Research classified by Journal of Economic Literature (JEL) codes

2021

• Constantinides, George M. & Czerwonko, Michal & Jackwerth, Jens Carsten & Perrakis, Stylianos, 2021, "Mispricing of Index Options with Respect to Stochastic Dominance Bounds? A Reply," Critical Finance Review, now publishers, volume 10, issue 1, pages 57-63, April, DOI: 10.1561/104.00000090.
• Michi NISHIHARA & Takashi SHIBATA & Chuanqian ZHANG, 2021, "Corporate investment, financing, and exit model with an earnings-based borrowing constraint," Discussion Papers in Economics and Business, Osaka University, Graduate School of Economics, number 21-13, Sep.
• Francesco Audrino & Robert Huitema & Markus Ludwig, 2021, "An Empirical Implementation of the Ross Recovery Theorem as a Prediction Device
  [Nonparametric Option Pricing under Shape Restrictions]," Journal of Financial Econometrics, Oxford University Press, volume 19, issue 2, pages 291-312.
• Simi Kedia & Laura T. Starks & Xianjue Wang, 2021, "Institutional Investors and Hedge Fund Activism," The Review of Corporate Finance Studies, Society for Financial Studies, volume 10, issue 1, pages 1-43.
• Oğuzhan Karakas & Mahdi Mohseni, 2021, "Staggered Boards and the Value of Voting Rights
  [One share-one vote: The empirical evidence]," The Review of Corporate Finance Studies, Society for Financial Studies, volume 10, issue 3, pages 513-550.
• Bruno Biais & Florian Heider & Marie Hoerova, 2021, "Variation Margins, Fire Sales, and Information-constrained Optimality," The Review of Economic Studies, Review of Economic Studies Ltd, volume 88, issue 6, pages 2654-2686.
• Martin M Andreasen & Jens H E Christensen & Simon Riddell, 2021, "The TIPS Liquidity Premium
  [Decomposing real and nominal yield curves]," Review of Finance, European Finance Association, volume 25, issue 6, pages 1639-1675.
• Neil D Pearson & Zhishu Yang & Qi Zhang, 2021, "The Chinese Warrants Bubble: Evidence from Brokerage Account Records
  [Bubbles and crises]," The Review of Financial Studies, Society for Financial Studies, volume 34, issue 1, pages 264-312.
• Emirhan Ilhan & Zacharias Sautner & Grigory Vilkov, 2021, "Carbon Tail Risk
  [Measuring economic policy uncertainty]," The Review of Financial Studies, Society for Financial Studies, volume 34, issue 3, pages 1540-1571.
• Sophie X Ni & Neil D Pearson & Allen M Poteshman & Joshua White & Andrew Karolyi, 2021, "Does Option Trading Have a Pervasive Impact on Underlying Stock Prices?
  [Equity market impact]," The Review of Financial Studies, Society for Financial Studies, volume 34, issue 4, pages 1952-1986.
• Pesce, Gabriela & Milanesi, Gastón & El Alabi, Emilio & Menna, Joaquín, 2021, "Valoración de un seguro de vida mediante opciones exóticas || Life insurance valuation using exotic options," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, volume 32, issue 1, pages 214-240, December, DOI: https://doi.org/10.46661/revmetodos.
• Milanesi, Gastón, 2021, "Modelo de valoración con opciones reales, rejillas trinomial, volatilidad cambiante, sesgo y función isoelástica de utilidad || Valuation model with real options, trinomial lattice, changing volatility, bias and isoelastic utility functions," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, volume 32, issue 1, pages 257-273, December, DOI: https://doi.org/10.46661/revmetodos.
• Cinzia Bonaldo & Massimiliano Caporin & Fulvio Fontini, 2021, "The relationship between day-ahead and futures prices in the electricity markets: an empirical analysis on Italy, France, Germany and Switzerland," "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno", number 0272, Mar.
• amri amamou, souhir & hellara, slaheddine, 2021, "The dynamic relationship between the sovereign CDS market and the Eurozone sovereign bond market (classified by maturity): Contagion or Spillovers?," MPRA Paper, University Library of Munich, Germany, number 109038, Aug.
• Mark Aguiar & Satyajit Chatterjee & Harold Cole & Zachary Stangebye, 2021, "Self-Fulfilling Debt Crises, Revisited," Working Papers, Princeton University. Economics Department., number 2021-92, Nov.
• Hsiang-Hsi Liu & Yu-Cheng Lin, 2021, "Relationships among US S&P500 Stock Index, its Futures and NASDAQ Index Futures with Volatility Spillover and Jump Diffusion: Modeling and Hedging Performance," Bulletin of Applied Economics, Risk Market Journals, volume 8, issue 1, pages 121-148.
• Alexandros Koulis & Constantinos Kyriakopoulos, 2021, "Hedge ratio estimation: A note on the Bitcoin future contract," Bulletin of Applied Economics, Risk Market Journals, volume 8, issue 2, pages 125-131.
• Stefano Grassi & Francesco Violante, 2021, "Asset Pricing Using Block-Cholesky GARCH and Time-Varying Betas," CEIS Research Paper, Tor Vergata University, CEIS, number 510, Mar, revised 11 Mar 2021.
• Suranjana Joarder & Diganta Mukherjee, 2021, "The Lead–Lag Relationship Between Futures and Spot Price—A Case of the Oil and Oilseed Contracts Traded on Indian Exchange," Arthaniti: Journal of Economic Theory and Practice, , volume 20, issue 1, pages 7-33, June, DOI: 10.1177/0976747919842689.
• Zhi Dong & Tien Foo Sing, 2021, "Do Investors Overreact for Property and Financial Service Sectors?," Journal of Emerging Market Finance, Institute for Financial Management and Research, volume 20, issue 1, pages 79-123, April, DOI: 10.1177/0972652720923544.
• Nurin Haniah Asmuni & Ken Seng Tan, 2021, "Exploring the Yield Spread Between Sukuk and Conventional Bonds in Malaysia," Journal of Emerging Market Finance, Institute for Financial Management and Research, volume 20, issue 2, pages 165-191, August, DOI: 10.1177/0972652720969519.
• Campuzano, Cristian Miguel & Cabello, Alejandra, 2021, "Superficie de volatilidad de la Bolsa Mexicana de Valores: Evaluación con el Modelo de Merton / Mexico´s Stock Market volatility surface: Evaluation with Merton’s model," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, volume 11, issue 1, pages 5-31, enero-jun.
• Mendez Molina, Maivelin & Olivares Aguayo, Héctor Alonso & Andrade Rosas, Luis Antonio, 2021, "Portafolios de volatilidad con opciones financieras. Un análisis por series de tiempo para las empresas BIMBO y HERDEZ del sector de alimentos de la BMV / Volatility Portfolios with Financial Options. An Analysis Using Time Series for the Mexican Sto," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, volume 11, issue 2, pages 173-208, julio-dic.
• Damiano Brigo & Camilla Pisani & Francesco Rapisarda, 2021, "The multivariate mixture dynamics model: shifted dynamics and correlation skew," Annals of Operations Research, Springer, volume 299, issue 1, pages 1411-1435, April, DOI: 10.1007/s10479-019-03239-6.
• Carol Alexander & Xi Chen, 2021, "Model risk in real option valuation," Annals of Operations Research, Springer, volume 299, issue 1, pages 1025-1056, April, DOI: 10.1007/s10479-019-03273-4.
• Simona Franzoni & Cristian Pelizzari, 2021, "Rainfall option impact on profits of the hospitality industry through scenario correlation and copulas," Annals of Operations Research, Springer, volume 299, issue 1, pages 939-962, April, DOI: 10.1007/s10479-019-03442-5.
• David Volkmann, 2021, "Explaining S&P500 option returns: an implied risk-adjusted approach," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, volume 29, issue 2, pages 665-685, June, DOI: 10.1007/s10100-019-00666-5.
• Gaetano Bua & Daniele Marazzina, 2021, "On the application of Wishart process to the pricing of equity derivatives: the multi-asset case," Computational Management Science, Springer, volume 18, issue 2, pages 149-176, June, DOI: 10.1007/s10287-021-00388-7.
• Espen Gaarder Haug, 2021, "Asian options with zero cost-of-carry: EEX options on freight and iron ore futures," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 44, issue 1, pages 191-195, June, DOI: 10.1007/s10203-020-00283-x.
• Ludovic Goudenège & Andrea Molent & Antonino Zanette, 2021, "Gaussian process regression for pricing variable annuities with stochastic volatility and interest rate," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 44, issue 1, pages 57-72, June, DOI: 10.1007/s10203-020-00287-7.
• Markus Hess, 2021, "A new approach to wind power futures pricing," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 44, issue 2, pages 1235-1252, December, DOI: 10.1007/s10203-021-00345-8.
• Prilly Oktoviany & Robert Knobloch & Ralf Korn, 2021, "A machine learning-based price state prediction model for agricultural commodities using external factors," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 44, issue 2, pages 1063-1085, December, DOI: 10.1007/s10203-021-00354-7.
• Fred Espen Benth & Nils Detering & Silvia Lavagnini, 2021, "Accuracy of deep learning in calibrating HJM forward curves," Digital Finance, Springer, volume 3, issue 3, pages 209-248, December, DOI: 10.1007/s42521-021-00030-w.
• Donald Lien & Ziling Wang & Xiaojian Yu, 2021, "Optimal quantile hedging under Markov regime switching," Empirical Economics, Springer, volume 60, issue 5, pages 2177-2201, May, DOI: 10.1007/s00181-020-01831-5.
• Laura Casula & Giovanni Masala, 2021, "Electricity derivatives: an application to the futures Italian market," Empirical Economics, Springer, volume 61, issue 2, pages 637-666, August, DOI: 10.1007/s00181-020-01915-2.
• Emmanuel Lépinette & Ilya Molchanov, 2021, "Risk arbitrage and hedging to acceptability under transaction costs," Finance and Stochastics, Springer, volume 25, issue 1, pages 101-132, January, DOI: 10.1007/s00780-020-00434-3.
• Julien Grépat & Yuri Kabanov, 2021, "On a multi-asset version of the Kusuoka limit theorem of option superreplication under transaction costs," Finance and Stochastics, Springer, volume 25, issue 1, pages 167-187, January, DOI: 10.1007/s00780-020-00441-4.
• Christa Cuchiero & Sara Svaluto-Ferro, 2021, "Infinite-dimensional polynomial processes," Finance and Stochastics, Springer, volume 25, issue 2, pages 383-426, April, DOI: 10.1007/s00780-021-00450-x.
• Sascha Desmettre & Gunther Leobacher & L. C. G. Rogers, 2021, "Change of drift in one-dimensional diffusions," Finance and Stochastics, Springer, volume 25, issue 2, pages 359-381, April, DOI: 10.1007/s00780-021-00451-w.
• Jan Obłój & Johannes Wiesel, 2021, "A unified framework for robust modelling of financial markets in discrete time," Finance and Stochastics, Springer, volume 25, issue 3, pages 427-468, July, DOI: 10.1007/s00780-021-00454-7.
• Bruno Bouchard & Xiaolu Tan, 2021, "A quasi-sure optional decomposition and super-hedging result on the Skorokhod space," Finance and Stochastics, Springer, volume 25, issue 3, pages 505-528, July, DOI: 10.1007/s00780-021-00458-3.
• Wensheng Yang & Jingtang Ma & Zhenyu Cui, 2021, "Analysis of Markov chain approximation for Asian options and occupation-time derivatives: Greeks and convergence rates," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), volume 93, issue 2, pages 359-412, April, DOI: 10.1007/s00186-020-00735-5.
• Atif Ellahie & Xiaoxia Peng, 2021, "Management forecasts of volatility," Review of Accounting Studies, Springer, volume 26, issue 2, pages 620-655, June, DOI: 10.1007/s11142-020-09567-4.
• Fredrik Armerin & Han-Suck Song, 2021, "A framework for modelling cash flow lags," SN Business & Economics, Springer, volume 1, issue 10, pages 1-13, October, DOI: 10.1007/s43546-021-00137-7.
• N. Packham, 2021, "Structured climate financing: valuation of CDO on inhomogeneous asset pools," SN Business & Economics, Springer, volume 1, issue 4, pages 1-23, April, DOI: 10.1007/s43546-021-00057-6.
• Javier Ojea-Ferreiro, 2021, "Deconstructing Systemic Risk: A Reverse Stress Testing Approach," Springer Books, Springer, in: Marco Corazza & Manfred Gilli & Cira Perna & Claudio Pizzi & Marilena Sibillo, "Mathematical and Statistical Methods for Actuarial Sciences and Finance", DOI: 10.1007/978-3-030-78965-7_54.
• Robert A. Jarrow, 2021, "Asset Price Bubbles," Springer Finance, Springer, chapter 0, "Continuous-Time Asset Pricing Theory", DOI: 10.1007/978-3-030-74410-6_3.
• Robert A. Jarrow, 2021, "The Black Scholes Merton Model," Springer Finance, Springer, chapter 0, "Continuous-Time Asset Pricing Theory", DOI: 10.1007/978-3-030-74410-6_5.
• Monica Guling Wu & Hsinan Hsu & Janchung Wang, 2021, "Market Trends and Options Trading: Viewpoint, Probability and Implications," Journal of Applied Finance & Banking, SCIENPRESS Ltd, volume 11, issue 5, pages 1-5.
• S.J.G. van Wijnbergen, 2021, "Lockdowns as options," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 21-037/IV, May.
• Karol Gellert & Erik Schlogl, 2021, "Short Rate Dynamics: A Fed Funds and SOFR Perspective," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 420, Jan.
• Alessandro Gnoatto & Martino Grasselli & Eckhard Platen, 2021, "Calibration to FX Triangles of the 4/2 Model Under the Benchmark Approach," Working Papers, University of Verona, Department of Economics, number 06/2021, Apr.
• Claudio Fontana & Alessandro Gnoatto & Guillaume Szulda, 2021, "CBI-time-changed Lévy processes for multi-currency modeling," Working Papers, University of Verona, Department of Economics, number 14/2021, Dec.
• ÇELÄ°K, Ä°smail, 2021, "Optimal Hedge Ratio In Turkish Stock Index Futures Market: A Deco-Fiaparch Approach," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", volume 25, issue 4, pages 17-33, December.
• Gokhan Cinar & Adnan Hushmat, 2021, "The Analysis of Wheat Prices Using Multiple Structural Breakpoint Co-Integration Test," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, volume 68, issue 3, pages 359-374.
• Kamil Korzeń & Robert Ślepaczuk, 2021, "Enhanced Index Replication Based on Smart Beta and Tail-Risk Asset Allocation," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2021-18.
• Jan Grudniewicz & Robert Ślepaczuk, 2021, "Application of machine learning in quantitative investment strategies on global stock markets," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2021-23.
• Nguyen Vo & Robert Ślepaczuk, 2021, "Applying Hybrid ARIMA-SGARCH in Algorithmic Investment Strategies on S&P500 Index," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2021-25.
• Sergio Castellano Gómez & Robert Ślepaczuk, 2021, "Robust optimisation in algorithmic investment strategies," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2021-27.
• Ricardo Crisóstomo, 2021, "Estimating real‐world probabilities: A forward‐looking behavioral framework," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 41, issue 11, pages 1797-1823, November, DOI: 10.1002/fut.22248.
• Sascha Kolaric & Florian Kiesel & Steven Ongena, 2021, "Market Discipline through Credit Ratings and Too‐Big‐to‐Fail in Banking," Journal of Money, Credit and Banking, Blackwell Publishing, volume 53, issue 2-3, pages 367-400, March, DOI: 10.1111/jmcb.12789.
• Cyril Monnet & Thomas Nellen, 2021, "The Collateral Costs of Clearing," Journal of Money, Credit and Banking, Blackwell Publishing, volume 53, issue 5, pages 939-970, August, DOI: 10.1111/jmcb.12802.
• Schmidhammer, Christoph, 2021, "Return differences between DAX ETFs and the benchmark DAX," Discussion Papers, Deutsche Bundesbank, number 28/2021.
• Bali, Turan G. & Beckmeyer, Heiner & Moerke, Mathis & Weigert, Florian, 2021, "Option return predictability with machine learning and big data," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 21-08.
• Pagano, Marco & Wagner, Christian & Zechner, Josef, 2021, "Disaster resilience and asset prices," CFS Working Paper Series, Center for Financial Studies (CFS), number 673.
• Matic, Jovanka & Packham, Natalie & Härdle, Wolfgang, 2021, "Hedging cryptocurrency options," IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series", number 2021-021.
• Liu, Francis & Packham, Natalie & Lu, Meng-Jou & Härdle, Wolfgang, 2021, "Hedging cryptos with Bitcoin futures," IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series", number 2022-001.
• Wurm, Laura, 2021, "Strangling speculation: The effect of the 1903 Viennese futures trading ban," QUCEH Working Paper Series, Queen's University Belfast, Queen's University Centre for Economic History, number 21-09.
• Stefano Grassi & Francesco Violante, 2021, "Asset Pricing Using Block-Cholesky GARCH and Time-Varying Betas," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2021-05, Mar.
• Thomas M. Mertens & John C. Williams, 2021, "What to Expect from the Lower Bound on Interest Rates: Evidence from Derivatives Prices," American Economic Review, American Economic Association, volume 111, issue 8, pages 2473-2505, August, DOI: 10.1257/aer.20181461.
• Niels J. Gormsen & Ralph S. J. Koijen & Ian W. R. Martin, 2021, "Implied Dividend Volatility and Expected Growth," AEA Papers and Proceedings, American Economic Association, volume 111, pages 361-365, May, DOI: 10.1257/pandp.20211065.
• Goswami, Alankrita & Adjemian, Michael K. & Karali, Berna, 2021, "The Impact of Futures Contract Storage Rate Policy on Convergence Expectations in Domestic Commodity Markets," 2021 Conference, NCR-134/ NCCC-134 Applied Commodity Price Analysis, Forecasting, and Market Risk Management, number 316406, DOI: 10.22004/ag.econ.316406.
• Bogdan Cosmin GOMOI, 2021, "Study Regarding the Development of an Investment Project. (I) – Identifying the Main Suppliers and Customers," CECCAR Business Review, Body of Expert and Licensed Accountants of Romania (CECCAR), volume 2, issue 5, pages 35-43, May, DOI: 10.37945/cbr.2021.05.04.
• Corina-Graziella BÂTCĂ-DUMITRU & Daniela-Nicoleta SAHLIAN & Cleopatra ȘENDROIU & Ioan-Codruț ȚURLEA, 2021, "Approaches to Setting Sales Prices," CECCAR Business Review, Body of Expert and Licensed Accountants of Romania (CECCAR), volume 2, issue 6, pages 18-25, June, DOI: 10.37945/cbr.2021.06.03.
• Bogdan Cosmin GOMOI, 2021, "Study Regarding the Development of an Investment Project. (II) – Estimating the Cost of Project and Identifying the Main Income and Expense Flows," CECCAR Business Review, Body of Expert and Licensed Accountants of Romania (CECCAR), volume 2, issue 6, pages 26-37, June, DOI: 10.37945/cbr.2021.06.04.
• Bogdan Cosmin GOMOI, 2021, "Study Regarding the Development of an Investment Project. (III) – Project Evaluation," CECCAR Business Review, Body of Expert and Licensed Accountants of Romania (CECCAR), volume 2, issue 7, pages 25-34, July, DOI: 10.37945/cbr.2021.07.03.
• Tuğberk Çitilci, 2021, "Finansta Makinelerin Yükselişi: Koşul Bazlı Algoritma İle TCMB Faiz Kararına Bağlı Forex Piyasalarında Otomatik İşlem Açma," Journal of Research in Economics, Politics & Finance, Ersan ERSOY, volume 6, issue SI, pages 18-32, DOI: 10.30784/epfad.1025253.
• Jean-Henry Ferrasse & Nandeeta Neerunjun & Hubert Stahn, 2021, "Managing intermittency in the electricity market," AMSE Working Papers, Aix-Marseille School of Economics, France, number 2114, Mar.
• Vrins, Frédéric & Wang, Linqi, 2021, "Asymmetric short-rate model without lower bound," LIDAM Discussion Papers LFIN, Université catholique de Louvain, Louvain Finance (LFIN), number 2021006, Aug.
• Jing-Zhi Huang & Zhan Shi, 2021, "What Do We Know About Corporate Bond Returns?," Annual Review of Financial Economics, Annual Reviews, volume 13, issue 1, pages 363-399, November, DOI: 10.1146/annurev-financial-110118-12.
• Robert A. Jarrow, 2021, "The Economics of Insurance: A Derivatives-Based Approach," Annual Review of Financial Economics, Annual Reviews, volume 13, issue 1, pages 79-110, November, DOI: 10.1146/annurev-financial-040721-07.
• Karol Gellert & Erik Schlogl, 2021, "Short Rate Dynamics: A Fed Funds and SOFR perspective," Papers, arXiv.org, number 2101.04308, Jan.
• Carol Alexander & Xi Chen & Charles Ward, 2021, "Risk-Adjusted Valuation for Real Option Decisions," Papers, arXiv.org, number 2109.04793, Sep.
• Claudio Fontana & Alessandro Gnoatto & Guillaume Szulda, 2021, "CBI-time-changed L\'evy processes for multi-currency modeling," Papers, arXiv.org, number 2112.02440, Dec, revised Jul 2022.
• Jovanka Lili Matic & Natalie Packham & Wolfgang Karl Hardle, 2021, "Hedging Cryptocurrency Options," Papers, arXiv.org, number 2112.06807, Nov, revised Dec 2022.
• Carlos González Pedraz & Adrian van Rixtel, 2021, "El papel de los derivados en las tensiones de los mercados durante la crisis del COVID-19," Occasional Papers, Banco de España, number 2123, Aug.
• Carlos González Pedraz & Adrian van Rixtel, 2021, "The role of derivatives in market strains during the COVID-19 crisis," Occasional Papers, Banco de España, number 2123, Aug.
• Francesca Lilla, 2021, "Volatility Bursts: A discrete-time option model with multiple volatility components," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 1336, Jun.
• Alejandro Rojas-Bernal & Mauricio Villamizar-Villegas, 2021, "Pricing the exotic: Path-dependent American options with stochastic barriers," Borradores de Economia, Banco de la Republica de Colombia, number 1156, Mar, DOI: https://doi.org/10.32468/be.1156.
• Hugues Dastarac, 2021, "Strategic Trading, Welfare and Prices with Futures Contracts," Working papers, Banque de France, number 841.
• Sirio Aramonte & Mohammad Jahan-Parvar & Samuel Rosen & John W. Schindler, 2021, "Firm-specific risk-neutral distributions with options and CDS," BIS Working Papers, Bank for International Settlements, number 921, Jan.
• Karamfil Todorov, 2021, "Passive funds affect prices: evidence from the most ETF-dominated asset classes," BIS Working Papers, Bank for International Settlements, number 952, Jul.
• MOROSAN Adrian, 2021, "Trading Stock Market Indices. A Simple Approach," Revista Economica, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, volume 73, issue 1, pages 64-73, March.
• Chang Carolyn W. & Feng Yalan, 2021, "Hurricane Bond Price Dependency on Underlying Hurricane Parameters," Asia-Pacific Journal of Risk and Insurance, De Gruyter, volume 15, issue 1, pages 1-21, January, DOI: 10.1515/apjri-2020-0017.
• Hassett Kevin A. & Zhong Weifeng, 2021, "On the Observational Implications of Knightian Uncertainty," The B.E. Journal of Theoretical Economics, De Gruyter, volume 21, issue 1, pages 115-147, January, DOI: 10.1515/bejte-2019-0070.
• Stefano Grassi & Marco Lorusso & Francesco Ravazzolo, 2021, "Adaptive Importance Sampling for DSGE Models," BEMPS - Bozen Economics & Management Paper Series, Faculty of Economics and Management at the Free University of Bozen, number BEMPS84, May.
• Julian F Kölbel & Markus Leippold & Jordy Rillaerts & Qian Wang, 2021, "Ask BERT: How Regulatory Disclosure of Transition and Physical Climate Risks affects the CDS Term Structure," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 21-19, Mar.
• Angel Tengulov & Franklin Allen & Eric Nowak & Matteo Pirovano, 2021, "Squeezing Shorts Through Social News Platforms," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 21-31, Apr.
• Ricardo Crisóstomo, 2021, "Estimación de probabilidades representativas del mundo real: importancia de los sesgos conductuales," CNMV Documentos de Trabajo, CNMV- Comisión Nacional del Mercado de Valores - Departamento de Estudios y Estadísticas, number CNMV Documentos de Trabaj.
• Javier Ojea-Ferreiro, 2021, "Deconstrucción del riesgo sistémico: Un método de prueba de resistencia inversa," CNMV Documentos de Trabajo, CNMV- Comisión Nacional del Mercado de Valores - Departamento de Estudios y Estadísticas, number CNMV Documentos de Trabaj.
• Ricardo Crisóstomo, 2021, "Estimating real word probabilities: a forward-looking behavioral framework," CNMV Working Papers, CNMV- Spanish Securities Markets Commission - Research and Statistics Department, number CNMV Working Papers no. 7.
• Javier Ojea-Ferreiro, 2021, "Deconstructing systemic risk: A reverse stress testing approach," CNMV Working Papers, CNMV- Spanish Securities Markets Commission - Research and Statistics Department, number CNMV Working Papers no. 7.
• Gabriela Pesce & Florencia Ver�nica Pedroni & Etelvina Chavez & Mar�a de la Paz Moral & Mar�a Andrea Rivero, 2021, "Opciones exóticas: conceptualización y evolución en la literatura a partir de una revisión sistemática," Revista Lecturas de Economía, Universidad de Antioquia, CIE, issue No. 95, pages 231-275.
• van Wijnbergen, Sweder, 2021, "Lockdowns as options," CEPR Discussion Papers, Centre for Economic Policy Research, number 16112, May.
• Dew-Becker, Ian & Giglio, Stefano, 2021, "Cross-sectional uncertainty and the business cycle: evidence from 40 years of options data," CEPR Discussion Papers, Centre for Economic Policy Research, number 16306, Jun.
• Faria, Gonçalo & Kosowski, Robert & Wang, Tianyu, 2021, "The Correlation Risk Premium: International Evidence," CEPR Discussion Papers, Centre for Economic Policy Research, number 16389, Jul.
• Kim, Taehoon & Levy, Antoine, 2021, "The Premia on State-Contingent Sovereign Debt Instruments," CEPR Discussion Papers, Centre for Economic Policy Research, number 16795, Dec.
• Stefano Grassi & Francesco Violante, 2021, "Asset Pricing Using Block-Cholesky GARCH and Time-Varying Betas," Working Papers, Center for Research in Economics and Statistics, number 2021-05, Mar.
• Christoffersen, Peter & Fournier, Mathieu & Jacobs, Kris & Karoui, Mehdi, 2021, "Option-Based Estimation of the Price of Coskewness and Cokurtosis Risk," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 56, issue 1, pages 65-91, February.
• Choi, Jaewon & Hackbarth, Dirk & Zechner, Josef, 2021, "Granularity of Corporate Debt," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 56, issue 4, pages 1127-1162, June.
• Muhammad Mustafa RASHID, 2021, "The Greek letters: Scenario analysis with a reverse butterfly spread," Journal of Economics Bibliography, EconSciences Journals, volume 8, issue 4, pages 185-189, December.
• Kolaric, S. & Kiesel, F. & Ongena, S., 2021, "Market Discipline through Credit Ratings and Too‐Big‐to‐Fail in Banking," Publications of Darmstadt Technical University, Institute for Business Studies (BWL), Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL), number 125503, Feb.
• Kamaruddin Kamaruddin & Yusri Hazmi & Raja Masbar & Sofyan Syahnur & M. Shabri Abd. Majid, 2021, "Asymmetric Impact of World Oil Prices on Marketing Margins: Application of NARDL Model for the Indonesian Coffee," International Journal of Energy Economics and Policy, International Journal of Energy Economics and Policy, volume 11, issue 6, pages 212-220.
• Kanamura, Takashi & Homann, Lasse & Prokopczuk, Marcel, 2021, "Pricing analysis of wind power derivatives for renewable energy risk management," Applied Energy, Elsevier, volume 304, issue C, DOI: 10.1016/j.apenergy.2021.117827.
• Sun, Lixin, 2021, "Quantifying the vulnerabilities of China’s corporate sector with contingent claims," Journal of Asian Economics, Elsevier, volume 75, issue C, DOI: 10.1016/j.asieco.2021.101315.
• Li, Miao & Xiong, Tao, 2021, "Dynamic price discovery in Chinese agricultural futures markets," Journal of Asian Economics, Elsevier, volume 76, issue C, DOI: 10.1016/j.asieco.2021.101370.
• Kim, Byung-June & Jang, Bong-Gyu, 2021, "Convertible bond valuation with regime switching," Chaos, Solitons & Fractals, Elsevier, volume 150, issue C, DOI: 10.1016/j.chaos.2021.111201.
• Kita, Arben & Tortorice, Daniel L., 2021, "Same firm, two volatilities: How variance risk is priced in credit and equity markets," Journal of Corporate Finance, Elsevier, volume 69, issue C, DOI: 10.1016/j.jcorpfin.2021.101885.
• Zimmermann, Paul, 2021, "The role of the leverage effect in the price discovery process of credit markets," Journal of Economic Dynamics and Control, Elsevier, volume 122, issue C, DOI: 10.1016/j.jedc.2020.104033.
• Wan, Xiangwei & Yang, Nian, 2021, "Hermite expansion of transition densities and European option prices for multivariate diffusions with jumps," Journal of Economic Dynamics and Control, Elsevier, volume 125, issue C, DOI: 10.1016/j.jedc.2021.104083.
• Choi, So Eun & Jang, Hyun Jin & Lee, Kyungsub & Zheng, Harry, 2021, "Optimal market-Making strategies under synchronised order arrivals with deep neural networks," Journal of Economic Dynamics and Control, Elsevier, volume 125, issue C, DOI: 10.1016/j.jedc.2021.104098.
• Taschini, Luca, 2021, "Flexibility premium of emissions permits," Journal of Economic Dynamics and Control, Elsevier, volume 126, issue C, DOI: 10.1016/j.jedc.2020.104013.
• Ma, Jingtang & Yang, Wensheng & Cui, Zhenyu, 2021, "CTMC integral equation method for American options under stochastic local volatility models," Journal of Economic Dynamics and Control, Elsevier, volume 128, issue C, DOI: 10.1016/j.jedc.2021.104145.
• Mohrschladt, Hannes & Schneider, Judith C., 2021, "Option-implied skewness: Insights from ITM-options," Journal of Economic Dynamics and Control, Elsevier, volume 131, issue C, DOI: 10.1016/j.jedc.2021.104227.
• Nishihara, Michi & Shibata, Takashi, 2021, "Optimal capital structure and simultaneous bankruptcy of firms in corporate networks," Journal of Economic Dynamics and Control, Elsevier, volume 133, issue C, DOI: 10.1016/j.jedc.2021.104264.
• Cherubini, Umberto, 2021, "Estimating redenomination risk under Gumbel–Hougaard survival copulas," Journal of Economic Dynamics and Control, Elsevier, volume 133, issue C, DOI: 10.1016/j.jedc.2021.104268.
• Liu, Guofang & Fang, Xi & Huang, Yuan & Zhao, Weidong, 2021, "Identifying the role of consumer and producer price index announcements in stock index futures price changes," Economic Analysis and Policy, Elsevier, volume 72, issue C, pages 87-101, DOI: 10.1016/j.eap.2021.07.009.
• Tan, Yingxian & Luo, Pengfei, 2021, "The impact of debt restructuring on dynamic investment and financing policies," Economic Modelling, Elsevier, volume 102, issue C, DOI: 10.1016/j.econmod.2021.105583.
• Ma, Richie Ruchuan & Xiong, Tao, 2021, "Price explosiveness in nonferrous metal futures markets," Economic Modelling, Elsevier, volume 94, issue C, pages 75-90, DOI: 10.1016/j.econmod.2020.09.012.
• Ye, Wuyi & Guo, Ranran & Deschamps, Bruno & Jiang, Ying & Liu, Xiaoquan, 2021, "Macroeconomic forecasts and commodity futures volatility," Economic Modelling, Elsevier, volume 94, issue C, pages 981-994, DOI: 10.1016/j.econmod.2020.02.038.
• Liang, Qi & Sun, Wenjia & Li, Wenyu & Yu, Fengyan, 2021, "Media effects matter: Macroeconomic announcements in the gold futures market," Economic Modelling, Elsevier, volume 96, issue C, pages 1-12, DOI: 10.1016/j.econmod.2020.12.018.
• Li, Pengshi & Xian, Aichuan & Lin, Yan, 2021, "What determines volatility smile in China?," Economic Modelling, Elsevier, volume 96, issue C, pages 326-335, DOI: 10.1016/j.econmod.2020.04.013.
• Wang, Xingchun, 2021, "The values and incentive effects of options on the maximum or the minimum of the stock prices and market index," The North American Journal of Economics and Finance, Elsevier, volume 55, issue C, DOI: 10.1016/j.najef.2020.101352.
• Akari, Mohamed-Ali & Ben-Abdallah, Ramzi & Breton, Michèle & Dionne, Georges, 2021, "The impact of central clearing on the market for single-name credit default swaps," The North American Journal of Economics and Finance, Elsevier, volume 56, issue C, DOI: 10.1016/j.najef.2020.101346.
• Wang, Xingchun, 2021, "Valuation of options on the maximum of two prices with default risk under GARCH models," The North American Journal of Economics and Finance, Elsevier, volume 57, issue C, DOI: 10.1016/j.najef.2021.101422.
• Lee, Hangsuck & Ha, Hongjun & Lee, Minha, 2021, "Valuation of piecewise linear barrier options," The North American Journal of Economics and Finance, Elsevier, volume 58, issue C, DOI: 10.1016/j.najef.2021.101470.
• Go, You-How & Lau, Wee-Yeap, 2021, "Extreme risk spillovers between crude palm oil prices and exchange rates," The North American Journal of Economics and Finance, Elsevier, volume 58, issue C, DOI: 10.1016/j.najef.2021.101513.
• Li, Shaoyu & Zhang, Yuanyuan & Zhu, Chunhui, 2021, "A closed-form exact solution for pricing fixed-income variance swaps with affine-jump model," The North American Journal of Economics and Finance, Elsevier, volume 58, issue C, DOI: 10.1016/j.najef.2021.101532.
• Wu, Wei-Hwa, 2021, "Extendible stock loan," The North American Journal of Economics and Finance, Elsevier, volume 58, issue C, DOI: 10.1016/j.najef.2021.101549.
• Agarwalla, Sobhesh Kumar & Varma, Jayanth R. & Virmani, Vineet, 2021, "The impact of COVID-19 on tail risk: Evidence from Nifty index options," Economics Letters, Elsevier, volume 204, issue C, DOI: 10.1016/j.econlet.2021.109878.
• Liu, Hao & Chen, Yue & Wan, Wei & Zhang, Qun, 2021, "A novel explanation for idiosyncratic volatility anomaly: An asset decomposition perspective," Economics Letters, Elsevier, volume 206, issue C, DOI: 10.1016/j.econlet.2021.109994.
• Zhu, Chao & Zhang, Yuwei & Yi, Zhen, 2021, "The high frequency risk attitude implied by the volatility risk premium," Economics Letters, Elsevier, volume 207, issue C, DOI: 10.1016/j.econlet.2021.110048.
• Lu, Junwen & Qu, Zhongjun, 2021, "Sieve estimation of option-implied state price density," Journal of Econometrics, Elsevier, volume 224, issue 1, pages 88-112, DOI: 10.1016/j.jeconom.2021.03.003.
• Jaskowski, Marcin & McAleer, Michael, 2021, "Spurious cross-sectional dependence in credit spread changes," Econometrics and Statistics, Elsevier, volume 18, issue C, pages 12-27, DOI: 10.1016/j.ecosta.2019.09.001.
• Escobar-Anel, Marcos & Rastegari, Javad & Stentoft, Lars, 2021, "Option pricing with conditional GARCH models," European Journal of Operational Research, Elsevier, volume 289, issue 1, pages 350-363, DOI: 10.1016/j.ejor.2020.07.002.
• Kontosakos, Vasileios E. & Mendonca, Keegan & Pantelous, Athanasios A. & Zuev, Konstantin M., 2021, "Pricing discretely-monitored double barrier options with small probabilities of execution," European Journal of Operational Research, Elsevier, volume 290, issue 1, pages 313-330, DOI: 10.1016/j.ejor.2020.07.044.
• Leung, Melvern & Li, Youwei & Pantelous, Athanasios A. & Vigne, Samuel A., 2021, "Bayesian Value-at-Risk backtesting: The case of annuity pricing," European Journal of Operational Research, Elsevier, volume 293, issue 2, pages 786-801, DOI: 10.1016/j.ejor.2020.12.051.
• Gehricke, Sebastian A. & Zhang, Jin E., 2021, "Tracking performance of VIX futures ETPs," Journal of Empirical Finance, Elsevier, volume 61, issue C, pages 103-117, DOI: 10.1016/j.jempfin.2021.01.002.
• Fung, Scott & Tsai, Shih-Chuan, 2021, "The price discovery role of day traders in futures market: Evidence from different types of day traders," Journal of Empirical Finance, Elsevier, volume 64, issue C, pages 53-77, DOI: 10.1016/j.jempfin.2021.08.001.
• Makkonen, Adam & Vallström, Daniel & Uddin, Gazi Salah & Rahman, Md Lutfur & Haddad, Michel Ferreira Cardia, 2021, "The effect of temperature anomaly and macroeconomic fundamentals on agricultural commodity futures returns," Energy Economics, Elsevier, volume 100, issue C, DOI: 10.1016/j.eneco.2021.105377.
• Ladokhin, Sergiy & Borovkova, Svetlana, 2021, "Three-factor commodity forward curve model and its joint P and Q dynamics," Energy Economics, Elsevier, volume 101, issue C, DOI: 10.1016/j.eneco.2021.105418.
• Fernandez-Perez, Adrian & Fuertes, Ana-Maria & Miffre, Joelle, 2021, "The risk premia of energy futures," Energy Economics, Elsevier, volume 102, issue C, DOI: 10.1016/j.eneco.2021.105460.
• Cortazar, Gonzalo & Ortega, Hector & Valencia, Consuelo, 2021, "How good are analyst forecasts of oil prices?," Energy Economics, Elsevier, volume 102, issue C, DOI: 10.1016/j.eneco.2021.105500.
• Corbet, Shaen & Hou, Yang (Greg) & Hu, Yang & Oxley, Les, 2021, "An analysis of investor behaviour and information flows surrounding the negative WTI oil price futures event," Energy Economics, Elsevier, volume 104, issue C, DOI: 10.1016/j.eneco.2021.105589.
• Ding, Ashley, 2021, "A state-preference volatility index for the natural gas market," Energy Economics, Elsevier, volume 104, issue C, DOI: 10.1016/j.eneco.2021.105625.
• Zaremba, Adam & Mikutowski, Mateusz & Szczygielski, Jan Jakub & Karathanasopoulos, Andreas, 2021, "The alpha momentum effect in commodity markets," Energy Economics, Elsevier, volume 93, issue C, DOI: 10.1016/j.eneco.2019.06.006.
• van Koten, Silvester, 2021, "The forward premium in electricity markets: An experimental study," Energy Economics, Elsevier, volume 94, issue C, DOI: 10.1016/j.eneco.2020.105059.
• Piccirilli, Marco & Schmeck, Maren Diane & Vargiolu, Tiziano, 2021, "Capturing the power options smile by an additive two-factor model for overlapping futures prices," Energy Economics, Elsevier, volume 95, issue C, DOI: 10.1016/j.eneco.2020.105006.
• Long, Wen & Zhao, Manyi & Tang, Yeran, 2021, "Can the Chinese volatility index reflect investor sentiment?," International Review of Financial Analysis, Elsevier, volume 73, issue C, DOI: 10.1016/j.irfa.2020.101612.
• Diaz-Rainey, Ivan & Gehricke, Sebastian A. & Roberts, Helen & Zhang, Renzhu, 2021, "Trump vs. Paris: The impact of climate policy on U.S. listed oil and gas firm returns and volatility," International Review of Financial Analysis, Elsevier, volume 76, issue C, DOI: 10.1016/j.irfa.2021.101746.
• Liu, Zhenya & Lu, Shanglin & Wang, Shixuan, 2021, "Asymmetry, tail risk and time series momentum," International Review of Financial Analysis, Elsevier, volume 78, issue C, DOI: 10.1016/j.irfa.2021.101938.
• Wang, Xingchun, 2021, "Pricing volatility-equity options under the modified constant elasticity of variance model," Finance Research Letters, Elsevier, volume 38, issue C, DOI: 10.1016/j.frl.2020.101493.
• Lin, Anchor Y. & Lin, Yueh-Neng, 2021, "Market similarity and cross-border investment performance," Finance Research Letters, Elsevier, volume 40, issue C, DOI: 10.1016/j.frl.2020.101751.
• Bissoondoyal-Bheenick, Emawtee & Do, Hung & Hu, Xiaolu & Zhong, Angel, 2021, "Learning from SARS: Return and volatility connectedness in COVID-19," Finance Research Letters, Elsevier, volume 41, issue C, DOI: 10.1016/j.frl.2020.101796.
• Azzone, Michele & Baviera, Roberto, 2021, "Synthetic forwards and cost of funding in the equity derivative market," Finance Research Letters, Elsevier, volume 41, issue C, DOI: 10.1016/j.frl.2020.101841.
• Taussig, Roi D., 2021, "Competition risk and expected stock returns," Finance Research Letters, Elsevier, volume 41, issue C, DOI: 10.1016/j.frl.2020.101860.
• Kim, Myeong Jun & Canh, Nguyen Phuc & Park, Sung Y., 2021, "Causal relationship among cryptocurrencies: A conditional quantile approach," Finance Research Letters, Elsevier, volume 42, issue C, DOI: 10.1016/j.frl.2020.101879.
• Bian, Timothy Yang & Wang, Tianyi & Zhou, Zipeng, 2021, "Measuring investors’ risk aversion in China’s stock market," Finance Research Letters, Elsevier, volume 42, issue C, DOI: 10.1016/j.frl.2020.101891.
• Lei, Jian, 2021, "Curve momentum in currency markets," Finance Research Letters, Elsevier, volume 42, issue C, DOI: 10.1016/j.frl.2020.101903.
• Boubaker, Sabri & Liu, Zhenya & Lu, Shanglin & Zhang, Yifan, 2021, "Trading signal, functional data analysis and time series momentum," Finance Research Letters, Elsevier, volume 42, issue C, DOI: 10.1016/j.frl.2021.101933.
• Guo, Zi-Yi, 2021, "Price volatilities of bitcoin futures," Finance Research Letters, Elsevier, volume 43, issue C, DOI: 10.1016/j.frl.2021.102022.
• Ruan, Xinfeng & Zhang, Jin E., 2021, "The economics of the financial market for volatility trading," Journal of Financial Markets, Elsevier, volume 52, issue C, DOI: 10.1016/j.finmar.2020.100556.
• Liu, Ming-Yu & Chuang, Wen-I & Lo, Chien-Ling, 2021, "Options-implied information and the momentum cycle," Journal of Financial Markets, Elsevier, volume 53, issue C, DOI: 10.1016/j.finmar.2020.100565.
• Procasky, William J., 2021, "Price discovery in CDS and equity markets: Default risk-based heterogeneity in the systematic investment grade and high yield sectors," Journal of Financial Markets, Elsevier, volume 54, issue C, DOI: 10.1016/j.finmar.2020.100581.
• Kryzanowski, Lawrence & Perrakis, Stylianos & Zhong, Rui, 2021, "Financial oligopolies and parallel exclusion in the credit default swap markets," Journal of Financial Markets, Elsevier, volume 56, issue C, DOI: 10.1016/j.finmar.2020.100606.
• Bevilacqua, Mattia & Tunaru, Radu, 2021, "The SKEW index: Extracting what has been left," Journal of Financial Stability, Elsevier, volume 53, issue C, DOI: 10.1016/j.jfs.2020.100816.
• Bressan, Giacomo Maria & Romagnoli, Silvia, 2021, "Climate risks and weather derivatives: A copula-based pricing model," Journal of Financial Stability, Elsevier, volume 54, issue C, DOI: 10.1016/j.jfs.2021.100877.
• Baker, H. Kent & Kumar, Satish & Pandey, Nitesh, 2021, "Thirty years of the Global Finance Journal: A bibliometric analysis," Global Finance Journal, Elsevier, volume 47, issue C, DOI: 10.1016/j.gfj.2019.100492.
• Nejadmalayeri, Ali, 2021, "Asset liquidity, business risk, and beta," Global Finance Journal, Elsevier, volume 48, issue C, DOI: 10.1016/j.gfj.2020.100560.
• Kirkby, J. Lars & Nguyen, Duy, 2021, "Equity-linked Guaranteed Minimum Death Benefits with dollar cost averaging," Insurance: Mathematics and Economics, Elsevier, volume 100, issue C, pages 408-428, DOI: 10.1016/j.insmatheco.2021.04.012.
• Ballotta, Laura & Eberlein, Ernst & Schmidt, Thorsten & Zeineddine, Raghid, 2021, "Fourier based methods for the management of complex life insurance products," Insurance: Mathematics and Economics, Elsevier, volume 101, issue PB, pages 320-341, DOI: 10.1016/j.insmatheco.2021.08.009.
• Brignone, Riccardo & Kyriakou, Ioannis & Fusai, Gianluca, 2021, "Moment-matching approximations for stochastic sums in non-Gaussian Ornstein–Uhlenbeck models," Insurance: Mathematics and Economics, Elsevier, volume 96, issue C, pages 232-247, DOI: 10.1016/j.insmatheco.2020.12.002.
• Bravo, Jorge M. & Nunes, João Pedro Vidal, 2021, "Pricing longevity derivatives via Fourier transforms," Insurance: Mathematics and Economics, Elsevier, volume 96, issue C, pages 81-97, DOI: 10.1016/j.insmatheco.2020.10.008.
• Godin, Frédéric & Trottier, Denis-Alexandre, 2021, "Option pricing in regime-switching frameworks with the Extended Girsanov Principle," Insurance: Mathematics and Economics, Elsevier, volume 99, issue C, pages 116-129, DOI: 10.1016/j.insmatheco.2021.02.007.
• Moenig, Thorsten, 2021, "Variable annuities: Market incompleteness and policyholder behavior," Insurance: Mathematics and Economics, Elsevier, volume 99, issue C, pages 63-78, DOI: 10.1016/j.insmatheco.2021.03.007.
• Borochin, Paul & Wu, Zekun & Zhao, Yanhui, 2021, "The effect of option-implied skewness on delta- and vega-hedged option returns," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 74, issue C, DOI: 10.1016/j.intfin.2021.101408.
• Backwell, Alex, 2021, "Unspanned stochastic volatility from an empirical and practical perspective," Journal of Banking & Finance, Elsevier, volume 122, issue C, DOI: 10.1016/j.jbankfin.2020.105993.
• Schertler, Andrea, 2021, "Listing of classical options and the pricing of discount certificates," Journal of Banking & Finance, Elsevier, volume 123, issue C, DOI: 10.1016/j.jbankfin.2020.106011.
• Branger, Nicole & Herold, Michael & Muck, Matthias, 2021, "International stochastic discount factors and covariance risk," Journal of Banking & Finance, Elsevier, volume 123, issue C, DOI: 10.1016/j.jbankfin.2020.106018.
• Bianchi, Robert J. & Fan, John Hua & Zhang, Tingxi, 2021, "Investable commodity premia in China," Journal of Banking & Finance, Elsevier, volume 127, issue C, DOI: 10.1016/j.jbankfin.2021.106127.
• Gkionis, Konstantinos & Kostakis, Alexandros & Skiadopoulos, George & Stilger, Przemyslaw S., 2021, "Positive stock information in out-of-the-money option prices," Journal of Banking & Finance, Elsevier, volume 128, issue C, DOI: 10.1016/j.jbankfin.2021.106112.
• Nozawa, Yoshio & Qiu, Yancheng, 2021, "Corporate bond market reactions to quantitative easing during the COVID-19 pandemic," Journal of Banking & Finance, Elsevier, volume 133, issue C, DOI: 10.1016/j.jbankfin.2021.106153.
• Nian, Ke & Coleman, Thomas F & Li, Yuying, 2021, "Learning sequential option hedging models from market data," Journal of Banking & Finance, Elsevier, volume 133, issue C, DOI: 10.1016/j.jbankfin.2021.106277.
• Brøgger, Søren Bundgaard, 2021, "The market impact of predictable flows: Evidence from leveraged VIX products," Journal of Banking & Finance, Elsevier, volume 133, issue C, DOI: 10.1016/j.jbankfin.2021.106280.
• Baule, Rainer & Shkel, David, 2021, "Model risk and model choice in the case of barrier options and bonus certificates," Journal of Banking & Finance, Elsevier, volume 133, issue C, DOI: 10.1016/j.jbankfin.2021.106307.
• Gelman, Sergey & Kliger, Doron, 2021, "The effect of time-induced stress on financial decision making in real markets: The case of traffic congestion," Journal of Economic Behavior & Organization, Elsevier, volume 185, issue C, pages 814-841, DOI: 10.1016/j.jebo.2020.10.022.
• Alexander, Carol & Chen, Xi & Ward, Charles, 2021, "Risk-adjusted valuation for real option decisions," Journal of Economic Behavior & Organization, Elsevier, volume 191, issue C, pages 1046-1064, DOI: 10.1016/j.jebo.2021.09.011.