Research classified by Journal of Economic Literature (JEL) codes

2005

• Ángel León & Javier Mencía & Enrique Sentana, 2005, "Parametric Properties of Semi-Nonparametric Distributions, with Applications to Option Valuation," Working Papers, CEMFI, number wp2005_0509.
• Anderson, Ronald & Carverhill, Andrew, 2005, "A Model of Corporate Liquidity," CEPR Discussion Papers, Centre for Economic Policy Research, number 4994, Apr.
• Acharya, Viral & Johnson, Tim, 2005, "Insider Trading in Credit Derivatives," CEPR Discussion Papers, Centre for Economic Policy Research, number 5180, Aug.
• Pedersen, Lasse Heje & Garleanu, Nicolae Bogdan & ,, 2005, "Demand-Based Option Pricing," CEPR Discussion Papers, Centre for Economic Policy Research, number 5420, Dec.
• Sentana, Enrique & Mencía, Javier & León, à ngel, 2005, "Parametric Properties of Semi-Nonparametric Distributions, With Applications to Option Valuation," CEPR Discussion Papers, Centre for Economic Policy Research, number 5435, Dec.
• Anna Rita Bacinello, 2005, "Modelling the Surrender Conditions in Equity-Linked Life Insurance," CeRP Working Papers, Center for Research on Pensions and Welfare Policies, Turin (Italy), number 39, Feb.
• Yoon, Byung-Sam & Brorsen, B. Wade, 2005, "Can Multiyear Rollover Hedging Increase Mean Returns?," Journal of Agricultural and Applied Economics, Cambridge University Press, volume 37, issue 1, pages 65-78, April.
• Baquero, Guillermo & ter Horst, Jenke & Verbeek, Marno, 2005, "Survival, Look-Ahead Bias, and Persistence in Hedge Fund Performance," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 40, issue 3, pages 493-517, September.
• Peter C.B. Phillips & Jun Yu, 2005, "A Two-Stage Realized Volatility Approach to the Estimation for Diffusion Processes from Discrete Observations," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1523, Jun.
• Francisco Venegas-Martínez, 2005, "Temporary Stabilization and the Real Option of Waiting when Consumption can be Delayed: an Extreme Value Approach," DEGIT Conference Papers, DEGIT, Dynamics, Economic Growth, and International Trade, number c010_043, Jun.
• John S. Ying & Joel S. Sternberg, 2005, "The Impact of Serial Correlation on Option Prices in a Non- Frictionless Environment: An Alternative Explanation for Volatility Skew," Working Papers, University of Delaware, Department of Economics, number 05-12.
• Aviral Chopra and David A. Bessler, 2005, "Price Discovery in the Black Pepper Market in Kerala, India," Indian Economic Review, Department of Economics, Delhi School of Economics, volume 40, issue 1, pages 1-21, January.
• Toshiaki Watanabe & Hirokuni Uchiyama, 2005, "Structural Change in Japanese Business Fluctuations and Nikkei 225 Stock Index Futures Transactions," Finance Working Papers, East Asian Bureau of Economic Research, number 22318, Jan.
• Vahamaa, Sami, 2005, "Option-implied asymmetries in bond market expectations around monetary policy actions of the ECB," Journal of Economics and Business, Elsevier, volume 57, issue 1, pages 23-38.
• Houweling, Patrick & Vorst, Ton, 2005, "Pricing default swaps: Empirical evidence," Journal of International Money and Finance, Elsevier, volume 24, issue 8, pages 1200-1225, December.
• Gary S Shea, 2005, "South Sea Company subscription shares and warrant values in 1720," Working Papers, Economic History Society, number 5021, Apr.
• Fernández-Durán, Juan José & Gregorio-Domínguez, M. Mercedes, 2005, "Valuación actuarial de bonos catastróficos para desastres naturales en México," El Trimestre Económico, Fondo de Cultura Económica, volume 72, issue 288, pages 877-912, octubre-d, DOI: http://dx.doi.org/10.20430/ete.v72i.
• Pietersz, R. & van Regenmortel, M., 2005, "Generic Market Models," 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-2005-010-F&A, Mar.
• Pietersz, R. & Pelsser, A.A.J., 2005, "A Comparison of Single Factor Markov-Functional and Multi Factor Market Models," 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-2005-008-F&A, Apr.
• Grubisic, I. & Pietersz, R., 2005, "Efficient Rank Reduction of Correlation Matrices," 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-2005-009-F&A, Apr.
• Baquero, G. & Verbeek, M.J.C.M., 2005, "A Portrait of Hedge Fund Investors: Flows, Performance and Smart Money," 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-2005-068-F&A, Nov.
• S.Galluccio & Z. Huang & J.-M. Ly & O. Scaillet, 2005, "Theory and Calibration of Swap Market Models," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp107, Jun.
• Didier Cossin & Hongze Lu, 2005, "Are European Corporate Bond and Default Swap Markets Segmented?," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp133, Mar.
• Didier Cossin & Gero Jung, 2005, "Do Major Financial Crises Provide Information on Sovereign Risk to the Rest of the World? A Look at Credit Default Swap Markets," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp134, Mar.
• Michele Moretto & Gianpaolo Rossini, 2005, "Start-up Entry Strategies: Employer vs. Nonemployer firms," Working Papers, Fondazione Eni Enrico Mattei, number 2005.13, Jan.
• Benjamin Y. Zhang & Hao Zhou & Haibin Zhu, 2005, "Explaining credit default swap spreads with the equity volatility and jump risks of individual firms," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2005-63.
• Tim Bollerslev & Michael S. Gibson & Hao Zhou, 2005, "Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities," Proceedings, Board of Governors of the Federal Reserve System (U.S.).
• Thomas H. Klier & Richard H. Mattoon & William A. Testa, 2005, "Challenges and prospects for Midwest manufacturing," Chicago Fed Letter, Federal Reserve Bank of Chicago, issue Mar.
• Thomas H. Klier & Richard H. Mattoon & William A. Testa, 2005, "Challenges and prospects for Midwest manufacturing," Chicago Fed Letter, Federal Reserve Bank of Chicago, issue Mar.
• Hayette Gatfaoui, 2005, "How does systematic risk impact stocks ? A study on the French financial market," Working Papers, HAL, number hal-00605035.
• Christiansen, Charlotte & Ranaldo, Angelo, 2005, "Realized Bond-Stock Correlation: Macroeconomic Announcement Effects," Finance Research Group Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies, number F-2005-05, Sep.
• Gaspar, Raquel M. & Slinko, Irina, 2005, "Correlation Between Intensity and Recovery in Credit Risk Models," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 614, Nov.
• Gaspar, Raquel M. & Schmidt, Thorsten, 2005, "Quadratic Portfolio Credit Risk models with Shot-noise Effects," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 616, Dec.
• Björk, Tomas & Biagini, Francesca, 2005, "On the Timing Option in a Futures Contract," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 619, Nov.
• Björk, Tomas & Blix, Magnus & Landen, Camilla, 2005, "On finite dimensional realizations for the term structure of futures prices," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 620, Oct.
• Mjøs, Aksel & Persson, Svein-Arne, 2005, "Callable Risky Perpetual Debt: Options, Pricing And Bankruptcy Implications," Discussion Papers, Norwegian School of Economics, Department of Business and Management Science, number 2005/22, Dec.

2004

• 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, Centre for Economic Policy Research, number 4180, Jan.
• Sarno, Lucio & Valente, Giorgio, 2004, "Asset Prices and International Spillovers: An Empirical Investigation," CEPR Discussion Papers, Centre for Economic Policy Research, 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.
• 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.
• Fajardo, J., 2004, "Equivalent Martingale Measures and Lévy Processes," Finance Lab Working Papers, Finance Lab, Insper Instituto de Ensino e Pesquisa, number flwp_61, Oct.
• Fajardo, J. & Mordeckiz, E., 2004, "Duality and Derivative Pricing with Lévy Processes," Finance Lab Working Papers, Finance Lab, Insper Instituto de Ensino e Pesquisa, number flwp_71, Oct.
• Gollier, Christian, 2004, "The Consumption-Based Determinants of the Term Structure of Discount Rates," IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse, number 296, Jul.
• Torben G. Andersen & Tim Bollerslev & Nour Meddahi, 2004, "Analytical Evaluation Of Volatility Forecasts," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, volume 45, issue 4, pages 1079-1110, November.
• Ramaprasad Bhar & Shigeyuki Hamori, 2004, "Information Flow between Price Change and Trading Volume in Gold Futures Contracts," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, volume 3, issue 1, pages 45-56, April.
• Konstantinos Drakos, 2004, "A Note on Sector, Rating, and Maturity Effects on Risk Premia," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, volume 3, issue 3, pages 201-216, December.
• Andrew J. Clark & Herbert Scarf, 2004, "Optimal Policies for a Multi-Echelon Inventory Problem," Management Science, INFORMS, volume 50, issue 12_supple, pages 1782-1790, December, DOI: 10.1287/mnsc.1040.0265.
• Augusto Castillo, 2004, "Firm and Corporate Bond Valuation: A Simulation Dynamic Programming Approach," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., volume 41, issue 124, pages 345-360.
• Juan-Pablo Montero, 2004, "Forward Contracting and Collusion in Oligopoly," Documentos de Trabajo, Instituto de Economia. Pontificia Universidad Católica de Chile., number 271.
• Ángel León & Gonzalo Rubio & Gregorio Serna, 2004, "Autoregressive Conditional Volatility, Skewness And Kurtosis," Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2004-13, Mar.
• Juan A. Lafuente & Manuel Illueca Muñoz, 2004, "Introducing The Mini-Futures Contract On Ibex-35: Implications For Price Discovery And Volatility Transmission," Working Papers. Serie EC, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2004-13, May.
• Eckhard Platen, 2004, "Diversified Portfolios with Jumps in a Benchmark Framework," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, volume 11, issue 1, pages 1-22, March, DOI: 10.1007/s10690-005-4253-8.
• Shane Miller & Eckhard Platen, 2004, "A Two-Factor Model for Low Interest Rate Regimes," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, volume 11, issue 1, pages 107-133, March, DOI: 10.1007/s10690-005-4251-x.
• Eckhard Platen & Jason West, 2004, "A Fair Pricing Approach to Weather Derivatives," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, volume 11, issue 1, pages 23-53, March, DOI: 10.1007/s10690-005-4252-9.
• David Heath & Eckhard Platen, 2004, "Understanding the Implied Volatility Surface for Options on a Diversified Index," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, volume 11, issue 1, pages 55-77, March, DOI: 10.1007/s10690-005-4249-4.
• Eckhard Platen & Wolfgang Runggaldier, 2004, "A Benchmark Approach to Filtering in Finance," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, volume 11, issue 1, pages 79-105, March, DOI: 10.1007/s10690-005-4301-4.
• Albrecht Rothacher, 2004, "Book Review," Asia Europe Journal, Springer, volume 2, issue 4, pages 589-593, January, DOI: 10.1007/s10308-004-0121-9.
• Albrecht Rothacher, 2004, "Book Review," Asia Europe Journal, Springer, volume 2, issue 4, pages 595-600, January, DOI: 10.1007/s10308-004-0122-8.
• Albrecht Rothacher, 2004, "Book Review," Asia Europe Journal, Springer, volume 2, issue 4, pages 601-603, January, DOI: 10.1007/s10308-004-0123-7.
• Albrecht Rothacher, 2004, "Book Review," Asia Europe Journal, Springer, volume 2, issue 4, pages 605-609, January, DOI: 10.1007/s10308-004-0124-6.
• Albrecht Rothacher, 2004, "Book Review," Asia Europe Journal, Springer, volume 2, issue 4, pages 611-614, January, DOI: 10.1007/s10308-004-0125-5.
• Nicole Branger & Christian Schlag, 2004, "Why is the Index Smile So Steep?," Review of Finance, Springer, volume 8, issue 1, pages 109-127.
• Robert DeYoung & William Hunter & Gregory Udell, 2004, "The Past, Present, and Probable Future for Community Banks," Journal of Financial Services Research, Springer;Western Finance Association, volume 25, issue 2, pages 85-133, April, DOI: 10.1023/B:FINA.0000020656.65653.79.
• Marco Ottaviani & Peter Norman Sørensen, 2004, "The Timing of Bets and the Favorite-Longshot Bias," FRU Working Papers, University of Copenhagen. Department of Economics. Finance Research Unit, number 2004/12, Nov.
• Cetorelli, Nicola, 2004, "Real Effects of Bank Competition," Journal of Money, Credit and Banking, Blackwell Publishing, volume 36, issue 3, pages 543-558, June.
• Christian Schlag & Nicole Branger, 2004, "Why is the index smile so steep?," Money Macro and Finance (MMF) Research Group Conference 2003, Money Macro and Finance Research Group, number 84, Sep.
• Costanza Torricelli & Marianna Brunetti, 2004, "The internal efficiency of Index Option Markets:Tests on the Italian Market," Department of Economics, University of Modena and Reggio E., Faculty of Economics "Marco Biagi", number 0472, Nov.
• Don U.A. Galagedera & Robert Faff, 2004, "Modelling the Risk and Return Relation Conditional on Market Volatility and Market Conditions," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 8/04, Apr.
• Rene M. Stulz, 2004, "Should We Fear Derivatives?," NBER Working Papers, National Bureau of Economic Research, Inc, number 10574, Jun.
• Gary Gorton & K. Geert Rouwenhorst, 2004, "Facts and Fantasies about Commodity Futures," NBER Working Papers, National Bureau of Economic Research, Inc, number 10595, Jun.
• Andrew Ang & Robert J. Hodrick & Yuhang Xing & Xiaoyan Zhang, 2004, "The Cross-Section of Volatility and Expected Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 10852, Oct.
• Daisuke Ito & Masamitsu Ohnishi & Yasuhiro TAMBA, 2004, "Pricing of a Chooser Flexible Cap and its Calibration," Discussion Papers in Economics and Business, Osaka University, Graduate School of Economics, number 04-18, Oct.
• Masamitsu Ohnishi & Yasuhiro Tamba, 2004, "Various Features of the Chooser Flexible Cap," Discussion Papers in Economics and Business, Osaka University, Graduate School of Economics, number 04-20, Dec.
• Nicole Branger & Christian Schlag, 2004, "Why is the Index Smile So Steep?," Review of Finance, European Finance Association, volume 8, issue 1, pages 109-127.
• Alois Geyer & Stephan Kossmeier & Stefan Pichler, 2004, "Measuring Systematic Risk in EMU Government Yield Spreads," Review of Finance, European Finance Association, volume 8, issue 2, pages 171-197.
• Robert Dubil, 2004, "The Optimality of Multi-stage Venture Capital Financing: An Option-Theoretic Approach," Journal of Entrepreneurial Finance, Pepperdine University, Graziadio School of Business and Management, volume 9, issue 3, pages 1-14, Fall.
• João Correia-da-Silva & Carlos Hervés-Beloso, 2004, "Private Information: Similarity as Compatibility," FEP Working Papers, Universidade do Porto, Faculdade de Economia do Porto, number 155, Sep.
• Ulibarri, Carlos A., 2004, "Introducing contemporaneous open-outcry and e-trading at the Chicago Board of Trade," MPRA Paper, University Library of Munich, Germany, number 14821.
• Fiorani, Filo, 2004, "Option Pricing Under the Variance Gamma Process," MPRA Paper, University Library of Munich, Germany, number 15395, Apr.
• Fleten, Stein-Erik & Lindset, Snorre, 2004, "Optimal hedging strategies for multi-period guarantees in the presence of transaction costs: A stochastic programming approach," MPRA Paper, University Library of Munich, Germany, number 220, Oct, revised Apr 2006.
• Cocozza, R & Di Lorenzo, E & Sibillo, M, 2004, "Methodological problems in solvency assessment of an insurance company," MPRA Paper, University Library of Munich, Germany, number 27980.
• Gomes Santana Félix, Elisabete & Esperança, José Paulo, 2004, "Efeito da flexibilidade na decisão de investimento: Uma aplicação à exploração do cobre
  [Flexibility effect on the investment decision: An application to the exploration of copper]," MPRA Paper, University Library of Munich, Germany, number 6185.
• Delphine Lautier & Yves Simon, 2004, "La volatilité des prix des matières premières," Revue d'Économie Financière, Programme National Persée, volume 74, issue 1, pages 45-84, DOI: 10.3406/ecofi.2004.5031.
• Ali Bora Yigibasioglu & Carol Alexandra, 2004, "An Uncertain Volatility Explanation for Delayed Calls of Convertible Bonds," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2004-07, Jun.
• Carol Alexandra & Emese Lazar, 2004, "The Equity Index Skew, Market Crashes and Asymmetric Normal Mixture GARCH," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2004-13, Oct.
• Carol Alexander & Leonardo Nogueira, 2004, "Stochastic Local Volatility," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2008-02, Sep, revised Mar 2008.
• Georges Dionne, 2004, "Book review of: Credit risk: Pricing, measurement, and management," Working Papers, HEC Montreal, Canada Research Chair in Risk Management, number 04-6, Oct.
• Robert C. Merton, 2004, "Interview with Nobel Prize Laureate Robert C. Merton," Nobel Prize in Economics documents, Nobel Prize Committee, number 1997-5, Sep.
• Afzal S. Siddiqui, 2004, "Price-elastic demand in deregulated electricity markets," Centre for Financial Markets Working Papers, Research Repository, University College Dublin, number 10197/1155, Apr.
• John Quiggin & Robert G. Chambers, 2004, "Capital market equilibrium with moral hazard and flexible technology," Risk & Uncertainty Working Papers, Risk and Sustainable Management Group, University of Queensland, number WPR04_9, Sep.
• Chiang & Min-Hsien;Fan, 2004, "On the Intradaily Relationship between Information Revelation and Trade Duration: The Evidence of MSCI Taiwan Futures," Computing in Economics and Finance 2004, Society for Computational Economics, number 119, Aug.
• J. Huston McCulloch, 2004, "The Risk-Neutral Measure and Option Pricing under Log-Stable Uncertainty using Romberg Fourier Inversion," Computing in Economics and Finance 2004, Society for Computational Economics, number 13, Aug.
• Enrico Scalas & Alessandro Vivoli & Paride Dagna & Guido Germano, 2004, "Speculative option valuation: A supercomputing approach," Computing in Economics and Finance 2004, Society for Computational Economics, number 269, Aug.
• Sorin Tuluca & Piotr Stalinski, 2004, "The Manufacturing Flexibility to Switch Products: Valuation and Optimal Strategy," Computing in Economics and Finance 2004, Society for Computational Economics, number 292, Aug.
• 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.