Research classified by Journal of Economic Literature (JEL) codes

2023

• Hangsuck Lee & Seongjoo Song & Gaeun Lee, 2023, "Insurance guaranty premiums and exchange options," Mathematics and Financial Economics, Springer, number 3, June, DOI: 10.1007/s11579-022-00326-4.
• Julian Sester, 2023, "On intermediate marginals in martingale optimal transportation," Mathematics and Financial Economics, Springer, number 2, June, DOI: 10.1007/s11579-023-00345-9.
• Augusto Blanc-Blocquel & Luis Ortiz-Gracia & Rodolfo Oviedo, 2023, "Hedging At-the-money Digital Options Near Maturity," Methodology and Computing in Applied Probability, Springer, volume 25, issue 1, pages 1-18, March, DOI: 10.1007/s11009-023-10013-6.
• Nektarios A. Michail & Konstantinos D. Melas, 2023, "Commodity Prices and Dry Bulk Shipping Stock Returns," Springer Proceedings in Business and Economics, Springer, chapter 0, in: Nicholas Tsounis & Aspasia Vlachvei, "Advances in Empirical Economic Research", DOI: 10.1007/978-3-031-22749-3_32.
• Zhuo Chen & Bo Yan & Hanwen Kang & Liyu Liu, 2023, "Asymmetric price adjustment and price discovery in spot and futures markets of agricultural commodities," Review of Economic Design, Springer;Society for Economic Design, volume 27, issue 1, pages 139-162, February, DOI: 10.1007/s10058-021-00276-1.
• Caio Almeida & Jianqing Fan & Gustavo Freire & Francesca Tang, 2023, "Can a Machine Correct Option Pricing Models?," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 41, issue 3, pages 995-1009, July, DOI: 10.1080/07350015.2022.2099871.
• Caio Almeida & Gustavo Freire & Rafael Azevedo & Kym Ardison, 2023, "Nonparametric Option Pricing with Generalized Entropic Estimators," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 41, issue 4, pages 1173-1187, October, DOI: 10.1080/07350015.2022.2115499.
• Frédéric Vrins & Linqi Wang, 2023, "Asymmetric short-rate model without lower bound," Quantitative Finance, Taylor & Francis Journals, volume 23, issue 2, pages 279-295, February, DOI: 10.1080/14697688.2022.2156384.
• Francis Liu & Natalie Packham & Meng-Jou Lu & Wolfgang Karl Härdle, 2023, "Hedging cryptos with Bitcoin futures," Quantitative Finance, Taylor & Francis Journals, volume 23, issue 5, pages 819-841, May, DOI: 10.1080/14697688.2023.2187316.
• Maudud Hassan Uzzal & Robert Ślepaczuk, 2023, "The performance of time series forecasting based on classical and machine learning methods for S&P 500 index," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2023-05.
• Karol Chojnacki & Robert Ślepaczuk, 2023, "This study compares well-known tools of technical analysis (Moving Average Crossover MAC) with Machine Learning based strategies (LSTM and XGBoost) and Ensembled Machine Learning Strategies (LSTM ensembled with XGBoost and MAC). All models were compa," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2023-15.
• Damian Ślusarczyk & Robert Ślepaczuk, 2023, "Optimal Markowitz Portfolio Using Returns Forecasted with Time Series and Machine Learning Models," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2023-17.
• Paweł Jakubowski & Robert Ślepaczuk & Franciszek Windorbski, 2023, "REnsembling ARIMAX Model in Algorithmic Investment Strategies on Commodities Market," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2023-20.
• Jakub Michańków & Paweł Sakowski & Robert Ślepaczuk, 2023, "Mean Absolute Directional Loss as a New Loss Function for Machine Learning Problems in Algorithmic Investment Strategies," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2023-23.
• Jakub Michańków & Paweł Sakowski & Robert Ślepaczuk, 2023, "Hedging Properties of Algorithmic Investment Strategies using Long Short-Term Memory and Time Series models for Equity Indices," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2023-25.
• Sahil Teymurzade & Robert Ślepaczuk, 2023, "Predicting DJIA, NASDAQ and NYSE index prices using ARIMA and VAR models," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2023-27.
• Turker Acikgoz & Ozge Sezgin Alp & Nazlan Belemir Alkan, 2023, "Dynamics of a Newly Established Agricultural Commodities Market: Financialization, Hedging and Portfolio Diversification in Turkey," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., volume 18, issue 03, pages 1-33, September, DOI: 10.1142/S2010495223500057.
• Ricardo Lalloo, 2023, "Potential Welfare Gains from Optimal Macro Hedging for Oil Exporters," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., volume 18, issue 03, pages 1-22, September, DOI: 10.1142/S2010495223500069.
• Bernd Engelmann, 2023, "Managing the risk of embedded options in non-traded credit using portfolio modeling," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., volume 10, issue 03, pages 1-26, September, DOI: 10.1142/S2424786323500123.
• Artur Sepp & Parviz Rakhmonov, 2023, "Log-Normal Stochastic Volatility Model With Quadratic Drift," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., volume 26, issue 08, pages 1-63, December, DOI: 10.1142/S0219024924500031.
• Samia Nasreen & Sofia Anwar, 2023, "Financial Stability And Monetary Policy Reaction Function For South Asian Countries: An Econometric Approach," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., volume 68, issue 03, pages 1001-1030, June, DOI: 10.1142/S0217590819500395.

2022

• Gastón Silverio Milanesi, 2022, "Opciones reales secuenciales cuadrinomiales y volatilidad cambiante: incertidumbres tecnológicas," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, volume 17, issue 1, pages 1-26, Enero - M.
• Miguel Antonio Alba Suarez & Miguel Ángel Alba Acosta & David Camilo Alba Acosta, 2022, "Estimación bayesiana del modelo de difusión con saltos de Merton," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, volume 17, issue 2, pages 1-32, Abril - J.
• Geert Bekaert & Eric C. Engstrom & Nancy R. Xu, 2022, "The Time Variation in Risk Appetite and Uncertainty," Management Science, INFORMS, volume 68, issue 6, pages 3975-4004, June, DOI: 10.1287/mnsc.2021.4068.
• Dirk Hackbarth & Alejandro Rivera & Tak-Yuen Wong, 2022, "Optimal Short-Termism," Management Science, INFORMS, volume 68, issue 9, pages 6477-6505, September, DOI: 10.1287/mnsc.2021.4139.
• Sirio Aramonte & Mohammad R. Jahan-Parvar & Samuel Rosen & John W. Schindler, 2022, "Firm-Specific Risk-Neutral Distributions with Options and CDS," Management Science, INFORMS, volume 68, issue 9, pages 7018-7033, September, DOI: 10.1287/mnsc.2021.4170.
• Olga Dodd & Adrian Fernandez-Perez & Simon Sosvilla-Rivero, 2022, ""Currency and commodity return relationship under extreme geopolitical risks: Evidence from the invasion of Ukraine"," IREA Working Papers, University of Barcelona, Research Institute of Applied Economics, number 202204, Apr, revised Apr 2022.
• Gero Junike & Wim Schoutens & Hauke Stier, 2022, "Performance of advanced stock price models when it becomes exotic: an empirical study," Annals of Finance, Springer, volume 18, issue 1, pages 109-119, March, DOI: 10.1007/s10436-021-00396-2.
• Xiaodong Chen & Tim Leung & Yang Zhou, 2022, "Constrained dynamic futures portfolios with stochastic basis," Annals of Finance, Springer, volume 18, issue 1, pages 1-33, March, DOI: 10.1007/s10436-021-00398-0.
• Katsushi Nakajima, 2022, "Equilibrium pricing of commodity spot and forward under incomplete markets with implications on convenience yield," Annals of Finance, Springer, volume 18, issue 1, pages 35-80, March, DOI: 10.1007/s10436-021-00402-7.
• Marcos Escobar-Anel & Matt Davison & Yichen Zhu, 2022, "Derivatives-based portfolio decisions: an expected utility insight," Annals of Finance, Springer, volume 18, issue 2, pages 217-246, June, DOI: 10.1007/s10436-022-00409-8.
• Weidong Tian & Zimu Zhu, 2022, "A portfolio choice problem under risk capacity constraint," Annals of Finance, Springer, volume 18, issue 3, pages 285-326, September, DOI: 10.1007/s10436-021-00404-5.
• Giovanni Villani, 2022, "A Neural Network Approach to Value R&D Compound American Exchange Option," Computational Economics, Springer;Society for Computational Economics, volume 60, issue 1, pages 305-324, June, DOI: 10.1007/s10614-021-10150-5.
• Peter Sinka & Peter J. Zeitsch, 2022, "Hedge Effectiveness of the Credit Default Swap Indices: a Spectral Decomposition and Network Topology Analysis," Computational Economics, Springer;Society for Computational Economics, volume 60, issue 4, pages 1375-1412, December, DOI: 10.1007/s10614-021-10185-8.
• Stylianos Perrakis, 2022, "From innovation to obfuscation: continuous time finance fifty years later," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 36, issue 3, pages 369-401, September, DOI: 10.1007/s11408-021-00399-z.
• Pavan Kumar Nagula & Christos Alexakis, 2022, "A Novel Machine Learning Approach for Predicting the NIFTY50 Index in India," International Advances in Economic Research, Springer;International Atlantic Economic Society, volume 28, issue 3, pages 155-170, November, DOI: 10.1007/s11294-022-09861-8.
• Xingchun Wang, 2022, "Valuing fade-in options with default risk in Heston–Nandi GARCH models," Review of Derivatives Research, Springer, volume 25, issue 1, pages 1-22, April, DOI: 10.1007/s11147-021-09179-3.
• Zonggang Ma & Chaoqun Ma & Zhijian Wu, 2022, "Pricing commodity-linked bonds with stochastic convenience yield, interest rate and counterparty credit risk: application of Mellin transform methods," Review of Derivatives Research, Springer, volume 25, issue 1, pages 47-91, April, DOI: 10.1007/s11147-021-09181-9.
• Kazuhiro Takino, 2022, "The impact of non-cash collateralization on the over-the-counter derivatives markets," Review of Derivatives Research, Springer, volume 25, issue 2, pages 137-171, July, DOI: 10.1007/s11147-021-09184-6.
• Pakorn Aschakulporn & Jin E. Zhang, 2022, "Bakshi, Kapadia, and Madan (2003) risk-neutral moment estimators: A Gram–Charlier density approach," Review of Derivatives Research, Springer, volume 25, issue 3, pages 233-281, October, DOI: 10.1007/s11147-022-09187-x.
• Matthias Muck, 2022, "Arbitrage-free smile construction on FX option markets using Garman-Kohlhagen deltas and implied volatilities," Review of Derivatives Research, Springer, volume 25, issue 3, pages 293-314, October, DOI: 10.1007/s11147-022-09189-9.
• Philip Stahl, 2022, "Asymptotic extrapolation of model-free implied variance: exploring structural underestimation in the VIX Index," Review of Derivatives Research, Springer, volume 25, issue 3, pages 315-339, October, DOI: 10.1007/s11147-022-09190-2.
• Liang-Chih Liu & Chun-Yuan Chiu & Chuan-Ju Wang & Tian-Shyr Dai & Hao-Han Chang, 2022, "Analytical pricing formulae for vulnerable vanilla and barrier options," Review of Quantitative Finance and Accounting, Springer, volume 58, issue 1, pages 137-170, January, DOI: 10.1007/s11156-021-00990-5.
• Luiz Vitiello & Ser-Huang Poon, 2022, "Option pricing with random risk aversion," Review of Quantitative Finance and Accounting, Springer, volume 58, issue 4, pages 1665-1684, May, DOI: 10.1007/s11156-021-01034-8.
• Dean Leistikow & Ren-Raw Chen & Yuewu Xu, 2022, "Spot asset carry cost rates and futures hedge ratios," Review of Quantitative Finance and Accounting, Springer, volume 58, issue 4, pages 1741-1779, May, DOI: 10.1007/s11156-022-01037-z.
• Nicole El Karoui & Antoine Parent & Pierre-Charles Pradier, 2022, "Louis Bachelier's Théorie de la spéculation : The missing piece in Walras' general equilibrium," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 22019, Oct, DOI: 10.1111/kykl.70026.
• Agata Gniadkowska-Szymańska, 2022, "The liquidity of shares and the risk of bankruptcy," Bank i Kredyt, Narodowy Bank Polski, volume 53, issue 6, pages 565-586.
• Thomas Ernst & Chester S. Spatt, 2022, "Payment for Order Flow And Asset Choice," NBER Working Papers, National Bureau of Economic Research, Inc, number 29883, Mar.
• Min Dai & Zhaoli Jiang & Neng Wang, 2022, "Strategic Investment under Uncertainty with First- and Second-mover Advantages," NBER Working Papers, National Bureau of Economic Research, Inc, number 30150, Jun.
• Ian Dew-Becker, 2022, "Real-Time Forward-Looking Skewness over the Business Cycle," NBER Working Papers, National Bureau of Economic Research, Inc, number 30478, Sep.
• Emil Siriwardane & Adi Sunderam & Jonathan L. Wallen, 2022, "Segmented Arbitrage," NBER Working Papers, National Bureau of Economic Research, Inc, number 30561, Oct.
• Paul Borochin & Yanhui Zhao, 2022, "Risk Neutral Skewness Predicts Price Rebounds and So Can Improve Momentum Performance," Critical Finance Review, now publishers, volume 11, issue 2, pages 383-429, May, DOI: 10.1561/104.00000101.
• Shaen Corbet & Yang (Greg) Hou & Yang Hu & Les Oxley, 2022, "We Reddit in a Forum: The Influence of Message Boards on Firm Stability," Review of Corporate Finance, now publishers, volume 2, issue 1, pages 151-190, March, DOI: 10.1561/114.00000014.
• Michi Nishihara, 2022, "Corporate sustainability, investment, and capital structure," Discussion Papers in Economics and Business, Osaka University, Graduate School of Economics, number 22-05, Nov.
• Lily Y Liu, 2022, "Estimating Loss Given Default from CDS under Weak Identification
  [Estimation and Inference with Weak, Semi-Strong, and Strong Identification]," Journal of Financial Econometrics, Oxford University Press, volume 20, issue 2, pages 310-344.
• Christophe Chorro & Rahantamialisoa H Fanirisoa, 2022, "Discriminating Between GARCH Models for Option Pricing by Their Ability to Compute Accurate VIX Measures
  [Option Valuation with Volatility Components, Fat Tails, and Non-Monotonic Pricing Kernels]," Journal of Financial Econometrics, Oxford University Press, volume 20, issue 5, pages 902-941.
• Andrea Frazzini & Lasse Heje Pedersen, 2022, "Embedded Leverage
  [Asset pricing with liquidity risk]," The Review of Asset Pricing Studies, Society for Financial Studies, volume 12, issue 1, pages 1-52.
• Sangmin S Oh & Jessica A Wachter, 2022, "Cross-Sectional Skewness
  [Endogenous information flows and the clustering of announcements]," The Review of Asset Pricing Studies, Society for Financial Studies, volume 12, issue 1, pages 155-198.
• Te-Feng Chen & Tarun Chordia & San-Lin Chung & Ji-Chai Lin, 2022, "Volatility-of-Volatility Risk in Asset Pricing
  [Stock returns and volatility: Pricing the short-run and long-run components of market risk]," The Review of Asset Pricing Studies, Society for Financial Studies, volume 12, issue 1, pages 289-335.
• Guanglian Hu & Kris Jacobs & Sang Byung Seo, 2022, "Characterizing the Variance Risk Premium: The Role of the Leverage Effect
  [The term structure of variance swaps and risk premia]," The Review of Asset Pricing Studies, Society for Financial Studies, volume 12, issue 2, pages 500-542.
• Jaewon Choi & Matthew Richardson & Robert F Whitelaw, 2022, "Capital Structure Priority Effects in Durations, Stock-Bond Comovements, and Factor Pricing Models
  [Corporate bond valuation and hedging with stochastic interest rates and endogenous bankruptcy]," The Review of Asset Pricing Studies, Society for Financial Studies, volume 12, issue 3, pages 706-753.
• Egor Matveyev & Alexei Zhdanov, 2022, "Optimal Capital Structure with Imperfect Competition
  [Anatomy of financial distress: An examination of junk-bond issuers]," The Review of Corporate Finance Studies, Society for Financial Studies, volume 11, issue 2, pages 314-363.
• Marco Pagano & Josef Zechner, 2022, "COVID-19 and Corporate Finance
  [The risk of being a fallen angel and the corporate dash for cash in the midst of COVID]," The Review of Corporate Finance Studies, Society for Financial Studies, volume 11, issue 4, pages 849-879.
• Adam Jørring & Andrew W Lo & Tomas J Philipson & Manita Singh & Richard T Thakor, 2022, "Sharing R&D Risk in Healthcare via FDA Hedges
  [Bank lines of credit as contingent liquidity: Covenant violations and their implications]," The Review of Corporate Finance Studies, Society for Financial Studies, volume 11, issue 4, pages 880-922.
• John Bizjak & Swaminathan Kalpathy & Zhichuan Frank Li & Brian Young, 2022, "The Choice of Peers for Relative Performance Evaluation in Executive Compensation
  [Peer choice in CEO compensation]," Review of Finance, European Finance Association, volume 26, issue 5, pages 1217-1239.
• Mark J Ready & Robert C Ready, 2022, "Order Flows and Financial Investor Impacts in Commodity Futures Markets," The Review of Financial Studies, Society for Financial Studies, volume 35, issue 10, pages 4712-4755.
• Matthias Fleckenstein & Francis A Longstaff, 2022, "The Market Risk Premium for Unsecured Consumer Credit Risk," The Review of Financial Studies, Society for Financial Studies, volume 35, issue 10, pages 4756-4801.
• Peter Christoffersen & Kris Jacobs & Xuhui (Nick) Pan, 2022, "The State Price Density Implied by Crude Oil Futures and Option Prices," The Review of Financial Studies, Society for Financial Studies, volume 35, issue 2, pages 1064-1103.
• Adem Atmaz, 2022, "Stock Return Extrapolation, Option Prices, and Variance Risk Premium," The Review of Financial Studies, Society for Financial Studies, volume 35, issue 3, pages 1348-1393.
• Xintong (Eunice) Zhan & Bing Han & Jie Cao & Qing Tong, 2022, "Option Return Predictability," The Review of Financial Studies, Society for Financial Studies, volume 35, issue 3, pages 1394-1442.
• Benjamin Golez & Ruslan Goyenko, 2022, "Disagreement in the Equity Options Market and Stock Returns," The Review of Financial Studies, Society for Financial Studies, volume 35, issue 3, pages 1443-1479.
• Jessica A Wachter & Yicheng Zhu, 2022, "A Model of Two Days: Discrete News and Asset Prices," The Review of Financial Studies, Society for Financial Studies, volume 35, issue 5, pages 2246-2307.
• Rau-Bredow, Hans, 2022, "Contango and Backwardation in Arbitrage-Free Futures-Markets," MPRA Paper, University Library of Munich, Germany, number 111688, Jan.
• Shah, Anand, 2022, "Valuation of Loyalty Tokens," MPRA Paper, University Library of Munich, Germany, number 111986, Feb.
• Adrian, Fernandez-Perez & Ana-Maria, Fuertes & Joelle, Miffre, 2022, "The Negative Pricing of the May 2020 WTI Contract," MPRA Paper, University Library of Munich, Germany, number 112352, Feb, revised 20 Dec 2021.
• Lee, David, 2022, "Pricing Cancellation Product," MPRA Paper, University Library of Munich, Germany, number 114147, Aug.
• Lee, David, 2022, "Generic Price Model for Commodity Derivatives," MPRA Paper, University Library of Munich, Germany, number 114283, Aug.
• Fuertes, Ana-Maria & Zhao, Nan, 2022, "A Bayesian Perspective on Commodity Style Integration," MPRA Paper, University Library of Munich, Germany, number 117831, revised 2023.
• Caio Almeida & Gustavo Freire & Rafael Azevedo & Kym Ardison, 2022, "Nonparametric Option Pricing with Generalized Entropic Estimators," Working Papers, Princeton University. Economics Department., number 2022-25, May.
• Caio Almeida & Gustavo Freire, 2022, "Demand in the Option Market and the Pricing Kernel," Working Papers, Princeton University. Economics Department., number 2022-32, Dec.
• Caio Almeida & Jianqing Fan & Gustavo Freire & Francesca Tang, 2022, "Can a Machine Correct Option Pricing Models?," Working Papers, Princeton University. Economics Department., number 2022-9, Jul.
• Raphael Amaro & Carlos Pinho & Mara Madaleno, 2022, "Forecasting the Value-at-Risk of energy commodities: A comparison of models and alternative distribution functions," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), volume 65, pages 77-101.
• Raphael Amaro & Carlos Pinho, 2022, "Energy commodities: A study on model selection for estimating Value-at-Risk," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), volume 68, pages 5-27.
• Glenn Kit Foong Ho & Sirimon Treepongkaruna & Marvin Wee & Chaiyuth Padungsaksawasdi, 2022, "The effect of short selling on volatility and jumps," Australian Journal of Management, Australian School of Business, volume 47, issue 1, pages 34-52, February, DOI: 10.1177/0312896221996416.
• Marco Pagano & Josef Zechner, 2022, "COVID-19 and Corporate Finance," CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, number 651, Aug.
• Alejandro Balbás & Beatriz Balbás & Raquel Balbás, 2022, "Pareto efficient buy and hold investment strategies under order book linked constraints," Annals of Operations Research, Springer, volume 311, issue 2, pages 945-965, April, DOI: 10.1007/s10479-021-03942-3.
• Jilong Chen & Christian Ewald & Ruolan Ouyang & Sjur Westgaard & Xiaoxia Xiao, 2022, "Pricing commodity futures and determining risk premia in a three factor model with stochastic volatility: the case of Brent crude oil," Annals of Operations Research, Springer, volume 313, issue 1, pages 29-46, June, DOI: 10.1007/s10479-021-04198-7.
• Lu Wang & Ferhana Ahmad & Gong-li Luo & Muhammad Umar & Dervis Kirikkaleli, 2022, "Portfolio optimization of financial commodities with energy futures," Annals of Operations Research, Springer, volume 313, issue 1, pages 401-439, June, DOI: 10.1007/s10479-021-04283-x.
• Eymen Errais, 2022, "Pricing insurance premia: a top down approach," Annals of Operations Research, Springer, volume 313, issue 2, pages 899-914, June, DOI: 10.1007/s10479-019-03459-w.
• Fabio Bellini & Edit Rroji & Carlo Sala, 2022, "Implicit quantiles and expectiles," Annals of Operations Research, Springer, volume 313, issue 2, pages 733-753, June, DOI: 10.1007/s10479-021-04054-8.
• Ravi Kashyap, 2022, "Options as Silver Bullets: Valuation of Term Loans, Inventory Management, Emissions Trading and Insurance Risk Mitigation using Option Theory," Annals of Operations Research, Springer, volume 315, issue 2, pages 1175-1215, August, DOI: 10.1007/s10479-022-04610-w.
• Alessandro Gnoatto & Martino Grasselli & Eckhard Platen, 2022, "Calibration to FX triangles of the 4/2 model under the benchmark approach," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 45, issue 1, pages 1-34, June, DOI: 10.1007/s10203-021-00330-1.
• Jarno Talponen & Minna Turunen, 2022, "Option pricing: a yet simpler approach," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 45, issue 1, pages 57-81, June, DOI: 10.1007/s10203-021-00338-7.
• Gaetano La Bua & Daniele Marazzina, 2022, "A new class of multidimensional Wishart-based hybrid models," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 45, issue 1, pages 209-239, June, DOI: 10.1007/s10203-021-00357-4.
• Luca Gennaro Aquino & Carole Bernard, 2022, "Correction to: Semi-analytical prices for lookback and barrier options under the Heston model," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 45, issue 1, pages 447-449, June, DOI: 10.1007/s10203-021-00360-9.
• Magnus Grønnegaard Frandsen & Tobias Cramer Pedersen & Rolf Poulsen, 2022, "Delta force: option pricing with differential machine learning," Digital Finance, Springer, volume 4, issue 1, pages 1-15, March, DOI: 10.1007/s42521-021-00041-7.
• Hasan Fehmi Baklaci & Tezer Yelkenci, 2022, "Cross-time-frequency analysis of volatility linkages in global currency markets: an extended framework," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, volume 12, issue 2, pages 267-314, June, DOI: 10.1007/s40822-022-00209-5.
• Eduardo Abi Jaber, 2022, "The characteristic function of Gaussian stochastic volatility models: an analytic expression," Finance and Stochastics, Springer, volume 26, issue 4, pages 733-769, October, DOI: 10.1007/s00780-022-00489-4.
• Giovanni Villani & Marta Biancardi, 2022, "Competition and strategic alliance in R&D investments: a real option game approach with multiple experiments," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, volume 17, issue 1, pages 63-86, January, DOI: 10.1007/s11403-020-00304-3.
• Pavel V. Gapeev & Peter M. Kort & Maria N. Lavrutich & Jacco J. J. Thijssen, 2022, "Optimal Double Stopping Problems for Maxima and Minima of Geometric Brownian Motions," Methodology and Computing in Applied Probability, Springer, volume 24, issue 2, pages 789-813, June, DOI: 10.1007/s11009-022-09959-w.
• Stavros Degiannakis & Christos Floros & Enrique Salvador & Dimitrios Vougas, 2022, "On the stationarity of futures hedge ratios," Operational Research, Springer, volume 22, issue 3, pages 2281-2303, July, DOI: 10.1007/s12351-020-00607-0.
• Ana González-Urteaga & Belén Nieto & Gonzalo Rubio, 2022, "Spillover dynamics effects between risk-neutral equity and Treasury volatilities," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, volume 13, issue 4, pages 663-708, December, DOI: 10.1007/s13209-022-00264-w.
• Christian Manicaro, 2022, "The link between regional CDS spreads and equity returns: a multivariate GARCH approach," SN Business & Economics, Springer, volume 2, issue 2, pages 1-15, February, DOI: 10.1007/s43546-021-00197-9.
• Robiyanto Robiyanto & Fanny Yunitaria, 2022, "Dividend announcement effect analysis before and during the COVID-19 pandemic in the Indonesia Stock Exchange," SN Business & Economics, Springer, volume 2, issue 2, pages 1-20, February, DOI: 10.1007/s43546-021-00198-8.
• Xu Guo & Chunchi Wu, 2022, "Short Selling Activity and Effects on Financial Markets and Corporate Decisions," Springer Books, Springer, chapter 98, in: Cheng-Few Lee & Alice C. Lee, "Encyclopedia of Finance", DOI: 10.1007/978-3-030-91231-4_100.
• Yi-Long Hsiao & Chien-Jung Ting, 2022, "Pricing Rent-to-Own Options with a Barrier Level: Taking Housing Contracts as an Example," Journal of Applied Finance & Banking, SCIENPRESS Ltd, volume 12, issue 5, pages 1-3.
• Steffen P. Sebastian & Bertram I. Steininger, 2022, "Real Estate ETNs in Strategic Asset Allocation," Journal of Real Estate Portfolio Management, Taylor & Francis Journals, volume 28, issue 1, pages 48-61, January, DOI: 10.1080/10835547.2022.2033390.
• Catherine Georgiou, 2022, "Modifications on Book-Valued Ratios," International Journal of Business and Economic Sciences Applied Research (IJBESAR), Democritus University of Thrace (DUTH), Kavala Campus, Greece, volume 15, issue 3, pages 24-37, December.
• Jean-Claude Hessing & Rutger-Jan Lange & Daniel Ralph, 2022, "This article establishes the Poisson optional stopping times (POST) method by Lange et al. (2020) as a near-universal method for solving liquidity-constrained American options, or, equivalently, penalised optimal-stopping problems. In this setup, the," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 22-007/IV, Jan.
• H. Peter Boswijk & Roger J. A. Laeven & Evgenii Vladimirov, 2022, "Estimating Option Pricing Models Using a Characteristic Function Based Linear State Space Representation," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 22-000/III, Nov.
• Biais, Bruno & Heider, Florian & Hoerova, Marie, 2022, "Variation margins, fire-sales and information-constrained optimality," TSE Working Papers, Toulouse School of Economics (TSE), number 126554, Jan.
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