørensen, Peter Norman, 2003, "Late Informed Betting and the Favourite-Longshot Bias," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4092, Oct.
• Chenghu Ma, 2003, "Term Structure of Interest Rates in the Presence of Levy Jumps: The HJM Approach," Annals of Economics and Finance, Society for AEF, volume 4, issue 2, pages 401-426, November.
• Bühlmann, Hans & Platen, Eckhard, 2003, "A Discrete Time Benchmark Approach for Insurance and Finance," ASTIN Bulletin, Cambridge University Press, volume 33, issue 2, pages 153-172, November.
• Driessen, Joost & Klaassen, Pieter & Melenberg, Bertrand, 2003, "The Performance of Multi-Factor Term Structure Models for Pricing and Hedging Caps and Swaptions," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 38, issue 3, pages 635-672, September.
• Peter C.B. Phillips & Jun Yu, 2003, "Jackknifing Bond Option Prices," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1392, Jan.
• Geman, Hélyette & Roncoroni, Andrea, 2003, "A Class of Marked Point Processes for Modelling Electricity Prices," ESSEC Working Papers, ESSEC Research Center, ESSEC Business School, number DR 03004, Mar.
• Tapiero, Charles, 2003, "Value at Risk and Inventory Control," ESSEC Working Papers, ESSEC Research Center, ESSEC Business School, number DR 03012, Nov.
• Tapiero, Charles, 2003, "Risk Management: An Interdisciplinary Framework," ESSEC Working Papers, ESSEC Research Center, ESSEC Business School, number DR 03014, Nov.
• Glatzer, Ernst & Scheicher, Martin, 2003, "Modelling the implied probability of stock market movements," Working Paper Series, European Central Bank, number 212, Jan.
• To, Thuy Duong & Carl Chiarella, 2003, "The Jump Component of the Volatility Structure of Interest Rate Futures Markets: An International Comparison," Royal Economic Society Annual Conference 2003, Royal Economic Society, number 205, Jun.
• Tudela, Merxe & Garry Young, 2003, "A Merton Model Approach to Assessing the Default Risk of UK Public Companies," Royal Economic Society Annual Conference 2003, Royal Economic Society, number 207, Jun.
• Benhamou, Eric & Duguet, Alexandre, 2003, "Small dimension PDE for discrete Asian options," Journal of Economic Dynamics and Control, Elsevier, volume 27, issue 11-12, pages 2095-2114, September.
• Benhamou, Eric & Duguet, Alexandre, 2003, "Small dimension PDE for discrete Asian options," Journal of Economic Dynamics and Control, Elsevier, volume 27, issue 11, pages 2095-2114, DOI: 10.1016/S0165-1889(02)00117-3.
• Chernov, Mikhail & Ronald Gallant, A. & Ghysels, Eric & Tauchen, George, 2003, "Alternative models for stock price dynamics," Journal of Econometrics, Elsevier, volume 116, issue 1-2, pages 225-257.
• Pelsser, Antoon, 2003, "Pricing and hedging guaranteed annuity options via static option replication," Insurance: Mathematics and Economics, Elsevier, volume 33, issue 2, pages 283-296, October.
• Lioui, Abraham & Poncet, Patrice, 2003, "International asset allocation: A new perspective," Journal of Banking & Finance, Elsevier, volume 27, issue 11, pages 2203-2230, November.
• Lafuente, Juan A. & Novales, Alfonso, 2003, "Optimal hedging under departures from the cost-of-carry valuation: Evidence from the Spanish stock index futures market," Journal of Banking & Finance, Elsevier, volume 27, issue 6, pages 1053-1078, June.
• Robert Pollin & Dean Baker & Marc Schaberg, 2003, "Securities Transaction Taxes for U.S. Financial Markets," Eastern Economic Journal, Eastern Economic Association, volume 29, issue 4, pages 527-558, Fall.
• Houweling, P. & Vorst, A.C.F., 2003, "Pricing default swaps: empirical evidence," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2003-51, Aug.
• Pietersz, R. & Pelsser, A.A.J., 2003, "Risk managing bermudan swaptions in the libor BGM model," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2003-33, Aug.
• Huisman, R. & Huurman, C., 2003, "Fat Tails in Power Prices," ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam, number ERS-2003-059-F&A, Sep.
• Andriy DEMCHUK,, 2003, "Sovereign Debt Contract and Optimal Consumption-Investment Strategies," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp104, Feb.
• Kaifeng CHEN & Alexander PASSOW, 2003, "Quantitative Selection of Long-Short Hedge Funds," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp94, Jul.
• Michele Moretto, 2003, "Competition and Irreversible Investments under Uncertainty," Working Papers, Fondazione Eni Enrico Mattei, number 2003.32, Mar.
• Ben R. Craig & Ernst Glatzer & Joachim G. Keller & Martin Scheicher, 2003, "The forecasting performance of German stock option densities," Working Papers (Old Series), Federal Reserve Bank of Cleveland, number 0312, DOI: 10.26509/frbc-wp-200312.
• Robert DeYoung & William C. Hunter & Gregory F. Udell, 2003, "The past, present, and probable future for community banks," Working Paper Series, Federal Reserve Bank of Chicago, number WP-03-14.
• Christophe Villa & M.R. Fengler & W.K. Hardle, 2003, "The dynamics of implied volatilities : a common principal components approach," Post-Print, HAL, number halshs-00069509.
• Niehaus, Frank, 2003, "Heterogeneous Preferences and the Representative Investor," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-291, Dec.
• Bechmann, Ken L. & Jørgensen, Peter Løchte, 2003, "The Value and Incentives of Option-based Compensation in Danish Listed Companies," Working Papers, Copenhagen Business School, Department of Finance, number 2003-2, Sep.
• Hjalmarsson, Erik, 2003, "Does the Black-Scholes formula work for electricity markets? A nonparametric approach," Working Papers in Economics, University of Gothenburg, Department of Economics, number 101, Jul.
• Björk, Tomas, 2003, "On the Geometry of Interest Rate Models," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 545, Nov.