Research classified by Journal of Economic Literature (JEL) codes

0

• Peter D Spencer, , "Coupon Bond Valuation with a Non-Affine Discount Yield Model," Discussion Papers, Department of Economics, University of York, number 03/16.
• Marco Realdon, , "Valuation of Exchangeable Convertible Bonds," Discussion Papers, Department of Economics, University of York, number 03/17.
• Marco Realdon, , "Convertible Subordinated Debt Valuation and "Conversion in Distress"," Discussion Papers, Department of Economics, University of York, number 03/18.
• Marco Realdon, , "Valuation of Put Options on Leveraged Equity," Discussion Papers, Department of Economics, University of York, number 03/19.
• Marco Realdon, , "Corporate Bond Valuation with Both Expected and Unexpected Default," Discussion Papers, Department of Economics, University of York, number 03/21.
• Patrick Leoni & St�phane Luchini, , "Design the Financial Tool to Promote Universal Free Access to AIDS Care," IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich, number 214.
• Patrick Leoni & St�phane Luchini, , "Designing the Financial Tools to Promote Universal Free-Access to AIDS Care," IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich, number 227.
• Bent Jesper Christensen & Morten Ø. Nielsen, , "Semiparametric Analysis of Stationary Fractional Cointegration and the Implied-Realized Volatility Relation in High-Frequency Options Data," Economics Working Papers, Department of Economics and Business Economics, Aarhus University, number 2001-4.
• Yan, Lei & Irwin, Scott H. & Sanders, Dwight R., 2016, "The Relationship between Commodity Investment Flows and Crude Oil Futures Prices: Real or Spurious?," 2016 Annual Meeting, July 31-August 2, Boston, Massachusetts, Agricultural and Applied Economics Association, number 235933, May, DOI: 10.22004/ag.econ.235933.
• Revoredo-Giha, Cesar & Zuppiroli, Marco, 2013, "Commodity futures markets: are they an effective price risk management tool for the European wheat supply chain?," Bio-based and Applied Economics Journal, Italian Association of Agricultural and Applied Economics (AIEAA), volume 2, issue 3, pages 1-19, December, DOI: 10.22004/ag.econ.162073.
• Forbes, Catherine S. & Kalb, Guyonne R. J. & Kofman, Paul, , "Bayesian Arbitrage Threshold Analysis," Department of Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 267925, DOI: 10.22004/ag.econ.267925.
• Claudio Albanese & Adel Osseiran, 2007, "Moment Methods for Exotic Volatility Derivatives," Papers, arXiv.org, number 0710.2991, Oct.
• A. Brace & G. Fabbri & B. Goldys, 2007, "An Hilbert space approach for a class of arbitrage free implied volatilities models," Papers, arXiv.org, number 0712.1343, Dec, revised Dec 2007.
• Peter Spreij & Enno Veerman & Peter Vlaar, 2008, "Multivariate Feller conditions in term structure models: Why do(n't) we care?," Papers, arXiv.org, number 0804.1039, Apr.
• Ashkan Nikeghbali & Eckhard Platen, 2008, "On honest times in financial modeling," Papers, arXiv.org, number 0808.2892, Aug.
• Damiano Brigo & Naoufel El-Bachir, 2008, "An exact formula for default swaptions' pricing in the SSRJD stochastic intensity model," Papers, arXiv.org, number 0812.4199, Dec.
• Ulrich Horst & Felix Naujokat, 2008, "Illiquidity and Derivative Valuation," Papers, arXiv.org, number 0901.0091, Dec.
• Claudio Albanese & Harry Lo & Aleksandar Mijatovi'c, 2009, "Spectral methods for volatility derivatives," Papers, arXiv.org, number 0905.2091, May.
• Xavier De Scheemaekere, 2009, "Upper and lower bounds on dynamic risk indifference prices in incomplete markets," Papers, arXiv.org, number 0909.3219, Sep, revised Sep 2010.
• Agnieszka Janek & Tino Kluge & Rafal Weron & Uwe Wystup, 2010, "FX Smile in the Heston Model," Papers, arXiv.org, number 1010.1617, Oct.
• Tim Leung & Qingshuo Song & Jie Yang, 2011, "Outperformance Portfolio Optimization via the Equivalence of Pure and Randomized Hypothesis Testing," Papers, arXiv.org, number 1109.5316, Sep, revised Mar 2013.
• Enrico Scalas & Mauro Politi, 2012, "A parsimonious model for intraday European option pricing," Papers, arXiv.org, number 1202.4332, Feb.
• Jos'e Da Fonseca & Alessandro Gnoatto & Martino Grasselli, 2012, "A flexible matrix Libor model with smiles," Papers, arXiv.org, number 1203.4786, Mar.
• Jan Baldeaux & Alexander Badran, 2012, "Consistent Modeling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model," Papers, arXiv.org, number 1203.5903, Mar, revised Aug 2012.
• Hongzhong Zhang & Tim Leung & Olympia Hadjiliadis, 2013, "Stochastic Modeling and Fair Valuation of Drawdown Insurance," Papers, arXiv.org, number 1310.3860, Oct.
• Vladislav Kargin, 2003, "Consistent Estimation of Pricing Kernels from Noisy Price Data," Papers, arXiv.org, number math/0310223, Oct.
• Carlos León, 2009, "Una aproximación teórica a la superficie de volatilidad en el mercado colombiano a través del modelo de difusión con saltos," Borradores de Economia, Banco de la Republica de Colombia, number 570, Aug, DOI: 10.32468/be.570.
• Ana María Iregui & Ligia Alba Melo & María Teresa Ramírez, 2009, "Rigideces de los salarios a la baja en Colombia: Evidencia empírica a partir de una muestra de salarios a nivel de firma," Borradores de Economia, Banco de la Republica de Colombia, number 571, Aug, DOI: 10.32468/be.571.
• Carlos León & Francisco Vivas, 2010, "Dependencia de largo plazo y la regla de la raíz del tiempo para escalar la volatilidad en el mercado colombiano," Borradores de Economia, Banco de la Republica de Colombia, number 603, May, DOI: 10.32468/be.603.
• Mariana Laverde & Esteban Gómez & Miguel Ángel Morales Mosquera, 2011, "Measuring Systemic Risk in the Colombian Financial System: Systemic Contingent Claims Approach," Temas de Estabilidad Financiera, Banco de la Republica de Colombia, number 060, Sep, DOI: 10.32468/tef.60.
• Dirk Hackbarth & Jianjun Miao, , "The Timing and Returns of Mergers and Acquisitions in Oligopolistic Industries," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number wp2008-022.
• Laurent BARRAS & Patrick Gagliardini & Paolo Porchia & Fabio Trojani, 2008, "Ambiguity Aversion and the Term Structure of Interest Rates," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 08-19, Aug.
• Damir FILIPOVIC & Lane P. HUGHSTON & Andrea MACRINA, 2010, "Conditional Density Models for Asset Pricing," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 10-44, Aug.
• Yan DOLINSKY & Marcel NUTZ & Halil Mete SONER, 2011, "Weak Approximation of G-Expectations," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 11-09, Mar.
• Maria PUTINTSEVA, 2011, "Predictive Power of Information Market Prices," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 11-23, Jun.
• Marc CHESNEY & Alexander KEMPF, 2011, "The Value of Tradeability," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 11-37, Jul.
• Marc CHESNEY & Remo CRAMERI & Loriano MANCINI, 2011, "Detecting Informed Trading Activities in the Options Markets: Appendix on Subprime Financial Crisis," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 11-38, Sep.
• Marc CHESNEY & Remo CRAMERI & Loriano MANCINI, 2011, "Detecting Informed Trading Activities in the Options Markets," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 11-42, Sep.
• Markus LEIPPOLD & Lujing SU, 2011, "Collateral Smile," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 11-51, Nov.
• Jun CHENG & Meriton IBRAIMI & Markus LEIPPOLD & Jin E. ZHANG, 2011, "A remark on Lin and Chang’s paper ‘Consistent modeling of S&P 500 and VIX derivatives," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 11-54, Oct.
• Giovanni Barone-Adesi & Nicola Carcano & Hakim Dall'O, 2012, "Managing the Risks of Corporate Bond Portfolios: New Evidence in the Light of the Sub-Prime Crisis," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 12-04, Feb.
• Assaf Eisdorfer & Amit Goyal & Alexei Zhdanov, 2012, "Misvaluation and Return Anomalies in Distress Stocks," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 12-12, Mar.
• Damir Filipović, 2012, "Affine Variance Swap Curve Models," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 12-14, Apr.
• Valentina Corradi & Walter Distaso & Antonio Mele, 2012, "Macroeconomic Determinants of Stock Market Volatility and Volatility Risk-Premiums," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 12-18, Feb.
• Markus Leippold & Jacob Stromberg, 2012, "Time-Changed Lévy LIBOR Market Model: Pricing and Joint Estimation of the Cap Surface and Swaption Cube," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 12-23, May.
• Antonio Cosma & Stefano Galluccio & Paola Pederzoli & O. Scaillet, 2012, "Valuing American Options Using Fast Recursive Projections," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 12-26, Jun.
• Jan Kallsen & Johannes Muhle-Karbe, 2012, "Option Pricing and Hedging with Small Transaction Costs," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 12-30, Sep.
• Semyon MALAMUD, 2014, "Portfolio Selection with Options and Transaction Costs," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 14-08, Feb.
• Damir FILIPOVIC & Martin LARSSON & Anders TROLLE, 2014, "Linear-Rational Term Structure Models," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 14-15, Feb.
• Bryan Routledge & Stanley Zin, , "Model Uncertainty and Liquidity," GSIA Working Papers, Carnegie Mellon University, Tepper School of Business, number 2001-E17.
• Jaime Casassus & Pierre Collin-Dufresne & Bryan R. Routledge, , "Equilibrium Commodity Prices with Irreversible Investment and Non-Linear Technologies," GSIA Working Papers, Carnegie Mellon University, Tepper School of Business, number 2004-E54.
• Shimon Kogan & Anthony Kwasnica & Roberto Weber, , "Coordination in the Presence of Asset Markets," GSIA Working Papers, Carnegie Mellon University, Tepper School of Business, number 2007-E33.
• Jonathan Berk & Richard C. Green & Vasant Naik, , "Optimal Investment, Growth Options and Security Returns," GSIA Working Papers, Carnegie Mellon University, Tepper School of Business, number 64.
• HARDLE, Wolfgang & HAFNER, Christian M., 2000, "Discrete time option pricing with flexible volatility estimation," LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 1439, Jan, DOI: 10.1007/s007800050011.
• BAUWENS , Luc & LUBRANO, Michel, 2002, "Bayesian option pricing using asymmetric GARCH models," LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 1569, Jan.
• Nicolas Mougeot, , "Credit Spread Specification and the Pricing of Spread Options," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp14.
• Nina Boyarchenko & Lars C. Larsen & Paul Whelan, 2020, "The Overnight Drift," Staff Reports, Federal Reserve Bank of New York, number 917, Feb.
• Elyes Jouini & Pierre-Francois Koehl, , "Pricing of Non-redundant Derivatives in a Complete Market," New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business-, number 99-009.
• Gary Gorton & Richard Rosen, , "Banks and Derivatives," Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research, number 06-95.
• 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 08-99.
• Gary Gorton & Richard Rosen, , "Banks and Derivatives," Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research, number 6-95.
• 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 7-97.
• Francisca Silva & Marta Simões & João Sousa Andrade, 2018, "Health Investment and Long run Macroeconomic Performance:a quantile regression approach," CeBER Working Papers, Centre for Business and Economics Research (CeBER), University of Coimbra, number 2018-01, Jan.
• Márcio Ferreira & Hélder Sebastião, 2018, "The Iberian electricity market:Price dynamics and risk premium in an illiquid market," CeBER Working Papers, Centre for Business and Economics Research (CeBER), University of Coimbra, number 2018-02, Feb.
• Jason West, , "2012-02 Marginal abatement cost curves and carbon capture and storage options in Australia," Discussion Papers in Finance, Griffith University, Department of Accounting, Finance and Economics, number finance:201202.

None

• Pagano Patrizio & Pisani Massimiliano, 2009, "Risk-Adjusted Forecasts of Oil Prices," The B.E. Journal of Macroeconomics, De Gruyter, volume 9, issue 1, pages 1-28, June, DOI: 10.2202/1935-1690.1626.
• Ferreira José Luis, 2006, "The Role of Observability in Futures Markets," The B.E. Journal of Theoretical Economics, De Gruyter, volume 6, issue 1, pages 1-24, June, DOI: 10.2202/1534-598X.1266.
• Borovkova Svetlana & Geman Helyette, 2006, "Analysis and Modelling of Electricity Futures Prices," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 10, issue 3, pages 1-16, September, DOI: 10.2202/1558-3708.1372.
• Benth Fred E & Saltyte-Benth Jurate, 2006, "Analytical Approximation for the Price Dynamics of Spark Spread Options," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 10, issue 3, pages 1-28, September, DOI: 10.2202/1558-3708.1355.
• Chan Wing Hong, 2008, "Dynamic Hedging with Foreign Currency Futures in the Presence of Jumps," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 12, issue 2, pages 1-25, May, DOI: 10.2202/1558-3708.1571.
• Badescu Alex & Kulperger Reg & Lazar Emese, 2008, "Option Valuation with Normal Mixture GARCH Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 12, issue 2, pages 1-42, May, DOI: 10.2202/1558-3708.1580.
• Tseng Tseng-Chan & Chung Huimin & Huang Chin-Sheng, 2009, "Modeling Jump and Continuous Components in the Volatility of Oil Futures," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 13, issue 3, pages 1-30, May, DOI: 10.2202/1558-3708.1671.
• Berkowitz Jeremy, 2009, "On Justifications for the ad hoc Black-Scholes Method of Option Pricing," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 14, issue 1, pages 1-27, December, DOI: 10.2202/1558-3708.1683.
• Bhar Ramaprasad & Chiarella Carl & Runggaldier Wolfgang J., 2004, "Inferring the Forward Looking Equity Risk Premium from Derivative Prices," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 8, issue 1, pages 1-26, March, DOI: 10.2202/1558-3708.1141.
• Robles-Fernandez M. Dolores & Nieto Luisa & Fernandez M. Angeles, 2004, "Nonlinear Intraday Dynamics in Eurostoxx50 Index Markets," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 8, issue 4, pages 1-28, December, DOI: 10.2202/1558-3708.1106.
• Jessica H. Brown, 2018, "Does Public Pre-K Have Unintended Consequences on the Child Care Market for Infants and Toddlers?," Working Papers, Princeton University, Department of Economics, Industrial Relations Section., number 626, Dec.
• Yasin Kursat Onder, 2023, "Optimal GDP-indexed Bonds," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, volume 51, pages 747-777, December, DOI: 10.1016/j.red.2023.08.002.
• Raoul Pietersz & Antoon Pelsser & Marcel van Regenmortel, None, "Fast drift-approximated pricing in the BGM model," Journal of Computational Finance, Journal of Computational Finance.
• Raphael Paschke & Marcel Prokopczuk, None, "Integrating multiple commodities in a model of stochastic price dynamics," Journal of Energy Markets, Journal of Energy Markets.
• Szymon Borak & Rafał Weron, None, "A semiparametric factor model for electricity forward curve dynamics," Journal of Energy Markets, Journal of Energy Markets.
• James L. Smith & Rex Thompson and Thomas K. Lee, None, "The informational role of spot prices and inventories," Journal of Energy Markets, Journal of Energy Markets.
• Burkhard Raunig & Martin Scheicher, None, "A value-at-risk analysis of credit default swaps," Journal of Risk, Journal of Risk.
• Hipòlit Torró, None, "Assessing the influence of spot price predictability on electricity futures hedging," Journal of Risk, Journal of Risk.
• Marc Henrard, None, "Skewed Libor market model and Gaussian HJM explicit approaches to rolled deposit options," Journal of Risk, Journal of Risk.
• M.H. Middeldorp, 2011, "FOMC Communication Policy and the Accuracy of Fed Funds Futures," Working Papers, Utrecht School of Economics, number 11-13.