Research classified by Journal of Economic Literature (JEL) codes

2004

• 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.
• Gary Gorton & K. Rouwenhorst, 2004, "Facts and Fantasies about Commodity Futures," Yale School of Management Working Papers, Yale School of Management, number amz2619, Jun, revised 01 Mar 2005.
• 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.

2003

• Fajardo, J. & Mordeckiy, E., 2003, "Pricing Derivatives on Two Lévy-driven Stocks," Finance Lab Working Papers, Finance Lab, Insper Instituto de Ensino e Pesquisa, number flwp_56, Oct.
• Oliver Kubertin & Michael H. Breitner, 2003, "WARRANT-PRO-2: A GUI-Software for Easy Evaluation, Design and Visualization of European Double-Barrier Options," IWI Discussion Paper Series, Institut für Wirtschaftsinformatik, Universität Hannover, number 5, May.
• Nagaev, Sergei A., 2003, "A Diffusion Approximation for the Riskless Profit under Selling of Discrete Time Call Options," Economics Series, Institute for Advanced Studies, number 137, Sep.
• Enrique Kawamura, 2003, "Financial Innovation in Multi-Period Economies," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., volume 40, issue 120, pages 117-205.
• Manuel Moreno & Javier Navas, 2003, "On the Robustness of Least-Squares Monte Carlo (LSM) for Pricing American Derivatives," Review of Derivatives Research, Springer, volume 6, issue 2, pages 107-128, May, DOI: 10.1023/A:1027340210935.
• Matthias Fengler & Wolfgang Härdle & Christophe Villa, 2003, "The Dynamics of Implied Volatilities: A Common Principal Components Approach," Review of Derivatives Research, Springer, volume 6, issue 3, pages 179-202, October, DOI: 10.1023/B:REDR.0000004823.77464.2d.
• Zsembery, Levente, 2003, "A volatilitás előrejelzése és a visszaszámított modellek
  [Forecasting of volatility and implied models]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), volume 0, issue 6, pages 519-542.
• Gobert, Karine & González, Patrick & Lai, Alexandra & Poitevin, Michel, 2003, "Endogenous Value and Financial Fragility," Cahiers de recherche, Université Laval - Département d'économique, number 0306.
• Gobert, Karine & González, Patrick & Lai, Alexandra & Poitevin, Michel, 2003, "Endogenous Value and Financial Fragility," Cahiers de recherche, GREEN, number 0306.
• Costanza Torricelli & Marianna Brunetti, 2003, "The Put-Call Parity in the Index Options Markets: Further results for the Italian Mib30 Options market," Department of Economics, University of Modena and Reggio E., Faculty of Economics "Marco Biagi", number 0436, Jul.
• V. Moriggia & S. Muzzioli & C. Torricelli, 2003, "Call and put implied volatilities and the derivation of option implied trees," Department of Economics, University of Modena and Reggio E., Faculty of Economics "Marco Biagi", number 0448, Nov.
• Catherine S. Forbes & Gael M. Martin & Jill Wright, 2003, "Bayesian Estimation of a Stochastic Volatility Model Using Option and Spot Prices: Application of a Bivariate Kalman Filter," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 17/03, Oct.
• Gael M. Martin & Catherine S. Forbes & Vance L. Martin, 2003, "Implicit Bayesian Inference Using Option Prices," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 5/03, Feb.
• David B. Flynn & Simone D. Grose & Gael M. Martin & Vance L. Martin, 2003, "Pricing Australian S&P200 Options: A Bayesian Approach Based on Generalized Distributional Forms," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 6/03, Feb.
• Eli Ofek & Matthew Richardson & Robert F. Whitelaw, 2003, "Limited Arbitrage and Short Sales Restrictions: Evidence from the Options Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 9423, Jan.
• Steven R. Grenadier, 2003, "An Equilibrium Analysis of Real Estate," NBER Working Papers, National Bureau of Economic Research, Inc, number 9475, Feb.
• J. Huston McCulloch, 2003, "The Risk-Neutral Measure and Option Pricing under Log-Stable Uncertainty," Working Papers, Ohio State University, Department of Economics, number 03-07, Jun.
• Markus Leippold & Liuren Wu, 2003, "Design and Estimation of Quadratic Term Structure Models," Review of Finance, European Finance Association, volume 7, issue 1, pages 47-73.
• Marco Schulmerich & Siegfried Trautmann, 2003, "Local Expected Shortfall-Hedging in Discrete Time," Review of Finance, European Finance Association, volume 7, issue 1, pages 75-102.
• Long Nguyen-Thanh, 2003, "Analytical Approach to Value Options with State Variables of a Lévy System," Review of Finance, European Finance Association, volume 7, issue 2, pages 249-276.
• Siim Kallast & Andi Kivinukk, 2003, "Pricing and Hedging American Options Using Approximations by Kim Integral Equations," Review of Finance, European Finance Association, volume 7, issue 3, pages 361-383.
• Antonio Mele, 2003, "Fundamental Properties of Bond Prices in Models of the Short-Term Rate," The Review of Financial Studies, Society for Financial Studies, volume 16, issue 3, pages 679-716, July.
• Giandomenico, Rossano, 2003, "Dalle Riserve alle Opzioni: " La partecipazione agli utili nelle polizze vita"
  [From Reserves to Options: " The partecipation to the profit in insurance life policies"]," MPRA Paper, University Library of Munich, Germany, number 20783, Jul.
• Gomes Santana Félix, Elisabete, 2003, "Opções reais: tipologias e sua avaliação
  [Real options: typologies and its evaluation]," MPRA Paper, University Library of Munich, Germany, number 6186.
• Christophe Boucher, 2003, "La valorisation des sociétés de la Nouvelle économie par les options réelles : vertiges et controverses d’une analogie," Revue d'Économie Financière, Programme National Persée, volume 72, issue 3, pages 299-315, DOI: 10.3406/ecofi.2003.4885.
• Frank Milne & Edwin H. Neave, 2003, "A General Equilibrium Financial Asset Economy With Transaction Costs And Trading Constraints," Working Paper, Economics Department, Queen's University, number 1082, Sep.
• Elias Tzavalis & Shijun Wang, 2003, "Pricing American Options under Stochastic Volatility: A New Method Using Chebyshev Polynomials to Approximate the Early Exercise Boundary," Working Papers, Queen Mary University of London, School of Economics and Finance, number 488, Feb.
• Andrew Chen & James Conover & John Kensinger, 2003, "How can management deliver value for shareholders?," Journal of Financial Transformation, Capco Institute, volume 7, pages 93-101.
• Sandra Peterson & Richard C. Stapleton, 2003, "The Pricing Of Options On Credit-Sensitive Bonds," Schmalenbach Business Review (sbr), LMU Munich School of Management, volume 55, issue 3, pages 178-193, July.
• Kevin Burrage & Jamie Alcock & Monica Barbu, 2003, "A Numerical Solution to American Style Options on Commodities," Computing in Economics and Finance 2003, Society for Computational Economics, number 135, Aug.
• Roy van der Weide & Remco Peters, 2003, "The Evolution of Expectations Towards Expiration," Computing in Economics and Finance 2003, Society for Computational Economics, number 199, Aug.
• Christina Nikitopoulos-Sklibosios & Carl Chiarella, 2003, "An Implementation of the Shirakawa Jump-Diffusion Term Structure Model," Computing in Economics and Finance 2003, Society for Computational Economics, number 201, Aug.
• Nick Webber & Claudia Ribeiro, 2003, "Valuing Path Dependent Options in the Variance-Gamma Model by Monte Carlo with a Gamma Bridge," Computing in Economics and Finance 2003, Society for Computational Economics, number 4, Aug.
• Monica Barbu & Kevin Burrage, 2003, "A Stochastic Seasonal Model for Commodity Option Pricing," Computing in Economics and Finance 2003, Society for Computational Economics, number 45, Aug.
• Nick Webber & Claudia Ribeiro, 2003, "A Monte Carlo Method for the Normal Inverse Gaussian Option Valuation Model using an Inverse Gaussian Bridge," Computing in Economics and Finance 2003, Society for Computational Economics, number 5, Aug.
• Nicolas Merener & Paul Glasserman, 2003, "Numerical solution of jump-diffusion LIBOR market models," Finance and Stochastics, Springer, volume 7, issue 1, pages 1-27.
• Eleanor Virag & Fima C. Klebaner & Konstantin Borovkov, 2003, "Random step functions model for interest rates," Finance and Stochastics, Springer, volume 7, issue 1, pages 123-143.
• Ji-Wook Jang & Angelos Dassios, 2003, "Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity," Finance and Stochastics, Springer, volume 7, issue 1, pages 73-95.
• Per Hörfelt, 2003, "Extension of the corrected barrier approximation by Broadie, Glasserman, and Kou," Finance and Stochastics, Springer, volume 7, issue 2, pages 231-243.
• Shinn-Juh Lin & Jian Yang, 2003, "Examining intraday returns with buy/sell information," Applied Financial Economics, Taylor & Francis Journals, volume 13, issue 6, pages 447-461, DOI: 10.1080/09603100210159012.
• Jan Ericsson & Joel Reneby, 2003, "Stock options as barrier contingent claims," Applied Mathematical Finance, Taylor & Francis Journals, volume 10, issue 2, pages 121-147, DOI: 10.1080/1350486032000088921.
• David Heath & Eckhard Platen, 2003, "Pricing of index options under a minimal market model with log-normal scaling," Quantitative Finance, Taylor & Francis Journals, volume 3, issue 6, pages 442-450, DOI: 10.1088/1469-7688/3/6/303.
• Joe Akira Yoshino, 2003, "Market Risk and Volatility in the Brazilian Stock Market," Journal of Applied Economics, Taylor & Francis Journals, volume 6, issue 2, pages 385-403, November, DOI: 10.1080/15140326.2003.12040600.
• Bas Peeters & Cees L. Dert & André Lucas, 2003, "Black Scholes for Portfolios of Options in Discrete Time: the Price is Right, the Hedge is wrong," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 03-090/2, Oct.
• Guha, R. & Sbuelz, A., 2003, "Structural RFV : Recovery Form and Defaultable Debt Analysis," Discussion Paper, Tilburg University, Center for Economic Research, number 2003-37.
• van den Goorbergh, R.W.J. & Genest, C. & Werker, B.J.M., 2003, "Multivariate Option Pricing Using Dynamic Copula Models," Discussion Paper, Tilburg University, Center for Economic Research, number 2003-122.
• Sbuelz, A., 2003, "Analytic American Option Pricing and Applications," Discussion Paper, Tilburg University, Center for Economic Research, number 2003-64.
• Daal, Elton & Farhat, Joseph Basheer & Wei, Peihwang P., 2003, "Reexamining the maturity effect using extensive futures data," Working Papers, University of New Orleans, Department of Economics and Finance, number 2003-06.
• Elisa Alòs, 2003, "A general decomposition formula for derivative prices in stochastic volatility models," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 665, Feb.
• Manuel Moreno & Javier F. Navas, 2003, "Australian Asian options," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 680, Feb.
• Lionel Martellini & Branko Urosevic, 2003, "On the valuation and incentive effects of executive cash bonus contracts," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 784, Dec.
• David Heath & Eckhard Platen, 2003, "Pricing of Index Options Under a Minimal Market Model with Lognormal Scaling," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 101, Jun.
• Antje Mahayni & Erik Schlögl, 2003, "The Risk Management of Minimum Return Guarantees," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 102, Jun.
• Eckhard Platen, 2003, "Modeling the Volatility and Expected Value of a Diversified World Index," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 103, Jun.
• Eckhard Platen & Jason West, 2003, "Fair Pricing of Weather Derivatives," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 106, Sep.
• Eckhard Platen, 2003, "Pricing and Hedging for Incomplete Jump Diffusion Benchmark Models," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 110, Oct.
• Eckhard Platen, 2003, "A Benchmark Framework for Risk Management," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 113, Nov.
• Eckhard Platen, 2003, "Diversified Portfolios in a Benchmark Framework," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 87, Jan.
• Eckhard Platen, 2003, "An Alternative Interest Rate Term Structure Model," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 97, Jun.
• R. M. Eldridge & Maurice Peat & Max Stevenson, 2003, "The Role of Intra-Day and Inter-Day Data Effects in Determining Linear and Nonlinear Granger Causality Between Australian Futures and Cash Index Markets," Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 122, Jan.
• Arantza Murillas Maza, 2003, "Option value and optimal rotation policies for aquaculture exploitations," Working Papers, Universidade de Vigo, Departamento de Economía Aplicada, number 0304, Mar.
• Manuel Moreno, 2003, "A two‐mean reverting‐factor model of the term structure of interest rates," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 23, issue 11, pages 1075-1105, November.
• Carl Chiarella & Thuy‐Duong Tô, 2003, "The jump component of the volatility structure of interest rate futures markets: An international comparison," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 23, issue 12, pages 1125-1158, December.
• Ying‐Foon Chow & Haynes H. M. Yung & Hua Zhang, 2003, "Expiration day effects: The case of Hong Kong," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 23, issue 1, pages 67-86, January.
• Li Chen & Damir Filipovic, 2003, "A Simple Model for Credit Migration and Spread Curves," Finance, University Library of Munich, Germany, number 0305003, May.
• Allen Abrahamson, 2003, "A Note on Constructing 50-50 Step Probability Binomial Lattices to Replicate Wiener Diffusion," Finance, University Library of Munich, Germany, number 0305004, May, revised 17 May 2003.
• Allen Abrahamson, 2003, "Efficient Path-Dependent Valuation Using Lattices: Fixed and Floating Strike Asian Options," Finance, University Library of Munich, Germany, number 0305005, May.
• Sohnke M. Bartram & Frank R. Fehle, 2003, "Competition among Alternative Option Market Structures: Evidence from Eurex vs. Euwax," Finance, University Library of Munich, Germany, number 0307005, Jul, revised 06 Nov 2003.
• Hayette Gatfaoui, 2003, "Risk Disaggregation And Credit Risk Valuation In The Merton Like Way," Finance, University Library of Munich, Germany, number 0308007, Aug.
• Vladislav Kargin, 2003, "Lattice Option Pricing By Multidimensional Interpolation," Finance, University Library of Munich, Germany, number 0309003, Sep, revised 29 Oct 2004.
• Henrard Marc, 2003, "A semi-analytical approach to Canary swaptions in HJM one-factor model," Finance, University Library of Munich, Germany, number 0310008, Oct, revised 25 Nov 2004.
• Marc Henrard, 2003, "Explicit bond option and swaption formula in Heath-Jarrow-Morton one factor model," Finance, University Library of Munich, Germany, number 0310009, Oct.
• Vladislav Kargin, 2003, "Consistent Estimation of Pricing Kernels from Noisy Price Data," Finance, University Library of Munich, Germany, number 0311001, Nov.
• Florian Neagu, 2003, "Net Foreign Assets Management and Capital Account Liberalization. The Romanian Case," Finance, University Library of Munich, Germany, number 0311002, Nov.
• Sohnke M. Bartram & Frank R. Fehle, 2003, "Alternative Market Structures for Derivatives," Finance, University Library of Munich, Germany, number 0311007, Nov, revised 12 Dec 2003.
• Valeri Zakamouline, 2003, "European Option Pricing and Hedging with both Fixed and Proportional Transaction Costs," Finance, University Library of Munich, Germany, number 0311009, Nov.
• Valeri Zakamouline, 2003, "American Option Pricing with Transaction Costs," Finance, University Library of Munich, Germany, number 0311012, Nov.
• Florian Neagu, 2003, "Net Foreign Assets Management and Capital Account Liberalization. The Romanian Case," International Finance, University Library of Munich, Germany, number 0310002, Oct.
• Florian Neagu, 2003, "Net Foreign Assets Management and Capital Account Liberalization. The Romanian Case," International Finance, University Library of Munich, Germany, number 0311001, Nov.
• Florian Neagu, 2003, "Net Foreign Assets Management and Capital Account Liberalization. The Romanian Case," Macroeconomics, University Library of Munich, Germany, number 0310010, Oct.
• Florian Neagu, 2003, "Net Foreign Assets Management and Capital Account Liberalization. The Romanian Case," Macroeconomics, University Library of Munich, Germany, number 0311001, Nov.
• Florian Neagu, 2003, "Net Foreign Assets Management and Capital Account Liberalization. The Romanian Case," Others, University Library of Munich, Germany, number 0311001, Nov.
• Hayette Gatfaoui, 2003, "How Does Systematic Risk Impact Stocks ? A Study On the French Financial Market," Risk and Insurance, University Library of Munich, Germany, number 0308004, Aug.
• Mahayni, Antje & Schlögl, Erik, 2003, "The Risk Management of Minimum Return Guarantees," Bonn Econ Discussion Papers, University of Bonn, Bonn Graduate School of Economics (BGSE), number 18/2003.
• Keller, Joachim & Glatzer, Ernst & Craig, Ben R. & Scheicher, Martin, 2003, "The Forecasting Performance of German Stock Option Densities," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2003,17.
• Franzke, Stefanie A. & Schlag, Christian, 2003, "Over-allotment options in IPOs on Germany's Neuer Markt: An empirical investigation," CFS Working Paper Series, Center for Financial Studies (CFS), number 2002/16.
• Boenkost, Wolfram & Schmidt, Wolfgang M., 2003, "Notes on convexity and quanto adjustments for interest rates and related options," Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management, number 47.
• 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 Staff Working Paper series, 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, Centre for Economic Policy Research, number 3832, Mar.
• Ottaviani, Marco & Sørensen, Peter Norman, 2003, "Late Informed Betting and the Favourite-Longshot Bias," CEPR Discussion Papers, Centre for Economic Policy Research, 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.
• Le Coq, Chloé, 2003, "Long-Term Supply Contracts and Collusion in the Electricity Markets," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 552, May.
• Ericsson, Jan & Reneby, Joel, 2003, "Valuing Corporate Liabilities," SIFR Research Report Series, Institute for Financial Research, number 15, Jun.