Research classified by Journal of Economic Literature (JEL) codes

2000

• José M. Campa & P.H. Kevin Chang & James F. Refalo, 2000, "An Options-Based Analysis of Emerging Market Exchange Rate Expectations: Brazil's Real Plan, 1994-1999," Working Papers, CEMFI, number wp2000_0006.
• Faure-Grimaud, Antoine & Décamps, Jean Paul, 2000, "Excessive continuation and Dynamic Agency Costs of Debt," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 2504, Jul.
• Chang, Kevin & Campa, José Manuel & Refalo, James F, 2000, "An Options-Based Analysis of Emerging Market Exchange Rate Expectations: Brazil?s Real Plan, 1994-1999," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 2611, Nov.
• Lafuente Luengo, Juan Ángel, 2000, "Intraday return and volatily relationships between the IBEX 35 stock index and stock index futures markets," DEE - Working Papers. Business Economics. WB, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa, number 9849, Jan.
• Lafuente Luengo, Juan Ángel, 2000, "Optimal hedging under departures from the cost of carry valuation: evidence from the spanish stock index futures market," DEE - Working Papers. Business Economics. WB, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa, number 9853, Jan.
• Jia-an Yan & Qiang Zhang & Shuguang Zhang, 2000, "Growth Optimal Portfolio in a Market Driven by a Jump-Diffusion-Like Process or a Levy Process," Annals of Economics and Finance, Society for AEF, volume 1, issue 1, pages 101-116, May.
• Guesnerie, R., 2000, "The Government and Market Expectations," DELTA Working Papers, DELTA (Ecole normale supérieure), number 2000-15.
• Campa, Jose M. & Chang, Kevin & Refalo, James F., 2000, "Options-based analysis of emerging market exchange rate expectations: Brazil's real plan, 1994-1999, An," IESE Research Papers, IESE Business School, number D/425, Oct.
• Bryan R. Routledge & Stanley E. Zin, 2000, "Model Uncertainty and Liquidity," Econometric Society World Congress 2000 Contributed Papers, Econometric Society, number 1617, Aug.
• Broadie, Mark & Detemple, Jerome & Ghysels, Eric & Torres, Olivier, 2000, "Nonparametric estimation of American options' exercise boundaries and call prices," Journal of Economic Dynamics and Control, Elsevier, volume 24, issue 11-12, pages 1829-1857, October.
• Bakshi, Gurdip & Cao, Charles & Chen, Zhiwu, 2000, "Pricing and hedging long-term options," Journal of Econometrics, Elsevier, volume 94, issue 1-2, pages 277-318.
• Broadie, Mark & Detemple, Jerome & Ghysels, Eric & Torres, Olivier, 2000, "American options with stochastic dividends and volatility: A nonparametric investigation," Journal of Econometrics, Elsevier, volume 94, issue 1-2, pages 53-92.
• Ait-Sahalia, Yacine & Lo, Andrew W., 2000, "Nonparametric risk management and implied risk aversion," Journal of Econometrics, Elsevier, volume 94, issue 1-2, pages 9-51.
• Grosen, Anders & Lochte Jorgensen, Peter, 2000, "Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies," Insurance: Mathematics and Economics, Elsevier, volume 26, issue 1, pages 37-57, February.
• Jouini, Elyes, 2000, "Price functionals with bid-ask spreads: an axiomatic approach," Journal of Mathematical Economics, Elsevier, volume 34, issue 4, pages 547-558, December.
• Prigent, Jean-Luc & Renault, Olivier & Scaillet, Olivier, 2000, "An auto-regressive conditional binomial option pricing model," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 119095, Nov.
• Benhamou, Eric, 2000, "Pricing convexity adjustment with Wiener chaos," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 119104, Apr.
• Benhamou, Eric, 2000, "A generalisation of Malliavin weighted scheme for fast computation of the Greeks," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 119105, Apr.
• Decamps, Jean-Paul & Faure-Grimaud, Antoine, 2000, "Excessive continuation and dynamic agency costs of debt," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 119106, Mar.
• Murillas Maza, Arantza, 2000, "Uncertainty and Real Options. Investment and Development of Fishing Resources (II)," BILTOKI, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística), number 1134-8984, Jan.
• Murillas Maza, Arantza, 2000, "Uncertainty and Real Options. Investment and Development of Fishing Resources (I)," BILTOKI, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística), number 1134-8984, Jan.
• F. Fornari & A. Mele, 2000, "Recovering the Probability Density Function of Asset Prices using Garch as Diffusion Approximations," Thema Working Papers, THEMA (Théorie Economique, Modélisation et Applications), CY Cergy-Paris University, ESSEC and CNRS, number 2000-12.
• A. Mele, 2000, "Fundamental Properties of Bond Prices in Models of the Short-Term Rate," Thema Working Papers, THEMA (Théorie Economique, Modélisation et Applications), CY Cergy-Paris University, ESSEC and CNRS, number 2000-39.
• de Jong, C.M. & Huisman, R., 2000, "From Skews to a Skewed-t," 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-2000-12-F&A, May.
• Jose A. Lopez & Christian Walter, 2000, "Is Implied Correlation Worth Calculating? Evidence from Foreign Exchange Options and Historical Data," Working Paper Series, Federal Reserve Bank of San Francisco, number 2000-02, Feb, DOI: 10.24148/wp2000-02.
• Allen N. Berger & Robert DeYoung, 2000, "The effects of geographic expansion on bank efficiency," Working Paper Series, Federal Reserve Bank of Chicago, number WP-00-14.
• Lucy F. Ackert & William C. Hunter, 2000, "An empirical examination of the price-dividend relation with dividend management," Working Paper Series, Federal Reserve Bank of Chicago, number WP-00-22.
• Jean-Paul Décamps, 2000, "Excessive Continuation and Dynamic Agency Costs of Debt," FMG Discussion Papers, Financial Markets Group, number dp348, Mar.
• Eric Benhamou, 2000, "A Generalisation of Malliavin Weighted Scheme for Fast Computation of the Greeks," FMG Discussion Papers, Financial Markets Group, number dp350, Apr.
• Olivier Renault & Jan Ericsson, 2000, "Liquidity and Credit Risk," FMG Discussion Papers, Financial Markets Group, number dp362, Nov.
• Olivier Renault & Jean-Luc Prigent & Olivier Scaillet, 2000, "An Autoregressive Conditional Binomial Option Pricing Model," FMG Discussion Papers, Financial Markets Group, number dp364, Nov.
• Bertrand, P. & lesne, J.-P. & Prigent, J.-L., 2000, "Gestion de portefeuille avec garantie: l'allocation optimale en actifs derives," G.R.E.Q.A.M., Universite Aix-Marseille III, number 00a03.
• Bauwens, L. & Lubrano, M., 2000, "Bayesian Option Pricing using Asymmetric Garch Models," G.R.E.Q.A.M., Universite Aix-Marseille III, number 00a18.
• Flam, S.D., 2000, "Reaching Equilibrium in the Capital Asset Pricing Model," Norway; Department of Economics, University of Bergen, Department of Economics, University of Bergen, number 0700.
• Campa, J.M. & Chang, P.H.K. & Refalo, J.F., 2000, "An Options-Based Analysis of Emerging Market Exchange Rate Expectations: Brazil's Real Plan, 1994-1999," Papers, Centro de Estudios Monetarios Y Financieros-, number 0006.
• Sundaresan, S.M., 2000, "Continuous-Time Methods in Finance: A Review and an Assessment," Papers, Columbia - Graduate School of Business, number 00-03.
• MARTINOT, N. & Lesourd, J.-B. & Morard, B., 2000, "On the Information Content of Futures Prices, Application to LME Nonferrous Metal Futures," Papers, Ecole des Hautes Etudes Commerciales, Universite de Geneve-, number 2000.12.
• Decamps, J.-P. & Faure-Grimaud, A., 2000, "Excessive Continuation and Dynamic Agency Costs of Debt," Papers, Toulouse - GREMAQ, number 00-533.
• Capelle-Blancard, G. & Vandelanoite, S., 2000, "Relations intrajournalieres entre l'indice CAC 40 et les options sur indice. Quel est le marche prefere des investisseurs informes ?," Papiers d'Economie Mathématique et Applications, Université Panthéon-Sorbonne (Paris 1), number 2000.110.
• Bernis, G. & Giraud, G., 2000, "Coalition-Proof Implementation of Competitive Equilibria on a Constrained Reinsurance Market," Papiers d'Economie Mathématique et Applications, Université Panthéon-Sorbonne (Paris 1), number 2000.83.
• Gunther Capelle-Blancard & Emmanuel Jurczenko, 2000, "Une application de la formule de Jarrow et Rudd aux options sur indice CAC 40," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-03723832, Jan.
• J.-P. Lesne & Jean-Luc Prigent & O. Scaillet, 2000, "Convergence of discrete time option pricing models under stochastic interest rates," Post-Print, HAL, number hal-03679673, Jan, DOI: 10.1007/s007800050004.
• Elyès Jouini, 2000, "Price functionals with bid–ask spreads: an axiomatic approach," Post-Print, HAL, number halshs-00167144.
• Gunther Capelle-Blancard & Emmanuel Jurczenko, 2000, "Une application de la formule de Jarrow et Rudd aux options sur indice CAC 40," Post-Print, HAL, number halshs-03723832, Jan.
• Jensen, Bjarne Astrup & Sørensen, Carsten, 2000, "Paying for minimum interest rate guarantees: Who should compensate who?," Working Papers, Copenhagen Business School, Department of Finance, number 2000-1, Jan.
• Hietala, Pekka & Jokivuolle, Esa & Koskinen, Yrjö, 2000, "Informed Trading, Short Sales Constraints, and Futures' Pricing," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 366, Mar.
• Björk, Tomas & Landen, Camilla, 2000, "On the Term Structure of Futures and Forward Prices," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 0417, Dec, revised 20 Dec 2000.
• Björk, Tomas, 2000, "A Geometric View of Interest Rate Theory," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 419, Dec, revised 21 Dec 2000.
• Björk, Tomas & Landen, Camilla, 2000, "On the construction of finite dimensional realizations for nonlinear forward rate models," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 420, Dec.
• Byström , Hans, 2000, "The Hedging Performance of Electricity Futures on the Nordic Power Exchange Nord Pool," Working Papers, Lund University, Department of Economics, number 2000:15, Sep.
• Byström , Hans, 2000, "Stochastic Volatility and Pricing Bias in the Swedish OMX-Index Call Option Market," Working Papers, Lund University, Department of Economics, number 2000:16, Nov.
• Byström, Hans, 2000, "Using Simulated Currency Rainbow Options to Evaluate Covariance Matrix Forecasts," Working Papers, Lund University, Department of Economics, number 2000:17, Sep.

1999

• Robert A. Jarrow, 1999, "In Honor of the Nobel Laureates Robert C. Merton and Myron S. Scholes: A Partial Differential Equation That Changed the World," Journal of Economic Perspectives, American Economic Association, volume 13, issue 4, pages 229-248, Fall.
• Hortensia Fontanals Albiol & Ramon Lacayo & Josep Vives, 1999, "Alternative solutions of the black-sholes equation," Working Papers in Economics, Universitat de Barcelona. Espai de Recerca en Economia, number 58.
• John Knight & Fuchun Li & Mingwei Yuan, 1999, "Pricing Interest Rate Derivatives in a Non-Parametric Two-Factor Term-Structure Model," Staff Working Papers, Bank of Canada, number 99-19, DOI: 10.34989/swp-1999-19.
• Forbes, Catherine S & Kalb, Guyonne R J & Kofman, Paul, 1999, "Bayesian Arbitrage Threshold Analysis," Journal of Business & Economic Statistics, American Statistical Association, volume 17, issue 3, pages 364-372, July.
• Eric Jondeau & Michael Rockinger, 1999, "Estimating Gram-Charlier Expansions with Positivity Constraints," Working papers, Banque de France, number 56.
• Jonathan B. Berk & Richard C. Green & Vasant Naik, 1999, "Optimal Investment, Growth Options, and Security Returns," Journal of Finance, American Finance Association, volume 54, issue 5, pages 1553-1607, October, DOI: 10.1111/0022-1082.00161.
• Elyès Jouini & Hédi Kallal, 1999, "Viability and Equilibrium in Securities Markets with Frictions," Mathematical Finance, Wiley Blackwell, volume 9, issue 3, pages 275-292, July, DOI: 10.1111/1467-9965.00071.
• Simon Gray and Joanna Place, 1999, "Financial Derivatives," Handbooks, Centre for Central Banking Studies, Bank of England, number 17, ISBN: ARRAY(0x75841038), April.
• Hall, Bronwyn H., 1999, "Innovation and Market Value," Department of Economics, Working Paper Series, Department of Economics, Institute for Business and Economic Research, UC Berkeley, number qt9f31v1rw, Feb.
• Peter Christoffersen & Stefano Mazzotta, 2004, "The Informational Content of Over-the-Counter Currency Options," CIRANO Working Papers, CIRANO, number 2004s-16, Apr.
• Jérôme Detemple & Carlton Osakwe, 1999, "The Valuation of Volatility Options," CIRANO Working Papers, CIRANO, number 99s-43, Nov.
• Mikhail Chernov & A. Ronald Gallant & Eric Ghysels & George Tauchen, 1999, "A New Class of Stochastic Volatility Models with Jumps: Theory and Estimation," CIRANO Working Papers, CIRANO, number 99s-48, Nov.
• Buiter, Willem H. & Sibert, Anne, 1999, "UDROP: A Small Contribution to the New International Financial Architecture," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 2138, May.
• Jean-Paul Laurent & Olivier Scaillet, 1999, "Variance Optimal Cap Pricing Models," Working Papers, Center for Research in Economics and Statistics, number 99-07.
• Jean -Luc Prigent & Olivier Renault & Olivier Scaillet, 1999, "Option Pricing with Discrete Rebalancing," Working Papers, Center for Research in Economics and Statistics, number 99-61.
• Jean -Luc Prigent & Olivier Renault & Olivier Scaillet, 1999, "An Autoregressive Conditional Binomial Option Pricing Model," Working Papers, Center for Research in Economics and Statistics, number 99-65.
• Boccard, N. & Calcagno, R., 1999, "Asymmetries of information in centralized order-driven markets," LIDAM Discussion Papers IRES, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), number 1999016, Jun.
• Prigent, J.-L. & Renault, O. & Scaillet, O., 1999, "Option Pricing with Discrete Rebalancing," LIDAM Discussion Papers IRES, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), number 1999029, Feb, revised 00 Oct 1999.
• Dana, Rose-Anne & Le Van, Cuong & Magnien, Francois, 1999, "On the Different Notions of Arbitrage and Existence of Equilibrium," Journal of Economic Theory, Elsevier, volume 87, issue 1, pages 169-193, July.
• Ivanter Alexander & Peresetsky Anatoly, 1999, "The Development of the State Bond Market," EERC Working Paper Series, EERC Research Network, Russia and CIS, number 99-06e, Jun.
• Black, Jane & Tonks, Ian, 1999, "Time series of commodity futures prices," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 119117, Aug.
• Ferreira García, María Eva & Gago, Mónica & Rubio Irigoyen, Gonzalo, 1999, "A Semiparametric Estimation of Liquidity Effects on Option Pricing," BILTOKI, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística), number 1134-8984, Sep.
• J.L. Prigent & O. Renault & O. Scaillet., 1999, "Option pricing with discrete rebalancing," Thema Working Papers, THEMA (Théorie Economique, Modélisation et Applications), CY Cergy-Paris University, ESSEC and CNRS, number 99-41.
• Houweling, P. & Hoek, J. & Kleibergen, F.R., 1999, "The Joint Estimation of Term Structures and Credit Spreads," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 9916-/A, Mar.
• Hisashi Nakamura & Shigenori Shiratsuka, 1999, "Extracting market expectations from option prices: case studies in Japanese option markets," Working Paper Series, Federal Reserve Bank of Chicago, number WP-99-1.
• Bolgot, S. & Terraza, M., 1999, "Prevision des prix a terme du cacao et modeles ARMA non-lineaires," G.R.E.Q.A.M., Universite Aix-Marseille III, number 99b02.
• Huberman, G. & Regev, T., 1999, "Speculating on a Cure of Cander: A Non-Event that Made Stock Prices Soar," Papers, Columbia - Graduate School of Business, number 99-6.
• Elyès Jouini & Hédi Kallal, 1999, "Viability and Equilibrium in Securities Markets with Frictions," New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business-, number 99-036, Mar.
• Elyès Jouini, 1999, "Price Functionals with Bid-Ask Spreads: An Axiomatic Approach," New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business-, number 99-038, May.
• Dana, R.-A. & Le Van, C. & Magnien, F., 1999, "On the Different Notions of Arbitrage and Existence of Equilibrium," Papiers d'Economie Mathématique et Applications, Université Panthéon-Sorbonne (Paris 1), number 1999.34.
• Aspandilarov, S. & Bottazzi, J.-M., 1999, "The Interest Rate/FX Arbitrage Under Peg Regime: a Duffie Singleton Approach," Papiers d'Economie Mathématique et Applications, Université Panthéon-Sorbonne (Paris 1), number 1999.80.
• Capelle-Blancard, G. & Jurczenko, E., 1999, "Une application de la formule de Jarrow et Rudd aux options sur indice CAC 40," Papiers d'Economie Mathématique et Applications, Université Panthéon-Sorbonne (Paris 1), number 2000.05.
• Gabriel Hawawini & Donald B. Keim, , "The Cross Section of Common Stock Returns: A Review of the Evidence and Some New Findings," Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research, number 8-99.
• McIntyre, M., 1999, "Empirical Tests of an Option Price Inversion Approach," Rotman School of Management - Finance, Rotman School of Management, University of Toronto, number 99-001.
• Wei, J.Z. & Duan, J.C., 1999, "Pricing Foreign Currency and Cross-Currency Options Under GARCH," Rotman School of Management - Finance, Rotman School of Management, University of Toronto, number 99-01.
• Topper, Jürgen, 1999, "Die Berechnung von Passport-Optionen mit Finiten Elementen," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-224, Aug.
• Söderström, Ulf, 1999, "Predicting monetary policy using federal funds futures prices," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 307, Mar.
• Ericsson, Jan & Reneby, Joel, 1999, "A Note on Contingent Claims Pricing with Non-Traded Assets," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 314, Mar, revised 01 Jul 2002.
• Björk, Tomas & Svensson, Lars, 1999, "On the Existence of Finite Dimensional Realizations for Nonlinear Forward Rate Models," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 338, Oct.
• Söderström, Ulf, 1999, "Predicting monetary policy using federal funds future prices," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden), number 85, May.
• Nakamura, Hisashi & Shiratsuka, Shigenori, 1999, "Extracting Market Expectations from Option Prices: Case Studies in Japanese Option Markets," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, volume 17, issue 1, pages 1-43, May.
• Ohtake, Fuminobu & Oda, Nobuyuki & Yoshiba, Toshinao, 1999, "Market Price Analysis and Risk Management for Convertible Bonds," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, volume 17, issue 2, pages 47-89, August.
• Freixas, Xavier & Gabillon, Emmanuelle, 1999, "Optimal Regulation of a Fully Insured Deposit Banking System," Journal of Regulatory Economics, Springer, volume 16, issue 2, pages 111-134, September.
• Benedek, Gábor, 1999, "Opcióárazás numerikus módszerekkel
  [Option pricing by numerical methods]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), volume 0, issue 10, pages 905-929.
• Hall, B.H., 1999, "Innovation and Market Value," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 1999-w3.
• Ian A. Cooper & Antonio S. Mello, 1999, "Corporate Hedging: The Relevance of Contract Specifications and Banking Relationships," Review of Finance, European Finance Association, volume 2, issue 2, pages 195-223.
• Jesper Lund, 1999, "A Model for Studying the Effect of EMU on European Yield Curves," Review of Finance, European Finance Association, volume 2, issue 3, pages 321-363.
• Rainer Schöbel & Jianwei Zhu, 1999, "Stochastic Volatility With an Ornstein–Uhlenbeck Process: An Extension," Review of Finance, European Finance Association, volume 3, issue 1, pages 23-46.
• George J. Jiang & Pieter J. van der Sluis, 1999, "Index Option Pricing Models with Stochastic Volatility and Stochastic Interest Rates," Review of Finance, European Finance Association, volume 3, issue 3, pages 273-310.
• Dietmar P. J. Leisen, 1999, "Valuation of Barrier Options in a Black–Scholes Setup with Jump Risk," Review of Finance, European Finance Association, volume 3, issue 3, pages 319-342.
• Claus Munk, 1999, "The Valuation of Contingent Claims under Portfolio Constraints: Reservation Buying and Selling Prices," Review of Finance, European Finance Association, volume 3, issue 3, pages 347-388.
• Marianne Gizycki & Brenton Goldsworthy, 1999, "Australian Banking Risk: The Stock Market’s Assessment and the Relationship Between Capital and Asset Volatility," RBA Research Discussion Papers, Reserve Bank of Australia, number rdp1999-09, Nov.
• Hugues Pirotte, 1999, "Implementing a Structural Valuation Model of Swap Credit-Sensitive Rates," Working Papers CEB, ULB -- Universite Libre de Bruxelles, number 99-001.RS.
• Hugues Pirotte, 1999, "A Structural Model of the Term Structure of Credit Spreads with Stochastic Recovery and Contractual Design," Working Papers CEB, ULB -- Universite Libre de Bruxelles, number 99-002.RS.
• HuyËn Pham & Nizar Touzi & Jaksa Cvitanic, 1999, "A closed-form solution to the problem of super-replication under transaction costs," Finance and Stochastics, Springer, volume 3, issue 1, pages 35-54.
• Paul Glasserman & S.G. Kou & Mark Broadie, 1999, "Connecting discrete and continuous path-dependent options," Finance and Stochastics, Springer, volume 3, issue 1, pages 55-82.
• Hans FÃllmer & Peter Leukert, 1999, "Quantile hedging," Finance and Stochastics, Springer, volume 3, issue 3, pages 251-273.
• Stephane Villeneuve, 1999, "Exercise regions of American options on several assets," Finance and Stochastics, Springer, volume 3, issue 3, pages 295-322.
• Jan Pedersen, 1999, "Convergence of strategies: An approach using Clark-Haussmann's formula," Finance and Stochastics, Springer, volume 3, issue 3, pages 323-344.
• Eric Fournié & Jean-Michel Lasry & Pierre-Louis Lions & Jérôme Lebuchoux & Nizar Touzi, 1999, "Applications of Malliavin calculus to Monte Carlo methods in finance," Finance and Stochastics, Springer, volume 3, issue 4, pages 391-412.
• Tomas BjÃrk & Andrea Gombani, 1999, "Minimal realizations of interest rate models," Finance and Stochastics, Springer, volume 3, issue 4, pages 413-432.
• Ioannis Karatzas & Jaksa Cvitanic, 1999, "On dynamic measures of risk," Finance and Stochastics, Springer, volume 3, issue 4, pages 451-482.
• Richard C. Stapleton, 1999, "Some recent developments in capital market theory: A survey," Spanish Economic Review, Springer;Spanish Economic Association, volume 1, issue 1, pages 1-20.
• José Manuel Campa & P.H. Kevin Chang & James F. Refalo, 1999, "An Options-Based Analysis of Emerging Market Exchange Rate Expectations: Brazil's Real Plan, 1994-1997," Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics, number 99-08.
• Dusan Isakov, 1999, "Is beta still alive? Conclusive evidence from the Swiss stock market," The European Journal of Finance, Taylor & Francis Journals, volume 5, issue 3, pages 202-212, DOI: 10.1080/135184799337046.
• Patrick Houweling & Jaap Hoek & Frank Kleibergen, 1999, "The Joint Estimation of Term Structures and Credit Spreads," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 99-027/4, Apr.
• Roorda, B. & Engwerda, J.C. & Schumacher, J.M., 1999, "Performance of Delta-hedging strategies in interval models - A robustness study," Discussion Paper, Tilburg University, Center for Economic Research, number 1999-05.
• Boccard, N. & Calcagno, R., 1999, "Asymmetries of Information in Centralized Order-Driven Markets," Other publications TiSEM, Tilburg University, School of Economics and Management, number be7bdc9c-446a-4ad6-a34d-6.
• Bronwyn H. Hall., 1999, "Innovation and Market Value," Economics Working Papers, University of California at Berkeley, number E99-265, Feb.
• Hans Peter Bermin & Arturo Kohatsu, 1999, "Local volatility changes in the black-scholes model," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 416, Sep.
• Eckhard Platen, 1999, "A Minimal Share Market Model with Stochastic Volatility," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 21, Dec.
• Eckhard Platen, 1999, "On the Log-Return Distribution of Index Benchmarked Share Prices," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 22, Dec.
• N. K. Chidambaran & Chitru S. Fernando & Paul A. Spindt, 1999, "Credit Enhancement through Financial Engineering: Freeport-McMoRan's Gold-Denominated Depository Shares," Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania, number 99-35, Jun.
• A. Gamba & P. Pellizzari, 1999, "Utility based pricing of contingent claims," Finance, University Library of Munich, Germany, number 9902003, Feb, revised 14 Oct 2002.
• Yonghua Pan, 1999, "Design And Valuation Of Corporate Securities With Strategic Debt Service And Asymmetric Information," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., volume 2, issue 02, pages 201-219, DOI: 10.1142/S0219024999000133.
• George J. Jiang, 1999, "Stochastic Volatility And Jump-Diffusion — Implications On Option Pricing," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., volume 2, issue 04, pages 409-440, DOI: 10.1142/S0219024999000212.
• Tomasz Garlinski & Rafal Weron, 1999, "A short history of the VOLAX - or how we tried to trade implied volatility (Krotka historia VOLAX-u - czyli jak probowano handlowac implikowana zmiennoscia)," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/99/01.
• Charles Quanwei Cao & Gurdip S. Bakshi & Zhiwu Chen, 1999, "Do Call Prices and the Underlying Stock Always Move in the Same Direction?," Yale School of Management Working Papers, Yale School of Management, number ysm125, Oct.
• Jonathan E. Ingersoll Jr., 1999, "Digital Contracts: Simple Tools for Pricing Complex Derivatives," Yale School of Management Working Papers, Yale School of Management, number ysm130, Nov.
• Gottschling, Andreas & Haefke, Christian & White, Halbert, 1999, "Closed form integration of artificial neural networks with some applications," Research Notes, Deutsche Bank Research, number 99-9.
• Föllmer, Hans & Leukert, Peter, 1999, "Efficient hedging: Cost versus shortfall risk," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 1999,18.
• Hafner, Christian M. & Herwartz, Helmut, 1999, "Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 1999,58.

1998

• Bhar, Ramaprasad & Malliaris, A G, 1998, "Volume and Volatility in Foreign Currency Futures Markets," Review of Quantitative Finance and Accounting, Springer, volume 10, issue 3, pages 285-302, May.
• Wu, P.X., 1998, "Variance Decomposition of Stock Returns and Dividend Imputation System," Department of Economics - Working Papers Series, The University of Melbourne, number 614.
• Jonathan Berk & Richard C. Green & Vasant Naik, 1998, "Optimal Investment, Growth Options, and Security Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 6627, Jun.
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• Carr, Peter, 1998, "Randomization and the American Put," The Review of Financial Studies, Society for Financial Studies, volume 11, issue 3, pages 597-626.
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• RØdiger Frey, 1998, "Perfect option hedging for a large trader," Finance and Stochastics, Springer, volume 2, issue 2, pages 115-141.
• Lisa R. Goldberg, 1998, "Volatility of the short rate in the rational lognormal model," Finance and Stochastics, Springer, volume 2, issue 2, pages 199-211.
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• Merton, Robert C, 1998, "Applications of Option-Pricing Theory: Twenty-Five Years Later," American Economic Review, American Economic Association, volume 88, issue 3, pages 323-349, June.
• Scholes, Myron S, 1998, "Derivatives in a Dynamic Environment," American Economic Review, American Economic Association, volume 88, issue 3, pages 350-370, June.
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