Research classified by Journal of Economic Literature (JEL) codes

1998

• Charles Cao & Eric Ghysels & Frank Hatheway, 1998, "Why Is the Bid Price Greater than the Ask? Price Discovery during the Nasdaq Pre-Opening," CIRANO Working Papers, CIRANO, number 98s-14, May.
• Mikhail Chernov & Eric Ghysels, 1998, "What Data Should Be Used to Price Options?," CIRANO Working Papers, CIRANO, number 98s-22, Jun.
• Söderlind, Paul, 1998, "Extracting Expectations about 1992 UK Monetary Policy from Option Prices," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 1823, Mar.
• Coutant, Sophie & Jondeau, Eric & Rockinger, Michael, 1998, "Reading Interest Rate and Bond Futures Options' Smiles Around the 1997 French Snap Election," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 2010, Oct.
• Bams, Dennis & Schotman, Peter C, 1998, "Direct Estimation of the Risk Neutral Factor Dynamics of Affine Term Structure Models," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 2034, Dec.
• Jean-Philippe Lesne & Jean-Luc Prigent & Olivier Scaillet, 1998, "Convergence of Discrete Time Option Pricing Models Under Stochastic Interest Rates," Working Papers, Center for Research in Economics and Statistics, number 98-51.
• Anderson, Ronald & Sundaresan, Suresh, 1998, "A Comparative Study of Structural Models of Corporate Bond Yields: An Exploratory Investigation," LIDAM Discussion Papers IRES, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), number 1999009, Jul, revised 00 Jan 1999.
• Asea, Patrick K. & Ncube, Mthuli, 1998, "Heterogeneous information arrival and option pricing," Journal of Econometrics, Elsevier, volume 83, issue 1-2, pages 291-323.
• Campa, Jose Manuel & Chang, P. H. Kevin, 1998, "The forecasting ability of correlations implied in foreign exchange options," Journal of International Money and Finance, Elsevier, volume 17, issue 6, pages 855-880, December.
• Los, Cornelis A., 1998, "Optimal multi-currency investment strategies with exact attribution in three Asian countries," Journal of Multinational Financial Management, Elsevier, volume 8, issue 2-3, pages 169-198, September.
• Brunnermeier, Markus, 1998, "Buy on rumours - sell on news: a manipulative trading strategy," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 119135, Nov.
• Lotz, Christopher, 1998, "Locally minimizing the credit risk," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 119160, Jan.
• Paul Bennett & Richard Peach & Stavros Peristiani, 1998, "Implied mortgage refinancing thresholds," Staff Reports, Federal Reserve Bank of New York, number 49, Oct.
• Markus K Brunnermeier, 1998, "Buy on Rumours - Sell on News: A Manipulative Trading Strategy," FMG Discussion Papers, Financial Markets Group, number dp309, Nov.
• Booth, L., 1998, "Estimating the Equity Risk Premium and Equity Costs: New Ways of Looking at Old Data," Rotman School of Management - Finance, Rotman School of Management, University of Toronto, number 98-001.
• Elyès Jouini & Koehl Pierre-François & Abdelhamid Bizid, 1998, "Pricing of Non-redundant Derivatives in a Complete Market," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00167151, Dec, DOI: 10.1007/BF01574150.
• Daniel Levy & Shantanu Dutta & Mark Bergen & Robert Venable, 1998, "Price adjustment at multiproduct retailers," Post-Print, HAL, number hal-02385586, Mar.
• Elyès Jouini & Koehl Pierre-François & Abdelhamid Bizid, 1998, "Pricing of Non-redundant Derivatives in a Complete Market," Post-Print, HAL, number halshs-00167151, Dec, DOI: 10.1007/BF01574150.
• Michael Rockinger & S. Coutant & Eric Jondeau, 1998, "Reading Interest Rate and Bond Futures Options' Smiles: How PIBOR and National Operators Appreciated the 1997 French Snap Election," Working Papers, HAL, number hal-00601499.
• Topper, Jürgen, 1998, "Finite Element Modelling of Exotic Options," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-216, Dec.

1997

• VANDENBROUCKE, Jürgen, 1997, "General trigger values of optimal investment," Business Economics Working Papers, University of Antwerp, Faculty of Business and Economics, number 1997008, Jul.
• Brock, W.A. & Hommes, C.H., 1997, "Models of Compelxity in Economics and Finance," Working papers, Wisconsin Madison - Social Systems, number 9706.
• Robert G. James & John Quiggan, 1997, "Separation and Hedging Results with State‐Contingent Production," Economica, London School of Economics and Political Science, volume 64, issue 254, pages 187-209, May, DOI: 10.1111/1468-0335.00073.
• Miltersen, Kristian R & Sandmann, Klaus & Sondermann, Dieter, 1997, "Closed Form Solutions for Term Structure Derivatives with Log-Normal Interest Rates," Journal of Finance, American Finance Association, volume 52, issue 1, pages 409-430, March.
• Bakshi, Gurdip S & Chen, Zhiwu, 1997, "Equilibrium Valuation of Foreign Exchange Claims," Journal of Finance, American Finance Association, volume 52, issue 2, pages 799-826, June.
• Chapman, David A, 1997, "Approximating the Asset Pricing Kernel," Journal of Finance, American Finance Association, volume 52, issue 4, pages 1383-1410, September.
• Bakshi, Gurdip & Cao, Charles & Chen, Zhiwu, 1997, "Empirical Performance of Alternative Option Pricing Models," Journal of Finance, American Finance Association, volume 52, issue 5, pages 2003-2049, December.
• Mark Broadie & Jérôme Detemple, 1997, "The Valuation of American Options on Multiple Assets," Mathematical Finance, Wiley Blackwell, volume 7, issue 3, pages 241-286, July, DOI: 10.1111/1467-9965.00032.
• Eric Ghysels & Valentin Patilea & Eric Renault & Olivier Torrès, 1997, "Nonparametric Methods and Option Pricing," CIRANO Working Papers, CIRANO, number 97s-19, Apr.
• HÄRDLE, Wolfgang & HAFNER, Christian, 1997, "Discrete time option pricing with flexible volatility estimation," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 1997047, Jun.
• BAUWENS, LUC & LUBRANO, Michel, 1997, "Bayesian option pricing using asymmetric GARCH," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 1997059, Aug.
• GHYSELS, Eric & PATILEA, Valentin & RENAULT, Eric & TORRES, Olivier, 1997, "Nonparametric methods and option pricing," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 1997075, Oct.
• Gilbert, Christopher L, 1997, "Manipulation of Metals Futures: Lessons from Sumitomo," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 1537, Jan.
• Söderlind, Paul & Svensson, Lars E O, 1997, "New Techniques to Extract Market Expectations from Financial Instruments," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 1556, Jan.
• Fingleton, John & Waldron, Patrick, 1997, "Optimal Determination of Bookmakers' Betting Odds: Theory and Tests," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 1623, Apr.
• Elyès Jouini, 1997, "Price Functionals with Bid-Ask Spreads : An Axiomatic Approach," Working Papers, Center for Research in Economics and Statistics, number 97-05.
• Elyès Jouini & Hédi Kallal, 1997, "Viability and Equilibrium in Securities Markets with Frictions," Working Papers, Center for Research in Economics and Statistics, number 97-07.
• Christian Gourieroux & Olivier Scaillet, 1997, "Multiregime Term Structure Models," Working Papers, Center for Research in Economics and Statistics, number 97-50.
• A, Bizid & Elyès Jouini & Pf. Koehl, 1997, "Pricing of Non-redundant Derivatives in a Complete Market," Working Papers, Center for Research in Economics and Statistics, number 97-51.
• L, Carassus & E, Jouini, 1997, "Coûts de transaction, contraintes de vente à découvert et taxes : une approche unifiée," Working Papers, Center for Research in Economics and Statistics, number 97-58.
• Tychon, Pierre & Vannetelbosch, Vincent J., 1997, "Debt Valuation and Marketability Risk," LIDAM Discussion Papers IRES, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), number 1997020, Sep.
• Gouriéroux, C. & Scaillet, O., 1997, "Multiregime Term Structure Models," LIDAM Discussion Papers IRES, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), number 1998002, Mar, revised 00 Dec 1997.
• Laurent, J.P. & Scaillet, O., 1997, "Variance Optimal Cap Pricing Models," LIDAM Discussion Papers IRES, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), number 1999002, Dec, revised 01 Jan 1999.
• Gallant, A. Ronald & Tauchen, George, 1997, "Estimation Of Continuous-Time Models For Stock Returns And Interest Rates," Macroeconomic Dynamics, Cambridge University Press, volume 1, issue 1, pages 135-168, January.
• Stefano G. Athanasoulis & Robert J. Shiller, 1997, "The Significance of the Market Portfolio," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1154, Jun.
• Cossin, Didier & Pirotte, Hugues, 1997, "Swap credit risk: An empirical investigation on transaction data," Journal of Banking & Finance, Elsevier, volume 21, issue 10, pages 1351-1373, October.
• Alziary, Benedicte & Decamps, Jean-Paul & Koehl, Pierre-Francois, 1997, "A P.D.E. approach to Asian options: analytical and numerical evidence," Journal of Banking & Finance, Elsevier, volume 21, issue 5, pages 613-640, May.
• Bakshi, Gurdip S. & Zhiwu, Chen, 1997, "An alternative valuation model for contingent claims," Journal of Financial Economics, Elsevier, volume 44, issue 1, pages 123-165, April.
• Soderlind, Paul & Svensson, Lars, 1997, "New techniques to extract market expectations from financial instruments," Journal of Monetary Economics, Elsevier, volume 40, issue 2, pages 383-429, October.
• Schonbucher, Philipp, 1997, "Term structure modelling of defaultable bonds," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 119168, Jul.
• J. L. Prigent, 1997, "Incomplete markets : Convergence of options values under the minimal martingale measure. The multidimensional case," Thema Working Papers, THEMA (Théorie Economique, Modélisation et Applications), CY Cergy-Paris University, ESSEC and CNRS, number 97-35.
• J. L. Prigent, 1997, "Option pricing with a general marked point process," Thema Working Papers, THEMA (Théorie Economique, Modélisation et Applications), CY Cergy-Paris University, ESSEC and CNRS, number 97-36.
• Jose A. Lopez & Christian Walter, 1997, "Is implied correlation worth calculating? Evidence from foreign exchange options and historical data," Research Paper, Federal Reserve Bank of New York, number 9730.
• Kast, R. & Lapied, A., 1997, "A Decision Theoretic Approach to Bid-Ask Spreads," G.R.E.Q.A.M., Universite Aix-Marseille III, number 97a17.
• Bauwens, L. & Lubrano, M., 1997, "Bayesian Option Pricing Using Asymmetric GARCH," G.R.E.Q.A.M., Universite Aix-Marseille III, number 97a40.
• Chan, K. & Peter, C.Y., 1997, "Asymmetric Price Distribution and Bid-Ask Quotes in the stock options Market," The A. Gary Anderson Graduate School of Management, The A. Gary Anderson Graduate School of Management. University of California Riverside, number 97-09.
• Bailey, W. & Peter, C.Y. & Jun-Koo, K., 1997, "Foreign Ownership Restrictions and Equity price Premiums: Explaining the High Cost of International Diversification," The A. Gary Anderson Graduate School of Management, The A. Gary Anderson Graduate School of Management. University of California Riverside, number 97-10.
• Isakov, D., 1997, "Is Beta Still Alive? Conclusive Evidence from the Swiss Stock market," Papers, Ecole des Hautes Etudes Commerciales, Universite de Geneve-, number 97.17.
• Stout, L.A., 1997, "How Efficient Markets Undervalue Stocks: CAPM and ECMH Under Conditions of Uncertainty and Disagreement," Papers, Georgetown University Law Center, number 97-2.
• Decamps, J.-P. & Faure-Grimaud, A., 1997, "Pricing the Gamble for Resurrection and the Consequences of Renegotiation and Debt Design," Papers, Toulouse - GREMAQ, number 97.480.
• Hawawini, G. & Keim, D.B., 1997, "The Cross Section of Common Stock Returns: A Review of the Evidence and Some New Findings," INSEAD, INSEAD, Centre for the Management of Environmental Resources. The European Institute of Business Administration., number 97/66.
• Carassus, L. & Jouini, E., 1997, "Couts de transaction, contraintes de vente a decouvert et taxes: une approche unifiee," Papiers d'Economie Mathématique et Applications, Université Panthéon-Sorbonne (Paris 1), number 97.82.
• Süleyman Basak & Domenico Cuoco, , "An Equilibrium Model with Restricted Stock Market Participation (Reprint 066)," Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research, number 01-97.
• 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 07-97.
• Lesne, J.P. & Prigent, J.L. & Scaillet, O., 1997, "Convergence of Discrete Time Options Pricing Models under Stochastic Rates," Papers, Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor., number 9734.
• Prigent, J.L., 1997, "Incomplete Markets: Convergence of Options Values under the Minimal Martingale Measure. The Multidimensional Case," Papers, Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor., number 9735.
• Prigent, J.L., 1997, "Option Pricing with a General Market Point Process," Papers, Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor., number 9736.
• Björk, Tomas & Gombani, Andrea, 1997, "Minimal Realizations of Forward Rates," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 182, Aug.
• Söderlind, Paul, 1997, "Market Expectations in the UK Before and After the ERM Crisis," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 210, Dec, revised 19 Mar 1999.
• Joe Peek & Eric Rosengren, 1997, "Derivatives Activity at Troubled Banks," Journal of Financial Services Research, Springer;Western Finance Association, volume 12, issue 2, pages 287-302, October, DOI: 10.1023/A:1007935005444.
• Kelly, Morgan, 1997, "Do Noise Traders Influence Stock Prices?," Journal of Money, Credit and Banking, Blackwell Publishing, volume 29, issue 3, pages 351-363, August.
• Itzhak Krinsky & Jason Lee, 1997, "Quarterly Earnings Announcements and the Lead/Lag Relationship between the Stock and Option Markets," Quantitative Studies in Economics and Population Research Reports, McMaster University, number 328, May.
• Moshe Arye Milevsky & Eliezer Z. Prisman, 1997, "Tax Effects in Canadian Equity Option Markets," Multinational Finance Journal, Multinational Finance Journal, volume 1, issue 2, pages 101-122, June.
• Forbes, C.S. & Kalb, G.R.J. & Kofman, P., 1997, "Bayesian Arbitrage Threshold Analysis," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 3/97.
• Stefano Athanasoulis & Robert J. Shiller, 1997, "The Significance of the Market Portfolio," NBER Technical Working Papers, National Bureau of Economic Research, Inc, number 0209, Feb.
• Sanjiv Ranjan Das, 1997, "An Efficient Generalized Discrete-Time Approach to Poisson-Gaussian Bond Option Pricing in the Heath-Jarrow-Morton Model," NBER Technical Working Papers, National Bureau of Economic Research, Inc, number 0212, Jun.
• Patrick K. Asea & Mthuli Ncube, 1997, "Heterogeneous Information Arrival and Option Pricing," NBER Working Papers, National Bureau of Economic Research, Inc, number 5950, Mar.
• Jose M. Campa & P. H. Kevin Chang, 1997, "The Forecasting Ability of Correlations Implied in Foreign Exchange Options," NBER Working Papers, National Bureau of Economic Research, Inc, number 5974, Mar.
• Dong-Hyun Ahn & Jacob Boudoukh & Matthew Richardson & Robert F. Whitelaw, 1997, "Optimal Risk Management Using Options," NBER Working Papers, National Bureau of Economic Research, Inc, number 6158, Sep.
• Dimitris Bertsimas & Leonid Kogan & Andrew W. Lo, 1997, "Pricing and Hedging Derivative Securities in Incomplete Markets: An E-Aritrage Model," NBER Working Papers, National Bureau of Economic Research, Inc, number 6250, Nov.
• Daniel Levy & Mark Bergen & Shantanu Dutta & Robert Venable, 1997, "The Magnitude of Menu Costs: Direct Evidence from Large U. S. Supermarket Chains," The Quarterly Journal of Economics, President and Fellows of Harvard College, volume 112, issue 3, pages 791-824.
• Melanie Cao, 1997, "Equilibrium Valuation Of Currency Options In A Small Open Economy," Working Paper, Economics Department, Queen's University, number 960, May.
• Melanie Cao, 1997, "Equilibrium Valuation Of Options On The Market Portfolio With Stochastic Volatility And Return Predictability," Working Paper, Economics Department, Queen's University, number 961, Aug.
• Robert C. Merton, 1997, "Applications of Option-Pricing Theory: Twenty-Five Years Later," Nobel Prize in Economics documents, Nobel Prize Committee, number 1997-1, Dec.
• Myron S. Scholes, 1997, "Derivatives in a Dynamic Environment," Nobel Prize in Economics documents, Nobel Prize Committee, number 1997-2, Dec.
• Bruce Mizrach, 1997, "The Volatility Smile and Yield Curve: Probability Densities Implicit in ERM/$ Options," Departmental Working Papers, Rutgers University, Department of Economics, number 199522, Apr.
• Hugues Pirotte & Didier Cossin, 1997, "Swap Credit Risk: An Empirical Investigation on Transaction Data," Working Papers CEB, ULB -- Universite Libre de Bruxelles, number 97-001.
• Ernst Eberlein & Jean Jacod, 1997, "On the range of options prices (*)," Finance and Stochastics, Springer, volume 1, issue 2, pages 131-140.
• Martin Schweizer & Christophe Stricker & Freddy Delbaen & Pascale Monat & Walter Schachermayer, 1997, "Weighted norm inequalities and hedging in incomplete markets," Finance and Stochastics, Springer, volume 1, issue 3, pages 181-227.
• Yuri M. Kabanov & (*), Mher M. Safarian, 1997, "On Leland's strategy of option pricing with transactions costs," Finance and Stochastics, Springer, volume 1, issue 3, pages 239-250.
• Tina Hviid Rydberg, 1997, "A note on the existence of unique equivalent martingale measures in a Markovian setting," Finance and Stochastics, Springer, volume 1, issue 3, pages 251-257.
• Farshid Jamshidian, 1997, "LIBOR and swap market models and measures (*)," Finance and Stochastics, Springer, volume 1, issue 4, pages 293-330.
• Sven Rady, 1997, "Option pricing in the presence of natural boundaries and a quadratic diffusion term (*)," Finance and Stochastics, Springer, volume 1, issue 4, pages 331-344.
• Beniamin Goldys, 1997, "A note on pricing interest rate derivatives when forward LIBOR rates are lognormal," Finance and Stochastics, Springer, volume 1, issue 4, pages 345-352.
• Mark Davis, 1997, "A note on the forward measure," Finance and Stochastics, Springer, volume 2, issue 1, pages 19-28.
• L.C.G. Rogers & E.J. Stapleton, 1997, "Fast accurate binomial pricing," Finance and Stochastics, Springer, volume 2, issue 1, pages 3-17.
• Jean-Charles Rochet & Jean-Paul DÊcamps, 1997, "A variational approach for pricing options and corporate bonds," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 9, issue 3, pages 557-569.
• Krishna Ramaswamy & Patrick Waldron, 1997, "Looking for Spot in the Presence of Futures," Economics Technical Papers, Trinity College Dublin, Department of Economics, number 973.
• de Roon, F.A. & Nijman, T.E. & Veld, C.H., 1997, "Analyzing specification errors in models for futures risk premia with hedging pressure," Discussion Paper, Tilburg University, Center for Economic Research, number 1997-102.
• Kabir, M.R., 1997, "New Evidence on Price and Volatility Effects of Stock Option Introductions," Discussion Paper, Tilburg University, Center for Economic Research, number 1997-37.
• de Jong, F.C.J.M. & Drost, F.C. & Werker, B.J.M., 1997, "Exchange rate target zones : A new approach," Discussion Paper, Tilburg University, Center for Economic Research, number 97.04.
• Morgan Kelly, 1997, "Do noise traders influence stock prices?," Open Access publications, School of Economics, University College Dublin, number 10197/520, Aug.
• Hugues Pirotte & Didier Cossin, 1997, "Swap Credit Risk: An Empirical Investigation on Transaction Data," ULB Institutional Repository, ULB -- Universite Libre de Bruxelles, number 2013/191830, Oct.
• Manuel Moreno, 1997, "On the relevance of modeling volatility for pricing purposes," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 431, Sep, revised Oct 1999.
• J. Chalupa, 1997, "Discount-Bond Derivatives on a Recombining Binomial Tree," Finance, University Library of Munich, Germany, number 9702003, Feb, revised 31 Jul 1997.
• J. Chalupa, 1997, "Multifactor Generalization of "Discount-Bond Derivatives on a Recombining Binomial Tree"," Finance, University Library of Munich, Germany, number 9706001, Jun.
• Meifang Chu, 1997, "The Random Yield Curve and Interest Rate Options," Finance, University Library of Munich, Germany, number 9710003, Oct.
• J. Chalupa, 1997, "Options on a Stock with Market-Dependent Volatility," Finance, University Library of Munich, Germany, number 9710005, Oct, revised 07 Jan 1998.
• Dietmar P.J. Leisen, 1997, "The Random-Time Binomial Model," Finance, University Library of Munich, Germany, number 9711005, Nov, revised 29 Nov 1998.
• Claus Munk, 1997, "No-Arbitrage Bounds on Contingent Claims Prices with Convex Constraints on the Dollar Investments of the Hedge Portfolio," Finance, University Library of Munich, Germany, number 9712006, Dec.
• Charles Quanwei Cao & Gurdip S. Bakshi & Zhiwu Chen, 1997, "Empirical Performance of Alternative Option Pricing Models," Yale School of Management Working Papers, Yale School of Management, number ysm54, Mar.
• Boleslav Gulko, 1997, "PSA Duration: Conquering the Prepayment Risk of Mortgage Portfolios," Yale School of Management Working Papers, Yale School of Management, number ysm56, Apr.
• Charles Quanwei Cao & Gurdip S. Bakshi & Zhiwu Chen, 1997, "Empirical Performance of Alternative Option Pricing Models," Yale School of Management Working Papers, Yale School of Management, number ysm65, Apr.
• Härdle, Wolfgang & Hafner, Christian M., 1997, "Discrete time option pricing with flexible volatility estimation," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 1997,56.

1996

• Darvas, Zsolt, 1996, "Kamatkülönbség és árfolyam-várakozások az előre bejelentett kúszó árfolyamrendszerben
  [Interest differential and exchange rate expectations in the preannounced crawling band system of Hungary]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), volume 0, issue 10, pages 920-947.
• Barabás, Gyula, 1996, "Kamatparitás lebegő és csúszó leértékeléses árfolyamrendszerben
  [Interest parity in floating and in crawling-peg foreign exchange rate régimes]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), volume 0, issue 11, pages 972-994.
• Ho, Wai-Ming, 1996, "Imperfect Information, Money, and Economic Growth," Journal of Money, Credit and Banking, Blackwell Publishing, volume 28, issue 4, pages 578-603, November.
• J.B. Kim & I. Krinsky & J. Lee, 1996, "Institutional Holdings and Trading Volume Reactions to Quarterly Earnings Announcements," Quantitative Studies in Economics and Population Research Reports, McMaster University, number 314.
• Bernard Dumas & Jeff Fleming & Robert E. Whaley, 1996, "Implied Volatility Functions: Empirical Tests," NBER Working Papers, National Bureau of Economic Research, Inc, number 5500, Mar.
• Broadie, Mark & Detemple, Jerome, 1996, "American Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methods," The Review of Financial Studies, Society for Financial Studies, volume 9, issue 4, pages 1211-1250.
• J. Aase Nielsen & Klaus Sandmann, 1996, "Uniqueness of the Fair Premium for Equity-Linked Life Insurance Contracts," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), volume 21, issue 1, pages 65-102, June.
• Dale, Charles & Zyren, John, 1996, "Noncommercial Trading in the Energy Futures Market," MPRA Paper, University Library of Munich, Germany, number 47463, May.
• Chichilnisky, Graciela, 1996, "Markets with endogenous uncertainty: theory and policy," MPRA Paper, University Library of Munich, Germany, number 8612.
• Bruce Mizrach, 1996, "Did Option Prices Predict the ERM Crises?," Departmental Working Papers, Rutgers University, Department of Economics, number 199610, Aug.
• W.M. Schmidt, 1996, "On a general class of one-factor models for the term structure of interest rates (*)," Finance and Stochastics, Springer, volume 1, issue 1, pages 3-24.
• Ho-Mou Wu & Mordecai Kurz, 1996, "Endogenous uncertainty in a general equilibrium model with price contingent contracts (*)," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 8, issue 3, pages 461-488.
• Kurz, Mordecai & Wu, Ho-Mou, 1996, "Endogenous Uncertainty in a General Equilibrium Model with Price Contingent Contracts," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 8, issue 3, pages 461-488, October.
• J. A. Nielsen & K. Sandmann, 1996, "The pricing of Asian options under stochastic interest rates," Applied Mathematical Finance, Taylor & Francis Journals, volume 3, issue 3, pages 209-236, DOI: 10.1080/13504869600000011.
• John Fingleton & Patrick Waldron, 1996, "Optimal Determination of Bookmakers' Betting Odds: Theory and Tests," Economics Technical Papers, Trinity College Dublin, Department of Economics, number 969.
• de Jong, F.C.J.M. & Donders, M.W.M., 1996, "Intraday Lead-Lag Relationships between the Futures-, Options and Stock Market," Discussion Paper, Tilburg University, Center for Economic Research, number 1996-108.
• Xavier Freixas & Emmanuelle Gabillon, 1996, "Optimal regulation of a fully insured deposit banking system," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 175, May.
• Manuel Moreno, 1996, "A two-mean reverting-factor model of the term structure of interest rates," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 193, Nov.
• Ram Bhar & Carl Chiarella, 1996, "Bootstrap Results From the State Space From Representation of the Heath-Jarrow-Morton Model," Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 66, Aug.
• Frans De Roon & Chris Veld, 1996, "Put‐call parities and the value of early exercise for put options on a performance index," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 16, issue 1, pages 71-80, February.
• Joe Peek & Eric S. Rosengren, 1996, "Derivatives Activity at Troubled Banks," Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania, number 96-52, Oct.
• J. S. Butler & Barry Schachter, 1996, "Improving Value-At-Risk Estimates By Combining Kernel Estimation With Historical Simulation," Finance, University Library of Munich, Germany, number 9605001, May.
• John Chalupa, 1996, "Option Valuation and the Price of Risk," Finance, University Library of Munich, Germany, number 9607009, Jul.
• Peter Carr, 1996, "Randomization and the American Put," Finance, University Library of Munich, Germany, number 9610003, Oct.
• Gurdip S. Bakshi & Zhiwu Chen, 1996, "Equilibrium Valuation of Foreign Exchange Claims," Yale School of Management Working Papers, Yale School of Management, number ysm51, Sep.
• Chang Mo Ahn, 1996, "The Pricing of Foreign Currency Futures Options," Yale School of Management Working Papers, Yale School of Management, number ysm52, Dec.
• Gurdip S. Bakshi & Zhiwu Chen, 1996, "An Alternative Valuation Model for Contingent Claims," Yale School of Management Working Papers, Yale School of Management, number ysm78, Feb.
• Gurdip S. Bakshi & Zhiwu Chen, 1996, "Equilibrium Valuation of Foreign Exchange Claims," Yale School of Management Working Papers, Yale School of Management, number ysm79, Feb.
• Joe Peek & Eric S. Rosengren, 1996, "Derivatives Activity at Troubled Banks," Boston College Working Papers in Economics, Boston College Department of Economics, number 358, Nov.
• Lambrecht, B., 1996, "The Timing of Arbitrage: An Option Approach," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 9606.
• Peter Bossaert & Eric Ghysels & Christian Gouriéroux, 1996, "Arbitrage Based Pricing When Volatility Is Stochastic," CIRANO Working Papers, CIRANO, number 96s-20, Jul.
• Mark Broadie & Jérôme Detemple & Eric Ghysels & Olivier Torrès, 1996, "Nonparametric Estimation of American Options Exercise Boundaries and Call Prices," CIRANO Working Papers, CIRANO, number 96s-24, Sep.
• Mark Broadie & Jérôme Detemple & Eric Ghysels & Olivier Torrès, 1996, "American Options with Stochastic Dividends and Volatility: A Nonparametric Investigation," CIRANO Working Papers, CIRANO, number 96s-26, Oct.
• Bossaerts, Peter & Ghysels, Eric & Gourieroux, Christian, 1996, "Arbitrage-Based Pricing When Volatility is Stochastic," Working Papers, California Institute of Technology, Division of the Humanities and Social Sciences, number 977, Jul.
• Dana, Rose-Anne & Le Van, Cuong & Magnien, François, 1996, "On the different notions of arbitrage and existence of equilibrium," CEPREMAP Working Papers (Couverture Orange), CEPREMAP, number 9616.
• Dumas, Bernard J & Fleming, Jeff & Whaley, Robert E, 1996, "Implied Volatility Functions: Empirical Tests," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 1369, Apr.
• Mella-Baral, Pierre & Tychon, Pierre, 1996, "Default risk in asset pricing," LIDAM Discussion Papers IRES, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), number 1996021, Sep.
• Anderson, Ronald W. & Tu, Cheng, 1996, "Numerical analysis of strategic contingent claims models," LIDAM Discussion Papers IRES, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), number 1997004, Sep, revised 00 Jan 1997.
• Joe Peek & Eric Rosengren, 1996, "Derivatives activity at troubled banks," Working Papers, Federal Reserve Bank of Boston, number 96-3.
• Gerald A. Edwards, Jr. & Gregory E. Eller, 1996, "Derivatives disclosures by major U.S. banks, 1995," Federal Reserve Bulletin, Board of Governors of the Federal Reserve System (U.S.), volume 82, issue Sep, pages 791-801, September, DOI: 10.17016/bulletin.1996.82-9.
• Pierre Mella-Barral & Pierre Tychon, 1996, "Default Risk in Asset Pricing," FMG Discussion Papers, Financial Markets Group, number dp250, Oct.
• Theobald, M. & Yallup, P., 1996, "Settlement, Tax and Non-Synchronous Effects in the Basis of U.K. Stock Index Futures," Papers, University of Birmingham - International Financial Group, number 96-01.
• Broadie, M. & Glasserman, P., 1996, "Pricing American-Style Securities Using Simulation," Papers, Columbia - Graduate School of Business, number 96-12.
• Kelly, M., 1996, "Do Noise Traders Influence Stock Prices," Papers, College Dublin, Department of Political Economy-, number 96/5.
• Alziary, B. & Decamps, J-P. & Koehl, P-F., 1996, "A P.D.E. Approach to Asian Options: Analytical and Numerical Evidence," Papers, Toulouse - GREMAQ, number 96.430.
• Faff, R. & Brooks, R., 1996, "Further Evidence on the Relationship between Beta Stability and the length of the Estimation Period," Papers, Melbourne - Centre in Finance, number 96-10.
• Davidson, S. & Meyer, S., 1996, "Forecasting the S&P500: A Disequilibrium Indicator," Papers, Melbourne - Centre in Finance, number 96-5.
• Jesev, T. & Brailsford, T., 1996, "The Impact of the Return Interval on The estimation of Systematic Risk in Australia," Papers, Melbourne - Centre in Finance, number 96-8.
• Lee, J. & Brooks, R., 1996, "The Stability of ARCH Models Across Australian Financial Markets," Papers, Melbourne - Centre in Finance, number 96-9.
• Bruce D. Grundy & Zvi Wiener, , "The Analysis of VAR, Deltas and State Prices: A New Approach," Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research, number 11-96.
• Guay, W. & Kothari, S.P. & Watts, R.L., 1996, "A Market-Based Evaluation of Discretionary-Accrual Models," Papers, Rochester, Business - Financial Research and Policy Studies, number 96-01.
• Chapman, D.A., 1996, "Approximating the Asset Pricing Kernel," Papers, Rochester, Business - Financial Research and Policy Studies, number 96-02.
• Dale, R. & Wolfe, S., 1996, "EU Capital Requirements and the Level Playing Field," Papers, University of Southampton - Department of Accounting and Management Science, number 96-111.
• Casson, P., 1996, "Market Risk, Corporate Governance & the Regulation of Financial Firms," Papers, University of Southampton - Department of Accounting and Management Science, number 96-127.
• Kearney, C. & Kelly, B., 1996, "Volatility in the Nikkei Stock Market Index; Causes and International Transmission," Papers, Western Sydney - School of Business And Technology, number e9601.
• Kearney, C. & Sadeghi, M., 1996, "The Short Term Price Performance of Initial Public Offerings of Common Stock: Australia 1991-1994," Papers, Western Sydney - School of Business And Technology, number e9602.
• Bernard Dumas & Jeff Fleming & Robert E. Whaley, 1996, "Implied Volatility Functions: Empirical Tests," Working Papers, HAL, number hal-00606071.
• Björk, Tomas & Näslund, Bertil, 1996, "Diversified Portfolios in Continuous Time," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 122, Sep.
• Björk, Tomas, 1996, "Interest Rate Theory - CIME Lectures 1996," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 133, Nov.
• Ericsson, Jan & Reneby, Joel, 1996, "Stock Options as Barrier Contingent Claims," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 137, Nov, revised Sep 2002.
• Söderlind, Paul & Svensson, Lars E.O., 1996, "New Techniques to Extract Market expectations from Financial Instruments," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 142, Dec.
• Björk, Tomas & di Masi, Giovanni & Kabanov, Yuri & Runggaldier, Wolfgang, 1996, "Towards a General Theory of Bond Markets," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 143, Dec.

1995

• Sergio H. Lence & Dermot J. Hayes, 1995, "Optimal Hedging Under Forward‐Looking Behaviour," The Economic Record, The Economic Society of Australia, volume 71, issue 4, pages 329-342, December, DOI: 10.1111/j.1475-4932.1995.tb02678.x.