Printed from https://ideas.repec.org/j/G13-40.html
Research classified by Journal of Economic Literature (JEL) codes
Top JEL
/ G: Financial Economics
/ / G1: General Financial Markets
/ / / G13: Contingent Pricing; Futures Pricing
- 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.