## Research classified by
*Journal of
Economic Literature* (JEL) codes

Top JEL

/ G: Financial Economics

/ / G1: General Financial Markets

/ / /

**G13: Contingent Pricing; Futures Pricing**

Most recent items first, undated at the end.

**Borrowing in Excess of Natural Ability to Repay**

*by*Filipe Martins da Rocha & Yiannis Vailakis

**An Econometric Analysis of ETF and ETF Futures in Financial and Energy Markets using Generated Regressors**

*by*Chia-Lin Chang & Michael McAleer & Chien-Hsun Wang

**Bedingte Aktiengeschäfte**

*by*Dilger, Alexander

**Commodities, financialization, and heterogeneous agents**

*by*Branger, Nicole & Grüning, Patrick & Schlag, Christian

**Die Bewertung von Aktienanleihen mit Barriere: Eine Fallstudie für die Easy-Aktienanleihe der Deutschen Bank**

*by*Hofmann, Maurice & Rottmann, Horst

**How do insiders trade?**

*by*Augustin, Patrick & Brenner, Menachem & Grass, Gunnar & Subrahmanyam, Marti G.

**Why do investors buy sovereign default insurance?**

*by*Augustin, Patrick & Sokolovski, Valeri & Subrahmanyam, Marti G.

**Stock Illiquidity, option prices, and option returns**

*by*Kanne, Stefan & Korn, Olaf & Uhrig-Homburg, Marliese

**Carbon pricing, forward risk premiums and pass-through rates in Australian electricity futures markets**

*by*Pawel Maryniak & Stefan Trueck & Rafal Weron

**Applying Exogenous Variables and Regime Switching To Multifactor Models on Equity Indices**

*by*Paweł Sakowski & Robert Ślepaczuk & Mateusz Wywiał

**Can We Invest Based on Equity Risk Premia and Risk Factors from Multi-Factor Models?**

*by*Paweł Sakowski & Robert Ślepaczuk & Mateusz Wywiał

**Do Multi-Factor Models Produce Robust Results? Econometric And Diagnostic Issues In Equity Risk Premia Study**

*by*Paweł Sakowski & Robert Ślepaczuk & Mateusz Wywiał

**Loading Pricing of Catastrophe Bonds and Other Long-Dated, Insurance-Type Contracts**

*by*Eckhard Platen & David Taylor

**Detecting Money Market Bubbles**

*by*Jan Baldeaux & Katja Ignatieva & Eckhard Platen

**Empirical Hedging Performance on Long-dDted Crude Oil Derivatives**

*by*Benjamin Cheng & Christina Nikitopoulos-Sklibosios & Erik Schlogl

**Hedging Futures Options with Stochastic Interest Rates**

*by*Benjamin Cheng & Christina Nikitopoulos-Sklibosios & Erik Schlogl

**A Penny Saved is a Penny Earned: Less Expensive Zero Coupon Bonds**

*by*Alessandro Gnoatto & Martino Grasselli & Eckhard Platen

**Empirical Pricing Performance in Long-Dated Crude Oil Derivatives: Do Models with Stochastic Interest Rates Matter?**

*by*Benjamin Cheng & Christina Nikitopoulos-Sklibosios & Erik Schlogl

**Pricing of Catastrophe Risk and the Implied Volatility Smile**

*by*Ben Ammar, Semir

**An econometric analysis of ETF and ETF futures in financial and energy markets using generated regressors**

*by*Chia-Lin Chang & Michael McAleer & Chien-Hsun Wang

**Volatility spillovers for spot, futures, and ETF prices in energy and agriculture**

*by*Chia-Lin Chang & Michael McAleer & Chia-Ping Liu

**Testing co-volatility spillovers for natural gas spot, futures and ETF spot using dynamic conditional covariances**

*by*Chia-Lin Chang & Michael McAleer & Yanghuiting Wang

**Modelling and testing volatility spillovers in oil and financial markets for USA, UK and China**

*by*Chia-Lin Chang & Michael McAleer & Jiarong Tian

**Modelling volatility spillovers for bio-ethanol, sugarcane and corn**

*by*Chia-Lin Chang & Michael McAleer & Yu-Ann Wang

**Endogenous Second Moments: A Unified Approach to Fluctuations in Risk, Dispersion, and Uncertainty**

*by*Straub, Ludwig & Ulbricht, Robert

**Modelling and Testing Volatility Spillovers in Oil and Financial Markets for USA, UK and China**

*by*Chia-Lin Chang & Michael McAleer & Jiarong Tian

**Testing Co-Volatility Spillovers for Natural Gas Spot, Futures and ETF Spot using Dynamic Conditional Covariances**

*by*Chia-Lin Chang & Michael McAleer & Yanghuiting Wang

**Volatility Spillovers for Spot, Futures, and ETF Prices in Energy and Agriculture**

*by*Chia-Lin Chang & Chia-Ping Liu & Michael McAleer

**Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn**

*by*Chia-Lin Chang & Michael McAleer & Yu-Ann Wang

**Coco Design, Risk Shifting and Financial Fragility**

*by*Stephanie Chan & Sweder van Wijnbergen

**Asymmetric Volatility of Net Convenience Yield: Evidence from Indian Commodity Futures Markets**

*by*BRAJESH KUMAR

**Information Processing in Freight and Freight Forward Markets: An Event Study on OPEC Announcements**

*by*Lauenstein, Philipp & Küster Simic, André

**Contingent Claims Analysis of Sovereign Debt Sustainability in Asian Emerging Markets**

*by*Brière, Marie & Ferrarini, Benno & Ramayandi, Arief

**Exploring Risk-Adjusted Fiscal Sustainability Analysis for Asian Economies**

*by*Kopits, George & Ferrarini, Benno & Ramayandi, Arief

**Pricing of Idiosyncratic Equity and Variance Risks**

*by*Elise Gourier

**Inferring Volatility Dynamics and Risk Premia from the S&P 500 and VIX markets**

*by*Chris Bardgett & Elise Gourier & Markus Leippold

**A Comparison of Stated Preference Methods for the Valuation of Improvement in Road Safety**

*by*Naghmeh Niroomand & Glenn P. Jenkins

**Evaluating Minimum-Traffic Guarantees for PPPs in Turkey by Real-Option Pricing**

*by*Ilker Ersegun Kayhan & Glenn P. Jenkins

**Build-Operate-Transfer Projects in Turkey: Contingent Liabilities and Associated Risks**

*by*Ilker Ersegun Kayhan & Glenn P. Jenkins

**Expectations Over Durable Assets: How to Avoid the Formation of Value Bubbles**

*by*Rosas-Martinez, Victor H.

**High Bids and Low Recovery: A Possible Case for Non-Performing Loan Auctions in India**

*by*Pandey, Ashish

**A Binomial Tree to Price European and American Options**

*by*Brogi, Athos

**Option Pricing Models**

*by*Giandomenico, Rossano

**Power Style Contracts Under Asymmetric Lévy Processes**

*by*Fajardo, José

**A New Factor to Explain Implied Volatility Smirk**

*by*fajardo, José

**The recursive nature of KVA: KVA mitigation from KVA**

*by*García Muñoz, Luis Manuel & Palomar Burdeus, Juan Esteban & de Lope Contreras, Fernando

**Futures market approach to understanding equity premium puzzle**

*by*Kim, Minseong

**Forecasting oil price realized volatility: A new approach**

*by*Degiannakis, Stavros & Filis, George

**Macro Risks and the Term Structure of Interest Rates**

*by*Geert Bekaert & Eric Engstrom & Andrey Ermolov

**Commodities for the Long Run**

*by*Ari Levine & Yao Hua Ooi & Matthew Richardson

**Do Rare Events Explain CDX Tranche Spreads?**

*by*Sang Byung Seo & Jessica A. Wachter

**Term Structures of Asset Prices and Returns**

*by*David Backus & Nina Boyarchenko & Mikhail Chernov

**Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities**

*by*Mikhail Chernov & Brett R. Dunn & Francis A. Longstaff

**How Crashes Develop: Intradaily Volatility and Crash Evolution**

*by*David S. Bates

**Options-Pricing Formula with Disaster Risk**

*by*Robert J. Barro & Gordon Y. Liao

**Rational land and housing bubbles in infinite-horizon economies**

*by*Stefano Bosi & Cuong Le Van & Ngoc-Sang Pham

**Margin Trading: Hedonic Returns and Real Losses**

*by*Daniel Ladley & Guanqing Liu & James Rockey

**The predictive power of the implied volatility of interest rates: Evidence from US Dollar, Euro, and Japanese Yen**

*by*Takahiro Hattori

**Good deal bounds with convex constraints: --- examples and proofs ---**

*by*Takuji Arai

**Functional Principal Component Analysis for Derivatives of Multivariate Curves**

*by*Maria Grith & Wolfgang K. Härdle & Alois Kneip & Heiko Wagner

**Subprime Borrowers, Securitization and the Transmission of Business Cycles**

*by*Grodecka, Anna

**Global variance term premia and intermediary risk appetite**

*by*Van Tassel, Peter & Vogt, Erik

**Term structures of asset prices and returns**

*by*Backus, David K. & Boyarchenko, Nina & Chernov, Mikhail

**Option-Implied Libor Rate Expectations across Currencies**

*by*Nick Gebbia

**Counterparty Risk and Counterparty Choice in the Credit Default Swap Market**

*by*Wenxin Du & Salil Gadgil & Michael B. Gordy & Clara Vega

**Informed Trading in Oil-Futures Market**

*by*Olivier Rousse & Benoît Sévi

**Anatomy of Risk Premium in UK Natural Gas Futures**

*by*Beatriz Martínez & Hipòlit Torró

**An Econometric Analysis of ETF and ETF Futures in Financial and Energy Markets Using Generated Regressors**

*by*Chang, C-L. & McAleer, M.J. & Wang, C-H.

**Modelling and Testing Volatility Spillovers in Oil and Financial Markets for USA, UK and China**

*by*Chang, C-L. & McAleer, M.J. & Tian, J.

**Testing Co-Volatility Spillovers for Natural Gas Spot, Futures and ETF Spot using Dynamic Conditional Covariances**

*by*Chang, C-L. & McAleer, M.J. & Wang, Y.

**Volatility Spillovers for Spot, Futures, and ETF Prices in Energy and Agriculture**

*by*Chang, C-L. & Liu, C-P. & McAleer, M.J.

**Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn**

*by*Chang, C-L. & McAleer, M.J. & Wang, Y-A.

**Bargaining Power, Business Cycle and Levered Equity Risk**

*by*Chen, Zhiyao & Strebulaev, Ilya A.

**Systemic Default and Return Predictability in the Stock and Bond Markets**

*by*Bao, Jack & Hou, Kewei & Zhang, Shaojun A.

**Hedging Interest Rate Risk Using a Structural Model of Credit Risk**

*by*Huang, Jing-Zhi & Shi, Zhan

**Contingent convertible bonds with floating coupon payments: fixing the equilibrium problem**

*by*Daniël Vullings

**Good deal measurement in asset pricing: Actuarial and financial implications**

*by*Okhrati, Ramin & Garrido, José & Balbás, Alejandro

**Coherent Pricing**

*by*Balbás, Raquel & Balbás, Beatriz & Balbás, Alejandro

**The Role of Emerging Economies in the Global Price Formation Process of Commodities: Evidence from Brazilian and U.S. Coffee Markets**

*by*Martin T. Bohl & Christian Gross & Waldemar Souza

**A Macrofinance View of U.S. Sovereign CDS Premiums**

*by*Chernov, Mikhail & Schmid, Lukas & Schneider, Andres

**A comedy of errors: misguided policy, mis-sold mortgages, and more**

*by*Miller, Marcus & Rastapana, Songklod & Zhang, Lei

**Term structures of asset prices and returns**

*by*Backus, David & Boyarchenko, Nina & Chernov, Mikhail

**CoCo Design, Risk Shifting and Financial Fragility**

*by*Chan, Stephanie & van Wijnbergen, Sweder

**Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities**

*by*Chernov, Mikhail & Dunn, Brett R. & Longstaff, Francis

**Asset Retirement with Infinitely Repeated Alternative Replacements: Harvest Age and Species Choice in Forestry**

*by*Skander Ben Abdallah & Pierre Lasserre

**Nonparametric Tail Risk, Stock Returns and the Macroeconomy**

*by*René Garcia & Caio Almeida & Kym Ardison & Jose Vicente

**Sovereign GDP-linked bonds**

*by*Benford, James & Joy, Mark & Kruger, Mark

**The role of collateral in supporting liquidity**

*by*Baranova, Yuliya & Liu, Zijun & Noss, Joseph

**Risk premia and seasonality in commodity futures**

*by*Hevia, Constantino & Petrella, Ivan & Sola, Martin

**Exchange Rate Risk Premium: An Analysis of its Determinants for the Mexican Peso-USD**

*by*Benavides Guillermo

**BTP futures and cash relationships: a high frequency data analysis**

*by*Onofrio Panzarino & Francesco Potente & Alfonso Puorro

**The evolution of inflation expectations in euro area markets**

*by*Ricardo Gimeno & Eva Ortega

**Retrieving Risk-Neutral Densities Embedded in VIX Options: a Non-Structural Approach**

*by*Andrea Barletta & Paolo Santucci de Magistris & Francesco Violante

**Interest rate dynamics and volatility transmission in the European short term interest rate market**

*by*Frances Shaw & Finbarr Murphy & Fergal O’Brien

**The regime-switching risk premium in the gold futures market**

*by*Seth J. Kopchak

**No arbitrage of the first kind and local martingale numéraires**

*by*Yuri Kabanov & Constantinos Kardaras & Shiqi Song

**Another look at the integral of exponential Brownian motion and the pricing of Asian options**

*by*Andrew Lyasoff

**A BSDE approach to fair bilateral pricing under endogenous collateralization**

*by*Tianyang Nie & Marek Rutkowski

**Polynomial diffusions and applications in finance**

*by*Damir Filipović & Martin Larsson

**Consumption-investment problem with transaction costs for Lévy-driven price processes**

*by*Dimitri Vallière & Yuri Kabanov & Emmanuel Lépinette

**The joint distribution of Parisian and hitting times of Brownian motion with application to Parisian option pricing**

*by*Angelos Dassios & You You Zhang

**Additive subordination and its applications in finance**

*by*Jing Li & Lingfei Li & Rafael Mendoza-Arriaga

**An explicit martingale version of the one-dimensional Brenier theorem**

*by*Pierre Henry-Labordère & Nizar Touzi

**Almost-sure hedging with permanent price impact**

*by*Bruno Bouchard & Grégoire Loeper & Yiyi Zou

**Robust pricing and hedging under trading restrictions and the emergence of local martingale models**

*by*Alexander M. G. Cox & Zhaoxu Hou & Jan Obłój

**Asymptotic replication with modified volatility under small transaction costs**

*by*Jiatu Cai & Masaaki Fukasawa

**Stability of utility maximization in nonequivalent markets**

*by*Kim Weston

**Consistent price systems under model uncertainty**

*by*Bruno Bouchard & Marcel Nutz

**Model-independent superhedging under portfolio constraints**

*by*Arash Fahim & Yu-Jui Huang

**Universal arbitrage aggregator in discrete-time markets under uncertainty**

*by*Matteo Burzoni & Marco Frittelli & Marco Maggis

**Superreplication when trading at market indifference prices**

*by*Peter Bank & Selim Gökay

**Responses to market information and the impact on price volatility and trading volume: the case of Class III milk futures**

*by*Xiaodong Du & Fengxia Dong

**Domestic and international information linkages between NSE Nifty spot and futures markets: an empirical study for India**

*by*Sanjay Sehgal & Mala Dutt

**Endogenous trading in credit default swaps**

*by*Marc Chesney & Delia Coculescu & Selim Gökay

**Tail risk hedging for mutual funds using equity market state prices**

*by*Michael J Oâ€™Neill & Zhangxin (Frank) Liu

**Strategies Based on Momentum and Term Structure in Financialized Commodity Markets**

*by*Zaremba, Adam

**Macroeconomic Variables, Government Effectiveness and Sovereign Credit Rating: A Case of Egypt**

*by*Osama M. Badr & Ahmed F. El-khadrawi

**Financialisation of Commodity Market in India : A Closer Look at the Evidence**

*by*Pratap Kumar Jena

**When Financial Derivatives can be Applied to the Real Economy – The Case of Exotic Options in Corporate Finance**

*by*Jian Wu

**Expected Credit Loss vs. Credit Value Adjustment: A Comparative Analysis**

*by*Vivien Brunel & Stéphane Crépey & Monique Jeanblanc

**Multi-Asset Seasonality and Trend-Following Strategies**

*by*Nick Baltas

**Medicion del riesgo de la cola en el mercado del petroleo mexicano aplicando la teoria de valores extremos condicional**

*by*Raul De Jesus Gutierrez & Edgar Ortiz Calisto & Oswaldo Garcia Salgado & Veronica Angeles Morales

**Gas Swing Options: Introduction and Pricing using Monte Carlo Methods**

*by*Tomáš Václavík & Andrea Klimešová

**Pricing of average value options versus European options with stochastic interest rate**

*by*Ambrosio Ortiz Ramírez & María Teresa Martínez Palacios

**Relation between ISE 30 index and ISE 30 index futures markets: Evidence from recursive and rolling cointegration**

*by*Aysegul Ates

**Measuring sovereign credit risk using a structural model approach**

*by*Han-Hsing Lee & Kuanyu Shih & Kehluh Wang

**The real option approach to adoption or discontinuation of a management accounting innovation: the case of activity-based costing**

*by*Shu Feng & Chun-Yu Ho

**Alternative methods to derive option pricing models: review and comparison**

*by*Cheng-Few Lee & Yibing Chen & John Lee

**On the prediction of financial distress in developed and emerging markets: Does the choice of accounting and market information matter? A comparison of UK and Indian Firms**

*by*Evangelos C. Charalambakis & Ian Garrett

**Explaining the volatility smile: non-parametric versus parametric option models**

*by*Hsuan-Chu Lin & Ren-Raw Chen & Oded Palmon

**The extent of informational efficiency in the credit default swap market: evidence from post-earnings announcement returns**

*by*Nicole Thorne Jenkins & Michael D. Kimbrough & Juan Wang

**Pricing currency options under double exponential jump diffusion in a Markov-modulated HJM economy**

*by*Mi-Hsiu Chiang & Chang-Yi Li & Son-Nan Chen

**The day the index rose 11 %: a clinical study on price discovery reversal**

*by*Christoph Schmidhammer & Sebastian Lobe & Klaus Röder

**On exact pricing of FX options in multivariate time-changed Lévy models**

*by*Roman V. Ivanov & Katsunori Ano

**Stochastic covariance and dimension reduction in the pricing of basket options**

*by*Marcos Escobar & Daniel Krause & Rudi Zagst

**Is the information obtained from European options on equally weighted baskets enough to determine the prices of exotic derivatives such as worst-of options?**

*by*Jacinto Marabel Romo

**Credit valuation adjustment of cap and floor with counterparty risk: a structural pricing model for vulnerable European options**

*by*Lie-Jane Kao

**The Economics of Commercial Real Estate Preleasing**

*by*Robert H. Edelstein & Peng Liu

**The Rent Term Premium for Cancellable Leases**

*by*Jiro Yoshida & Miki Seko & Kazuto Sumita

**Determining Hurdle Rate and Capital Allocation in Credit Portfolio Management**

*by*Peter Miu & Bogie Ozdemir & Evren Cubukgil & Michael Giesinger

**When do Firms Invest in Corporate Social Responsibility? A Real Option Framework**

*by*Danny Cassimon & Peter-Jan Engelen & Luc Liedekerke

**Pricing Foreign Exchange Options Under Intervention by Absorption Modeling**

*by*Taiga Saito

**Commodity Spread Option with Cointegration**

*by*Katsushi Nakajima & Kazuhiko Ohashi

**Adapted hedging**

*by*Dilip B. Madan

**Credit risk analysis with creditor’s option to extend maturities**

*by*Ryoichi Ikeda & Yoske Igarashi

**Benchmarking in two price financial markets**

*by*Dilip B. Madan

**Relative asset price bubbles**

*by*Roseline Bilina Falafala & Robert A. Jarrow & Philip Protter

**Risk premia in option markets**

*by*Dilip B. Madan

**Saddlepoint approximations to option price in a regime-switching model**

*by*Mengzhe Zhang & Leunglung Chan

**Integrated Markets Of Latin American: A Cointegration Analysis, Mercado Integrado Latinoamericano: Un Analisis De Cointegracion**

*by*Eduardo Sandoval & Macarena Soto

**Option Pricing Based on Alternative Jump Size Distributions**

*by*Jian Chen & Chenghu Ma

**Dynamic volatility spillovers across shipping freight markets**

*by*Tsouknidis, Dimitris A.

**Growing pains: The evolution of new stock index futures in emerging markets**

*by*Sila Alan, Nazli & Karagozoglu, Ahmet K. & Korkmaz, Sibel

**How much can lack of marketability affect private equity fund values?**

*by*Buchner, Axel

**Option-implied probability distributions: How reliable? How jagged?**

*by*Taboga, Marco

**Macroeconomic factors and the cross-section of commodity futures returns**

*by*Shang, Hua & Yuan, Ping & Huang, Lin

**Swiss franc's one-sided target zone during 2011–2015**

*by*Hui, Cho-Hoi & Lo, Chi-Fai & Fong, Tom Pak-Wing

**Is the refining margin stationary?**

*by*Población, Javier & Serna, Gregorio

**Using VIX futures to hedge forward implied volatility risk**

*by*Lin, Yueh-Neng & Lin, Anchor Y.

**Systematic risk and volatility skew**

*by*Tzang, Shyh-Weir & Wang, Chou-Wen & Yu, Min-Teh

**The importance of stock liquidity on option pricing**

*by*Feng, Shih-Ping & Hung, Mao-Wei & Wang, Yaw-Huei

**Do shareholders appreciate capital investment policies of corporations?**

*by*Lu, Jin-Ray & Hwang, Chih-Chiang & Lin, Chien-Yi

**Do financial stress and policy uncertainty have an impact on the energy and metals markets? A quantile regression approach**

*by*Reboredo, Juan C. & Uddin, Gazi Salah

**Derivative markets in emerging economies: A survey**

*by*Atilgan, Yigit & Demirtas, K. Ozgur & Simsek, Koray D.

**The impact of investor sentiment on returns and conditional volatility in U.S. futures markets**

*by*Bahloul, Walid & Bouri, Abdelfettah

**Sovereign-bank linkages: Quantifying directional intensity of risk transfers in EMU countries**

*by*Singh, Manish K. & Gómez-Puig, Marta & Sosvilla-Rivero, Simón

**Gambling preference and individual equity option returns**

*by*Byun, Suk-Joon & Kim, Da-Hea

**Disaster recovery and the term structure of dividend strips**

*by*Hasler, Michael & Marfè, Roberto

**Early option exercise: Never say never**

*by*Jensen, Mads Vestergaard & Pedersen, Lasse Heje

**The volatility of a firm's assets and the leverage effect**

*by*Choi, Jaewon & Richardson, Matthew

**Does variance risk have two prices? Evidence from the equity and option markets**

*by*Barras, Laurent & Malkhozov, Aytek

**Liquidity, resiliency and market quality around predictable trades: Theory and evidence**

*by*Bessembinder, Hendrik & Carrion, Allen & Tuttle, Laura & Venkataraman, Kumar

**The value of creditor control in corporate bonds**

*by*Feldhütter, Peter & Hotchkiss, Edith & Karakaş, Oğuzhan

**Why does the option to stock volume ratio predict stock returns?**

*by*Ge, Li & Lin, Tse-Chun & Pearson, Neil D.

**Analyzing volatility risk and risk premium in option contracts: A new theory**

*by*Carr, Peter & Wu, Liuren

**Does Dodd-Frank affect OTC transaction costs and liquidity? Evidence from real-time CDS trade reports**

*by*Loon, Yee Cheng & Zhong, Zhaodong (Ken)

**Nominal price illusion**

*by*Birru, Justin & Wang, Baolian

**The cross-sectional variation of volatility risk premia**

*by*González-Urteaga, Ana & Rubio, Gonzalo

**Quadratic variance swap models**

*by*Filipović, Damir & Gourier, Elise & Mancini, Loriano

**A test for risk-averse expected utility**

*by*Chambers, Christopher P. & Liu, Ce & Martinez, Seung-Keun

**Robust option pricing: Hannan and Blackwell meet Black and Scholes**

*by*DeMarzo, Peter M. & Kremer, Ilan & Mansour, Yishay

**Valuing restricted stock grants to non-executive employees**

*by*Abudy, Menachem (Meni) & Benninga, Simon

**Revisiting calendar anomalies: Three decades of multicurrency evidence**

*by*Kumar, Satish

**Futures markets, cognitive ability, and mispricing in experimental asset markets**

*by*Noussair, Charles N. & Tucker, Steven & Xu, Yilong

**Commodities momentum: A behavioral perspective**

*by*Bianchi, Robert J. & Drew, Michael E. & Fan, John Hua

**Market makers’ optimal price-setting policy for exchange-traded certificates**

*by*Baller, Stefanie & Entrop, Oliver & McKenzie, Michael & Wilkens, Marco

**The predictive performance of commodity futures risk factors**

*by*Ahmed, Shamim & Tsvetanov, Daniel

**Do traders strategically time their pledges during real-world Walrasian auctions?**

*by*Eaves, James & Williams, Jeffrey & Power, Gabriel J.

**Jump and variance risk premia in the S&P 500**

*by*Neumann, Maximilian & Prokopczuk, Marcel & Wese Simen, Chardin

**Pricing effects when competitors arrive: The case of discount certificates in Germany**

*by*Schertler, Andrea

**Pricing and hedging of derivatives in contagious markets**

*by*Kokholm, Thomas

**The MAX effect: An exploration of risk and mispricing explanations**

*by*Zhong, Angel & Gray, Philip

**A test of efficiency for the S&P 500 index option market using the generalized spectrum method**

*by*Huang, Henry H. & Wang, Kent & Wang, Zhanglong

**Forecasting realized volatility in a changing world: A dynamic model averaging approach**

*by*Wang, Yudong & Ma, Feng & Wei, Yu & Wu, Chongfeng

**How does the market variance risk premium vary over time? Evidence from S&P 500 variance swap investment returns**

*by*Konstantinidi, Eirini & Skiadopoulos, George

**Tests of non linear Gaussian term structure models**

*by*Realdon, Marco

**The evolving dynamics of the Australian SPI 200 implied volatility surface**

*by*Tanha, Hassan & Dempsey, Michael

**Optimal hedging in carbon emission markets using Markov regime switching models**

*by*Philip, Dennis & Shi, Yukun

**Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality**

*by*Ignatieva, Katja & Song, Andrew & Ziveyi, Jonathan

**Pricing and hedging basket options with exact moment matching**

*by*Leccadito, Arturo & Paletta, Tommaso & Tunaru, Radu

**Valuing inflation-linked death benefits under a stochastic volatility framework**

*by*Liang, Zongxia & Sheng, Wenlong

**Hedging pure endowments with mortality derivatives**

*by*Wang, Ting & Young, Virginia R.

**A self-exciting threshold jump–diffusion model for option valuation**

*by*Siu, Tak Kuen

**Omega diffusion risk model with surplus-dependent tax and capital injections**

*by*Cui, Zhenyu & Nguyen, Duy

**National politics and bank default risk in the eurozone**

*by*Eichler, Stefan & Sobański, Karol

**How much can illiquidity affect corporate debt yield spread?**

*by*Abudy, Menachem Meni & Raviv, Alon

**Time series momentum and volatility scaling**

*by*Kim, Abby Y. & Tse, Yiuman & Wald, John K.

**The value of the wildcard option in cash-settled American index options**

*by*Lasser, Dennis J. & Spizman, Joshua D.

**Pricing power exchange options with correlated jump risk**

*by*Wang, Xingchun

**Pricing discrete double barrier options under Lévy processes: An extension of the method by Milev and Tagliani**

*by*Xiao, Shuang & Ma, Shihua

**Pricing vulnerable options with stochastic default barriers**

*by*Wang, Xingchun

**Valuing resettable convertible bonds: Based on path decomposing**

*by*Feng, Yun & Huang, Bing-hua & Huang, Yu

**Credit risk findings for commercial real estate loans using the reduced form**

*by*Christopoulos, Andreas D. & Barratt, Joshua G.

**Integral representation of vega for American put options**

*by*Liu, Yanchu & Cui, Zhenyu & Zhang, Ning

**The information content of implied volatility and jumps in forecasting volatility: Evidence from the Shanghai gold futures market**

*by*Luo, Xingguo & Qin, Shihua & Ye, Zinan

**Closed form valuation of American chained knock-in options**

*by*Han, Heejae & Jeon, Junkee & Kang, Myungjoo

**Nonrandom price movements**

*by*Madan, Dilip B. & Wang, King

**The betting against beta anomaly: Fact or fiction?**

*by*Buchner, Axel & Wagner, Niklas

**Pricing options under the non-affine stochastic volatility models: An extension of the high-order compact numerical scheme**

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**Options and Option Strategies**

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**The Uses and Calculation of Market Indexes**

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**Introduction to Valuation Theories**

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**Common Stock: Return, Growth, and Risk**

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**Accounting Information and Regression Analysis**

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**A contribution in stochastic control applied to finance and insurance**

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**A Comparison Of Gradient Estimation Techniques For European Call Options**

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**Integration of the global carbon markets**

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**Rejoinder to a remark on Lin and Chang's paper ‘Consistent modeling of S&P 500 and VIX derivatives’**

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**A correction note on the first passage time of an Ornstein-Uhlenbeck process to a boundary**

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**Pricing Foreign Currency and Cross-Currency Options Under GARCH**

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**Empirical Tests of an Option Price Inversion Approach**

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**Une application de la formule de Jarrow et Rudd aux options sur indice CAC 40**

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**The arc sine law and the treasury bill futures market**

*by*Dale, Charles & Workman, Rosemarie

**Treasury/Federal Reserve Study of Treasury Futures Markets Volume II: A Study by the Staffs of the U.S. Treasury and Federal Reserve System**

*by*Vignola, Anthony & Dale, Charles & Federal Reserve System, Federal Reserve Staffs

**Treasury/Federal Reserve Study of Treasury Futures Markets Volume I: Summary and Recommendations**

*by*Vignola, Anthony & Dale, Charles & Federal Reserve System, Federal Reserve Staffs

**Is the Futures Market for Treasury Bills Efficient?**

*by*Vignola, Anthony & Dale, Charles

**The Timing and Returns of Mergers and Acquisitions in Oligopolistic Industries**

*by*Dirk Hackbarth & Jianjun Miao

**The Stochastic Finite Element Method and Application in Option Pricing**

*by*Look, Stefan

**On the equivalence of large Individualized and distributionalized games**

*by*Khan, Mohammed Ali & Rath, Kali P. & Yu, Haomiao & Zhang, Yongchao

**Designing the Financial Tools to Promote Universal Free-Access to AIDS Care**

*by*Patrick Leoni & Stï¿½phane Luchini

**Design the Financial Tool to Promote Universal Free Access to AIDS Care**

*by*Patrick Leoni & Stï¿½phane Luchini

**Corporate Bond Valuation with Both Expected and Unexpected Default**

*by*Marco Realdon

**Valuation of Put Options on Leveraged Equity**

*by*Marco Realdon

**Convertible Subordinated Debt Valuation and "Conversion in Distress"**

*by*Marco Realdon

**Valuation of Exchangeable Convertible Bonds**

*by*Marco Realdon

**Coupon Bond Valuation with a Non-Affine Discount Yield Model**

*by*Peter D Spencer

**Speculation and Hedging in the Currency Futures Markets: Are They Informative to the Spot Exchange Rates**

*by*Aaron Tornell & Chunming Yuan

**Impact of Liquidity on the Futures–Cash Basis: Evidence from the Indian Market**

*by*Palani-Rajan Kadapakkam & Umesh Kumar

**“Stock PIKs”- Taking a firm by its tails**

*by*Karan Bhanot & Antonio S. Mello

**Is Trading Imbalance a Better Explanatory Factor in the Volatility Process? Intraday and Daily Evidence from E-mini S&P 500 Index Futures and Information-Based Hypotheses**

*by*An-Sing Chen & Hui-Jyuan Gao & Mark Leung

**Competition for Order Flow and Market Quality in the Gold and Silver Futures Markets**

*by*Karan Bhanot & Valeria Martinez & Zi Ning & Yiuman Tse

**The Impact of Trading Activity by Trader Types on Asymmetric Volatility in Nasdaq-100 Index Futures**

*by*Jullavut Kittiakaraskun & Yiuman Tse & George H.K. Wang

**Does Index Speculation Impact Commodity Prices? An Intraday Futures Analysis Using intraday data, we find that unidirectional causality runs from commodity index linked commodity futures to non-index linked commodity futures for up to one hour but disappears when using daily data. Also, the economic significance of index to non-index commodity transmission declines to zero within about an hour. Finally, we find that the magnitude of index-to-non index returns relationships are positively related to the amount of speculation, both long and short, in the GSCI commodity index futures contract. We conclude that speculative pressures exerted by commodity index investors can impact non-index commodities. These results are likely not due to speculative pressure itself, but rather the subsequent price destabilizing trades of uninformed, positive feedback traders**

*by*Yiuman Tse & Michael Williams

**The Relationship between Currency Carry Trades and U.S. Stocks The article examines the relationship between daily returns of currency carry trades and U.S. stocks from January 1995 through September 2010. Carry trade and stock returns are highly correlated with no Granger-causality in either direction. An EGARCH model shows that significant volatility spillovers flow from the stock market to the carry trade market, but not vice versa. The markets are more correlated in periods of high volatility. Volatilities in both markets also increase more with negative innovations than positive innovations. A sectoral analysis of the index suggests that volatilities of cyclical stocks have more impact than non-cyclical stocks on carry trades**

*by*Yiuman Tse & Lin Zhao

**2012-02 Marginal abatement cost curves and carbon capture and storage options in Australia**

*by*Jason West

**Credit Spread Specification and the Pricing of Spread Options**

*by*Nicolas Mougeot

**On the American Swaption in the Linear-Rational Framework**

*by*Damir Filipovic & Yerkin Kitapbayev

**Comments on: Nonparametric Tail Risk, Stock Returns and the Macroeconomy**

*by*Lorenzo CAMPONOVO & Olivier SCAILLET & Fabio TROJANI

**The Jacobi Stochastic Volatility Model**

*by*Damien Ackerer & Damir FilipoviÄ‡ & Sergio Pulido

**Linear Credit Risk Models**

*by*Damien Ackerer & Damir FilipoviÄ‡

**On the Relation between Linearity-Generating Processes and Linear-Rational Models**

*by*Damir FilipoviÄ‡ & Martin Larsson & Anders B. Trolle

**Discrete-Time Option Pricing with Stochastic Liquidity**

*by*Markus Leippold & Steven Schaerer

**A Bayesian Estimate of the Pricing Kernel**

*by*Giovanni Barone-Adesi & Chiara Legnazzi & Antonietta Mira

**Economically Consistent Valuations and Put-Call Parity**

*by*Martin HERDEGEN & Martin SCHWEIZER

**A General Closed Form Option Pricing Formula**

*by*Ciprian Necula & Gabriel G. Drimus & Walter Farkas

**Model Uncertainty, Recalibration, and the Emergence of Delta-Vega Hedging**

*by*Sebastian Herrmann & Johannes Muhle-Karbe

**The Price of the Smile and Variance Risk Premia**

*by*Peter H. GRUBER & Claudio TEBALDI & Fabio TROJANI

**Noisy Arrow-Debreu Equilibria**

*by*Semyon MALAMUD

**Pricing and Disentanglement of American Puts in the Hyper-Exponential Jump-Diffusion Model**

*by*Markus LEIPPOLD & Nikola VASILJEVIC

**Linear-Rational Term Structure Models**

*by*Damir FILIPOVIC & Martin LARSSON & Anders TROLLE

**Portfolio Selection with Options and Transaction Costs**

*by*Semyon MALAMUD

**A remark on Lin and Chang’s paper ‘Consistent modeling of S&P 500 and VIX derivatives**

*by*Jun CHENG & Meriton IBRAIMI & Markus LEIPPOLD & Jin E. ZHANG

**Collateral Smile**

*by*Markus LEIPPOLD & Lujing SU

**Detecting Informed Trading Activities in the Options Markets**

*by*Marc CHESNEY & Remo CRAMERI & Loriano MANCINI

**Detecting Informed Trading Activities in the Options Markets: Appendix on Subprime Financial Crisis**

*by*Marc CHESNEY & Remo CRAMERI & Loriano MANCINI

**The Value of Tradeability**

*by*Marc CHESNEY & Alexander KEMPF

**Predictive Power of Information Market Prices**

*by*Maria PUTINTSEVA

**Weak Approximation of G-Expectations**

*by*Yan DOLINSKY & Marcel NUTZ & Halil Mete SONER

**Conditional Density Models for Asset Pricing**

*by*Damir FILIPOVIC & Lane P. HUGHSTON & Andrea MACRINA

**Ambiguity Aversion and the Term Structure of Interest Rates**

*by*Laurent BARRAS & Patrick Gagliardini & Paolo Porchia & Fabio Trojani

**Semi-Parametric Estimation of American Option Prices**

*by*Patrick Gagliardini & Diego Ronchetti

**Martingale Representation Theorem for the G-expectation**

*by*Halil Mete SONER & Nizar TOUZI & Jianfeng ZHANG

**Liquidity Models in Continuous and Discrete Time**

*by*Selim GOKAY & Alexandre F. ROCH & Halil Mete SONER

**A Market Model for Stochastic Implied Volatility**

*by*Schönbucher, Philpp J.

**Stock Evolution under Stochastic Volatility: A Discrete Approach**

*by*Leisen, Dietmar P.J.

**Semiparametric Analysis of Stationary Fractional Cointegration and the Implied-Realized Volatility Relation in High-Frequency Options Data**

*by*Bent Jesper Christensen & Morten Ø. Nielsen

**Short Sale and Index Futures Mispricing: Evidence from the Warsaw Stock Exchange**

*by*Edyta Marcinkiewicz