Research classified by Journal of Economic Literature (JEL) codes

2003

• 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.

2002

• Yamai, Yasuhiro & Yoshiba, Toshinao, 2002, "Comparative Analyses of Expected Shortfall and Value-at-Risk: Their Estimation Error, Decomposition, and Optimization," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, volume 20, issue 1, pages 87-121, January.
• Monique Jeanblanc & Wojciech Szatzschneider, 2002, "Environment And Finance: Why We Should Make The Environment A Part Of The Financial Markets," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, volume 1, issue 2, pages 131-142, Junio 200.
• Andrés D. Fundia, 2002, "A Fast Monte Carlo Algorithm For Pricing American Options," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, volume 1, issue 3, pages 243-253, Septiembr.
• Francisco Venegas-Martínez & Jorge Miguel Carrillo Rivera, 2002, "Cambio Tecnologico En La Administracion De Riesgos Financieros: El Caso Mexicano," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, volume 1, issue 4, pages 289-304, Diciembre.
• Iftekhar Hasan & Sudipto Sarkar, 2002, "Banks' option to lend, interest rate sensitivity, and credit availability," Review of Derivatives Research, Springer, volume 5, issue 3, pages 213-250, October, DOI: 10.1023/A:1020822232087.
• Medvegyev, Péter, 2002, "A pénzügyi eszközök árazásának alaptétele diszkrét idejű modellekben
  [The fundamental proposition of financial-resource pricing in discrete-time models]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), volume 0, issue 7, pages 597-620.
• Radnai, Márton, 2002, "Árazási hiba a határidős indexpiacokon
  [Mispricing on index futures markets]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), volume 0, issue 11, pages 905-927.
• Levy, Daniel & Dutta, Shantanu & Bergen, Mark, 2002, "Heterogeneity in Price Rigidity: Evidence from a Case Study Using Microlevel Data," Journal of Money, Credit and Banking, Blackwell Publishing, volume 34, issue 1, pages 197-220, February.
• Mondher Bellalah & Marc Lavielle, 2002, "A Decomposition of Empirical Distributions with Applications to the Valuation of Derivative Assets," Multinational Finance Journal, Multinational Finance Journal, volume 6, issue 2, pages 99-130, June.
• G.C. Lim & G.M. Martin & V.L. Martin, 2002, "Parametric Pricing of Higher Order Moments in S&P500 Options," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 1/02, Feb.
• Robert E.J. Hibbard & Rob Brown & Keith R. McLaren, 2002, "Nonsimultaneity and Futures Option Pricing: Simulation and Empirical Evidence," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 13/02, Dec.
• C.S. Forbes & G.M. Martin & J. Wright, 2002, "Bayesian Estimation of a Stochastic Volatility Model Using Option and Spot Prices," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 2/02, Feb.
• G.C. Lim & G.M. Martin & V.L. Martin, 2002, "Pricing Currency Options in Tranquil Markets: Modelling Volatility Frowns," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 4/02, May.
• Yacine Aït-Sahalia & Robert Kimmel, 2002, "Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions," NBER Technical Working Papers, National Bureau of Economic Research, Inc, number 0286, Dec.
• Kent Smetters, 2002, "Controlling the Cost of Minimum Benefit Guarantees in Public Pension Conversions," NBER Working Papers, National Bureau of Economic Research, Inc, number 8732, Jan.
• George M. Constantinides & Stylianos Perrakis, 2002, "Stochastic Dominance Bounds on Derivative Prices in a Multiperiod Economy with Proportional Transaction Costs," NBER Working Papers, National Bureau of Economic Research, Inc, number 8867, Mar.
• Aron Gereben, 2002, "Extracting market expectations from option prices: an application to over-the-counter New Zealand dollar options," Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand, number DP2002/04, Apr.
• Doron Kliger & Ori Levy, 2002, "Risk Preferences Heterogeneity: Evidence from Asset Markets," Review of Finance, European Finance Association, volume 6, issue 3, pages 277-290.
• Peter Løchte Jørgensen, 2002, "American-style Indexed Executive Stock Options," Review of Finance, European Finance Association, volume 6, issue 3, pages 321-358.
• Viral V. Acharya & Jennifer N. Carpenter, 2002, "Corporate Bond Valuation and Hedging with Stochastic Interest Rates and Endogenous Bankruptcy," The Review of Financial Studies, Society for Financial Studies, volume 15, issue 5, pages 1355-1383.
• Kenneth A. Froot & Steven E. Posner, 2002, "The Pricing of Event Risks with Parameter Uncertainty," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), volume 27, issue 2, pages 153-165, December.
• Ardia, David, 2002, "Tests d'arbitrage et surfaces de volatilité : analyse empirique sur données haute fréquence
  [Arbitrage tests and surface of implied volatility: An empirical analysis of high frequency data]," MPRA Paper, University Library of Munich, Germany, number 17415, Jun.
• Robert Elliott & Dilip B. Madan & Frank Milne, 2002, "Incomplete Diversification And Asset Pricing," Working Paper, Economics Department, Queen's University, number 1081, Feb.
• Antonio Mele, 2002, "Fundamental Properties of Bond Prices in Models of the Short-Term Rate," Working Papers, Queen Mary University of London, School of Economics and Finance, number 460, Jun.
• Kyriakos Chourdakis, 2002, "Continuous Time Regime Switching Models and Applications in Estimating Processes with Stochastic Volatility and Jumps," Working Papers, Queen Mary University of London, School of Economics and Finance, number 464, Nov.
• Frank Skinner & Antonio Diaz, 2002, "An Empirical Study of Credit Default Swaps," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2003-04, Jan, revised Jan 2003.
• Bruce Mizrach, 2002, "When Did The Smart Money in Enron Lose Its' Smirk?," Departmental Working Papers, Rutgers University, Department of Economics, number 200224, Sep.
• Marliese Uhrig-Homburg, 2002, "Valuation Of Defaultable Claims – A Survey," Schmalenbach Business Review (sbr), LMU Munich School of Management, volume 54, issue 1, pages 24-57, January.
• Wolfgang Bühler & Christian Koziol, 2002, "Valuation Of Convertible Bonds With Sequential Conversion," Schmalenbach Business Review (sbr), LMU Munich School of Management, volume 54, issue 4, pages 302-334, October.
• J. del Hoyo & J.-Guillermo Llorente, 2002, "Structural Change Testing in Stochastic Volatility Models," Computing in Economics and Finance 2002, Society for Computational Economics, number 100, Jul.
• Fausto Gozzi & Simona Sanfelici, 2002, "Finite element method for pricing European contingent claims on multiple assets. Part I: semigroup approach and regularity estimates," Computing in Economics and Finance 2002, Society for Computational Economics, number 129, Jul.
• Fausto Gozzi & Simona Sanfelici, 2002, "Finite element method for pricing European contingent claims on multiple assets. Part II: convergence and optimal error estimates," Computing in Economics and Finance 2002, Society for Computational Economics, number 130, Jul.
• Emmanuel Haven, 2002, "Price Adjustment Time and the Black-Scholes Option Pricing Model: Discussion and New Results," Computing in Economics and Finance 2002, Society for Computational Economics, number 149, Jul.
• Frank Niehaus, 2002, "Heterogeneous Preferences and the Representative Investor," Computing in Economics and Finance 2002, Society for Computational Economics, number 152, Jul.
• John Driffill & Turalay Kenc & Martin Sola, 2002, "Merton-style option pricing under regime switching," Computing in Economics and Finance 2002, Society for Computational Economics, number 304, Jul.
• Roger Koppl & Sorin Tuluca, 2002, "Daily Behavior Of Futures Returns: Evidence Form A New Computational Method," Computing in Economics and Finance 2002, Society for Computational Economics, number 342, Jul.
• Carl Chiarella & Silvana Musti, 2002, "Numerical Investigations of the Heath Jarrow Morton Model with Forward Rate Dependent Volatility," Computing in Economics and Finance 2002, Society for Computational Economics, number 84, Jul.
• Jan Kallsen, 2002, "Derivative pricing based on local utility maximization," Finance and Stochastics, Springer, volume 6, issue 1, pages 115-140.
• Marc Yor & Dilip B. Madan & Hélyette Geman, 2002, "Stochastic volatility, jumps and hidden time changes," Finance and Stochastics, Springer, volume 6, issue 1, pages 63-90.
• Paolo Guasoni, 2002, "Risk minimization under transaction costs," Finance and Stochastics, Springer, volume 6, issue 1, pages 91-113.
• Uwe Wystup & Uwe Schmock & Steven E. Shreve, 2002, "Valuation of exotic options under shortselling constraints," Finance and Stochastics, Springer, volume 6, issue 2, pages 143-172.
• Erik Schlögl, 2002, "A multicurrency extension of the lognormal interest rate Market Models," Finance and Stochastics, Springer, volume 6, issue 2, pages 173-196.
• Camilla Landén & Tomas Björk, 2002, "On the construction of finite dimensional realizations for nonlinear forward rate models," Finance and Stochastics, Springer, volume 6, issue 3, pages 303-331.
• Simon H. Babbs, 2002, "Conditional Gaussian models of the term structure of interest rates," Finance and Stochastics, Springer, volume 6, issue 3, pages 333-353.
• Klaus Sandmann & J. Aase Nielsen, 2002, "Pricing of Asian exchange rate options under stochastic interest rates as a sum of options," Finance and Stochastics, Springer, volume 6, issue 3, pages 355-370.
• (**), Christophe Stricker & (*), Miklós Rásonyi & Yuri Kabanov, 2002, "No-arbitrage criteria for financial markets with efficient friction," Finance and Stochastics, Springer, volume 6, issue 3, pages 371-382.
• Victoria Steblovskaya & Sergio Albeverio, 2002, "A model of financial market with several interacting assets. Complete market case," Finance and Stochastics, Springer, volume 6, issue 3, pages 383-396.
• Albert N. Shiryaev & Jan Kallsen, 2002, "The cumulant process and Esscher's change of measure," Finance and Stochastics, Springer, volume 6, issue 4, pages 397-428.
• Philip Protter & Emmanuelle Clément & Damien Lamberton, 2002, "An analysis of a least squares regression method for American option pricing," Finance and Stochastics, Springer, volume 6, issue 4, pages 449-471.
• Bruno Bouchard, 2002, "Utility maximization on the real line under proportional transaction costs," Finance and Stochastics, Springer, volume 6, issue 4, pages 495-516.
• Juan A. Lafuente, 2002, "Intraday return and volatility relationships between the Ibex 35 spot and futures markets," Spanish Economic Review, Springer;Spanish Economic Association, volume 4, issue 3, pages 201-220.
• Eric Benhamou, 2002, "Smart Monte Carlo: various tricks using Malliavin calculus," Quantitative Finance, Taylor & Francis Journals, volume 2, issue 5, pages 329-336, DOI: 10.1088/1469-7688/2/5/301.
• David Heath & Eckhard Platen, 2002, "Consistent pricing and hedging for a modified constant elasticity of variance model," Quantitative Finance, Taylor & Francis Journals, volume 2, issue 6, pages 459-467, DOI: 10.1080/14697688.2002.0000013.
• Patrick Houweling & Ton Vorst, 2002, "An Empirical Comparison of Default Swap Pricing Models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 02-004/2, Jan.
• Antoon Pelsser, 2002, "Pricing and Hedging Guaranteed Annuity Options via Static Option Replication," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 02-037/2, Apr.
• Ter Horst, J.R. & Veld, C.H., 2002, "Behavioral Preferences for Individual Securities : The Case for Call Warrants and Call Options," Discussion Paper, Tilburg University, Center for Economic Research, number 2002-95.
• Baquero, G. & Ter Horst, J.R. & Verbeek, M.J.C.M., 2002, "Survival, Look-Ahead Bias and the Persistence in Hedge Fund Performance," Discussion Paper, Tilburg University, Center for Economic Research, number 2002-111.
• Alfonso Novales & J.A. Lafuente, 2002, "Optimal hedging under departures from the cost-of-carry valuation: evidence from the Spanish stock index futures market," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 0223.
• Marc Schaberg & Dean Baker & Robert Pollin, 2002, "Securities Transaction Taxes for U.S. Financial Markets," Working Papers, Political Economy Research Institute, University of Massachusetts at Amherst, number wp20.
• Arturo Kohatsu & Roger Pettersson, 2002, "Variance reduction methods for simulation of densities on Wiener space," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 597, Jan.
• Antje Dudenhausen & Erik Schlögl & Lutz Schlögl, 1999, "Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 19, Aug.
• Erik Schlögl, 1999, "A Multicurrency Extension of the Lognormal Interest Rate Market Models," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 20, Aug.
• Carl Chiarella & Oh-Kang Kwon, 1999, "Forward Rate Dependent Markovian Transformations of the Heath-Jarrow-Morton Term Structure Model," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 5, Apr.
• Hans Buhlmann & Eckhard Platen, 2002, "A Discrete Time Benchmark Approach for Finance and Insurance," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 74, Mar.
• Eckhard Platen & Wolfgang Runggaldier, 2002, "A Benchmark Approach to Filtering in Finance," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 77, Mar.
• David Heath & Eckhard Platen, 2002, "Consistent Pricing and Hedging for a Modified Constant Elasticity of Variance Model," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 78, May.
• Ram Bhar & Carl Chiarella & Thuy Duong To, 2002, "A Maximum Likelihood Approach to Estimation of Heath-Jarrow-Morton Models," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 80, May.
• Eckhard Platen, 2002, "Benchmark Model with Intensity Based Jumps," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 81, Jun.
• Eckhard Platen, 2002, "A Benchmark Framework for Integrated Risk Management," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 82, Jun.
• Dwight R. Sanders & Mark R. Manfredo, 2002, "The white shrimp futures market: Lessons in contract design and marketing," Agribusiness, John Wiley & Sons, Ltd., volume 18, issue 4, pages 505-522, DOI: 10.1002/agr.10035.
• Ali Bora Yigitbasioglu, 2002, "Pricing Convertible Bonds with Interest Rate, Equity, Credit and FX Risk," Finance, University Library of Munich, Germany, number 0201001, Jan.
• Bakhodir A Ergashev, 2002, "A note on a generalized Black-Scholes formula," Finance, University Library of Munich, Germany, number 0203006, Mar.
• Allen Abrahamson, 2002, "All Moments of Discrete and Continuous Arithmetic Averages on Brownian Paths: A Closed Form," Finance, University Library of Munich, Germany, number 0205004, May.
• Nguyen Thanh Long, 2002, "Analytical Aproach to Value Options with State Variables of a Levy System," Finance, University Library of Munich, Germany, number 0207004, Aug, revised 19 Jan 2003.
• David Backus & Silverio Foresi & Liuren Wu, 2002, "Accouting for Biases in Black-Scholes," Finance, University Library of Munich, Germany, number 0207008, Aug.
• Massoud Heidari & Liuren Wu, 2002, "Term Structure of Interest Rates, Yield Curve Residuals, and the Consistent Pricing of Interest Rates and Interest Rate Derivatives," Finance, University Library of Munich, Germany, number 0207010, Aug, revised 10 Sep 2002.
• Peter Carr & Liuren Wu, 2002, "Time-Changed Levy Processes and Option Pricing," Finance, University Library of Munich, Germany, number 0207011, Aug.
• Peter Carr & Liuren Wu, 2002, "The Finite Moment Log Stable Process and Option Pricing," Finance, University Library of Munich, Germany, number 0207012, Aug.
• Markus Leippold & Liuren Wu, 2002, "Design and Estimation of Quadratic Term Structure Models," Finance, University Library of Munich, Germany, number 0207014, Aug.
• Markus Leippold & Liuren Wu, 2002, "Asset Pricing Under The Quadratic Class," Finance, University Library of Munich, Germany, number 0207015, Aug.
• David Backus & Liuren Wu & Stanley Zin, 2002, "Markov Chain Approximations For Term Structure Models," Finance, University Library of Munich, Germany, number 0207018, Sep.
• Peter Carr & Liuren Wu, 2002, "What Type of Process Underlies Options? A Simple Robust Test," Finance, University Library of Munich, Germany, number 0207019, Sep.
• Rafiqul Bhuyan, 2002, "Information, Alternative Markets, and Security Price Processes: A Survey of Literature," Finance, University Library of Munich, Germany, number 0211002, Nov.
• Eric Benhamou, 2002, "A Generalisation of Malliavin Weighted Scheme for Fast Computation of the Greeks," Finance, University Library of Munich, Germany, number 0212003, Dec.
• Eric Benhamou, 2002, "Smart Monte Carlo: Various tricks using Malliavin calculus," Finance, University Library of Munich, Germany, number 0212004, Dec.
• Eric Benhamou, 2002, "A Martingale Result for Convexity Adjustment in the Black Pricing Model," Finance, University Library of Munich, Germany, number 0212005, Dec.
• Eric Benhamou, 2002, "Option pricing with Levy Process," Finance, University Library of Munich, Germany, number 0212006, Dec.
• Krzysztof Burnecki & Agnieszka Marciniuk & Aleksander Weron, 2002, "On annuities under random rates of interest," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/02/01.
• Rafal Weron, 2002, "Pricing European options on instruments with a constant dividend yield: The randomized discrete-time approach," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/02/04.
• Harry Mamaysky, 2002, "On the Joint Pricing of Stocks and Bonds: Theory and Evidence," Yale School of Management Working Papers, Yale School of Management, number ysm256, Jan.
• Dudenhausen, Antje, 2002, "Effectiveness of Hedging Strategies under Model Misspecification and Trading Restrictions," Bonn Econ Discussion Papers, University of Bonn, Bonn Graduate School of Economics (BGSE), number 13/2002.
• Dudenhausen, Antje & Schlögl, Lutz, 2002, "An Examination of the Effects of Parameter Misspecification," Bonn Econ Discussion Papers, University of Bonn, Bonn Graduate School of Economics (BGSE), number 22/2002.
• Evstigneev, Igor V. & Schürger, Klaus & Taksar, Michael I., 2002, "On the fundamental theorem of asset pricing: random constraints and bang-bang no-arbitrage criteria," Bonn Econ Discussion Papers, University of Bonn, Bonn Graduate School of Economics (BGSE), number 24/2002.
• Dudenhausen, Antje, 2002, "How to Avoid a Hedging Bias," Bonn Econ Discussion Papers, University of Bonn, Bonn Graduate School of Economics (BGSE), number 34/2002.
• Zühlsdorff, Christian, 2002, "The Pricing of Derivatives on Assets with Quadratic Volatility," Bonn Econ Discussion Papers, University of Bonn, Bonn Graduate School of Economics (BGSE), number 5/2002.
• Zühlsdorff, Christian, 2002, "Extended Libor Market Models with Affine and Quadratic Volatility," Bonn Econ Discussion Papers, University of Bonn, Bonn Graduate School of Economics (BGSE), number 6/2002.
• Schürger, Klaus, 2002, "Maximal Arbitrage," Bonn Econ Discussion Papers, University of Bonn, Bonn Graduate School of Economics (BGSE), number 9/2002.
• Upper, Christian & Werner, Thomas, 2002, "Time Variation in the Tail Behaviour of Bund Futures Returns," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2002,25.
• Jobst, Andreas A., 2002, "The Pricing puzzle: The default term structure of collateralised loan obligations," CFS Working Paper Series, Center for Financial Studies (CFS), number 2002/14.
• Fischer, Matthias J., 2002, "Solving the Esscher puzzle: the NEF-GHS option pricing model," Discussion Papers, Friedrich-Alexander University Erlangen-Nuremberg, Chair of Statistics and Econometrics, number 42a/2002.
• Kirch, Michael & Krutchenko, R. N. & Melnikov, Aleksandr V., 2002, "Efficient hedging for a complete jump-diffusion model," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2002,27.
• Giesecke, Kay, 2002, "Compensator-based simulation of correlated defaults," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2002,47.
• Giesecke, Kay, 2002, "An exponential model for dependent defaults," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2002,52.
• Giesecke, Kay, 2002, "Credit risk modeling and valuation: An introduction," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2002,54.
• Gunther Capelle-Blancard & Séverine Vandelanoite, 2002, "Relations intrajournalières entre l'indice CAC 40 et les options sur indice : Quel est le marché préféré des investisseurs informés ?," Annals of Economics and Statistics, GENES, issue 66, pages 143-177.
• Elliott, Robert & Madan, Dilip & Milne, Frank, 2002, "Incomplete Diversification and Asset Pricing," Queen's Economics Department Working Papers, Queen's University - Department of Economics, number 273557, Feb, DOI: 10.22004/ag.econ.273557.
• Yu, Jun & Phillips, Peter, 2002, "Jacknifing Bond Option Prices," Working Papers, Department of Economics, The University of Auckland, number 187.
• Fabio Fornari, 2002, "The size of the equity premium," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 447, Jul.
• Darsinos, T. & Satchell, S.E., 2002, "The Implied Distribution for Stocks of Companies with Warrants and/or Executive Stock Options," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0217, Jun.
• Darsinos, T. & Satchell, S.E., 2002, "On the Valuation of Warrants and Executive Stock Options: Pricing Formulae for Firms with Multiple Warrants/Executive Options," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0218, Jul.
• Mikhail Chernov & A. Ronald Gallant & Eric Ghysels & George Tauchen, 2002, "Alternative Models for Stock Price Dynamics," CIRANO Working Papers, CIRANO, number 2002s-58, Jun.
• Torben G. Andersen & Tim Bollerslev & Nour Meddahi, 2002, "Analytic Evaluation of Volatility Forecasts," CIRANO Working Papers, CIRANO, number 2002s-90, Dec.
• Acharya, Viral & Carpenter, Jennifer, 2002, "Corporate Bond Valuation and Hedging with Stochastic Interest Rates and Endogenous Bankruptcy," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3328, Apr.
• Das, Sanjiv Ranjan & Acharya, Viral & Sundaram, Rangarajan K, 2002, "Pricing Credit Derivatives with Rating Transitions," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3329, Apr.
• Acharya, Viral & Sundaram, Rangarajan K & Huang, Jing-Zhi & Subrahmanyam, Marti, 2002, "When Does Strategic Debt Service Matter?," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3566, Oct.
• Laura Ballotta & Steven Haberman, 2002, "Annuity Risk: Volatility and Inflation Exposure in Payments from Immediate Life Annuities," CeRP Working Papers, Center for Research on Pensions and Welfare Policies, Turin (Italy), number 24, Aug.
• Leippold, Markus & Wu, Liuren, 2002, "Asset Pricing under the Quadratic Class," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 37, issue 2, pages 271-295, June.
• Smetters, Kent, 2002, "Controlling the cost of minimum benefit guarantees in public pension conversions," Journal of Pension Economics and Finance, Cambridge University Press, volume 1, issue 1, pages 9-33, March.
• Chernov, Mikhail & Gallant, A. Ronald & Ghysels, Eric & Tauchen, George, 2002, "Alternative Models for Stock Price Dynamic," Working Papers, Duke University, Department of Economics, number 02-03.
• Brousseau, Vincent, 2002, "The functional form of yield curves," Working Paper Series, European Central Bank, number 148, May.
• Upper, Christian & Werner, Thomas, 2002, "Time variation in the tail behaviour of bunds futures returns," Working Paper Series, European Central Bank, number 199, Dec.
• Campa, Jose M. & Chang, P. H. Kevin & Refalo, James F., 2002, "An options-based analysis of emerging market exchange rate expectations: Brazil's Real Plan, 1994-1999," Journal of Development Economics, Elsevier, volume 69, issue 1, pages 227-253, October.
• Dutta, Shantanu & Bergen, Mark & Levy, Daniel, 2002, "Price flexibility in channels of distribution: Evidence from scanner data," Journal of Economic Dynamics and Control, Elsevier, volume 26, issue 11, pages 1845-1900, September.