Research classified by Journal of Economic Literature (JEL) codes

1997

• 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, Centre for Economic Policy Research, 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.
• Lo, Andrew W & Wang, Jiang, 1995, "Implementing Option Pricing Models When Asset Returns Are Predictable," Journal of Finance, American Finance Association, volume 50, issue 1, pages 87-129, March.
• Gallant, A. Ronald & Tauchen, George E., 1995, "Specification Analysis of Continuous Time Models in Finance," Working Papers, Duke University, Department of Economics, number 95-49.
• Tauchen, George E. & Gallant, A. Ronald, 1995, "Estimation of Continuous Time Models for Stock Returns and Interest Rates," Working Papers, Duke University, Department of Economics, number 95-53.
• Dumas, Bernard & Peter Jennergren, L. & Naslund, Bertil, 1995, "Realignment risk and currency option pricing in target zones," European Economic Review, Elsevier, volume 39, issue 8, pages 1523-1544, October.
• Aase Nielsen, J. & Sandmann, Klaus, 1995, "Equity-linked life insurance: A model with stochastic interest rates," Insurance: Mathematics and Economics, Elsevier, volume 16, issue 3, pages 225-253, July.
• Hun Y. Park & Asani Sarkar & Lifan Wu, 1995, "The costs and benefits of dual trading," Staff Reports, Federal Reserve Bank of New York, number 2.
• Gary Gorton & Richard J. Rosen, 1995, "Banks and derivatives," Working Papers, Federal Reserve Bank of Philadelphia, number 95-12.
• Kast, R. & Lapied, A., 1995, "Discrete Time Option Pricing with Bid-Ask Spreads," G.R.E.Q.A.M., Universite Aix-Marseille III, number 97a26.
• Venditti, A., 1995, "Altruism and Determinacy of Equilibria in Overlapping Generations Models with Externalities," G.R.E.Q.A.M., Universite Aix-Marseille III, number 97a27.
• Chambers, R.G. & Quiggin, J., 1995, "Separation and Hedging Results with State-Contingent Production," Papers, Australian National University - Department of Economics, number 293.
• Heal, G., 1995, "Derivatives and the Efficient Allocation of Price Risks in a General Equilibrium World," Papers, Columbia - Graduate School of Business, number 95-30.
• Edwards, F.R., 1995, "Mutual Funds and Financial Stability," Papers, Columbia - Graduate School of Business, number 95-31.
• Edwards, F.R. & Park, J.M., 1995, "Do Managed Futures Make Good Investments?," Papers, Columbia - Graduate School of Business, number 95-32.
• Kearney, C., 1995, "The Determination of Stock Market Volatility and Its International Transmission," Papers, Western Sydney - School of Business And Technology, number e9504.
• Björk, T. & Kabanov, Y. & Runggaldier, W., 1995, "Bond markets where prices are driven by a general marked point process," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 88, Dec.
• Ericsson, Jan & Reneby, Joel, 1995, "A Framework for Valuing Corporate Securities," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 89, Dec, revised 03 Dec 1998.
• Lence, Sergio H. & Hayes, Dermot J., 1995, "Optimal Hedging Under Forward-Looking Behavior," Staff General Research Papers Archive, Iowa State University, Department of Economics, number 533, Dec.
• Lence, Sergio H & Hayes, Dermot J., 1995, "Optimal Hedging Under Forward-Looking Behaviour," ISU General Staff Papers, Iowa State University, Department of Economics, number 199512010800001137, Dec.
• Gary Gorton & Richard Rosen, 1995, "Banks and Derivatives," NBER Chapters, National Bureau of Economic Research, Inc, "NBER Macroeconomics Annual 1995, Volume 10".
• Gary Gorton & Richard Rosen, 1995, "Banks and Derivatives," NBER Working Papers, National Bureau of Economic Research, Inc, number 5100, Apr.
• David S. Bates, 1995, "Testing Option Pricing Models," NBER Working Papers, National Bureau of Economic Research, Inc, number 5129, May.
• Yacine Ait-Sahalia & Andrew W. Lo, 1995, "Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices," NBER Working Papers, National Bureau of Economic Research, Inc, number 5351, Nov.
• Broadie, Mark & Detemple, Jerome, 1995, "American Capped Call Options on Dividend-Paying Assets," The Review of Financial Studies, Society for Financial Studies, volume 8, issue 1, pages 161-191.
• George Mckenzie & Simon Wolfe, 1995, "Limited liability and bank safety net procedures," The European Journal of Finance, Taylor & Francis Journals, volume 1, issue 3, pages 219-235, DOI: 10.1080/13518479500000018.
• Ho, W.H., 1995, "Imperfect Information, Money and Economic Growth," Working Papers, University of Waterloo, Department of Economics, number 9507.
• Gary Gorton & Richard Rosen, 1995, "Banks and Derivatives," Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania, number 95-07, Feb.
• Kabanov, Y. M. & Safarian, M., 1995, "On Leland's Strategy of Option Pricing with Transaction Costs," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 1995,65.

1994

• James M. Hutchinson & Andrew W. Lo & Tomaso Poggio, 1994, "A Nonparametric Approach to Pricing and Hedging Derivative Securities Via Learning Networks," NBER Working Papers, National Bureau of Economic Research, Inc, number 4718, Apr.
• Andrew W. Lo & Jiang Wang, 1994, "Implementing Option Pricing Models When Asset Returns Are Predictable," NBER Working Papers, National Bureau of Economic Research, Inc, number 4720, Apr.
• Dilip B. Madan & Frank Milne, 1994, "Contingent Claims Valued And Hedged By Pricing And Investing In A Basis," Working Paper, Economics Department, Queen's University, number 1158, Jul.
• Michael Bowe, 1994, "The Costs of Arbitrage and Futures Market Trading Activity," International Journal of the Economics of Business, Taylor & Francis Journals, volume 1, issue 2, pages 247-270, DOI: 10.1080/758516798.
• de Roon, F.A. & Veld, C.H., 1994, "Put-call parities and the value of early exercise for put options on a performance index," Research Memorandum, Tilburg University, School of Economics and Management, number FEW 639.
• de Roon, F.A. & Veld, C.H., 1994, "Put-call parities and the value of early exercise for put options on a performance index," Other publications TiSEM, Tilburg University, School of Economics and Management, number fe78b828-fae3-4ccd-b7b8-b.
• Hutchinson, James M & Lo, Andrew W & Poggio, Tomaso, 1994, "A Nonparametric Approach to Pricing and Hedging Derivative Securities via Learning Networks," Journal of Finance, American Finance Association, volume 49, issue 3, pages 851-889, July.
• Dilip B. Madan & Frank Milne, 1994, "Contingent Claims Valued And Hedged By Pricing And Investing In A Basis," Mathematical Finance, Wiley Blackwell, volume 4, issue 3, pages 223-245, July, DOI: 10.1111/j.1467-9965.1994.tb00093.x.
• Mark Broadie & Jérôme Detemple, 1994, "American Capped Call Options on Dividend Paying Assets," CIRANO Working Papers, CIRANO, number 94s-01, Jan.
• Mark Broadie & Jérôme Detemple, 1994, "American Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methods," CIRANO Working Papers, CIRANO, number 94s-07, Sep.
• Mark Broadie & Jérôme Detemple, 1994, "The Valuation of American Options on Multiple Assets," CIRANO Working Papers, CIRANO, number 94s-08, Sep.
• Lorenzo de Cristobal y de Nicolás, 1994, "Evolución de los productos derivados sobre tipos de interés en España: análisis de sus riestos y ventajas," EKONOMIAZ. Revista vasca de Economía, Gobierno Vasco / Eusko Jaurlaritza / Basque Government, volume 29, issue 02, pages 52-69.
• Arturo de la Lama López-Areal, 1994, "Regulación y control de los nuevos riesgos," EKONOMIAZ. Revista vasca de Economía, Gobierno Vasco / Eusko Jaurlaritza / Basque Government, volume 29, issue 02, pages 70-93.
• Agustín Garmendia Iribar, 1994, "Deuda pública de Euskadi," EKONOMIAZ. Revista vasca de Economía, Gobierno Vasco / Eusko Jaurlaritza / Basque Government, volume 29, issue 02, pages 126-147.
• Juan Luis Llorens, 1994, "La bolsa de Bilbao: presente y futuro," EKONOMIAZ. Revista vasca de Economía, Gobierno Vasco / Eusko Jaurlaritza / Basque Government, volume 29, issue 02, pages 148-177.

1993

• Shiller, Robert J, 1993, "Measuring Asset Values for Cash Settlement in Derivative Markets: Hedonic Repeated Measures Indices and Perpetual Futures," Journal of Finance, American Finance Association, volume 48, issue 3, pages 911-931, July.
• Pindyck, Robert S, 1993, "The Present Value Model of Rational Commodity Pricing," Economic Journal, Royal Economic Society, volume 103, issue 418, pages 511-530, May.
• Krister Rindell, 1993, "On the use of the Black & Scholes model in a stochastic interest rate economy," Finnish Economic Papers, Finnish Economic Association, volume 6, issue 2, pages 123-130, Autumn.
• Morris Goldstein & Michael Mussa, 1993, "The integration of world capital markets," Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, pages 245-330.
• Broadie, M. & Detemple, J., 1993, "American Capped Call Options on Dividend Paying Assets," Papers, Columbia - Graduate School of Business, number 93-08a.
• Bernard Dumas & Peter Jennergren & Bertil Näslund, 1993, "Realignment risk and currency option pricing in target zones," Working Papers, HAL, number hal-00610767.
• Sergio H. Lence & Dermot J. Hayes, 1993, "Optimal Hedging under Forward-Looking Behavior," Center for Agricultural and Rural Development (CARD) Publications, Center for Agricultural and Rural Development (CARD) at Iowa State University, number 93-wp108, Jun.
• Lo, Andrew W. (Andrew Wen-Chuan) & Wang, Jiang, 1959-, 1993, "Implementing option pricing models when asset returns are predictable," Working papers, Massachusetts Institute of Technology (MIT), Sloan School of Management, number 3593-93..
• Robert J. Shiller, 1993, "Measuring Asset Values for Cash Settlement in Derivative Markets: Hedonic Repeated Measures indices and Perpetual Futures," NBER Technical Working Papers, National Bureau of Economic Research, Inc, number 0131, Dec.
• Robert S. Pindyck, 1992, "The Present Value Model of Rational Commodity Pricing," NBER Working Papers, National Bureau of Economic Research, Inc, number 4083, May.
• Bernard Dumas & L. Peter Jennergren & Bertil Naslund, 1993, "Realignment Risk and Currency Option Pricing in Target Zones," NBER Working Papers, National Bureau of Economic Research, Inc, number 4458, Sep.
• David S. Bates, 1993, "Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in thePHLX Deutschemark Options," NBER Working Papers, National Bureau of Economic Research, Inc, number 4596, Dec.

1992

• Louis O. Scott, 1992, "The Information Content of Prices in Derivative Security Markets," IMF Staff Papers, Palgrave Macmillan, volume 39, issue 3, pages 596-625, September.
• Rich Fortin & Judy Maese, 1992, "Option Introduction and Liquidity Changes in the OTC/NASDAQ Equity Market," Journal of Entrepreneurial Finance, Pepperdine University, Graziadio School of Business and Management, volume 2, issue 1, pages 39-52, Fall.
• Serletis, Apostolos, 1992, "Unit root behavior in energy futures prices," MPRA Paper, University Library of Munich, Germany, number 1744.
• Dilip B. Madan & Frank Milne & Robert Elliott, 1992, "Incomplete Diversification and Asset Pricing," Working Paper, Economics Department, Queen's University, number 865, Jul.
• Jianjun Miao & Dirk Hackbarth, 2008, "The Timing and Returns of Mergers and Acquisitions in Oligopolistic Industries," 2008 Meeting Papers, Society for Economic Dynamics, number 12.
• Madan, Dilip B. & Milne, Frank & Elliott, Robert, 1992, "Incomplete Diversification and Asset Pricing," Queen's Economics Department Working Papers, Queen's University - Department of Economics, number 273258, Jul, DOI: 10.22004/ag.econ.273258.
• Robert J. Shiller, 1992, "Measuring Asset Values for Cash Settlement in Derivative Markets: Hedonic Repeated Measures Indices and Perpetual Futures," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1036, Nov.
• Vesa Puttonen, 1992, "On the behaviour of the Finnish stock index options markets," Finnish Economic Papers, Finnish Economic Association, volume 5, issue 2, pages 117-128, Autumn.
• Bernard Dumas & Lars Peter Jennergren & Bertil Näslund, 1992, "Realignment risk and currency option pricing in target zones," Working Papers, HAL, number hal-00611598.

1991

• Easton, Pd & Harris, Ts, 1991, "Earnings As An Explanatory Variable For Returns," Journal of Accounting Research, John Wiley & Sons, Ltd., volume 29, issue 1, pages 19-36, DOI: http://hdl.handle.net/10.2307/24910.
• Dilip B. Madan & Frank Milne, 1991, "Option Pricing With V. G. Martingale Components1," Mathematical Finance, Wiley Blackwell, volume 1, issue 4, pages 39-55, October, DOI: 10.1111/j.1467-9965.1991.tb00018.x.
• Pindyck, Robert S., 1991, "The present value model of rational commodity pricing," Working papers, Massachusetts Institute of Technology (MIT), Sloan School of Management, number 3354-91..
• Dale, Charles, 1991, "Economics of Energy Futures Markets," MPRA Paper, University Library of Munich, Germany, number 47447, Sep.
• Dilip B. Madan & Frank Milne, 1991, "Option Pricing With V. G. Martingale Components," Working Paper, Economics Department, Queen's University, number 1159, Oct.