Research classified by Journal of Economic Literature (JEL) codes

2021

• Zhang, Heming & Wang, Guanying, 2021, "Reversal effect and corporate bond pricing in China," Pacific-Basin Finance Journal, Elsevier, volume 70, issue C, DOI: 10.1016/j.pacfin.2021.101664.
• Fassas, Athanasios P. & Siriopoulos, Costas, 2021, "Implied volatility indices – A review," The Quarterly Review of Economics and Finance, Elsevier, volume 79, issue C, pages 303-329, DOI: 10.1016/j.qref.2020.07.004.
• Lian, Yu-Min & Chen, Jun-Home & Liao, Szu-Lang, 2021, "Cojump risks and their impacts on option pricing," The Quarterly Review of Economics and Finance, Elsevier, volume 79, issue C, pages 399-410, DOI: 10.1016/j.qref.2020.07.009.
• Smales, L.A., 2021, "Geopolitical risk and volatility spillovers in oil and stock markets," The Quarterly Review of Economics and Finance, Elsevier, volume 80, issue C, pages 358-366, DOI: 10.1016/j.qref.2021.03.008.
• Chamizo, Álvaro & Novales, Alfonso, 2021, "Evaluation of market risk associated with hedging a credit derivative portfolio," The Quarterly Review of Economics and Finance, Elsevier, volume 80, issue C, pages 411-430, DOI: 10.1016/j.qref.2021.03.006.
• Murad Samsudin, Najmi Ismail & Mohamad, Azhar & Sifat, Imtiaz Mohammad, 2021, "Implied volatility of structured warrants: Emerging market evidence," The Quarterly Review of Economics and Finance, Elsevier, volume 80, issue C, pages 464-479, DOI: 10.1016/j.qref.2021.03.016.
• Zainudin, Ahmad Danial & Mohamad, Azhar, 2021, "Financial contagion in the futures markets amidst global geo-economic events," The Quarterly Review of Economics and Finance, Elsevier, volume 81, issue C, pages 288-308, DOI: 10.1016/j.qref.2021.06.021.
• Ruan, Xinfeng, 2021, "Ambiguity, long-run risks, and asset prices in continuous time," International Review of Economics & Finance, Elsevier, volume 71, issue C, pages 115-126, DOI: 10.1016/j.iref.2020.09.007.
• Lian, Yu-Min & Chen, Jun-Home, 2021, "Pricing virtual currency-linked derivatives with time-inhomogeneity," International Review of Economics & Finance, Elsevier, volume 71, issue C, pages 424-439, DOI: 10.1016/j.iref.2020.09.015.
• Ahmad, Wasim & Kutan, Ali M. & Gupta, Smarth, 2021, "Black swan events and COVID-19 outbreak: Sector level evidence from the US, UK, and European stock markets," International Review of Economics & Finance, Elsevier, volume 75, issue C, pages 546-557, DOI: 10.1016/j.iref.2021.04.007.
• Lee, Kiryoung & Jeon, Yoontae & Nam, Eun-Young, 2021, "Chinese Economic Policy Uncertainty and the Cross-Section of U.S. Asset Returns," International Review of Economics & Finance, Elsevier, volume 76, issue C, pages 1063-1077, DOI: 10.1016/j.iref.2021.08.011.
• Bai, Yizhou & Xue, Cheng, 2021, "An empirical study on the regulated Chinese agricultural commodity futures market based on skew Ornstein-Uhlenbeck model," Research in International Business and Finance, Elsevier, volume 57, issue C, DOI: 10.1016/j.ribaf.2021.101405.
• Gormsen, Niels J. & Koijen, Ralph S.J. & Martin, Ian W.R., 2021, "Implied dividend volatility and expected growth," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 127796, May.
• Manogna RL & Aswini Kumar Mishra, 2021, "Financialization of Indian agricultural commodities: the case of index investments," International Journal of Social Economics, Emerald Group Publishing Limited, volume 49, issue 1, pages 73-96, September, DOI: 10.1108/IJSE-05-2021-0254.
• Imran Yousaf & Hasan Hanif & Shoaib Ali & Syed Moudud-Ul-Huq, 2021, "Linkages between gold and Latin American equity markets: portfolio implications," Journal of Economics, Finance and Administrative Science, Emerald Group Publishing Limited, volume 26, issue 52, pages 237-251, August, DOI: 10.1108/JEFAS-04-2020-0139.
• Saji Thazhugal Govindan Nair, 2021, "Price discovery and pairs trading potentials: the case of metals markets," Journal of Financial Economic Policy, Emerald Group Publishing Limited, volume 13, issue 5, pages 565-586, March, DOI: 10.1108/JFEP-06-2020-0139.
• Xiang Gao & Jiahao Gu & Yingchao Zhang, 2021, "Option informativeness before earnings announcements and under real activity manipulation," Pacific Accounting Review, Emerald Group Publishing Limited, volume 33, issue 3, pages 361-375, May, DOI: 10.1108/PAR-07-2020-0090.
• Bei Chen & Quan Gan, 2021, "Measuring gambling activity in options market," Review of Behavioral Finance, Emerald Group Publishing Limited, volume 14, issue 3, pages 345-378, March, DOI: 10.1108/RBF-08-2020-0206.
• Nikolai Dokuchaev, 2021, "On statistical indistinguishability of complete and incomplete market models," Studies in Economics and Finance, Emerald Group Publishing Limited, volume 38, issue 1, pages 114-125, February, DOI: 10.1108/SEF-01-2020-0023.
• Hechem Ajmi & Nadia Arfaoui & Karima Saci, 2021, "Volatility transmission across international markets amid COVID 19 pandemic," Studies in Economics and Finance, Emerald Group Publishing Limited, volume 38, issue 5, pages 926-945, June, DOI: 10.1108/SEF-11-2020-0449.
• Magdalena Mikolajek-Gocejna, 2021, "Estimation, Instability, and Non-Stationarity of Beta Coefficients for Twenty-four Emerging Markets in 2005-2021," European Research Studies Journal, European Research Studies Journal, volume 0, issue 4 - Part , pages 370-395.
• Bin Wei, 2021, "Ambiguity, Long-Run Risks, and Asset Prices," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2021-21, Sep, DOI: 10.29338/wp2021-21.
• Jens H. E. Christensen & Jose A. Lopez & Paul Mussche, 2021, "International Evidence on Extending Sovereign Debt Maturities," Working Paper Series, Federal Reserve Bank of San Francisco, number 2021-19, Jul, DOI: 10.24148/wp2021-19.
• Juan M. Londono & Nancy R. Xu, 2021, "The Global Determinants of International Equity Risk Premiums," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 1318, May, DOI: 10.17016/IFDP.2021.1318.
• Elena V. Rozhentsova & Anastasiia D. Saltykova & Tatyana М. Devyatkova, 2021, "Unallocated Metal Accounts in Russia: Determinants of Quoted Bid-Ask Spreads," Finansovyj žhurnal — Financial Journal, Financial Research Institute, Moscow 125375, Russia, issue 1, pages 93-106, February, DOI: 10.31107/2075-1990-2021-1-93-106.
• Farzad Alavi Fard & Firmin Doko Tchatoka & Sivagowry Sriananthakumar, 2021, "Maximum Entropy Evaluation of Asymptotic Hedging Error under a Generalised Jump-Diffusion Model," JRFM, MDPI, volume 14, issue 3, pages 1-19, February.
• Florina Silaghi & Franck Moraux, 2022, "Trade credit contracts: Design and regulation," Post-Print, HAL, number hal-03268865, Feb, DOI: 10.1016/j.ejor.2021.04.036.
• Adrian Fernandez-Perez & Ana-Maria Fuertes & Joelle Miffre, 2021, "The Risk Premia of Energy Futures," Post-Print, HAL, number hal-03312959, Oct, DOI: 10.1016/j.eneco.2021.105460.
• Sabri Boubaker & Zhenya Liu & Shanglin Lu & Yifan Zhang, 2021, "Trading signal, functional data analysis and time series momentum," Post-Print, HAL, number hal-03323675, Oct, DOI: 10.1016/j.frl.2021.101933.
• Zhenya Liu & Shanglin Lu & Shixuan Wang, 2021, "Asymmetry, tail risk and time series momentum," Post-Print, HAL, number hal-03511436, Nov, DOI: 10.1016/j.irfa.2021.101938.
• Bruno Biais & Florian Heider & Marie Hoerova, 2021, "Variation margins, fire-sales and information-constrained optimality," Post-Print, HAL, number hal-03546710, Nov, DOI: 10.1093/restud/rdaa083.
• Claudio Albanese & Stéphane Crépey & Rodney Hoskinson & Bouazza Saadeddine, 2021, "XVA Analysis From the Balance Sheet," Post-Print, HAL, number hal-03910125, DOI: 10.1080/14697688.2020.1817533.
• Hubert Stahn & Jean-Henry Ferrasse & Nandeeta Neerunjun, 2021, "Managing intermittency in the electricity market," Post-Print, HAL, number hal-04552290, Jul.
• Hubert Stahn & Jean-Henry Ferrasse & Nandeeta Neerunjun, 2021, "Managing intermittency in the electricity market," Post-Print, HAL, number hal-04552317, Jun.
• Jean-Henry Ferrasse & Nandeeta Neerunjun & Hubert Stahn, 2021, "Managing intermittency in the electricity market," Working Papers, HAL, number halshs-03154612, Feb.
• Sebastian, Steffen P. & Steininger, Bertram I., 2021, "Real estate ETNs in strategic asset allocation," Working Paper Series, Royal Institute of Technology, Department of Real Estate and Construction Management & Banking and Finance, number 21/8, Dec.
• Anna Naszodi, 2021, "The Single Resolution Fund and the Credit Default Swap: What Is the Coasian Fair Price of Their Insurance Services?," International Journal of Central Banking, International Journal of Central Banking, volume 17, issue 70, pages 1-36, October.
• Ms. Deniz O Igan & Mr. Taehoon Kim & Antoine Levy, 2021, "The Premia on State-Contingent Sovereign Debt Instruments," IMF Working Papers, International Monetary Fund, number 2021/282, Dec.
• Robert Cox Merton & Francisco Venegas-Martínez, 2021, "Tendencias y perspectivas de la ciencia financiera: Un artículo de revisión," 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 16, issue 1, pages 1-15, Enero - M.
• Robert Cox Merton & Francisco Venegas-Martínez, 2021, "Financial Science Trends and Perspectives: A Review Article," 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 16, issue 1, pages 1-15, Enero - M.
• Arturo Lorenzo-Valdés, 2021, "Conditional Probability of Jumps in Oil Prices," 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 16, issue 4, pages 1-14, Octubre -.
• Peter H. Gruber & Claudio Tebaldi & Fabio Trojani, 2021, "The Price of the Smile and Variance Risk Premia," Management Science, INFORMS, volume 67, issue 7, pages 4056-4074, July, DOI: 10.1287/mnsc.2020.3689.
• Vitor H. Carvalho & Raquel M. Gaspar, 2021, "Relativistically into Finance," Working Papers REM, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa, number 2021/0175, May.
• Raushan Kumar, 2021, "Predicting Wheat Futures Prices in India," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, volume 28, issue 1, pages 121-140, March, DOI: 10.1007/s10690-020-09320-6.
• Loc Dong Truong & Anh Thi Kim Nguyen & Dut Van Vo, 2021, "Index Future Trading and Spot Market Volatility in Frontier Markets: Evidence from Ho Chi Minh Stock Exchange," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, volume 28, issue 3, pages 353-366, September, DOI: 10.1007/s10690-020-09325-1.
• Jin-Yu Zhang & Wen-Bo Wu & Yong Li & Zhu-Sheng Lou, 2021, "Pricing Exotic Option Under Jump-Diffusion Models by the Quadrature Method," Computational Economics, Springer;Society for Computational Economics, volume 58, issue 3, pages 867-884, October, DOI: 10.1007/s10614-020-10055-9.
• Gechun Liang & Xingchun Wang, 2021, "Pricing vulnerable options in a hybrid credit risk model driven by Heston–Nandi GARCH processes," Review of Derivatives Research, Springer, volume 24, issue 1, pages 1-30, April, DOI: 10.1007/s11147-020-09167-z.
• Kian Guan Lim, 2021, "Bermudan option in Singapore Savings Bonds," Review of Derivatives Research, Springer, volume 24, issue 1, pages 31-54, April, DOI: 10.1007/s11147-020-09168-y.
• Jean-Philippe Aguilar, 2021, "The value of power-related options under spectrally negative Lévy processes," Review of Derivatives Research, Springer, volume 24, issue 2, pages 173-196, July, DOI: 10.1007/s11147-020-09174-0.
• Xingchun Wang, 2021, "Pricing vulnerable options with jump risk and liquidity risk," Review of Derivatives Research, Springer, volume 24, issue 3, pages 243-260, October, DOI: 10.1007/s11147-021-09177-5.
• Shin-Yun Wang & Ming-Che Chuang & Shih-Kuei Lin & So-De Shyu, 2021, "Option pricing under stock market cycles with jump risks: evidence from the S&P 500 index," Review of Quantitative Finance and Accounting, Springer, volume 56, issue 1, pages 25-51, January, DOI: 10.1007/s11156-020-00885-x.
• Sonnan Chen & Yuchi Gu, 2021, "Joint estimation of volatility risk and tail risk premia with time-varying macro-state-dependent property," Review of Quantitative Finance and Accounting, Springer, volume 56, issue 4, pages 1357-1397, May, DOI: 10.1007/s11156-020-00925-6.
• Yang Hou & Steven Li & Fenghua Wen, 2021, "Time-varying information share and autoregressive loading factors: evidence from S&P 500 cash and E-mini futures markets," Review of Quantitative Finance and Accounting, Springer, volume 57, issue 1, pages 91-110, July, DOI: 10.1007/s11156-020-00940-7.
• Gurdip Bakshi & Charles Cao & Zhaodong (Ken) Zhong, 2021, "Assessing models of individual equity option prices," Review of Quantitative Finance and Accounting, Springer, volume 57, issue 1, pages 1-28, July, DOI: 10.1007/s11156-020-00951-4.
• Qingjing Zhang & Taufiq Choudhry & Jing-Ming Kuo & Xiaoquan Liu, 2021, "Does liquidity drive stock market returns? The role of investor risk aversion," Review of Quantitative Finance and Accounting, Springer, volume 57, issue 3, pages 929-958, October, DOI: 10.1007/s11156-021-00966-5.
• Gabriela Pesce & Florencia Verónica Pedroni & Etelvina Chávez & María de la Paz Moral & María Andrea Rivero, 2021, "Exotic options: conceptualization and evolution in the literature from a systematic review," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 95, pages 231-275, July-Dece, DOI: 10.17533/udea.le.n95a342627.
• Agata Gniadkowska-Szymańska, 2021, "Liquidity of assets and liquidity of shares: the example of the Warsaw Stock Exchange," Bank i Kredyt, Narodowy Bank Polski, volume 52, issue 1, pages 1-22.
• Jose Pizarro & Eduardo S. Schwartz, 2021, "Optimal Harvest with Multiple Fishing Zones, Endogenous Price and Global Uncertainty," NBER Working Papers, National Bureau of Economic Research, Inc, number 28732, Apr.
• Christopher L. Culp & Mihir Gandhi & Yoshio Nozawa & Pietro Veronesi, 2021, "Option-Implied Spreads and Option Risk Premia," NBER Working Papers, National Bureau of Economic Research, Inc, number 28941, Jun.
• Clemens Sialm & Qifei Zhu, 2021, "Currency Management by International Fixed Income Mutual Funds," NBER Working Papers, National Bureau of Economic Research, Inc, number 29082, Jul.
• David S. Bates, 2021, "Empirical Option Pricing Models," NBER Working Papers, National Bureau of Economic Research, Inc, number 29554, Dec.
• 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
  [Leverage, Moral Hazard, and Liquidity]," 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.

2020

• Wee-Yeap Lau & Tien-Ming Yip, 2020, "Information Flow Between The Us Dollar-Rupiah Exchange Rates," Bulletin of Monetary Economics and Banking, Bank Indonesia, volume 23, issue 3, pages 439-460, October, DOI: https://doi.org/10.21098/bemp.v23i3.
• Zenón Hernández Álvarez & María De Jesús Ramos Álvarez, 2020, "El momento óptimo para invertir en una empresa de la agroindustria del café (Una Aplicación de la Teoría de las Opciones Reales)," 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 15, issue 1, pages 123-134, Enero - M.
• Gilberto Anzaldo San Vicente & Guillermo Benavides, 2020, "Expectativas en las tasas de interés y noticias de política monetaria de EEUU," 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 15, issue 1, pages 17-35, Enero - M.
• Paula Beatriz Morales Bañuelos, 2020, "Selección del modelo de mejor estimación del Valor Razonable en un mercado emergente," 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 15, issue 1, pages 81-103, Enero - M.
• Roberto R. Barrera-Rivera & Humberto Valencia-Herrera, 2020, "Dynamic hedging of prices of Natural Gas in Mexico," 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 15, issue 3, pages 355-374, Julio - S.
• Ortiz-Aguilar, héctor E. & Venegas-Martínez, Francisco & Ortiz-Arango, Francisco, 2020, "Modelos de saltos vs modelos de choques para la valuación de opciones en ambientes de alta volatilidad," eseconomía, Escuela Superior de Economía, Instituto Politécnico Nacional, volume 15, issue 52, pages 9-45, Primer se.
• Raquel M. Gaspar & Sara D. Lopes & Bernardo Sequeira, 2020, "Neural Network pricing of American put options," Working Papers REM, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa, number 2020/0122, Apr.
• Prasenjit Chakrabarti & K Kiran Kumar, 2020, "High-Frequency Return-Implied Volatility Relationship: Empirical Evidence from Nifty and India VIX," Journal of Developing Areas, Tennessee State University, College of Business, volume 54, issue 3, pages 53-68, July-Sept.
• Riccardo Brignone & Carlo Sgarra, 2020, "Asian options pricing in Hawkes-type jump-diffusion models," Annals of Finance, Springer, volume 16, issue 1, pages 101-119, March, DOI: 10.1007/s10436-019-00352-1.
• Bahman Angoshtari & Tim Leung, 2020, "Optimal trading of a basket of futures contracts," Annals of Finance, Springer, volume 16, issue 2, pages 253-280, June, DOI: 10.1007/s10436-019-00357-w.
• J. Lars Kirkby & Duy Nguyen, 2020, "Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models," Annals of Finance, Springer, volume 16, issue 3, pages 307-351, September, DOI: 10.1007/s10436-020-00366-0.
• Katsushi Nakajima, 2020, "Commodity Spot and Futures Prices Under Supply, Demand, and Financial Trading: Single Input–Output Model," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, volume 27, issue 1, pages 35-59, March, DOI: 10.1007/s10690-019-09280-6.
• Koichi Matsumoto & Keita Shimizu, 2020, "Hedging Derivatives on Two Assets with Model Risk," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, volume 27, issue 1, pages 83-95, March, DOI: 10.1007/s10690-019-09283-3.
• Luca J. Liebi, 2020, "The effect of ETFs on financial markets: a literature review," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 34, issue 2, pages 165-178, June, DOI: 10.1007/s11408-020-00349-1.
• Haoyu Gao & Junbo Wang & Xiaoguang Yang & Lin Zhao, 2020, "Borrower Opacity and Loan Performance: Evidence from China," Journal of Financial Services Research, Springer;Western Finance Association, volume 57, issue 2, pages 181-206, April, DOI: 10.1007/s10693-019-00309-5.
• Lynn Boen & Florence Guillaume, 2020, "Towards a $$\Delta $$Δ-Gamma Sato multivariate model," Review of Derivatives Research, Springer, volume 23, issue 1, pages 1-39, April, DOI: 10.1007/s11147-019-09155-y.
• G. Dorfleitner & J. Gerer, 2020, "Time consistent pricing of options with embedded decisions," Review of Derivatives Research, Springer, volume 23, issue 1, pages 85-119, April, DOI: 10.1007/s11147-019-09158-9.
• Wan-Yi Chiu, 2020, "The global minimum variance hedge," Review of Derivatives Research, Springer, volume 23, issue 2, pages 121-144, July, DOI: 10.1007/s11147-019-09159-8.
• Jia-Hau Guo & Lung-Fu Chang, 2020, "A generalization of option pricing to price-limit markets," Review of Derivatives Research, Springer, volume 23, issue 2, pages 145-161, July, DOI: 10.1007/s11147-019-09160-1.
• Antonio Díaz & Francisco Jareño & Eliseo Navarro, 2020, "Yield curves from different bond data sets," Review of Derivatives Research, Springer, volume 23, issue 2, pages 191-226, July, DOI: 10.1007/s11147-019-09162-z.
• José Carlos Dias & João Pedro Vidal Nunes & Aricson Cruz, 2020, "A note on options and bubbles under the CEV model: implications for pricing and hedging," Review of Derivatives Research, Springer, volume 23, issue 3, pages 249-272, October, DOI: 10.1007/s11147-019-09164-x.
• Maxim Ulrich & Simon Walther, 2020, "Option-implied information: What’s the vol surface got to do with it?," Review of Derivatives Research, Springer, volume 23, issue 3, pages 323-355, October, DOI: 10.1007/s11147-020-09166-0.
• Erwinna Chendra & Kuntjoro A. Sidarto, 2020, "An improved of Hull–White model for valuing Employee Stock Options (ESOs)," Review of Quantitative Finance and Accounting, Springer, volume 54, issue 2, pages 651-669, February, DOI: 10.1007/s11156-019-00802-x.
• Peng-Chia Chiu & Timothy D. Haight, 2020, "Investor learning, earnings signals, and stock returns," Review of Quantitative Finance and Accounting, Springer, volume 54, issue 2, pages 671-698, February, DOI: 10.1007/s11156-019-00803-w.
• Bingxin Li, 2020, "Option-implied filtering: evidence from the GARCH option pricing model," Review of Quantitative Finance and Accounting, Springer, volume 54, issue 3, pages 1037-1057, April, DOI: 10.1007/s11156-019-00816-5.
• Tavy Ronen & Oleg Sokolinskiy & Ben Sopranzetti, 2020, "The risk management implications of using end of day consensus pricing for single name CDS," Review of Quantitative Finance and Accounting, Springer, volume 55, issue 1, pages 269-304, July, DOI: 10.1007/s11156-019-00843-2.
• Oleg Sokolinskiy, 2020, "Conditional dependence in post-crisis markets: dispersion and correlation skew trades," Review of Quantitative Finance and Accounting, Springer, volume 55, issue 2, pages 389-426, August, DOI: 10.1007/s11156-019-00847-y.
• Boros, Péter, 2020, "A hitelminősítői bejelentések fertőző hatásai és a hitelértékelési kiigazítás
  [Rating migration, credit risk contagion and Credit Valuation Adjustment]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), volume 0, issue 2, pages 140-163, DOI: 10.18414/KSZ.2020.2.140.
• Gastón Silverio Milanesi, 2020, "Opciones reales y el valor de los ahorros fiscales," Revista Ciencias Administrativas (CADM), IIA, Universidad Nacional de La Plata, Instituto de Investigaciones Administrativas, Facultad de Ciencias Económicas, Universidad Nacional de La Plata, issue 16, pages 25-34, July-Dece, DOI: 10.24215/23143738e063.
• J. Arismendi-Zambrano & R. Azevedo, 2020, "Implicit Entropic Market Risk-Premium from Interest Rate Derivatives," Economics Department Working Paper Series, Department of Economics, National University of Ireland - Maynooth, number n303-20.pdf.
• J. C. Arismendi-Zambrano & T. Ramos-Almeida & J. C. Reboredo & M. A. Rivera-Castro, 2020, "Identifying Statistical Arbitrage in Interest Rate Markets: A Genetic Algorithm Approach," Economics Department Working Paper Series, Department of Economics, National University of Ireland - Maynooth, number n305-20.pdf.
• J. C. Arismendi-Zambrano & Vladimir Belitsky & Vinicius Amorim Sobreiro & Herbert Kimura, 2020, "The Implications of Tail Dependency Measures for Counterparty Credit Risk Pricing," Economics Department Working Paper Series, Department of Economics, National University of Ireland - Maynooth, number n306-20.pdf.
• Felicity K. Mathye & Collins C. Ngwakwe, 2020, "Women in Top Management and Corporate Share Price: The Mediating Role of Management Learning," Managing Global Transitions, University of Primorska, Faculty of Management Koper, volume 18, issue 2 (Summer, pages 111-126, DOI: 10.26493/1854-6935.18.111-126.
• Mazen Bustanji, 2020, "Testing Strong Form Market Efficiency of Jordanian Capital Market: Performance Appraisal of Mutual Funds a comparable study case with Saudi Arabia," Theory Methodology Practice (TMP), Faculty of Economics, University of Miskolc, volume 16, issue 02, pages 3-15.
• Wei Wei & Asger Lunde, 2020, "Identifying Risk Factors and Their Premia: A Study on Electricity Prices," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 10/20.
• Todd M. Hazelkorn & Tobias J. Moskowitz & Kaushik Vasudevan, 2020, "Beyond Basis Basics: Liquidity Demand and Deviations from the Law of One Price," NBER Working Papers, National Bureau of Economic Research, Inc, number 26773, Feb.
• Geert Bekaert & Eric Engstrom & Andrey Ermolov, 2020, "The Variance Risk Premium in Equilibrium Models," NBER Working Papers, National Bureau of Economic Research, Inc, number 27108, May.
• Ian Dew-Becker & Stefano Giglio, 2020, "Cross-Sectional Uncertainty and the Business Cycle: Evidence from 40 Years of Options Data," NBER Working Papers, National Bureau of Economic Research, Inc, number 27864, Sep.
• Ashley Langer & Derek Lemoine, 2020, "What Were the Odds? Estimating the Market's Probability of Uncertain Events," NBER Working Papers, National Bureau of Economic Research, Inc, number 28265, Dec.
• Nikolay Patonov, 2020, "Gold Price And Bitcoin Exchange Rate: Is There A Correlation?," Entrepreneurship, Faculty of Economics, SOUTH-WEST UNIVERSITY "NEOFIT RILSKI", BLAGOEVGRAD, volume 8, issue 1, pages 119-124.
• Pedro Rossi & Eliane Araujo & Nelson H. Barbosa-Filho, 2020, "Ajuste da taxa de câmbio à paridade coberta da taxa de juro no Brasil [Exchange rate adjustment to the covered interest rate parity in Brazil]," Nova Economia, Economics Department, Universidade Federal de Minas Gerais (Brazil), volume 30, issue 1, pages 95-110, January-A.
• Xiao, Tim, 2020, "The Valuation of Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment," arabixiv.org, Center for Open Science, number ep9dn, Jun, DOI: 10.31219/osf.io/ep9dn.
• Xiao, Tim, 2020, "The Valuation of Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment," SocArXiv, Center for Open Science, number jc43a, Jun, DOI: 10.31219/osf.io/jc43a.
• Jennifer Conrad & Robert F Dittmar & Allaudeen Hameed, 2020, "Implied Default Probabilities and Losses Given Default from Option Prices," Journal of Financial Econometrics, Oxford University Press, volume 18, issue 3, pages 629-652.
• Jing-Zhi Huang & Zhan Shi & Hao Zhou, 2020, "Specification Analysis of Structural Credit Risk Models
  [Corporate bond valuation and hedging with stochastic interest rates and endogenous bankruptcy]," Review of Finance, European Finance Association, volume 24, issue 1, pages 45-98.
• Servaas van Bilsen & Ilja A Boelaars & A. Lans Bovenberg, 2020, "The Duration Puzzle in Life-Cycle Investment," Review of Finance, European Finance Association, volume 24, issue 6, pages 1271-1311.
• Dmitriy Muravyev & Neil D Pearson & Stijn Van Nieuwerburgh, 2020, "Options Trading Costs Are Lower than You Think," The Review of Financial Studies, Society for Financial Studies, volume 33, issue 11, pages 4973-5014.
• Matthias Fleckenstein & Francis A Longstaff & Stijn Van Nieuwerburgh, 2020, "Renting Balance Sheet Space: Intermediary Balance Sheet Rental Costs and the Valuation of Derivatives," The Review of Financial Studies, Society for Financial Studies, volume 33, issue 11, pages 5051-5091.
• Urban J Jermann, 2020, "Negative Swap Spreads and Limited Arbitrage," The Review of Financial Studies, Society for Financial Studies, volume 33, issue 1, pages 212-238.
• Jerome Detemple & Yerkin Kitapbayev & Philip Strahan, 2020, "The Value of Green Energy: Optimal Investment in Mutually Exclusive Projects and Operating Leverage," The Review of Financial Studies, Society for Financial Studies, volume 33, issue 7, pages 3307-3347.
• Zapata Quimbayo, Carlos Andrés, 2020, "Probabilidad de incumplimiento en inversiones de infraestructura: análisis a partir de modelos estructurales de riesgo de crédito || Probability of default in infrastructure projects: analysis from structural models of credit risk," 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 30, issue 1, pages 327-345, December, DOI: 10.46661/revmetodoscuanteconempresa.
• Harris Ntantanis & Lawrence Pohlman, 2020, "Market implied GDP," Journal of Asset Management, Palgrave Macmillan, volume 21, issue 7, pages 636-646, December, DOI: 10.1057/s41260-020-00176-z.
• Chang, Kuo-Ping, 2020, "On Option Greeks and Corporate Finance," MPRA Paper, University Library of Munich, Germany, number 102792, Jul.
• Degiannakis, Stavros & Floros, Christos & Salvador, Enrique & Vougas, Dimitrios, 2020, "On the Stationarity of Futures Hedge Ratios," MPRA Paper, University Library of Munich, Germany, number 102907, Aug.
• Levy, Daniel & Mayer, Tamir & Raviv, Alon, 2020, "Academic Scholarship in Light of the 2008 Financial Crisis: Textual Analysis of NBER Working Papers," MPRA Paper, University Library of Munich, Germany, number 98785, Feb.
• Jakub Drahokoupil, 2020, "Variance Gamma process in the option pricing model," FFA Working Papers, Prague University of Economics and Business, number 3.002, Dec, revised 31 Jan 2021.
• Caio Almeida & Kym Ardison & René Garcia & Piotr OrÅ‚owski, 2020, "Extracting Tail Risk from High-Frequency S&P 500 Returns," Working Papers, Princeton University. Economics Department., number 2020-78, Jan.
• Refk Selmi Selmi & Youssef Errami Errami & Mark E. Wohar, 2020, "What Trump’s China Tariffs Have Cost U.S. Companies?," Journal of Economic Integration, Center for Economic Integration, Sejong University, volume 35, issue 2, pages 282-295.
• Zura Kakushadze, 2020, "Option Pricing: Channels, Target Zones and Sideways Markets," Bulletin of Applied Economics, Risk Market Journals, volume 7, issue 2, pages 25-33.
• Yang (Greg) Hou & Mark Holmes, 2020, "Do higher order moments of return distribution provide better decisions in minimum-variance hedging? Evidence from US stock index futures," Australian Journal of Management, Australian School of Business, volume 45, issue 2, pages 240-265, May, DOI: 10.1177/0312896219879974.