Research classified by Journal of Economic Literature (JEL) codes

2002

• 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.
• 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, Centre for Economic Policy Research, number 3328, Apr.
• Das, Sanjiv Ranjan & Acharya, Viral & Sundaram, Rangarajan K, 2002, "Pricing Credit Derivatives with Rating Transitions," CEPR Discussion Papers, Centre for Economic Policy Research, number 3329, Apr.
• Acharya, Viral & Sundaram, Rangarajan K & Huang, Jing-Zhi & Subrahmanyam, Marti, 2002, "When Does Strategic Debt Service Matter?," CEPR Discussion Papers, Centre for Economic Policy Research, 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.
• Constantinides, George M. & Perrakis, Stylianos, 2002, "Stochastic dominance bounds on derivatives prices in a multiperiod economy with proportional transaction costs," Journal of Economic Dynamics and Control, Elsevier, volume 26, issue 7-8, pages 1323-1352, July.
• Decamps, Jean-Paul & Faure-Grimaud, Antoine, 2002, "Excessive continuation and dynamic agency costs of debt," European Economic Review, Elsevier, volume 46, issue 9, pages 1623-1644, October.
• Bauwens, Luc & Lubrano, Michel, 2002, "Bayesian option pricing using asymmetric GARCH models," Journal of Empirical Finance, Elsevier, volume 9, issue 3, pages 321-342, August.
• Bystrom, Hans N. E., 2002, "Using simulated currency rainbow options to evaluate covariance matrix forecasts," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 12, issue 3, pages 216-230, July.
• Jurczenko, Emmanuel & Maillet, Bertrand & Negrea, Bogdan, 2002, "Skewness and kurtosis implied by option prices: a second comment," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24938, Jul.
• Jobst, Andreas A., 2002, "Loan securitisation: default term structure and asset pricing based on loss prioritisation," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24941, Aug.
• Jurczenko, Emmanuel & Maillet, Bertrand & Negrea, Bogdan, 2002, "Revisited multi-moment approximate option pricing models: a general comparison (Part 1)," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24950, Dec.
• Venegas-Martinez, Francisco & Bernardo González-Aréchiga, 2002, "Cobertura de tasas de interés con futuros del mercado mexicano de derivados. Modelo estocástico de duración y convexidad," El Trimestre Económico, Fondo de Cultura Económica, volume 69, issue 274, pages 227-250, abril-jun.
• Houweling, P. & Vorst, A.C.F., 2002, "An Empirical Comparison of Default Swap Pricing Models," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number ERS-2002-23-F&A, Feb.
• Houweling, P. & Vorst, A.C.F., 2002, "An Empirical Comparison of Default Swap Pricing 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-2002-23-F&A, Feb.
• Baquero, G. & ter Horst, J.R. & Verbeek, M.J.C.M., 2002, "Survival, Look-Ahead Bias and the Persistence in Hedge Fund Performance," 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-2002-104-F&A, Nov.
• Michael WESTPHALEN, 2002, "Valuation of Sovereign Debt with Strategic Defaulting and Rescheduling," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp43, Feb.
• Angelo Ranaldo, 2002, "Market Dynamics Around Public Information Arrivals," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp45, Feb.
• Alexandre Ziegler, 2002, "Why does Implied Risk Aversion Smile?," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp47, May.
• Jean-Luc PRIGENT & Olivier RENAULT & Olivier SCAILLET, 2002, "Option Pricing with Discrete Rebalancing," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp55, Jul.
• Roger WALDER, 2002, "Interactions Between Market and Credit Risk: Modeling the Joint Dynamics of Default-Free and Defaultable Bond Term Structures," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp56, Nov.
• Didier Cossin & Tomas Hricko & Daniel Aunon-Nerin & Zhijiang Huang, 2002, "Exploring for the Determinants of Credit Risk in Credit Default Swap Transaction Data: Is Fixed-Income Markets’ Information Suffcient to Evaluate Credit Risk?," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp65, Dec.
• Alessandro Rossi & Giampiero M. Gallo, 2002, "Volatility Estimation via Hidden Markov Models," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", number wp2002_14, Jun.
• Bogdan Negrea & Bertrand Maillet & Emmanuel Jurczenko, 2002, "Skewness and Kurtosis Implied by Option Prices: A Second Comment," FMG Discussion Papers, Financial Markets Group, number dp419, Jul.
• Andreas Jobst, 2002, "Loan Securitisation: Default Term Structure and Asset Pricing Based on Loss Prioritisation," FMG Discussion Papers, Financial Markets Group, number dp422, Aug.
• Shantanu Dutta & Mark Bergen & Daniel Levy, 2002, "Price flexibility in channels of distribution: Evidence from scanner data," Post-Print, HAL, number hal-02386423, Sep, DOI: 10.1016/S0165-1889(01)00012-4.
• Daniel Levy & Shantanu Dutta & Mark Bergen, 2002, "Heterogeneity in Price Rigidity: Evidence from a Case Study Using Micro-Level Data," Post-Print, HAL, number hal-02386496, DOI: 10.1353/mcb.2002.0031.
• Jensen, Bjarne Astrup, 2002, "On valuation before and after tax in no arbitrage models: Tax neutrality in the discrete time model," Working Papers, Copenhagen Business School, Department of Finance, number 2002-1, Mar.
• Richter, Martin & Sørensen, Carsten, 2002, "Stochastic Volatility and Seasonality in Commodity Futures and Options: The Case of Soybeans," Working Papers, Copenhagen Business School, Department of Finance, number 2002-4, Jun.
• Benninga, Simon & Björk, Tomas & Wiener, Zvi, 2002, "On the Use of Numeraires in Option pricing," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 484, Jan.
• Björk, Tomas & Clapham, Eric, 2002, "A Note on the Pricing of Real Estate Index Linked Swaps," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 492, Feb.
• Björk, Tomas & Landén, Camilla & Svensson, Lars, 2002, "Finite dimensional Markovian realizations for stochastic volatility forward rate models," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 498, Apr, revised 07 May 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.

2001

• Dupont, Dominique Y., 2001, "Hedging Barrier Options: Current Methods and Alternatives," Economics Series, Institute for Advanced Studies, number 103, Sep.
• Dupont, Dominique Y., 2001, "Extracting Risk-Neutral Probability Distributions from Option Prices Using Trading Volume as a Filter," Economics Series, Institute for Advanced Studies, number 104, Sep.
• Lee, Gabriel S. & Boss, Michael & Klisz, Chris, 2001, "Empirical Performance of the Czech and Hungarian Index Options under Jump," Economics Series, Institute for Advanced Studies, number 91, Jan.
• Shiratsuka, Shigenori, 2001, "Information Content of Implied Probability Distributions: Empirical Studies of Japanese Stock Price Index Options," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, volume 19, issue 3, pages 143-170, November.
• Lucy Ackert & William Hunter, 2001, "An Empirical Examination of the Price-Dividend Relation with Dividend Management," Journal of Financial Services Research, Springer;Western Finance Association, volume 19, issue 2, pages 115-129, April, DOI: 10.1023/A:1011190800890.
• Allen Berger & Robert DeYoung, 2001, "The Effects of Geographic Expansion on Bank Efficiency," Journal of Financial Services Research, Springer;Western Finance Association, volume 19, issue 2, pages 163-184, April, DOI: 10.1023/A:1011159405433.
• Douglas Evanoff & Larry Wall, 2001, "Sub-debt Yield Spreads as Bank Risk Measures," Journal of Financial Services Research, Springer;Western Finance Association, volume 20, issue 2, pages 121-145, October, DOI: 10.1023/A:1012408023269.
• Olekalns, N., 2001, "An Empirical Investigation of Structural Breaks in the Ex Ante Fisher Effect," Department of Economics - Working Papers Series, The University of Melbourne, number 786.
• Anderson, H.M. & Vahid, F., 2001, "Market Architecture and Nonlinear Dynamics of Australian Stock and Future Indices," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 3/01, May.
• Kenneth A. Froot & Steven E. Posner, 2001, "The Pricing of Event Risks with Parameter Uncertainty," NBER Working Papers, National Bureau of Economic Research, Inc, number 8106, Feb.
• David S. Bates, 2001, "The Market for Crash Risk," NBER Working Papers, National Bureau of Economic Research, Inc, number 8557, Oct.
• Severin Borenstein & James Bushnell & Christopher R. Knittel & Catherine Wolfram, 2001, "Trading Inefficiencies in California's Electricity Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 8620, Dec.
• Bryan R. Routledge & Stanley E. Zin, 2001, "Model Uncertainty and Liquidity," NBER Working Papers, National Bureau of Economic Research, Inc, number 8683, Dec.
• Helmut Elsinger & Martin Summer, 2001, "Arbitrage and Optimal Portfolio Choice with Financial Constraints," Working Papers, Oesterreichische Nationalbank (Austrian Central Bank), number 49, Aug.
• Frank De Jong & Joost Driessen & Antoon Pelsser, 2001, "Libor Market Models versus Swap Market Models for Pricing Interest Rate Derivatives: An Empirical Analysis," Review of Finance, European Finance Association, volume 5, issue 3, pages 201-237.
• Vicky Henderson, 2001, "Stock Based Compensation: Firm-specific risk, Efficiency and Incentives," Economics Series Working Papers, University of Oxford, Department of Economics, number 2002-FE-01, Nov.
• S. Sanfelici, 2001, "Comparison of numerical methods for the aproximation of option price," Economics Department Working Papers, Department of Economics, Parma University (Italy), number 2001-ME01.
• Christophe Morel & Brigitte Poiblanc, 2001, "Une lecture "optionnelle" du bilan des compagnies d'assurance-vie," Économie et Prévision, Programme National Persée, volume 149, issue 3, pages 65-71, DOI: 10.3406/ecop.2001.6292.
• Frank Skinner & Antonio Diaz, 2001, "On modelling credit risk using Arbitrage Free Models," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2000-08, Jul, revised Mar 2000.
• Antionio Diaz & Frank Skinner, 2001, "Estimating Corporate Yield Curves," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2001-01.
• Frank Skinner & Benton E. Gup & Michael Ioannides & Doowoo Nam, 2001, "Modelling Retail Deposit Spreads in the UK," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2001-02, Aug.