Research classified by Journal of Economic Literature (JEL) codes

1999

• 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.
• Frank De Jong & Monique W. M. Donders, 1998, "Intraday Lead-Lag Relationships Between the Futures-, Options and Stock Market," Review of Finance, European Finance Association, volume 1, issue 3, pages 337-359.
• Tomas Björk & Bertil Näslund, 1998, "Diversified Portfolios in Continuous Time," Review of Finance, European Finance Association, volume 1, issue 3, pages 361-387.
• Carr, Peter, 1998, "Randomization and the American Put," The Review of Financial Studies, Society for Financial Studies, volume 11, issue 3, pages 597-626.
• Ulibarri, Carlos A., 1998, "Is after-hours trading informative?," MPRA Paper, University Library of Munich, Germany, number 14818.
• Robert C. Merton, 1998, "Autobiography," Nobel Prize in Economics documents, Nobel Prize Committee, number 1997-3.
• Myron S. Scholes, 1998, "Autobiography," Nobel Prize in Economics documents, Nobel Prize Committee, number 1997-4.
• 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.
• Ioannis Karatzas & (*), S. G. Kou, 1998, "Hedging American contingent claims with constrained portfolios," Finance and Stochastics, Springer, volume 2, issue 3, pages 215-258.
• J. Jacod & A.N. Shiryaev, 1998, "Local martingales and the fundamental asset pricing theorems in the discrete-time case," Finance and Stochastics, Springer, volume 2, issue 3, pages 259-273.
• J.E. Kennedy & P.J. Hunt, 1998, "Implied interest rate pricing models," Finance and Stochastics, Springer, volume 2, issue 3, pages 275-293.
• Maurizio Pratelli & Sabrina Mulinacci, 1998, "Functional convergence of Snell envelopes: Applications to American options approximations," Finance and Stochastics, Springer, volume 2, issue 3, pages 311-327.
• David G. Hobson, 1998, "Robust hedging of the lookback option," Finance and Stochastics, Springer, volume 2, issue 4, pages 329-347.
• Olivier Scaillet & Boris Leblanc, 1998, "Path dependent options on yields in the affine term structure model," Finance and Stochastics, Springer, volume 2, issue 4, pages 349-367.
• Halil Mete Soner & Guy Barles, 1998, "Option pricing with transaction costs and a nonlinear Black-Scholes equation," Finance and Stochastics, Springer, volume 2, issue 4, pages 369-397.
• Marc Yor & Boris Leblanc, 1998, "Lévy processes in finance: a remedy to the non-stationarity of continuous martingales," Finance and Stochastics, Springer, volume 2, issue 4, pages 399-408.
• Jan Ericsson & Joel Reneby, 1998, "A framework for valuing corporate securities," Applied Mathematical Finance, Taylor & Francis Journals, volume 5, issue 3-4, pages 143-163, DOI: 10.1080/135048698334619.
• Hugues Pirotte & Didier Cossin, 1998, "How well do classical credit risk pricing models fit swap transaction data?," ULB Institutional Repository, ULB -- Universite Libre de Bruxelles, number 2013/191829, Mar.
• Daniel Levy & Shantanu Dutta & Mark Bergen & Robert Venable, 1998, "Price adjustment at multiproduct retailers," Managerial and Decision Economics, John Wiley & Sons, Ltd., volume 19, issue 2, pages 81-120, DOI: 10.1002/(SICI)1099-1468(199803)19:2.
• Hun Y. Park & Asani Sarkar & Lifan Wu, 1998, "Do Brokers Misallocate Customer Trades? Evidence From Futures Markets," Finance, University Library of Munich, Germany, number 9801002, Jan.
• Krzysztof Burnecki, 1998, "Self-similar models in risk theory," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/98/03.
• Charles Quanwei Cao & Gurdip S. Bakshi & Zhiwu Chen, 1998, "Pricing and Hedging Long-Term Options," Yale School of Management Working Papers, Yale School of Management, number ysm90, May.
• Levy, Daniel & Dutta, Shantanu & Bergen, Mark & Venable, Robert, 1998, "Price Adjustment at Multiproduct Retailers," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, volume 19, issue 2, pages 81-120.
• Föllmer, Hans & Leukert, Peter, 1998, "Quantile hedging," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 1998,13.
• 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.
• Hortensia Fontanals Albiol & Merche Galisteo & Lourdes Gomez del Valle, 1998, "Dynamics of the term structure on interest rates: a two-factor model," Working Papers in Economics, Universitat de Barcelona. Espai de Recerca en Economia, number 37.
• Sophie Coutant & Eric Jondeau & Michael Rockinger, 1998, "Reading Interest Rate and Bond Futures Options' Smiles: How PIBOR and National Operators Appreciated the 1997 French Snap Election," Working papers, Banque de France, number 54.
• 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, Centre for Economic Policy Research, 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, Centre for Economic Policy Research, 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, Centre for Economic Policy Research, 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, Centre for Economic Policy Research, number 1537, Jan.
• Söderlind, Paul & Svensson, Lars E O, 1997, "New Techniques to Extract Market Expectations from Financial Instruments," CEPR Discussion Papers, Centre for Economic Policy Research, number 1556, Jan.
• Fingleton, John & Waldron, Patrick, 1997, "Optimal Determination of Bookmakers' Betting Odds: Theory and Tests," CEPR Discussion Papers, Centre for Economic Policy Research, 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.
• Bénédicte Alziary & Jean-Paul Décamps & Pierre-François Koehl, 1997, "A P.D.E. approach to Asian options: analytical and numerical evidence," Post-Print, HAL, number hal-05485005, May, DOI: 10.1016/S0378-4266(96)00057-X.
• 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.
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• 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.
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• 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.
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• 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.
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• J. Chalupa, 1997, "Discount-Bond Derivatives on a Recombining Binomial Tree," Finance, University Library of Munich, Germany, number 9702003, Feb, revised 31 Jul 1997.
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