Research classified by Journal of Economic Literature (JEL) codes

2001

• 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.
• 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, Centre for Economic Policy Research, 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, Centre for Economic Policy Research, 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.
• 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(0x6ef14db0), 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, Centre for Economic Policy Research, 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.