Research classified by Journal of Economic Literature (JEL) codes

2002

• 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.
• León, Angel & Rubio Irigoyen, Gonzalo, 2002, "Smiling under stochastic volatility," DFAEII Working Papers, University of the Basque Country - Department of Foundations of Economic Analysis II, number 1988-088X.
• Rubio Irigoyen, Gonzalo & Ferreira García, María Eva & Gago, Mónica & León, Angel, 2002, "An empirical comparison of the performance of alternative option pricing models," DFAEII Working Papers, University of the Basque Country - Department of Foundations of Economic Analysis II, number 1988-088X.
• León, Angel & Rubio Irigoyen, Gonzalo & Serna, Gregorio, 2002, "Autorregresive conditional volatility, skewness and kurtosis," DFAEII Working Papers, University of the Basque Country - Department of Foundations of Economic Analysis II, number 1988-088X.
• 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.

2001

• Stokes, Jeffrey R. & Brinch, Brian M., 2001, "Valuing Agricultural Mortgage-Backed Securities," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, volume 33, issue 3, pages 1-19, December, DOI: 10.22004/ag.econ.15459.
• Paulo Coutinho & Benjamin Miranda Tabak, 2001, "Decentralized Portfolio Management," Working Papers Series, Central Bank of Brazil, Research Department, number 22, Jun.
• Fabio Fornari & Antonio Mele, 2001, "Recovering the Probability Density Function of Asset Prices Using GARCH as Diffusion Approximations," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 396, Feb.
• Abraham Lioui & Patrice Poncet, 2001, "International Asset Allocation: A New Perspective," Working Papers, Bar-Ilan University, Department of Economics, number 2001-04, Feb.
• Heather M. Anderson & Farshid Vahid, 2001, "Market Architecture and Nonlinear Dynamics of Australian Stock and Futures Indices," Australian Economic Papers, Wiley Blackwell, volume 40, issue 4, pages 541-566, December, DOI: 10.1111/1467-8454.00141.
• Tomas Björk & Lars Svensson, 2001, "On the Existence of Finite‐Dimensional Realizations for Nonlinear Forward Rate Models," Mathematical Finance, Wiley Blackwell, volume 11, issue 2, pages 205-243, April, DOI: 10.1111/1467-9965.00113.
• Darsinos, T. & Satchell, S.E., 2001, "Bayesian Forecasting of Options Prices: A Natural Framework for Pooling Historical and Implied Volatiltiy Information," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0116, Nov.
• Rodolfo Apreda, 2001, "Arbitraging mispriced assets with separation portfolios to lessen total risk," CEMA Working Papers: Serie Documentos de Trabajo., Universidad del CEMA, number 203, Nov.
• Martin Cincibuch & Pavel Bouc, 2001, "Interpretation of Czech FX Options," Archive of Monetary Policy Division Working Papers, Czech National Bank, number 2001/36, Oct.
• Fabrizio Erbetta & Luca Agnello, 2001, "The martingales: theoretical and empirical characteristics," CERIS Working Paper, CNR-IRCrES Research Institute on Sustainable Economic Growth - Torino (TO) ITALY - former Institute for Economic Research on Firms and Growth - Moncalieri (TO) ITALY, number 200107, Dec.
• Ferreira, José Luis, 2001, "The role of observability in futures markets," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number we015316, Oct.
• Ping Li & Jianming Xia & Jia-an Yan, 2001, "Martingale Measure Method for Expected Utility Maximization in Discrete-Time Incomplete Markets," Annals of Economics and Finance, Society for AEF, volume 2, issue 2, pages 445-465, November.
• Hafner, Christian M. & Herwartz, Helmut, 2001, "Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis," Journal of Empirical Finance, Elsevier, volume 8, issue 1, pages 1-34, March.
• Fornari, Fabio & Mele, Antonio, 2001, "Recovering the probability density function of asset prices using garch as diffusion approximations," Journal of Empirical Finance, Elsevier, volume 8, issue 1, pages 83-110, March.
• Houweling, Patrick & Hoek, Jaap & Kleibergen, Frank, 2001, "The joint estimation of term structures and credit spreads," Journal of Empirical Finance, Elsevier, volume 8, issue 3, pages 297-323, July.
• Calzorali, Giorgio & Fiorentini, Gabriele & Sentana, Enrique, 2001, "Constrained indirect inference estimation," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 25061, Jun.
• Farinós Viñas, José Emilio & Fernández Blanco, Matilde, 2001, "Estructura de la bolsa española e introducción del mercado de activos derivados sobre el IBEX-35," Cuadernos de Gestión, Universidad del País Vasco - Instituto de Economía Aplicada a la Empresa (IEAE).
• de Jong, C.M., 2001, "Informed Option Trading Strategies," 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-2001-55-F&A, Oct.
• Aydin AKGUN,, 2001, "Defaultable Security Valuation and Model Risk," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp28, Mar.
• Evis KËLLEZI, & Giorgio PAULETTO, 2001, "Serial and Parallel Krylov Methods for Implicit Finite Difference Schemes Arising in Multivariate Option Pricing," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp30, Mar.
• Jan ERICSSON & Olivier RENAULT, 2001, "Liquidity and Credit Risk," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp42, Aug.
• Jiøí Málek, 2001, "Interest-Rate Swaps and Arbitrage," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 51, issue 2, pages 99-110, February.
• Douglas D. Evanoff & Larry D. Wall, 2001, "Sub-debt yield spreads as bank risk measures," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2001-11.
• Allen N. Berger & Robert DeYoung, 2001, "The effects of geographic expansion on bank efficiency," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2001-03.
• Douglas D. Evanoff & Larry D. Wall, 2001, "Sub-debt yield spreads as bank risk measures," Working Paper Series, Federal Reserve Bank of Chicago, number WP-01-03.
• Gabriele Fiorentini & Enrique Sentana, 2001, "Constrained Indirect Inference Estimation," FMG Discussion Papers, Financial Markets Group, number dp384, Jun.
• Din, A. & Hoesli, M. & Bender, A., 2001, "Environmental Variables and Real Estate Prices," Papers, Ecole des Hautes Etudes Commerciales, Universite de Geneve-, number 2001.04.
• Muzzioli, Silvia & Torricelli, Costanza, 2001, "A Model For Pricing An Option With A Fuzzy Payoff," Fuzzy Economic Review, International Association for Fuzzy-set Management and Economy (SIGEF), volume 0, issue 1, pages 49-87, May.
• Magni, C. A. & Mastroleo G. & Facchinetti, G., 2001, "A Fuzzy expert system for solving ReaL-Option decision processes," Fuzzy Economic Review, International Association for Fuzzy-set Management and Economy (SIGEF), volume 0, issue 2, pages 51-73, November.
• Jean-Luc Prigent, 2001, "Option Pricing with a General Marked Point Process," Post-Print, HAL, number hal-03679678, Feb, DOI: 10.1287/moor.26.1.50.10592.
• Topper, Jürgen, 2001, "Worst Case Pricing of Rainbow Options," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-217, Oct.
• Topper, Jürgen, 2001, "A Finite Element Implementation of Passport Options," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-224e, Nov.
• Nivorozhkin, Eugene, 2001, "An Analysis of Subordinated Debt in Banking: The Case of Costly Bankruptcy," Working Papers in Economics, University of Gothenburg, Department of Economics, number 44, May, revised 19 Dec 2001.
• Reneby, Joel & Ericsson, Jan, 2001, "The Valuation of Corporate Liabilities: Theory and Tests," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 445, Feb, revised 07 Jan 2003.
• Amilon, Henrik, 2001, "A Neural Network Versus Black-Scholes: A Comparison of Pricing and Hedging Performances," Working Papers, Lund University, Department of Economics, number 2001:5, Mar, revised 03 Aug 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.
• Simonne Varotto, 2001, "Credit Risk Diversification," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2001-07, Aug.
• Ali Bora Yigitbasioglu, 2001, "Pricing Convertible Bonds with Interest Rate, Equity, Credit and FX Risk," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2001-14, Nov.
• Allan Din & Martin Hoesli & Andre Bender, 2001, "Environmental Variables and Real Estate Prices," Urban Studies, Urban Studies Journal Limited, volume 38, issue 11, pages 1989-2000, October, DOI: 10.1080/00420980120080899.
• George J. Jiang and Pieter J. van der Sluis, 2001, "Volatility Reprojection and Forecasting Performance -- An EMM Approach toward the Multivariate Stochastic Volatility Model," Computing in Economics and Finance 2001, Society for Computational Economics, number 16, Apr.
• Dietmar P.J. Leisen and Kenneth L. Judd, 2001, "A Partial Equilibrium Model of Option Markets," Computing in Economics and Finance 2001, Society for Computational Economics, number 219, Apr.
• Grace C.H. Kuan and Nick Webber, 2001, "Pricing Barrier Bond Options with One-factor Interest Rate Models," Computing in Economics and Finance 2001, Society for Computational Economics, number 245, Apr.
• Jonathan Alford and Nick Webber, 2001, "Very High Order Lattice Methods for One Factor Models," Computing in Economics and Finance 2001, Society for Computational Economics, number 26, Apr.
• Kanta Matsuura, 2001, "Digital Security Tokens and Their Derivatives," Computing in Economics and Finance 2001, Society for Computational Economics, number 51, Apr.
• E. Benhamou, 2001, "Fast Fourier Transform for discrete Asian Options," Computing in Economics and Finance 2001, Society for Computational Economics, number 6, Apr.
• Stefan Jaschke & Uwe Küchler, 2001, "Coherent risk measures and good-deal bounds," Finance and Stochastics, Springer, volume 5, issue 2, pages 181-200.
• Eric Fournié & Jean-Michel Lasry & Pierre-Louis Lions & Jérôme Lebuchoux, 2001, "Applications of Malliavin calculus to Monte-Carlo methods in finance. II," Finance and Stochastics, Springer, volume 5, issue 2, pages 201-236.
• Carl Chiarella & Oh Kang Kwon, 2001, "Forward rate dependent Markovian transformations of the Heath-Jarrow-Morton term structure model," Finance and Stochastics, Springer, volume 5, issue 2, pages 237-257.
• Dirk Becherer, 2001, "The numeraire portfolio for unbounded semimartingales," Finance and Stochastics, Springer, volume 5, issue 3, pages 327-341.
• Damiano Brigo & Fabio Mercurio, 2001, "A deterministic-shift extension of analytically-tractable and time-homogeneous short-rate models," Finance and Stochastics, Springer, volume 5, issue 3, pages 369-387.
• Robert J. Elliott & John van der Hoek, 2001, "Stochastic flows and the forward measure," Finance and Stochastics, Springer, volume 5, issue 4, pages 511-525.
• Haim Reisman, 2001, "Black and Scholes pricing and markets with transaction costs: An example," Finance and Stochastics, Springer, volume 5, issue 4, pages 549-555.
• Thomas Goll & Ludger Rüschendorf, 2001, "Minimax and minimal distance martingale measures and their relationship to portfolio optimization," Finance and Stochastics, Springer, volume 5, issue 4, pages 557-581.
• David McMillan & Angela Black, 2001, "Nonlinear error correction in spot and forward exchange rates," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), volume 137, issue 4, pages 737-750, December, DOI: 10.1007/BF02707431.
• Manuel Moreno & Javier R. Navas, 2001, "On the robustness of least-squares Monte Carlo (LSM) for pricing American derivatives," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 543, Apr.
• Eckhard Platen, 2001, "A Minimal Financial Market Model," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 48, Mar.
• Eckhard Platen, 2001, "A Benchmark Model for Financial Markets," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 59, Jun.
• Mark Craddock & Eckhard Platen, 2001, "Benchmark Pricing of Credit Derivatives Under a Standard Market Model," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 60, Jun.
• Anthony D. Hall & Paul Kofman & Steve Manaster, 2001, "Migration of Price Discovery With Constrained Futures Markets," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 70, Dec.
• Eckhard Platen, 2001, "Arbitrage in Continuous Complete Markets," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 72, Dec.
• Alan L. Lewis, 2001, "A Simple Option Formula for General Jump-Diffusion and other Exponential Levy Processes," Related articles, Finance Press, number explevy, Aug.
• Haluk Unal & Dilip Madan & Levent Güntay, 2001, "Pricing the Risk of Recovery in Default with APR Violation," Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania, number 02-21, Aug.
• Junwu Gan, 2001, "Analytically inducting option cash flows for Markovian interest rate models: A new application paradigm," Finance, University Library of Munich, Germany, number 0110003, Oct.
• Patrick Houweling & Ton Vorst, 2001, "An Empirical Comparison of Default Swap Pricing Models," Finance, University Library of Munich, Germany, number 0112003, Dec.
• Zhiwu Chen & Ming Dong, 2001, "Stock Valuation and Investment Strategies," Yale School of Management Working Papers, Yale School of Management, number ysm212, Jul, revised 01 Oct 2001.
• Franke, Günter & Weber, Martin, 2001, "Heterogeneity of Investors and Asset Pricing in a Risk-Value World," CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE), number 01/08.
• Müller, Sigrid M., 2001, "Initial offerings of options," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2001,22.
• Fengler, Matthias R. & Härdle, Wolfgang Karl & Villa, Christophe, 2001, "The dynamics of implied volatilities: A common principal components approach," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2001,38.
• Nielsen, Hannah, 2001, "Extracting implicit density functions from short term interest rate options," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2001,47.
• Platen, Eckhard, 2001, "A benchmark model for financial markets," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2001,52.
• Giesecke, Kay, 2001, "Correlated default with incomplete information," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2002,30.
• Giesecke, Kay, 2001, "Default compensator, incomplete information, and the term structure of credit spreads," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2002,8.

2000

• Décamps, Jean-Paul & Faure-Grimaud, Antoine, 2000, "Excessive Continuation and Dynamic Agency Costs of Debt," IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse, number 99.
• Patricia Jurfest & Salvador Zurita, 2000, "Opciones de Suscripción de Acciones Stock Rights," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., volume 37, issue 111, pages 339-371.
• Gunther Capelle-Blancard & Emmanuel Jurczenko, 2000, "Une application de la formule de Jarrow et Rudd aux options sur indice CAC 40," Cahiers de la Maison des Sciences Economiques, Université Panthéon-Sorbonne (Paris 1), number bla00005, Jan.
• Gunther Capelle-Blancard & Severine Vandelanoite, 2000, "Relations intrajournalières entre l'indice CAC 40 et les options sur indice. Quel est le marché préféré des investisseurs informés ?," Cahiers de la Maison des Sciences Economiques, Université Panthéon-Sorbonne (Paris 1), number bla00110, Nov, DOI: 10.2307/20076332.
• Yacine Ait-Sahalia & Andrew W. Lo, 2000, "Nonparametric Risk Management and Implied Risk Aversion," NBER Working Papers, National Bureau of Economic Research, Inc, number 6130, Mar.
• George Chacko & Peter Tufano & Geoffrey Verter, 2000, "Cephalon, Inc. Taking Risk Management Theory Seriously," NBER Working Papers, National Bureau of Economic Research, Inc, number 7748, Jun.
• Jérôme Detemple & Carlton Osakwe, 2000, "The Valuation of Volatility Options," Review of Finance, European Finance Association, volume 4, issue 1, pages 21-50.
• Peter Ove Christensen & Svend Erik Graversen & Kristian R. Miltersen, 2000, "Dynamic Spanning in the Consumption-Based Capital Asset Pricing Model," Review of Finance, European Finance Association, volume 4, issue 2, pages 129-156.
• Peter Carr & Vadim Linetsky, 2000, "The Valuation of Executive Stock Options in an Intensity-Based Framework," Review of Finance, European Finance Association, volume 4, issue 3, pages 211-230.
• Athanasoulis, Stefano G & Shiller, Robert J, 2000, "The Significance of the Market Portfolio," The Review of Financial Studies, Society for Financial Studies, volume 13, issue 2, pages 301-329.
• Bakshi, Gurdip & Cao, Charles & Chen, Zhiwu, 2000, "Do Call Prices and the Underlying Stock Always Move in the Same Direction?," The Review of Financial Studies, Society for Financial Studies, volume 13, issue 3, pages 549-584.
• Kyriakos Chourdakis & Elias Tzavalis, 2000, "Option Pricing with a Dividend General Equilibrium Model," Working Papers, Queen Mary University of London, School of Economics and Finance, number 425, Nov.
• Kyriakos Chourdakis & Elias Tzavalis, 2000, "Option Pricing under Discrete Shifts in Stock Returns," Working Papers, Queen Mary University of London, School of Economics and Finance, number 426, Nov.
• Kyriakos Chourdakis, 2000, "Stochastic Volatility and Jumps Driven by Continuous Time Markov Chains," Working Papers, Queen Mary University of London, School of Economics and Finance, number 430, Dec.
• Chris Brooks & Gita Persand, 2000, "Value at Risk and Market Crashes," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2000-01.
• Chris Brooks & Gita Persand & Andrew D. Clare, 2000, "An EVT Approach to calculating Risk Capital Requirements," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2000-07, Jul.
• Bryan R. Routledge, Stanley E. Zin, 2000, "Model Uncertainity And Liquidity," Computing in Economics and Finance 2000, Society for Computational Economics, number 368, Jul.
• C.H. Hui & P.H. Yuen & C.F. Lo, 2000, "Comment on `Pricing double barrier options using Laplace transforms' by Antoon Pelsser," Finance and Stochastics, Springer, volume 4, issue 1, pages 105-107.
• O. Renault & O. Scaillet & B. Leblanc, 2000, "A correction note on the first passage time of an Ornstein-Uhlenbeck process to a boundary," Finance and Stochastics, Springer, volume 4, issue 1, pages 109-111.
• Vicky Henderson & David Hobson, 2000, "Local time, coupling and the passport option," Finance and Stochastics, Springer, volume 4, issue 1, pages 69-80.
• O. Scaillet & J.-L. Prigent & J.-P. Lesne, 2000, "Convergence of discrete time option pricing models under stochastic interest rates," Finance and Stochastics, Springer, volume 4, issue 1, pages 81-93.
• Antoon Pelsser, 2000, "Pricing double barrier options using Laplace transforms," Finance and Stochastics, Springer, volume 4, issue 1, pages 95-104.
• Hans FÃllmer & Peter Leukert, 2000, "Efficient hedging: Cost versus shortfall risk," Finance and Stochastics, Springer, volume 4, issue 2, pages 117-146.
• RØdiger Frey, 2000, "Superreplication in stochastic volatility models and optimal stopping," Finance and Stochastics, Springer, volume 4, issue 2, pages 161-187.
• Christian M. Hafner & Wolfgang HÄrdle, 2000, "Discrete time option pricing with flexible volatility estimation," Finance and Stochastics, Springer, volume 4, issue 2, pages 189-207.
• N. Bellamy & M. Jeanblanc, 2000, "Incompleteness of markets driven by a mixed diffusion," Finance and Stochastics, Springer, volume 4, issue 2, pages 209-222.
• Steven E. Shreve & Jan Vecer, 2000, "Options on a traded account: Vacation calls, vacation puts and passport options," Finance and Stochastics, Springer, volume 4, issue 3, pages 255-274.
• Tiziano Vargiolu & Silvia Romagnoli, 2000, "Robustness of the Black-Scholes approach in the case of options on several assets," Finance and Stochastics, Springer, volume 4, issue 3, pages 325-341.
• Camilla LandÊn, 2000, "Bond pricing in a hidden Markov model of the short rate," Finance and Stochastics, Springer, volume 4, issue 4, pages 371-389.
• Joanne Kennedy & Phil Hunt & Antoon Pelsser, 2000, "Markov-functional interest rate models," Finance and Stochastics, Springer, volume 4, issue 4, pages 391-408.
• Asbjørn T. Hansen & Rolf Poulsen, 2000, "A simple regime switching term structure model," Finance and Stochastics, Springer, volume 4, issue 4, pages 409-429.
• Yuri Kifer, 2000, "Game options," Finance and Stochastics, Springer, volume 4, issue 4, pages 443-463.
• Mark Loewenstein & Gregory A. Willard, 2000, "Local martingales, arbitrage, and viability," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 16, issue 1, pages 135-161.
• Ephraim Clark & Gérard Mondello, 2000, "Water Management in France: Delegation and Irreversibility," Journal of Applied Economics, Taylor & Francis Journals, volume 3, issue 2, pages 325-352, November, DOI: 10.1080/15140326.2000.12040553.
• Calcagno, R., 2000, "Is Leverage Effective in Increasing Performance Under Managerial Moral Hazard?," Discussion Paper, Tilburg University, Center for Economic Research, number 2000-101.
• de Jong, F.C.J.M. & Driessen, J.J.A.G. & Pelsser, A., 2000, "Libor and Swap Market Models for the Pricing of Interest Rate Derivatives : An Empirical Analysis," Discussion Paper, Tilburg University, Center for Economic Research, number 2000-35.
• Jiang, G.J. & van der Sluis, P.J., 2000, "Index Option Pricing Models with Stochastic Volatility and Stochastic Interest Rates," Discussion Paper, Tilburg University, Center for Economic Research, number 2000-36.
• Sbuelz, A., 2000, "Hedging Double Barriers with Singles," Discussion Paper, Tilburg University, Center for Economic Research, number 2000-112.
• Driessen, J.J.A.G. & Klaassen, P. & Melenberg, B., 2000, "The Performance of Multi-Factor Term Structure Models for Pricing and Hedging Caps and Swaptions," Discussion Paper, Tilburg University, Center for Economic Research, number 2000-93.
• Jiang, G.J. & van der Sluis, P.J., 2000, "Index Option Pricing Models with Stochastic Volatility and Stochastic Interest Rates," Other publications TiSEM, Tilburg University, School of Economics and Management, number c0839083-c128-4a3f-a2c5-f.
• Shinn-Juh Lin & Jian Yang, 2000, "Examining Intraday Returns with Buy/Sell Information," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 38, Mar.
• Eckhard Platen, 2000, "Risk Premia and Financial Modelling Without Measure Transformation," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 45, Sep.
• Alan L. Lewis, 2000, "Introduction and Summary of Results (Excerpt)," Option Valuation under Stochastic Volatility, Finance Press, chapter 1, in: Alan L. Lewis, "Option Valuation under Stochastic Volatility".
• Alan L. Lewis, 2000, "The Fundamental Transform (Excerpt)," Option Valuation under Stochastic Volatility, Finance Press, chapter 2, in: Alan L. Lewis, "Option Valuation under Stochastic Volatility".
• Alan L. Lewis, 2000, "The Term Structure of Implied Volatility," Option Valuation under Stochastic Volatility, Finance Press, chapter 6, in: Alan L. Lewis, "Option Valuation under Stochastic Volatility".
• Alan L. Lewis, 2000, "Option Valuation under Stochastic Volatility," Option Valuation under Stochastic Volatility, Finance Press, number ovsv.
• Schönbucher, Philipp J., 2000, "A Libor Market Model with Default Risk," Bonn Econ Discussion Papers, University of Bonn, Bonn Graduate School of Economics (BGSE), number 15/2001.
• Schönbucher, Philipp J., 2000, "Factor Models for Portofolio Credit Risk," Bonn Econ Discussion Papers, University of Bonn, Bonn Graduate School of Economics (BGSE), number 16/2001.
• Schönbucher, Philipp J., 2000, "A Tree Implementation of a Credit Spread Model for Credit Derivatives," Bonn Econ Discussion Papers, University of Bonn, Bonn Graduate School of Economics (BGSE), number 17/2001.
• Pierdzioch, Christian, 2000, "Noise Traders? Trigger Rates, FX Options, and Smiles," Kiel Working Papers, Kiel Institute for the World Economy, number 970.
• Pierdzioch, Christian, 2000, "The Effectiveness of the FX Market Interventions of the Bundesbank During the Louvre Period: An Options-Based Analysis," Kiel Working Papers, Kiel Institute for the World Economy, number 971.
• Platen, Eckhard, 2000, "A minimal financial market model," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2000,91.
• Platen, Eckhard, 2000, "Risk premia and financial modelling without measure transformation," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2000,92.
• Paul Söderlin, 2000, "Market Expectations in the UK Before and After the ERM Crisis," Economica, London School of Economics and Political Science, volume 67, issue 265, pages 1-18, February, DOI: 10.1111/1468-0335.00192.
• Ephraim Clark & Gérard Mondello, 2000, "Water Management in France: Delegation and Irreversibility," Journal of Applied Economics, Universidad del CEMA, volume 3, pages 325-352, November.
• Eric Ghysels & Junghoon Seon, 2000, "The Asian Financial Crisis: The Role of Derivative Securities Trading and Foreign Investors," CIRANO Working Papers, CIRANO, number 2000s-11, Mar.