Research classified by Journal of Economic Literature (JEL) codes

1997

• 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.
• 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.
• Svensson, Lars E.O. & Söderlind, Paul, 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, undated, "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, undated, "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.

1996

• 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 & Whaley, Robert E & Fleming, Jeff, 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, undated, "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.
• 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.

1995

• 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.
• 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.

1994

• 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.