## 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.

**Modeling Persistence of Carbon Emission Allowance Prices**

*by*Luis A. Gil-Alana & Fernando Perez de Gracia & Rangan Gupta

**Pricing Model Management: Evidence from Employee Stock Option (Un)Fair Valuation**

*by*Larmande , Francois & Belze , Loïc & Schneider , Lorenz

**Geographical Diversification with a World Volatility Index**

*by*Aboura, Sofiane & Chevallier, Julien

**Employee Stock Option-Implied Risk Attitude Under Rank-Dependent Expected Utility**

*by*Bahaji, Hamza & Casta, Jean-François

**Seasonality and Stochastic Volatility in Wheat Options**

*by*Michael Osei & Zhiguang Wang

**Evidences of Efficient Investment Portfolio in Indian Capital Markets - An Analysis Based on BSE and NSE Indices**

*by*Mehta, Deepshikha

**Die steueroptimale Anlegerstrategie bei Wertpapieren und die zugehörige Grenzpreisbestimmung**

*by*Hoffmann, Steffen

**Convenience yields and risk premiums in the EU-ETS - Evidence from the Kyoto commitment period**

*by*Stefan Trück & Rafal Weron

**Cross-Sectional Returns With Volatility Regimes From Diverse Portfolio of Emerging and Developed Equity Indices**

*by*Paweł Sakowski & Robert Ślepaczuk & Mateusz Wywiał

**Probability weighting functions**

*by*Martina Nardon & Paolo Pianca

**Recovering the Real-World Density and Liquidity Premia From Option Data**

*by*Mathias Barkhagen & Jörgen Blomvall & Eckhard Platen

**Electricity Market Coupling and the Pricing of Transmission Rights: An Option-based Approach**

*by*Mahringer, Steffen & Fuess, Roland & Prokopczuk, Marcel

**Returns to Investing in Sovereign Debt: a Response to Alvarez Nogal and Chamley**

*by*Drelichman, Mauricio & Hans-Joachim, Voth

**Duplication without Constraints: Alvarez Nogal and Chamleyâ€™s Analysis of Debt Policy under Philip II**

*by*Drelichman, Mauricio & Voth, Hans-Joachim

**Asset Pricing in Incomplete Markets: Valuing Gas Storage Capacity**

*by*Lin Zhao & Sweder van Wijnbergen

**Option Prices and Model-free Measurement of Implied Herd Behavior in Stock Markets**

*by*Dani�l Linders & Jan Dhaene & Wim Schoutens

**Do Long Memory and Asymmetries Matter When Assessing Downside Return Risk?**

*by*Nico Katzke & Chris Garbers

**Variance Premium and Implied Volatility in a Low-Liquidity Option Market**

*by*Eduardo Astorino & Fernando Chague, Bruno Cara Giovannetti, Marcos Eugênio da Silva

**Price Discovery and Foreign Participation in the Republic of Korea’s Government Bond Cash and Futures Markets**

*by*Park, Cyn-Young & Mercado, Rogelio & Choi, Jaehun & Lim, Hosung

**A New Predictor of Real Economic Activity: The S&P 500 Option Implied Risk Aversion**

*by*Sylvia Sarantopoulou-Chiourea & George Skiadopoulos

**A Note on Credit Spread Forwards**

*by*Hertrich, Markus

**Inflation forecasts: Are market-based and survey-based measures informative?**

*by*Grothe, Magdalena & Meyler, Aidan

**Evidences of efficient investment portfolio in Indian capital markets-An analysis based on BSE and NSE indices**

*by*Mehta, Deepshikha

**Brent nefti opsiyonlarından neytral riskli ehtimal paylanmasının əldə olunması**

*by*Ahmadov, Vugar & Huseynov, Salman & Mammadov, Fuad & Karimli, Tural

**Index Option Returns from an Anchoring Perspective**

*by*Hammad, Siddiqi

**A Nonparametric Option Pricing Model Using Higher Moments**

*by*Cayton, Peter Julian

**Explaining the Smile in Currency Options: Is it Anchoring?**

*by*Siddiqi, Hammad

**Anchoring Heuristic in Option Pricing**

*by*Siddiqi, Hammad

**Innovaciones financieras en América Latina: mercados de derivados y determinantes de la administración de riesgo**

*by*Ibañez, Francisco & Romero-Meza, Rafael & Coronado-Ramírez, Semei & Venegas-Martínez, Francisco

**The effectiveness of index futures hedging in emerging markets during the crisis period of 2008-2010: Evidence from South Africa**

*by*Bonga-Bonga, Lumengo & Umoetok, Ekerete

**Relative Risk Perception and the Puzzle of Covered Call writing**

*by*Siddiqi, Hammad

**Analogy Based Valuation of Currency Options**

*by*Siddiqi, Hammad

**Pricing Derivatives in the New Framework: OIS Discounting, CVA, DVA & FVA**

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

**Analogy based Valuation of Commodity Options**

*by*Siddiqi, Hammad

**The Pricing of Short-Term market Risk: Evidence from Weekly Options**

*by*Torben G. Andersen & Nicola Fusari & Viktor Todorov

**The Supply and Demand of S&P 500 Put Options**

*by*George M. Constantinides & Lei Lian

**Optimum Forest Rotations of Alternative Tree Species**

*by*Skander BEN ABDALLAH & Pierre LASSERRE

**The Financial Econometrics of Price Discovery and Predictability**

*by*Seema Narayan & Russell Smyth

**Towards a skewness index for the Italian stock market**

*by*Elyas Elyasiani & Luca Gambarelli & Silvia Muzzioli

**Nonparametric Estimates of Option Prices Using Superhedging**

*by*Gianluca Cassese

**Marx's Theory of Money and 21st-century Macrodynamics**

*by*Tai Young-Taft

**Risk Premiums in the Cross-Section of Commodity Convenience Yields**

*by*Thomas Bollinger & Axel Kind

**The informational role of algorithmic traders in the option market**

*by*Rohini Grover

**Limits to arbitrage: The case of single stock futures and spot prices**

*by*Nidhi Aggarwal

**Variation of Wrong-Way Risk Management and Its Impact on Security Price Changes**

*by*Tetsuya Adachi & Yoshihiko Uchida

**Measuring Contagion-Induced Funding Liquidity Risk in Sovereign Debt Markets**

*by*Cho-Hoi Hui & Chi-Fai Lo & Xiao-Fen Zheng & Tom Fong

**A Quasi-Bounded Model for Swiss Franc's One-Sided Target Zone During 2011-2015**

*by*C. H. Hui & C. F. Lo & T. Fong

**A Power Market Forward Curve with Hydrology Dependence An Approach based on Artificial Neural Networks**

*by*Green, Rikard

**Microscopic momentum in commodity futures**

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

**The term structure of the price of variance risk**

*by*Andries, Marianne & Eisenbach, Thomas M. & Schmalz, Martin C. & Wang, Yichuan

**The Effects of Asymmetric Volatility and Jumps on the Pricing of VIX Derivatives**

*by*Park, Yang-Ho

**Food Price Bubbles and Government Intervention: Is China Different?**

*by*Li, Jian & Li, Chongguang & Chavas, Jean-Paul

**Quanto Implied Correlation in a Multi-Lévy Framework**

*by*Laura Ballota & Griselda Deelstra & Grégory Rayée

**Convertible bonds and bank risk-taking**

*by*Natalya Martynova & Enrico Perotti

**Price Discovery in Thinly Traded Futures Markets: How Thin is Too Thin?**

*by*Philipp Adämmer & Martin T. Bohl & Christian Gross

**Volatility-related exchange traded assets: an econometric investigation**

*by*Mencía, Javier & Sentana, Enrique

**Volatility-Related Exchange Traded Assets: An Econometric Investigation**

*by*Javier Mencía & Enrique Sentana

**Forward Premia in Electricity Markets: Two Caveats**

*by*Silvester Van Koten

**Corporate Fraction and the Equilibrium Term-Structure of Equity Risk**

*by*Roberto MarfÃ¨

**On the Credibility of the Euro/Swiss Franc Floor: A Financial Market Perspective**

*by*Markus Hertrich & Heinz Zimmermann

**Roll Strategy Efficiency in Commodity Futures Markets**

*by*Nick Taylor

**Stabilising house prices: the role of housing futures trading**

*by*Uluc, Arzu

**Volatility contagion: new evidence from market pricing of volatility risk**

*by*Raczko, Marek

**A joint affine model of commodity futures and US Treasury yields**

*by*Chin, Michael & Liu, Zhuoshi

**Using Merton model: an empirical assessment of alternatives**

*by*Zvika Afik & Ohad Arad & Koresh Galil

**Tail comovement in option-implied inflation expectations as an indicator of anchoring**

*by*Sara Cecchetti & Filippo Natoli & Laura Sigalotti

**Risk-adjusted expectations of inflation**

*by*Marco Casiraghi & Marcello Miccoli

**Default near-the-default-point: the value of and the distance to default**

*by*Alfredo Ibáñez

**Sovereigns and banks in the euro area: A tale of two crises**

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

**Maximum Entropy Evaluation of Asymptotic Hedging Error under a Generalised Jump-Diffusion Model**

*by*Farzad Alavi Fard & Firmin Doko Tchakota & Sivagowry Sriananthakumar

**Which pricing approach for options under GARCH with non-normal innovations?**

*by*Jean-Guy Simonato & Lars Stentoft

**Dynamic Factor Models for the Volatility Surface**

*by*Michel van der Wel & Sait R. Ozturk & Dick van Dijk

**Escenarios Monte Carlo para estrategias con expectativas de baja volatilidad cambiante mediante opciones europeas de compra y venta / Monte Carlo scenarios for strategies with expectations of changing low volatility using European call and put options**

*by*Olivares Aguayo, Héctor Alonso & Ortiz-Ramírez, Ambrosio & Bucio Pacheco, Christian

**A Cautionary Note on the Put-Call Parity under an Asset Pricing Model with a Lower Reflecting Barrier**

*by*Markus Hertrich

**Intraday Lead-Lag Relationship between Stock Index and Stock Index Futures Markets: Evidence from Turkey**

*by*Ersoy, Ersan & Çıtak, Levent

**Inflation, Business Cycles, and Commodity Investing in Financialized Markets**

*by*Zaremba, Adam

**Information System Reengineering Effects Through The Establishment Of The Special Department For Business Intelligence In Business Entities**

*by*Branimir Dukic & Sanja Coric & Danijel Bara

**Management Of Ict-Based Enterprises - Approach Through Frameworks For Business Architecture, It Governance And It Management**

*by*Morana Mesaric & Luka Burilovic

**Valuing guaranteed bank debt: Role of strength and size of the bank and the guarantor**

*by*Sebastian Schich & Arturo Estrella

**Spekulation am Terminmarkt und die Preisentwicklung von Agrarrohstoffen am Kassamarkt: Eine Zeitreihenanalyse der CFTC Berichte für Weizen, Mais und Sojabohnen**

*by*Daniel Maul & Martin Fischer & Dirk Schiereck

**Three-Point Volatility Smile Classification: Evidence From The Warsow Stock Exchange During Volatile Summer 2011 / Clasificación De Las Sonrisas De Volatilidad Según Tres Puntos De Monetización: Evidencia Empírica Para La Bolsa De Varsovia Durante El Volátil Verano De 2011**

*by*García-Machado, Juan J. & Rybczynski, Jaroslaw

**A Sharpe-ratio-based measure for currencies**

*by*Javier Prado-Dominguez & Carlos Fernández-Herráiz

**Oil commodity returns and macroeconomic factors: A time-varying approach**

*by*Schalck, Christophe & Chenavaz, Régis

**From pit to electronic trading: Impact on price volatility of U.S. Treasury futures**

*by*Orlowski, Lucjan T.

**Modeling fund and portfolio risk: A bi-modal approach to analyzing risk in turbulent markets**

*by*Karagiannidis, Iordanis & Sykes Wilford, D.

**Strategic capacity expansion under a potential entry threat**

*by*Kamoto, Shinsuke

**Asymmetry in return and volatility spillover between China's interbank and exchange T-bond markets**

*by*Jin, Xiaoye

**A quasi-bounded target zone model — Theory and application to Hong Kong dollar**

*by*Lo, C.F. & Hui, C.H. & Fong, T. & Chu, S.W.

**Measuring sovereign risk contagion in the Eurozone**

*by*Suh, Sangwon

**Cash-futures basis and the impact of market maturity, informed trading, and expiration effects**

*by*Chang, Charles & Lin, Emily

**Sentiment-prone investors and volatility dynamics between spot and futures markets**

*by*Corredor, Pilar & Ferrer, Elena & Santamaria, Rafael

**Reserve option mechanism as a stabilizing policy tool: Evidence from exchange rate expectations**

*by*Değerli, Ahmet & Fendoğlu, Salih

**Usefulness of earnings in credit markets: Korean evidence**

*by*Baik, Bok & Kim, Young Jun & Kim, Jungbae & Lee, Su Jeong

**Common deviation and regime-dependent dynamics in the index derivatives markets**

*by*Lee, Jaeram & Kang, Jangkoo & Ryu, Doojin

**On the compensation for illiquidity in sovereign credit markets**

*by*Lafuente, Juan Angel & Serrano, Pedro

**Geographical diversification with a World Volatility Index**

*by*Aboura, Sofiane & Chevallier, Julien

**Behavioral influences in non-ferrous metals prices**

*by*Cummins, Mark & Dowling, Michael & Lucey, Brian M.

**Dynamic relationships between spot and futures prices. The case of energy and gold commodities**

*by*Nicolau, Mihaela & Palomba, Giulio

**The impact of speculation on precious metals futures markets**

*by*Bosch, David & Pradkhan, Elina

**Bank risk behavior and connectedness in EMU countries**

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

**Relaxing competition through speculation: Committing to a negative supply slope**

*by*Holmberg, Pär & Willems, Bert

**On the nonemptiness of the α-core of discontinuous games: Transferable and nontransferable utilities**

*by*Uyanık, Metin

**Put–Call Parity and market frictions**

*by*Cerreia-Vioglio, S. & Maccheroni, F. & Marinacci, M.

**The optimal corridor for implied volatility: From periods of calm to turmoil**

*by*Muzzioli, Silvia

**Rationally financing an acquisition**

*by*Sebehela, Tumellano

**Riding the swaption curve**

*by*Duyvesteyn, Johan & de Zwart, Gerben

**Combining momentum with reversal in commodity futures**

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

**The role of the variance premium in Jump-GARCH option pricing models**

*by*Byun, Suk Joon & Jeon, Byoung Hyun & Min, Byungsun & Yoon, Sun-Joong

**The timing of mergers along the production chain, capital structure, and risk dynamics**

*by*Tarsalewska, Monika

**Limits to arbitrage and the term structure of bond illiquidity premiums**

*by*Schuster, Philipp & Uhrig-Homburg, Marliese

**Credit spreads and state-dependent volatility: Theory and empirical evidence**

*by*Perrakis, Stylianos & Zhong, Rui

**Pricing currency derivatives under the benchmark approach**

*by*Baldeaux, Jan & Grasselli, Martino & Platen, Eckhard

**Counterparty risk for CDS: Default clustering effects**

*by*Bo, Lijun & Capponi, Agostino

**Rate fears gauges and the dynamics of fixed income and equity volatilities**

*by*Mele, Antonio & Obayashi, Yoshiki & Shalen, Catherine

**Combining accounting data and a structural model for predicting credit ratings: Empirical evidence from European listed firms**

*by*Doumpos, Michael & Niklis, Dimitrios & Zopounidis, Constantin & Andriosopoulos, Kostas

**Liquidity, credit quality, and the relation between volatility and trading activity: Evidence from the corporate bond market**

*by*Wang, Junbo & Wu, Chunchi

**Geometric stopping of a random walk and its applications to valuing equity-linked death benefits**

*by*Gerber, Hans U. & Shiu, Elias S.W. & Yang, Hailiang

**Modelling longevity bonds: Analysing the Swiss Re Kortis bond**

*by*Hunt, Andrew & Blake, David

**Pricing annuity guarantees under a double regime-switching model**

*by*Fan, Kun & Shen, Yang & Siu, Tak Kuen & Wang, Rongming

**Analytical pricing of vulnerable options under a generalized jump–diffusion model**

*by*Fard, Farzad Alavi

**Information and accuracy in pricing: Evidence from the NCAA men׳s basketball betting market**

*by*Berkowitz, Jason P. & Depken, Craig A. & Gandar, John M.

**A dynamic model of hedging and speculation in the commodity futures markets**

*by*Cifarelli, Giulio & Paladino, Giovanna

**Pricing American options under the constant elasticity of variance model: An extension of the method by Barone-Adesi and Whaley**

*by*Ballestra, Luca Vincenzo & Cecere, Liliana

**A comparison of the convenience yield and interest-adjusted basis**

*by*Fouquau, Julien & Six, Pierre

**Asymptotic expansion of European options with mean-reverting stochastic volatility dynamics**

*by*Hu, Jun & Kanniainen, Juho

**Modelling default risk with occupation times**

*by*Makarov, R. & Metzler, A. & Ni, Z.

**The intrinsic bounds on the risk premium of Markovian pricing kernels**

*by*Han, Jihun & Park, Hyungbin

**Long memory and the relation between options and stock prices**

*by*Huang, Teng-Ching & Tu, Yu-Chen & Chou, Heng-Chih

**Weakening the Gain–Loss-Ratio measure to make it stronger**

*by*Voelzke, Jan

**Volatility risk premium in the interest rate market: Evidence from delta-hedged gains on USD interest rate swaps**

*by*Byun, Suk Joon & Chang, Ki Cheon

**Impact of allowance submissions in European carbon emission markets**

*by*Philip, Dennis & Shi, Yukun

**The impact of liquidity on senior credit index spreads during the subprime crisis**

*by*Marra, Miriam

**Speculative and hedging activities in the European carbon market**

*by*Lucia, Julio J. & Mansanet-Bataller, Maria & Pardo, Ángel

**A multi-factor model with time-varying and seasonal risk premiums for the natural gas market**

*by*Shao, Chengwu & Bhar, Ramaprasad & Colwell, David B.

**Expected commodity returns and pricing models**

*by*Cortazar, Gonzalo & Kovacevic, Ivo & Schwartz, Eduardo S.

**The overnight risk premium in electricity forward contracts**

*by*Fleten, Stein-Erik & Hagen, Liv Aune & Nygård, Maria Tandberg & Smith-Sivertsen, Ragnhild & Sollie, Johan M.

**Inventory announcements, jump dynamics, volatility and trading volume in U.S. energy futures markets**

*by*Bjursell, Johan & Gentle, James E. & Wang, George H.K.

**A comparison of implied and realized volatility in the Nordic power forward market**

*by*Birkelund, Ole Henrik & Haugom, Erik & Molnár, Peter & Opdal, Martin & Westgaard, Sjur

**The impact of fundamental and financial traders on the term structure of oil**

*by*Heidorn, Thomas & Mokinski, Frieder & Rühl, Christoph & Schmaltz, Christian

**Market sentiment in commodity futures returns**

*by*Gao, Lin & Süss, Stephan

**Euro at risk: The impact of member countries' credit risk on the stability of the common currency**

*by*Bekkour, Lamia & Jin, Xisong & Lehnert, Thorsten & Rasmouki, Fanou & Wolff, Christian

**Detecting abnormal trading activities in option markets**

*by*Chesney, Marc & Crameri, Remo & Mancini, Loriano

**Time-variations in commodity price jumps**

*by*Diewald, Laszlo & Prokopczuk, Marcel & Wese Simen, Chardin

**Explaining the default risk anomaly by the two-beta model**

*by*Yeh, Chung-Ying & Hsu, Junming & Wang, Kai-Li & Lin, Che-Hui

**The effects of fiscal opacity on sovereign credit spreads**

*by*Peat, Maurice & Svec, Jiri & Wang, Jue

**Divided governments and futures prices**

*by*Sojli, Elvira & Tham, Wing Wah

**Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets**

*by*Cavaliere, Giuseppe & Nielsen, Morten Ørregaard & Taylor, A.M. Robert

**A non-linear dynamic model of the variance risk premium**

*by*Eraker, Bjørn & Wang, Jiakou

**What is beneath the surface? Option pricing with multifrequency latent states**

*by*Calvet, Laurent E. & Fearnley, Marcus & Fisher, Adlai J. & Leippold, Markus

**Option pricing with non-Gaussian scaling and infinite-state switching volatility**

*by*Baldovin, Fulvio & Caporin, Massimiliano & Caraglio, Michele & Stella, Attilio L. & Zamparo, Marco

**Stock return and cash flow predictability: The role of volatility risk**

*by*Bollerslev, Tim & Xu, Lai & Zhou, Hao

**Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing**

*by*Asai, Manabu & McAleer, Michael

**Explicit form of approximate transition probability density functions of diffusion processes**

*by*Choi, Seungmoon

**Learning, confidence, and option prices**

*by*Shaliastovich, Ivan

**Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints**

*by*Fengler, Matthias R. & Hin, Lin-Yee

**State-dependent jump risks for American gold futures option pricing**

*by*Lian, Yu-Min & Liao, Szu-Lang & Chen, Jun-Home

**Pricing American options: RNMs-constrained entropic least-squares approach**

*by*Yu, Xisheng & Xie, Xiaoke

**Implied volatility and the risk-free rate of return in options markets**

*by*Bianconi, Marcelo & MacLachlan, Scott & Sammon, Marco

**On increasing risk, inequality and poverty measures: Peacocks, lyrebirds and exotic options**

*by*Ewald, Christian-Oliver & Yor, Marc

**Electricity derivatives pricing with forward-looking information**

*by*Füss, Roland & Mahringer, Steffen & Prokopczuk, Marcel

**Superhedging under ratio constraint**

*by*Chen, Yingshan & Dai, Min & Xu, Jing & Xu, Mingyu

**Non-transferable non-hedgeable executive stock option pricing**

*by*Colwell, David B. & Feldman, David & Hu, Wei

**Pricing external barrier options in a regime-switching model**

*by*Kim, Jerim & Kim, Jeongsim & Joo Yoo, Hyun & Kim, Bara

**Computation of Greeks using binomial trees in a jump-diffusion model**

*by*Suda, Shintaro & Muroi, Yoshifumi

**Valuing convertible bonds and the option to exchange bonds for stock**

*by*Finnerty, John D.

**Volatility Transmission in Oil Futures Markets and Carbon Emissions Futures**

*by*Tanattrin Bunnag

**Hedging Petroleum Futures with Multivariate GARCH Models**

*by*Tanattrin Bunnag

**A Generalized Autoregressive Conditional Heteroskedasticity Examination of the Relationship between Trading Volume and Conditional Volatility in the Tunisian Stock Market: Evidence for the Information Flow Paradigm**

*by*Fethi Belhaj & Ezzeddine Abaoub

**Opciones reales aplicadas en redes integradas de servicios de salud empleando diferentes métodos de estimación de la volatilidad**

*by*Andrés Mora-Valencia & Germán González-Echeverri & Juan Gregorio Solano

**Valoración de derivados europeos con mixtura de distribuciones Weibull**

*by*Andrés Mauricio Molina & José Alfredo Jiménez

**Financial Tail Risks and the Shapes of the Extreme Value Distribution: A Comparison between Conventional and Sharia-Compliant Stock Indexes**

*by*John W. Muteba Mwamba & Shawkat Hammoudeh & Rangan Gupta

**Recherches sur la financiarisation des marchés de matières premières**

*by*Villeneuve, Bertrand

**Electricity derivative markets and Samuelson hypothesis**

*by*Jaeck, Edouard & Lautier, Delphine

**Option pricing with a dynamic fat-tailed model**

*by*Aboura, Sofiane & Valeyre, Sébastien & Wagner, Niklas

**When the U.S. Stock Market Becomes Extreme?**

*by*Aboura, Sofiane

**Are property derivatives a leading indicator of the real estate market?**

*by*Drouhin, Pierre-Arnaud & Simon, Arnaud

**Les 100 mots des marchés dérivés**

*by*Simon, Yves

**Spread Risk Premia in Corporate Credit Default Swap Markets**

*by*Oliver Entrop & Richard Schiemert & Marco Wilkens

**Performance-Sensitive Government Bonds**

*by*Matthias Bank & Alexander Kupfer & Rupert Sendlhofer

**Valuación de opciones europeas sobre AMX-L, WALMEX-V y GMEXICO-B. Calibración de parámetros de volatilidad estocástica con funciones cuadráticas de pérdida**

*by*Ortiz-Ramírez, Ambrosio. & Venegas-Martínez, Francisco. & Durán-Bustamante, Mario.

**Individual investors and suboptimal early exercises in the fixed-income market**

*by*Eickholt, Mathias & Entrop, Oliver & Wilkens, Marco

**The impact of long-only index funds on price discovery and market performance in agricultural futures markets**

*by*Prehn, Sören & Glauben, Thomas & Loy, Jens-Peter & Pies, Ingo & Will, Matthias Georg

**The role of a changing market: Environment for credit default swap pricing**

*by*Leppin, Julian S. & Reitz, Stefan

**The impact of fundamental and financial traders on the term structure of oil**

*by*Heidorn, Thomas & Mokinski, Frieder & Rühl, Christoph & Schmaltz, Christian

**The Role of a Changing Market Environment for Credit Default Swap Pricing**

*by*Leppin, Julia S. & Reitz, Stefan

**Illiquidity transmission from spot to futures markets**

*by*Korn, Olaf & Krischak, Paolo & Theissen, Erik

**Dividend taxation and DAX futures prices**

*by*Fink, Christopher & Theissen, Erik

**Risk-adjusted option-implied moments**

*by*Brinkmann, Felix & Korn, Olaf

**Forward-looking measures of higher-order dependencies with an application to portfolio selection**

*by*Brinkmann, Felix & Kempf, Alexander & Korn, Olaf

**Portfolio optimization using forward-looking information**

*by*Kempf, Alexander & Korn, Olaf & Saßning, Sven

**Inflation, deflation, and uncertainty: What drives euro area option-implied inflation expectations and are they still anchored in the sovereign debt crisis?**

*by*Scharnagl, Michael & Stapf, Jelena

**The Relationship Between Stock Returns and Investor Sentiment: Evidence from Social Media**

*by*Zachary McGurk & Adam Nowak

**Simple heuristics for pricing VIX options**

*by*Juliusz Jabłecki & Ryszard Kokoszczyński & Paweł Sakowski & Robert Ślepaczuk & Piotr Wójcik

**A Futures Market Reduces Bubbles but Allows Greater Profit for More Sophisticated Traders**

*by*Charles Noussair & Steven J.Tucker & Yilong Xu

**European option pricing with constant relative sensitivity probability weighting function**

*by*Martina Nardon & Paolo Pianca

**A Bayesian Beta Markov Random Field calibration of the term structure of implied risk neutral densities**

*by*Roberto Casarin & Fabrizio Leisen & German Molina & Enrique Ter Horst

**A Monte Carlo Method using PDE Expansions for a Diversifed Equity Index Model**

*by*David Heath & Eckhard Platen

**A Consistent Framework for Modelling Basis Spreads in Tenor Swaps**

*by*Yang Chang & Erik Schlogl

**Explaining the time-varying relation between agricultural prices and stock market dynamics**

*by*Daniele Girardi

**Financialization in Commodity Markets: A Passing Trend or the New Normal?**

*by*Adams, Zeno & Glueck, Thorsten

**An Empirical Analysis of the Ross Recovery Theorem**

*by*Audrino, Francesco & Huitema, Robert & Ludwig, Markus

**A closed-form option pricing approximation formula for a fractional Heston model**

*by*Elisa Alòs & Yan Yang

**Implied Volatility and the Risk-Free Rate of Return in Options Markets**

*by*Marcelo Bianconi & Scott MacLachlan & Marco Sammon

**The Collateral Costs of Clearing**

*by*Cyril Monnet & Thomas Nellen

**Test of Log-Normal Process with Importance Sampling for Options Pricing**

*by*Semih Yon & Cafer Erhan Bozdag

**Timing a Hedge Decision: The Development of a Composite Technical Indicator for White Maize**

*by*Susari Geldenhuys, Frans Dreyer and Chris van Heerden

**Liquidity Risk Premia in the International Shipping Derivatives Market**

*by*Amir Alizadeh & Konstantina Kappou & Dimitris Tsouknidis & Ilias Visvikis

**Commodity Risk Factors and the Cross-Section of Equity Returns**

*by*Chris Brooks & Adrian Fernandez-Perez & Joëlle Miffre & Ogonna Nneji

**An Analytic Approximation of the Implied Risk-Neutral Density of American Multi-Asset Options**

*by*Juan C. Arismendi & Marcel Prokopczuk

**The impact of information flow and trading activity on gold and oil futures volatility**

*by*Adam Clements & Neda Todorova

**How Does the Market Variance Risk Premium Vary over Time? Evidence from S&P 500 Variance Swap Investment Returns**

*by*Eirini Konstantinidi & George Skiadopoulos

**Capital Structure and Financial Flexibility: Expectations of Future Shocks**

*by*Costas Lambrinoudakis & Michael Neumann & George Skiadopoulos

**Jumps in Option Prices and Their Determinants: Real-time Evidence from the E-mini S&P 500 Option Market**

*by*George Kapetanios & Michael Neumann & George Skiadopoulos

**A fractionally cointegrated VAR analysis of price discovery in commodity futures markets**

*by*Sepideh Dolatabadi & Morten Ã˜rregaard Nielsen & Ke Xu

**Anchoring Heuristic in Option Prices**

*by*Siddiqi, Hammad

**Does a Speculative Trade in Food Commodities Influence Food Price Inflation in India?**

*by*Soundararajan, Pushparaj & Suresh, Vidya

**Futures Commodities Prices and Media Coverage**

*by*Almanzar, Miguel & Torero, Maximo & von Grebmer, Klaus

**Analogy Making and the Structure of Implied Volatility Skew**

*by*Siddiqi, Hammad

**Testing for weak-form efficiency of Crude Palm Oil Spot and Futures Markets: New Evidence from a GARCH Unit Root Test with Multiple Structural Breaks**

*by*Lean, Hooi Hooi & Smyth, Russell

**Is the Central and Eastern European banking systems stable? Evidence from the recent financial crisis**

*by*Karkowska, Renata

**Entendiendo los mercados de swaps: Un enfoque de equilibrio general**

*by*Venegas-Martínez, Francisco

**Analytic Approximation of Finite-Maturity Timer Option Prices**

*by*Li, Minqiang

**Derivatives Pricing on Integrated Diffusion Processes: A General Perturbation Approach**

*by*Li, Minqiang

**Option-Based Credit Spreads**

*by*Christopher L. Culp & Yoshio Nozawa & Pietro Veronesi

**On the Fundamental Relation Between Equity Returns and Interest Rates**

*by*Jaewon Choi & Matthew P. Richardson & Robert F. Whitelaw

**Risk, Ambiguity, and the Exercise of Employee Stock Options**

*by*Yehuda Izhakian & David Yermack

**Effects of Index-Fund Investing on Commodity Futures Prices**

*by*James D. Hamilton & Jing Cynthia Wu

**Estimating the risk of joint defaults: an application to central bank collateralized lending operations**

*by*Dariusz Gatarek & Juliusz Jabłecki

**Volatility risk premia and financial connectedness**

*by*Andrea Cipollini & Iolanda Lo Cascio & Silvia Muzzioli

**Volatility risk premia and financial connectedness**

*by*Andrea Cipollini & Iolanda Lo Cascio & Silvia Muzzioli

**Why prediction markets work : the role of information acquisition and endogenous weighting**

*by*Siemroth, Christoph

**Real Financial Market Exchange Rates and Capital Flows**

*by*Julian S. Leppin & Stefan Reitz

**On the liquidity of CAC 40 index options Market**

*by*Alain François-Heude & Ouidad Yousfi

**On Path-Dependent Structured Funds: Complexity Does Not Always Pay (Asian versus Average Performance Funds)**

*by*Philippe Bertrand & Jean-luc Prigent

**When do firms invest in corporate social responsibility? A real option framework**

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

**The imprecision of volatility indexes**

*by*Rohini Grover & Ajay Shah

**Do futures markets help in price discovery and risk management for commodities in India?**

*by*Nidhi Aggarwal & Sargam Jain & Susan Thomas

**Behavioral Influences in Non-Ferrous Metals Prices**

*by*Mark Cummins & Brian M. Lucey & Michael M. Dowling

**Credit Risk Calibration based on CDS Spreads**

*by*Shih-Kang Chao & Wolfgang Karl HÃ¤rdle & Hien Pham-Thu &

**The determinants of global bank credit-default-swap spreads**

*by*Hasan, Iftekhar & Liu, Liuling & Zhang, Gaiyan

**Futures Market Volatility, Exchange Rate Uncertainty and Cereals Exports: Empirical Evidence from France**

*by*Raphaël Chiappini & Yves Jégourel

**Option-implied term structures**

*by*Vogt, Erik

**Simple and reliable way to compute option-based risk-neutral distributions**

*by*Malz, Allan M.

**Understanding mortgage spreads**

*by*Boyarchenko, Nina & Fuster, Andreas & Lucca, David O.

**Generating Options-Implied Probability Densities to Understand Oil Market Events**

*by*Datta, Deepa Dhume & Londono, Juan M. & Ross, Landon J

**A Tale of Two Option Markets: Pricing Kernels and Volatility Risk**

*by*Song, Zhaogang & Xiu, Dacheng

**QE Auctions of Treasury Bonds**

*by*Song, Zhaogang & Zhu, Haoxiang

**Hedging and Pricing in Imperfect Markets under Non-Convexity**

*by*Assa, Hirbod & Gospodinov, Nikolay

**Interest Rate Swap Credit Valuation Adjustment**

*by*Jakub Cerny & Jiri Witzany

**Support Schemes for Renewable Electricity in the European Union: Producer Strategies and Competition**

*by*Luisa Dressler

**Direct and Indirect Effects of Index ETFs on Spot-Futures Pricing and Liquidity : Evidence from the CAC 40 Index**

*by*Gresse, Carole & Deville, Laurent & De Séverac, Béatrice

**Information Flows in the term structure of commodity prices**

*by*Lautier, Delphine & Raynaud, Franck

**Samuelson hypothesis and electricity derivative markets**

*by*Jaeck, Edouard & Lautier, Delphine

**Are Employee Stock Option Exercise Decisions Better Explained through the Prospect Theory?**

*by*Bahaji, Hamza

**On the compensation for illiquidity in sovereign credit markets**

*by*Jonatan Groba & Juan Ángel Lafuente & Pedro Serrano

**Weakening the Gain-Loss-Ratio measure to make it stronger**

*by*Jan Voelzke

**Option-Based Credit Spreads**

*by*Culp, Christopher L. & Nozawa, Yoshio & Veronesi, Pietro

**Dynamic programming for stochastic target problems, Viscosity solutions and hedging in markets with Portfolio constraints and large investors**

*by*Rafael Serrano

**A class of multivariate marked Poisson processes to model asset returns**

*by*Petar Jevtic & Patrizia Semeraro

**On corporate financial distress prediction: what can we learn from private firms in a small open economy?**

*by*Evangelos C. Charalambakis

**Jumps and stochastic volatility in crude oil futures prices using conditional moments of integrated volatility**

*by*Christopher F Baum & Paola Zerilli

**On a new class of barrier options**

*by*Hernández del Valle Gerardo

**Peso-Dollar Forward Market Analysis: Explaining Arbitrage Opportunities during the Financial Crisis**

*by*Juan R. Hernández

**What Does the Convenience Yield Curve Tell Us about the Crude Oil Market?**

*by*Ron Alquist & Gregory Bauer & Antonio Diez de los Rios

**Oil Volatility Risk and Expected Stock Returns**

*by*Peter Christoffersen & Xuhui (Nick) Pan

**Factor Structure in Commodity Futures Return and Volatility**

*by*Peter Christoffersen & Asger Lunde & Kasper V. Olesen

**A fractionally cointegrated VAR analysis of price discovery in commodity futures markets**

*by*Sepideh Dolatabadi & Morten Ørregaard Nielsen & Ke Xu

**Bootstrap Score Tests for Fractional Integration in Heteroskedastic ARFIMA Models, with an Application to Price Dynamics in Commodity Spot and Futures Markets**

*by*Giuseppe Cavaliere & Morten Ørregaard Nielsen & A.M. Robert Taylor

**Some contributions to financial market modelling with transaction costs**

*by*Tran, Quoc Tuan

**Tail dependence of financial stocks and CDS markets: Evidence using copula methods and simulation-based inference**

*by*da Silva, Paulo Pereira & Rebelo, Paulo Tomaz & Afonso, Cristina

**Futures and Forwards Contracts from Perspective of Islamic Law**

*by*Injadat, Ehab M. M.

**Explaining the bid-ask spread in the foreign exchange market: A test of alternate models**

*by*Sirimon Treepongkaruna & Tim Brailsford & Stephen Gray

**Hedging Effectiveness of Applying Constant and Time-Varying Hedge Ratios: Evidence from Taiwan Stock Index Spot and Futures**

*by*Dar-Hsin Chen & Leo Bin & Chun-Yi Tseng

**An Analysis of the Covered Warrants listed on the Athens Exchange**

*by*Costas Siriopoulos & Athanasios P. Fassas

**Measuring Systemic Risk using Contingent Claims Analysis (CCA)**

*by*Moisa Altar & Adam-Nelu Altar-Samuel & Ioana Marcu

**The Optimal Hedging Ratio for Non-Ferrous Metals**

*by*Dinica, Mihai Cristian & Armeanu, Daniel

**A Partial Equilibrium Model of the Convenience Yield Risk Premium of Storable Commodities**

*by*Vincent Lacoste & Pierre Six

**CRR/CRD IV: the trees and the forest**

*by*Rainer Masera

**CRR/CRD IV: the trees and the forest**

*by*Rainer Masera

**An Empirical Analysis of Škoda Co. Equity Options Trading 1928-1938**

*by*Jan Vlachý

**Real Options and Merchant Operations of Energy and Other Commodities**

*by*Secomandi, Nicola & Seppi, Duane J.

**Valuación con opciones reales de proyectos con flujos correlacionados con fundamentales económicos y con saltos extremos Viabilidad del caso COMERCI UCB**

*by*Mendoza Sandoval Sergio & Cruz Ake Salvador & Venegas Martínez Francisco

**Information Arrival, Jumps and Cojumps in European Financial Markets: Evidence Using Tick by Tick Data**

*by*Frédéric Délèze & Syed Mujahid Hussain

**Analysis of the Behavior of Volatility in Crude Oil Price**

*by*Fernando Antonio Lucena Aiube & Tara Keshar Nanda Baidya

**Return Volatility Movements in Spot and Futures Markets: Evidence from Intraday Behavior of the S&P 500 Index**

*by*Jeng-Hong Chen

**Un modelo macroeconómico con agentes de vida finita y estocástica: cobertura de riesgo de mercado con derivados americanos**

*by*Ma. Teresa V. Martínez-Palacios. & Francisco Venegas-Martínez.

**IMKB’de Islem Goren Araci Kurulus Varantlari icin Etkin Fiyatlama Modelinin Belirlenmesi**

*by*Rifat KARAKUS & Israfil ZOR

**On the characteristics of dynamic correlations between asset pairs**

*by*Jacobs, Michael & Karagozoglu, Ahmet K.

**The predictability of aggregate returns on commodity futures**

*by*Lutzenberger, Fabian T.

**Internet, noise trading and commodity futures prices**

*by*Peri, Massimo & Vandone, Daniela & Baldi, Lucia

**Non-parametric analysis of equity arbitrage**

*by*Vortelinos, Dimitrios I.

**Herding of institutional investors and margin traders on extreme market movements**

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

**Bank equity risk under bailout programs of loan guarantee and/or equity capital injection**

*by*Lin, Jyh-Horng & Tsai, Jeng-Yan & Hung, Wei-Ming

**Forward trading in exhaustible-resource oligopoly**

*by*Liski, Matti & Montero, Juan-Pablo

**An empirical examination of the lead–lag relationship between spot and futures markets: Evidence from Thailand**

*by*Judge, Amrit & Reancharoen, Tipprapa

**Spillover effects of subprime mortgage originations: The effects of single-family mortgage credit expansion on the multifamily rental market**

*by*Ambrose, Brent W. & Diop, Moussa

**Chinese steel market in the post-futures period**

*by*Arık, Evren & Mutlu, Elif

**Modelling volatility persistence and asymmetry: A Study on selected Indian non-ferrous metals markets**

*by*Gil-Alana, Luis A. & Tripathy, Trilochan

**Cross-hedging strategies between CDS spreads and option volatility during crises**

*by*Da Fonseca, José & Gottschalk, Katrin

**Speculators, commodities and cross-market linkages**

*by*Büyükşahin, Bahattin & Robe, Michel A.

**Bubbles in food commodity markets: Four decades of evidence**

*by*Etienne, Xiaoli L. & Irwin, Scott H. & Garcia, Philip

**Currency jumps, cojumps and the role of macro news**

*by*Chatrath, Arjun & Miao, Hong & Ramchander, Sanjay & Villupuram, Sriram

**Advancing the universality of quadrature methods to any underlying process for option pricing**

*by*Chen, Ding & Härkönen, Hannu J. & Newton, David P.

**The impact of central clearing on counterparty risk, liquidity, and trading: Evidence from the credit default swap market**

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

**Does option trading convey stock price information?**

*by*Hu, Jianfeng

**Trading in derivatives when the underlying is scarce**

*by*Banerjee, Snehal & Graveline, Jeremy J.

**Time-changed Lévy LIBOR market model: Pricing and joint estimation of the cap surface and swaption cube**

*by*Leippold, Markus & Strømberg, Jacob

**The role of surprise: Understanding overreaction and underreaction to unanticipated events using in-play soccer betting market**

*by*Choi, Darwin & Hui, Sam K.

**Credit spread changes within switching regimes**

*by*Maalaoui Chun, Olfa & Dionne, Georges & François, Pascal

**Options resilience during extreme volatility: Evidence from the market events of May 2010**

*by*Cakici, Nusret & Goswami, Gautam & Tan, Sinan

**Exploiting commodity momentum along the futures curves**

*by*de Groot, Wilma & Karstanje, Dennis & Zhou, Weili

**Rehypothecation dilemma: Impact of collateral rehypothecation on derivative prices under bilateral counterparty credit risk**

*by*Sakurai, Yuji & Uchida, Yoshihiko

**Interest rate forecasts, state price densities and risk premium from Euribor options**

*by*Ivanova, Vesela & Puigvert Gutiérrez, Josep Maria

**Out-of-sample density forecasts with affine jump diffusion models**

*by*Yun, Jaeho

**Modeling and monitoring risk acceptability in markets: The case of the credit default swap market**

*by*Madan, Dilip B.

**Forecasting volatility of the U.S. oil market**

*by*Haugom, Erik & Langeland, Henrik & Molnár, Peter & Westgaard, Sjur

**Can we forecast the implied volatility surface dynamics of equity options? Predictability and economic value tests**

*by*Bernales, Alejandro & Guidolin, Massimo

**Measuring systemic risk-adjusted liquidity (SRL)—A model approach**

*by*Jobst, Andreas A.

**Analytical pricing of discrete arithmetic Asian options with mean reversion and jumps**

*by*Chung, Shing Fung & Wong, Hoi Ying

**Close form pricing formulas for Coupon Cancellable CoCos**

*by*Corcuera, José Manuel & De Spiegeleer, Jan & Fajardo, José & Jönsson, Henrik & Schoutens, Wim & Valdivia, Arturo

**The impact of derivatives hedging on the stock market: Evidence from Taiwan’s covered warrants market**

*by*Chung, San-Lin & Liu, Wen-Rang & Tsai, Wei-Che

**Catalysts for price discovery in the European Union Emissions Trading System**

*by*Schultz, Emma & Swieringa, John

**The determinants of CDS spreads**

*by*Galil, Koresh & Shapir, Offer Moshe & Amiram, Dan & Ben-Zion, Uri

**Are there common factors in individual commodity futures returns?**

*by*Daskalaki, Charoula & Kostakis, Alexandros & Skiadopoulos, George

**The importance of the volatility risk premium for volatility forecasting**

*by*Prokopczuk, Marcel & Wese Simen, Chardin

**Is recovery risk priced?**

*by*Schläfer, Timo & Uhrig-Homburg, Marliese

**The market microstructure of the European climate exchange**

*by*Mizrach, Bruce & Otsubo, Yoichi

**Volatility spreads and earnings announcement returns**

*by*Atilgan, Yigit

**Unbiasedness and risk premiums in the Indian currency futures market**

*by*Kumar, Satish & Trück, Stefan

**Pricing and hedging of variable annuities with state-dependent fees**

*by*Delong, Łukasz

**Pricing range notes within Wishart affine models**

*by*Chiarella, Carl & Da Fonseca, José & Grasselli, Martino

**Analytic solution for ratchet guaranteed minimum death benefit options under a variety of mortality laws**

*by*Ulm, Eric R.

**Systematic mortality risk: An analysis of guaranteed lifetime withdrawal benefits in variable annuities**

*by*Fung, Man Chung & Ignatieva, Katja & Sherris, Michael

**A risk-based premium: What does it mean for DB plan sponsors?**

*by*Chen, An & Uzelac, Filip

**Global contagion of market sentiment during the US subprime crisis**

*by*Lee, Yen-Hsien & Tucker, Alan L. & Wang, David K. & Pao, Hsin-Ting

**High short interest effect and aggregate volatility risk**

*by*Barinov, Alexander & Wu, Juan (Julie)

**Macroeconomic uncertainty and the cross-section of option returns**

*by*Aramonte, Sirio

**Commodity index trading and hedging costs**

*by*Brunetti, Celso & Reiffen, David

**Option pricing with stochastic liquidity risk: Theory and evidence**

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

**Impact of macroeconomic announcements on implied volatility slope of SPX options and VIX**

*by*Onan, Mustafa & Salih, Aslihan & Yasar, Burze

**A sequential pricing framework for corporate securities: The case of rating-trigger step-up/-down bonds**

*by*Bank, Matthias & Kupfer, Alexander

**Hedging house price risk with futures contracts after the bubble burst**

*by*Schorno, Patrick J. & Swidler, Steve M. & Wittry, Michael D.

**A new strategy using term-structure dynamics of commodity futures**

*by*Kim, Soo-Hyun & Kang, Hyoung-Goo

**Bankruptcy risk induced by career concerns of regulators**

*by*Cole, John A. & Cadogan, Godfrey

**Improved method for static replication under the CEV model**

*by*Tsai, Wei-Che

**Computing present values: Capital budgeting done correctly**

*by*Jarrow, Robert

**Valuation of quanto options in a Markovian regime-switching market: A Markov-modulated Gaussian HJM model**

*by*Chen, Son-Nan & Chiang, Mi-Hsiu & Hsu, Pao-Peng & Li, Chang-Yi

**The Mills Ratio and the behavior of redeemable bond prices in the Gaussian structural model of corporate default**

*by*Spencer, Peter

**On the investment–uncertainty relationship: A game theoretic real option approach**

*by*Lukas, Elmar & Welling, Andreas

**A microstructure analysis of the carbon finance market**

*by*Bredin, Don & Hyde, Stuart & Muckley, Cal

**Forward–futures price differences in the UK commercial property market: Arbitrage and marking-to-model explanations**

*by*Stanescu, Silvia & Tunaru, Radu & Candradewi, Made Reina

**Option pricing under stochastic volatility and tempered stable Lévy jumps**

*by*Zaevski, Tsvetelin S. & Kim, Young Shin & Fabozzi, Frank J.

**Trend following, risk parity and momentum in commodity futures**

*by*Clare, Andrew & Seaton, James & Smith, Peter N. & Thomas, Stephen

**Energy futures prices and commodity index investment: New evidence from firm-level position data**

*by*Sanders, Dwight R. & Irwin, Scott H.

**Effect of inventory announcements on crude oil price volatility**

*by*Bu, Hui

**The forecasting accuracy of implied volatility from ECX carbon options**

*by*Viteva, Svetlana & Veld-Merkoulova, Yulia V. & Campbell, Kevin

**Futures pricing in electricity markets based on stable CARMA spot models**

*by*Benth, Fred Espen & Klüppelberg, Claudia & Müller, Gernot & Vos, Linda

**Crude oil moments and PNG stock returns**

*by*Chatrath, Arjun & Miao, Hong & Ramchander, Sanjay

**Revisiting the relationship between spot and futures prices in the Nord Pool electricity market**

*by*Weron, Rafał & Zator, Michał

**The switching relationship between natural gas and crude oil prices**

*by*Brigida, Matthew

**Tail events: A new approach to understanding extreme energy commodity prices**

*by*Koch, Nicolas

**Bidirectional causality in oil and gas markets**

*by*Halova Wolfe, Marketa & Rosenman, Robert

**Using real option analysis to quantify ethanol policy impact on the firm's entry into and optimal operation of corn ethanol facilities**

*by*Maxwell, Christian & Davison, Matt

**Banking sector contingent liabilities and sovereign risk**

*by*Arslanalp, Serkan & Liao, Yin

**Are regime-shift sources of risk priced in the market?**

*by*Chourdakis, Kyriakos & Dendramis, Yiannis & Tzavalis, Elias

**Variance trading and market price of variance risk**

*by*Bondarenko, Oleg

**Banking sector fragility linkages in the euro area: Evidence for crisis years 2007–2010**

*by*Ludwig, Alexander & Sobański, Karol

**Reporting bias in incomplete information model**

*by*Peat, Maurice & Svec, Jiri & Wang, Jue

**Probability of multiple crossings and pricing of double barrier options**

*by*Choe, Geon Ho & Koo, Ki Hwan

**Variance-constrained canonical least-squares Monte Carlo: An accurate method for pricing American options**

*by*Liu, Qiang & Guo, Shuxin

**Covariance estimation using high-frequency data: Sensitivities of estimation methods**

*by*Haugom, Erik & Lien, Gudbrand & Veka, Steinar & Westgaard, Sjur

**Optimal stopping time with stochastic volatility**

*by*Zhang, Ran & Xu, Shuang

**Relationship between the trading behavior of three institutional investors and Taiwan Stock Index futures returns**

*by*Lai, Hung-Cheng & Wang, Kuan-Min

**Bilateral counterparty risk valuation for credit default swap in a contagion model using Markov chain**

*by*Dong, Yinghui & Wang, Guojing

**Regime-dependent adjustment in energy spot and futures markets**

*by*Beckmann, Joscha & Belke, Ansgar & Czudaj, Robert

**Pricing foreign equity options with regime-switching**

*by*Fan, Kun & Shen, Yang & Siu, Tak Kuen & Wang, Rongming

**Calendar anomalies in cash and stock index futures: International evidence**

*by*Floros, Christos & Salvador, Enrique

**Extreme value statistics and recurrence intervals of NYMEX energy futures volatility**

*by*Xie, Wen-Jie & Jiang, Zhi-Qiang & Zhou, Wei-Xing

**Volatility transmission in agricultural futures markets**

*by*Beckmann, Joscha & Czudaj, Robert

**Analyses of retirement benefits with options**

*by*Lin, Chung-Gee & Yang, Wei-Ning & Chen, Shu-Chuan

**Corporate credit risk prediction under stochastic volatility and jumps**

*by*Bu, Di & Liao, Yin

**Volatility swaps and volatility options on discretely sampled realized variance**

*by*Lian, Guanghua & Chiarella, Carl & Kalev, Petko S.

**Quadratic hedging schemes for non-Gaussian GARCH models**

*by*Badescu, Alexandru & Elliott, Robert J. & Ortega, Juan-Pablo

**Cross-hedging minimum return guarantees: Basis and liquidity risks**

*by*Ankirchner, Stefan & Schneider, Judith C. & Schweizer, Nikolaus

**Valuation of stock loans with jump risk**

*by*Cai, Ning & Sun, Lihua

**Dynamic capital structure with callable debt and debt renegotiations**

*by*Christensen, Peter Ove & Flor, Christian Riis & Lando, David & Miltersen, Kristian R.

**Bank stability and market discipline: The effect of contingent capital on risk taking and default probability**

*by*Hilscher, Jens & Raviv, Alon

**Inside debt renegotiation: Optimal debt reduction, timing, and the number of rounds**

*by*Moraux, Franck & Silaghi, Florina

**The effect of interest rate volatility and equity volatility on corporate bond yield spreads: A comparison of noncallables and callables**

*by*Kim, Dong H. & Stock, Duane

**Determinants of corporate call policy for convertible bonds**

*by*King, Tao-Hsien Dolly & Mauer, David C.

**London Metal Exchange: Causality Relationship between the Price Series of Non-Ferrous Metal Contracts**

*by*Mustafa Serdar Basoglu & Turhan Korkmaz & Emrah Ismail Cevik

**Option Pricing under Sign RCA-GARCH Models**

*by*Joanna Górka

**Análisis de la heurística en la contratación empresarial a través de una cartera de derivados reales**

*by*Silvia Bou Ysàs & Magda Cayón Costa & Albert Hernández

**Momentos estocásticos de orden superior y la estimación de lavolatilidad implícita: aplicación de la expansión de Edgeworth en elmodelo Black-Scholes**

*by*Gastón Silverio Milanesi

**Estrategia de cobertura con productos derivados para el mercado energético colombiano**

*by*Jhon Alexis Díaz Contreras & Gloria Inés Macías Villalba & Edgar Luna González

**Eficiencia semifuerte del mercado internacional del azúcar entre los años 2001 y 2011**

*by*Julio C. Alonso & Andrés M. Arcila

**Actif sous-jacent et produits dérivés financiers de la Compagnie des Mers du Sud. La rationalité de la bulle reconsidérée**

*by*Nesrine Bentemessek Kahia

**Optimal Exercise for Derivative Securities**

*by*J�r�me Detemple

**Counterparty Risk: A Review**

*by*Stuart M. Turnbull

**Determinants of the Gold Futures Price Volatility: The Case of Thailand Futures Exchange**

*by*Woradee Jongadsayakul

**Credit Market Speculation and the Cost of Capital**

*by*Yeon-Koo Che & Rajiv Sethi

**The Effect of Uncertainty on Investment: Evidence from Texas Oil Drilling**

*by*Ryan Kellogg

**Forward-looking measures of higher-order dependencies with an application to portfolio selection**

*by*Brinkmann, Felix & Kempf, Alexander & Korn, Olaf

**Bayesian Estimation of Wishart Autoregressive Stochastic Volatility Model**

*by*Ming Lin & Changjiang Liu & Linlin Niu

**The Number of State Variables for CDS Pricing**

*by*Biao Guo & Qian Han & Doojin Ryu

**A Robust Equilibrium Relationship between Market Prices of Risks and Risk Aversion in Dynamically Complete Stochastic**

*by*Qian Han & Calum G. Turvey

**Non-parametric Tests for the Martingale Restriction: A New Approach**

*by*Biao Guo & Qian Han & Doojin Ryu

**Liability Investment with Downside Risk**

*by*Andrew Ang & Bingxu Chen & Suresh Sundaresan

**Option Pricing with a Dynamic Fat-Tailed Model**

*by*Aboura, Sofiane & Valeyre, Sébastien & Wagner, Niklas

**Le rôle du marché à terme et du marché au comptant dans la formation des prix des matières premières**

*by*Lautier, Delphine & Lambinet, Rémy

**Energy Finance: The case for derivative markets**

*by*Lautier, Delphine

**The reactive volatility model**

*by*Valeyre, Sébastien & Grebenkov, Denis & Aboura, Sofiane & Liu, Qian

**Systemic Risk and Complex Systems: A Graph-Theory Analysis**

*by*Lautier, Delphine & Raynaud, Franck

**The synchronized and long-lasting structural change on commodity markets: Evidence from high frequency data**

*by*Bicchetti, David & Maystre, Nicolas Maystre

**A Stochastic Model for Natural Gas Consumption: An Application for Turkey**

*by*Ahmet GÖNCÜ & Mehmet Oğuz KARAHAN & Tolga Umut KUZUBAŞ

**Nonlinearity in cap-and-trade systems: The EUA price and its fundamentals**

*by*Lutz, Benjamin Johannes & Pigorsch, Uta & Rotfuß, Waldemar

**Nonlinearity in cap-and-trade systems: The EUA price and its fundamentals**

*by*Lutz, Benjamin Johannes & Pigorsch, Uta & Rotfuß, Waldemar

**Coherent Price Systems and Uncertainty-Neutral Valuation**

*by*Beißner, Patrick

**Sovereign Asset Values and Implications for the Credit Market**

*by*Posch, Peter N & Kalteier, Eva-Maria

**Financialization in Commodity Markets: Disentangling the Crisis from the Style Effect**

*by*Adams, Zeno & Glück, Thorsten

**Option-implied information and predictability of extreme returns**

*by*Vilkovz, Grigory & Xiaox, Yan

**Reporting policies of ISPs: Do general terms and conditions (GTCs) match with the reality?**

*by*Grove, Nico & Agic, Damir & Sedlmeir, Joachim

**Tail dependence of financial stocks and CDS markets: Evidence using copula methods and simulation-based inference**

*by*da Silva, Paulo Pereira & Rebelo, Paulo Tomaz & Afonso, Cristina

**Der Einfluss von Long-only-Indexfonds auf die Preisfindung und das Marktergebnis an landwirtschaftlichen Warenterminmärkten**

*by*Prehn, Sören & Glauben, Thomas & Loy, Jens-Peter & Pies, Ingo & Will, Matthias Georg

**Granularity of corporate debt**

*by*Choi, Jaewon & Hackbarth, Dirk & Zechner, Josef

**Which beta is best? On the information content of option-implied betas**

*by*Baule, Rainer & Korn, Olaf & Saßning, Sven

**The behavior of the hazard rate in the Gaussian structural default model under asymmetric information**

*by*Peter Spencer

**Revisiting the relationship between spot and futures prices in the Nord Pool electricity market**

*by*Rafal Weron & Michal Zator

**Relationship between spot and futures prices in electricity markets: Pitfalls of regression analysis**

*by*Michal Zator

**Real World Pricing of Long Term Cash-Linked Annuities and Equity-Linked Annuities with Cash-Linked Guarantees**

*by*Kevin Fergusson & Eckhard Platen

**The Return-Volatility Relation in Commodity Futures Markets**

*by*Carl Chiarella & Boda Kang & Christina Sklibosios Nikitopoulos & Thuy-Duong To

**The Trade-off Theory Revisited: On the Effect of Operating Leverage**

*by*Kristoffer Glover & Gerhard Hambusch

**Electricity Spot and Derivatives Pricing when Markets are Interconnected**

*by*Füss, Roland & Mahringer, Steffen & Prokopczuk, Marcel

**Electricity Derivatives Pricing with Forward-Looking Information**

*by*Füss, Roland & Mahringer, Steffen & Prokopczuk, Marcel

**Variance Risk Premiums in Foreign Exchange Markets**

*by*Ammann, Manuel & Buesser, Ralf

**Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data**

*by*Audrino, Francesco & Fengler, Matthias

**On the closed-form approximation of short-time random strike options**

*by*Elisa Alòs & Jorge A. León

**Credit spread modeling effects on counterparty risk valuation adjustments: a spanish case study**

*by*Alberto Fernández Muñoz de Morales

**Volatility Smirk as an Externality of Agency Conict and Growing Debt**

*by*Marcin Jaskowski & Michael McAleer

**A Fractionally Integrated Wishart Stochastic Volatility Model**

*by*Manabu Asai & Michael McAleer

**Recent Developments in Financial Economics and Econometrics: An Overview**

*by*Chia-Lin Chang & David Allen & Michael McAleer

**Leverage and Feedback E ects on Multifactor Wishart Stochastic Volatility for Option Pricing**

*by*Manabu Asai & Michael McAleer

**Volatility Smirk as an Externality of Agency Conflict and Growing Debt**

*by*Marcin Jaskowski & Michael McAleer

**A Fractionally Integrated Wishart Stochastic Volatility Model**

*by*Manabu Asai & Michael McAleer

**Recent Developments in Financial Economics and Econometrics: An Overview**

*by*Chia-Lin Chang & David Allen & Michael McAleer

**Estimating Implied Recovery Rates from the Term Structure of CDS Spreads**

*by*Marcin Jaskowski & Michael McAleer

**Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing**

*by*Manabu Asai & Michael McAleer

**Gecelik Kur Takasi Faizleri ve BIST Gecelik Repo Faizleri**

*by*Doruk Kucuksarac & Ozgur Ozel

**Systemic Risk Contribution of Individual Banks**

*by*Huseyin Cagri Akkoyun & Ramazan Karasahin & Gursu Keles

**Price Non-Convergence in Commodities: A Case Study of the Wheat Conundrum**

*by*Sophie van Huellen

**The structure of competitive equilibrium with unsecured debt**

*by*Gaetano Bloise

**Default dependence structure effects on the valuation of government guarantees**

*by*Carlo Domenico Mottura & Luca Passalacqua

**Did Long-Short Investors Destabilize Commodity Markets?**

*by*Joëlle Miffre & Chris Brooks

**Bootstrap Score Tests for Fractional Integration in Heteroskedastic ARFIMA Models, with an Application to Price Dynamics in Commodity Spot and Futures Markets**

*by*Giuseppe Cavaliere & Morten Ã˜rregaard Nielsen & A.M. Robert Taylor

**Collateral Optimization : Liquidity & Funding Value Adjustments, - Best Practices -**

*by*Genest, Benoit & Rego, David & Freon, Helene

**Price Drivers and Investment Strategies of Gold**

*by*Arayssi, Mahmoud

**Discounting Cashflows from Illiquid Assets on Bank Balance Sheets**

*by*Nauta, Bert-Jan

**An extended model of currency options applicable as policy tool for central banks with inflation targeting and dollarized economies**

*by*Arizmendi, Luis-Felipe

**Are Real Options “Real”? Isolating Uncertainty from Risk in Real Options Analysis**

*by*So, Leh-chyan

**Enemies or Allies: Pricing counterparty credit risk for synthetic CDO tranches**

*by*Lee, Y. & So, Leh-chyan

**The Spot Forward Exchange Rate Relation in Indian Foreign Exchange Market - An Analysis**

*by*Nath, Golaka

**Mental Accounting: A Closed-Form Alternative to the Black Scholes Model**

*by*Siddiqi, Hammad

**Interest rate modeling under multiple discounting curves**

*by*García Muñoz, Luis Manuel

**International Linkages of Agri-Processed and Energy commodities traded in India**

*by*Sinha, Pankaj & Mathur, Kritika

**Specifying An Efficient Renewable Energy Feed-in Tariff**

*by*Farrell, Niall & Devine, Mel & Lee, William & Gleeson, James & Lyons, Seán

**Cross-Hedging of Inflation Derivatives on Commodities: The Informational Content of Futures Markets**

*by*Fulli-Lemaire, Nicolas & Palidda, Ernesto

**Analogy Making, Option Prices, and Implied Volatility**

*by*Siddiqi, Hammad

**On the liquidity of CAC 40 index options Market**

*by*François-Heude, Alain & Yousfi, Ouidad

**A Generalization of Gray and Whaley's Option**

*by*François-Heude, Alain & Yousfi, Ouidad

**Is the Jump-Diffusion Model a Good Solution for Credit Risk Modeling? The Case of Convertible Bonds**

*by*Xiao, Tim

**Funding Cost and a New Capital Model**

*by*Hannah, Lincoln

**Rwanda’s involvement in Eastern DRC: A criminal real options approach**

*by*Cassimon, Danny & Engelen, Peter-Jan & Reyntjens, Filip

**Mean-Reverting Logarithmic Modeling of VIX**

*by*Bao, Qunfang

**On option pricing in illiquid markets with random jumps**

*by*El-khatib, Youssef & Hatemi-J, Abdulnasser

**A Note on Discounting and Funding Value Adjustments for Derivatives**

*by*Han, Meng & He, Yeqi & Zhang, Hu

**CVA, FVA (and DVA?) with stochastic spreads. A feasible replication approach under realistic assumptions**

*by*García Muñoz, Luis Manuel

**On multi-particle Brownian survivals and the spherical Laplacian**

*by*B S, Balakrishna

**Modeling and Estimating Volatility of Options on Standard & Poor’s 500 Index**

*by*Boleslaw Borkowski & Monika Krawiec & Yochanan Shachmurove

**Futures price volatility in commodities markets: The role of short term vs long term speculation**

*by*Matteo Manera & Marcella Nicolini & Ilaria Vignati

**Model-free Implied Volatility Index of Japanese Stock Market**

*by*Nattapol TAKKABUTR

**A tractable framework for zero lower bound Gaussian term structure models**

*by*Leo Krippner

**Option Prices in a Model with Stochastic Disaster Risk**

*by*Sang Byung Seo & Jessica A. Wachter

**The Joint Cross Section of Stocks and Options**

*by*Byeong-Je An & Andrew Ang & Turan G. Bali & Nusret Cakici

**Tail Risk and Asset Prices**

*by*Bryan Kelly & Hao Jiang

**Deflation Risk**

*by*Matthias Fleckenstein & Francis A. Longstaff & Hanno Lustig

**Commodity and Asset Pricing Models: An Integration**

*by*Gonzalo Cortazar & Ivo Kovacevic & Eduardo S. Schwartz

**Wall Street vs. Main Street: An Evaluation of Probabilities**

*by*Robin L. Lumsdaine & Rogier J.D. Potter van Loon

**Bubbles, Food Prices, and Speculation: Evidence from the CFTC's Daily Large Trader Data Files**

*by*Nicole M. Aulerich & Scott H. Irwin & Philip Garcia

**Risk Premia in Crude Oil Futures Prices**

*by*James D. Hamilton & Jing Cynthia Wu

**The Simple Economics of Commodity Price Speculation**

*by*Christopher R. Knittel & Robert S. Pindyck

**A model for dependent defaults and pricing contingent claims with counterparty risk**

*by*Dariusz Gatarek & Juliusz Jabłecki

**Volatility co-movements: a time scale decomposition analysis**

*by*Andrea Cipollini & Iolanda Lo Cascio & Silvia Muzzioli

**Efficiency and unbiasedness of corn futures markets: New evidence across the financial crisis**

*by*Chiara Pederzoli & Costanza Torricelli

**A liquidity risk index as a regulatory tool for systemically important banks? An empirical assessment across two financial crises**

*by*Gianfranco Gianfelice & Giuseppe Marotta & Costanza Torricelli

**The Optimal Corridor for Implied Volatility: from Calm to Turmoil Periods**

*by*Silvia Muzzioli

**Option Implied Trees and Implied Moments**

*by*silvia Muzzioli & Alessio Ruggieri

**Linkages between spot and futures prices: Tests of the Fama-French-Samuelson hypotheses**

*by*John T. Cuddington & Arturo L. Va'squez Cordano

**Futures price volatility in commodities markets: The role of short term vs long term speculation**

*by*Matteo Manera & Marcella Nicolini & Ilaria Vignati

**Default and Liquidity Regimes in the Bond Market during the 2002-2012 Period**

*by*Georges Dionne & Olfa Maalaoui Chun

**A Fractionally Integrated Wishart Stochastic Volatility Model**

*by*Manabu Asai & Michael McAleer

**Recent Developments in Financial Economics and Econometrics:An Overview**

*by*Chia-Lin Chang & David E Allen & Michael McAleer

**Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing**

*by*Manabu Asai & Michael McAleer

**Adjusted Money's Worth Ratios in Life Annuities**

*by*Jaime Casassus & Eduardo Walker

**Revenues from storage in a competitive electricity market: Empirical evidence from Great Britain**

*by*Monica Giulietti & Luigi Grossi

**State Price Densities implied from weather derivatives**

*by*Wolfgang Karl HÃ¤rdle & Brenda LÃ³pez-Cabrera & Huei-Wen Teng &

**Reference Dependent Preferences and the EPK Puzzle**

*by*Maria Grith & Wolfgang Karl HÃ¤rdle & Volker KrÃ¤tschmer &

**Comparative statics for real options on oil: What stylized facts to use?**

*by*Lund, Diderik & Nymoen, Ragnar

**No Good Deals - No Bad Models**

*by*Nina Boyarchenko & Mario Cerrato & John Crosby & Stewart Hodges

**Textbook Estimators of Multiperiod Optimal Hedging Ratios: Methodological Aspects and Application to the European Wheat Market**

*by*Gianluca Stefani & Marco Tiberti

**Arbitrage-free models of stocks and bonds**

*by*Durham, J. Benson

**Monetary policy surprises, positions of traders, and changes in commodity futures prices**

*by*Gospodinov, Nikolay & Jamali, Ibrahim

**Futures Price Volatility in Commodities Markets: The Role of Short Term vs Long Term Speculation**

*by*Matteo Manera & Marcella Nicolini

**Recent Developments in Financial Economics and Econometrics: An Overview**

*by*Chang, C-L. & Allen, D.E. & McAleer, M.J.

**Faster solutions for Black zero lower bound term structure models**

*by*Leo Krippner

**A tractable framework for zero-lower-bound Gaussian term structure models**

*by*Leo Krippner

**Contingent Liabilities and Sovereign Risk: Evidence from Banking Sectors**

*by*Serkan Arslanalp & Yin Liao

**Comovement of Corporate Bonds and Equities**

*by*Bao, Jack & Hou, Kewei

**What's Beneath the Surface? Option Pricing with Multifrequency Latent States**

*by*Calvet , Laurent E. & Fearnley, Marcus & Adlai J. , Fisher & Markus, Leippold

**What drives pension indexation in turbulent times? An empirical examination of Dutch pension funds**

*by*Dirk Broeders & Paul Hilbers & David Rijsbergen

**Variance Optimal Hedging for discrete time processes with independent increments. Application to Electricity Markets**

*by*Russo, Francesco & Oudjane, Nadia & Goutte, Stéphane

**A simple equilibrium model for a commodity market with spot trades and futures contracts**

*by*Ekeland, Ivar & Lautier, Delphine & Villeneuve, Bertrand

**On the inefficiency of Brownian motions and heavier tailed price processes**

*by*Alejandro Balbás & Beatriz Balbás & Raquel Balbás

**Carry**

*by*Koijen, Ralph & Moskowitz, Tobias J & Pedersen, Lasse Heje & Vrugt, Evert B.

**Volatility Risk Premia and Exchange Rate Predictability**

*by*Della Corte, Pasquale & Ramadorai, Tarun & Sarno, Lucio

**Dependence Calibration and Portfolio Fit with FactorBased Time Changes**

*by*Elisa Luciano & Marina Marena & Patrizia Semeraro

**Recent Developments in Financial Economics and Econometrics: An Overview**

*by*Chia-Lin Chang & David Allen & Michael McAleer

**Subprime borrowers, securitization and the transmission of business cycles**

*by*Anna Grodecka

**On the prediction of corporate financial distress in the light of the financial crisis: empirical evidence from Greek listed firms**

*by*Evangelos C. Charalambakis

**Coherent price systems and uncertainty-neutral valuation**

*by*Patrick Beißner

**The Determinants Of Cds Spreads**

*by*Koresh Galil & Offer Moshe Shapir & Dan Amiram & Uri Ben-Zion

**CoMargin**

*by*Selma Chaker & Nour Meddahi

**The Financialization of Food?**

*by*Valentina G. Bruno & Bahattin Buyuksahin & Michel A. Robe

**Are Futures Prices Influenced by Spot;Prices or Vice-versa? An Analysis of Crude;Oil, Natural Gas and Gold Markets**

*by*Mihaela NICOLAU & Giulio PALOMBA & Ilaria TRAINI

**The Factor Structure in Equity Options**

*by*Peter Christoffersen & Mathieu Fournier & Kris Jacobs

**Rare Disasters and Credit Market Puzzles**

*by*Peter Christoffersen & Du Du & Redouane Elkamhi

**Risk premia in energy markets**

*by*Almut E. D. Veraart & Luitgard A. M. Veraart

**The Effects of Derivatives on Underlying Financial Markets: Equity Options, Commodity Derivatives and Credit Default Swaps**

*by*William Arrata & Alejandro Bernales & Virginie Coudert

**International Finance and Risk Management**

*by*

**Determining the Fair Price of Weather hedging**

*by*Miroslava Mahlebashieva

**Financial/Technical Analysis About Italian "Iv Conto Energia" For Photovoltaic Energy: A Case Study**

*by*Luca GRILLI & Angelo SFRECOLA

**A Study On Efficiency Of Steel Futures Market In India**

*by*SURESH CHANDRA BIHARI & JAYASHREE KOTAGI

**Valuation And Investment Profession**

*by*Dedi, Lidija & Giraudon, Philippe

**Fragility of Competitive Equilibrium with Risk of Default**

*by*Gaetano Bloise & Pietro Reichlin & Mario Tirelli

**Significance of Volatility in Option Pricing**

*by*Pochea Maria-Miruna & Filip Angela-Maria

**Structural Change in the Crude Oil Price Dynamic: Theoretical Study and Practical Implications**

*by*Francisco Giron¨¦s & Fernando Guerra & Jorge Hern¨¢ndez & Javier Poblaci¨®n

**Does Equity Derivatives Trading Affect the Systematic Risk of the Underlying Stocks in an Emerging Market: Evidence from Pakistan’s Futures Market**

*by*Safi Ullah Khan & Zaheer Abbas

**Sovereign Risk and Asset and Liability Management—Conceptual Issues**

*by*Udaibir S. Das & Yinqiu Lu & Michael G. Papaioannou & Iva Petrova

**A villamos erőművek szén-dioxid-kibocsátásának modellezése reálopciók segítségével**

*by*Nagy, Tamás

**Price Discovery and Volatility Spillover: Evidence from Indian Commodity Markets**

*by*Sanjay Sehgal & Namita Rajput & Florent Deisting

**The Efficiency Of Emerging Stock Markets: Evidence From Asia And Africa**

*by*Abdelmoneim Youssef & Giuseppe Galloppo

**Option-Implied Risk Aversion Anomalies: Evidence From Japanese Market**

*by*TAKKABUTR, NATTAPOL

**Sovereign asset values and implications for the credit market**

*by*Kalteier, Eva-Maria & Posch, Peter N.

**Bank capital regulation in a cap option framework**

*by*Tsai, Jeng-Yan & Hung, Wei-Ming

**Futures mispricing, order imbalance, and short-selling constraints**

*by*Lin, Emily & Lee, Cheng-Few & Wang, Kehluh

**Commodity futures prices: More evidence on forecast power, risk premia and the theory of storage**

*by*Brooks, Chris & Prokopczuk, Marcel & Wu, Yingying

**Volatility arbitrage around earnings announcements: Evidence from the Korean equity linked warrants market**

*by*Baik, Bok & Kang, Hyoung-Goo & Kim, Young Jun

**An empirical study of credit spreads in an emerging market: The case of Korea**

*by*Park, Keehwan & Ahn, Chang Mo & Kim, Dohyeon & Kim, Saekwon

**An uncertainty based multi-criteria ranking system for open pit mining cut-off grade strategy selection**

*by*Azimi, Yousuf & Osanloo, Morteza & Esfahanipour, Akbar

**What drives corporate default risk premia? Evidence from the CDS market**

*by*Díaz, Antonio & Groba, Jonatan & Serrano, Pedro

**What determines Euro area bank CDS spreads?**

*by*Annaert, Jan & De Ceuster, Marc & Van Roy, Patrick & Vespro, Cristina

**Liquidity risk of corporate bond returns: conditional approach**

*by*Acharya, Viral V. & Amihud, Yakov & Bharath, Sreedhar T.

**Investment shocks and the commodity basis spread**

*by*Yang, Fan

**Predictability of currency carry trades and asset pricing implications**

*by*Bakshi, Gurdip & Panayotov, George

**Limits to arbitrage and hedging: Evidence from commodity markets**

*by*Acharya, Viral V. & Lochstoer, Lars A. & Ramadorai, Tarun

**Valuation of VIX derivatives**

*by*Mencía, Javier & Sentana, Enrique

**Systemic risk and the refinancing ratchet effect**

*by*Khandani, Amir E. & Lo, Andrew W. & Merton, Robert C.

**Cross section of option returns and idiosyncratic stock volatility**

*by*Cao, Jie & Han, Bing

**Realizing smiles: Options pricing with realized volatility**

*by*Corsi, Fulvio & Fusari, Nicola & La Vecchia, Davide

**Is there price discovery in equity options?**

*by*Muravyev, Dmitriy & Pearson, Neil D. & Paul Broussard, John

**Diagnosing affine models of options pricing: Evidence from VIX**

*by*Li, Gang & Zhang, Chu

**Large games with a bio-social typology**

*by*Khan, M. Ali & Rath, Kali P. & Sun, Yeneng & Yu, Haomiao

**Consumption and bubbles**

*by*Loewenstein, Mark & Willard, Gregory A.

**Mitigating financial fragility with Continuous Workout Mortgages**

*by*Shiller, Robert J. & Wojakowski, Rafał M. & Ebrahim, M. Shahid & Shackleton, Mark B.

**Option-implied correlation between iTraxx Europe Financials and Non-Financials Indexes: A measure of spillover effect in European debt crisis**

*by*Hui, Cho-Hoi & Lo, Chi-Fai & Lau, Chun-Sing

**Overconfident individual day traders: Evidence from the Taiwan futures market**

*by*Kuo, Wei-Yu & Lin, Tse-Chun

**The cross-sectional relation between conditional heteroskedasticity, the implied volatility smile, and the variance risk premium**

*by*Ederington, Louis H. & Guan, Wei

**Valuing catastrophe derivatives under limited diversification: A stochastic dominance approach**

*by*Perrakis, Stylianos & Boloorforoosh, Ali

**Dynamics of credit spread moments of European corporate bond indexes**

*by*Alizadeh, Amir H. & Gabrielsen, Alexandros

**Sarbanes-Oxley Act and corporate credit spreads**

*by*Nejadmalayeri, Ali & Nishikawa, Takeshi & Rao, Ramesh P.

**Pricing discrete path-dependent options under a double exponential jump–diffusion model**

*by*Fuh, Cheng-Der & Luo, Sheng-Feng & Yen, Ju-Fang

**Capturing the risk premium of commodity futures: The role of hedging pressure**

*by*Basu, Devraj & Miffre, Joëlle

**Do sovereign credit default swaps represent a clean measure of sovereign default risk? A factor model approach**

*by*Badaoui, Saad & Cathcart, Lara & El-Jahel, Lina

**Hedging structured credit products during the credit crisis: A horse race of 10 models**

*by*Ascheberg, Marius & Bick, Björn & Kraft, Holger

**The effects of external financing costs on investment timing and sizing decisions**

*by*Nishihara, Michi & Shibata, Takashi

**Can position limits restrain ‘rogue’ trading?**

*by*ap Gwilym, Rhys & Ebrahim, M. Shahid

**US presidential elections and implied volatility: The role of political uncertainty**

*by*Goodell, John W. & Vähämaa, Sami

**Explaining share price disparity with parameter uncertainty: Evidence from Chinese A- and H-shares**

*by*Chung, Tsz-Kin & Hui, Cho-Hoi & Li, Ka-Fai

**Pricing securities with multiple risks: A case of exchangeable debt**

*by*Mateti, Ravi S. & Hegde, Shantaram P. & Puri, Tribhuvan

**Ironing out the kinks in executive compensation: Linking incentive pay to average stock prices**

*by*Tian, Yisong S.

**Product market competition and credit risk**

*by*Huang, Hsing-Hua & Lee, Han-Hsing

**Seasonality and the valuation of commodity options**

*by*Back, Janis & Prokopczuk, Marcel & Rudolf, Markus

**Asset financing with credit risk**

*by*Golbeck, Steven & Linetsky, Vadim

**Static hedging and pricing American knock-in put options**

*by*Chung, San-Lin & Shih, Pai-Ta & Tsai, Wei-Che

**Multi-stage product development with exploration, value-enhancing, preemptive and innovation options**

*by*Koussis, Nicos & Martzoukos, Spiros H. & Trigeorgis, Lenos

**Liquidity commonality in commodities**

*by*Marshall, Ben R. & Nguyen, Nhut H. & Visaltanachoti, Nuttawat

**The information content of Eonia swap rates before and during the financial crisis**

*by*Hernandis, Lucía & Torró, Hipòlit

**A general closed-form spread option pricing formula**

*by*Caldana, Ruggero & Fusai, Gianluca

**A market-based approach to sector risk determinants and transmission in the euro area**

*by*Saldías, Martín

**VIX option pricing and CBOE VIX Term Structure: A new methodology for volatility derivatives valuation**

*by*Lin, Yueh-Neng

**Returns and option activity over the option-expiration week for S&P 100 stocks**

*by*Stivers, Chris & Sun, Licheng

**Sovereign credit spreads**

*by*Uhrig-Homburg, Marliese

**Pricing and static hedging of American-style options under the jump to default extended CEV model**

*by*Ruas, João Pedro & Dias, José Carlos & Vidal Nunes, João Pedro

**Smiles all around: FX joint calibration in a multi-Heston model**

*by*De Col, Alvise & Gnoatto, Alessandro & Grasselli, Martino

**Credit default swap spreads and variance risk premia**

*by*Wang, Hao & Zhou, Hao & Zhou, Yi

**A momentum threshold model of stock prices and country risk ratings: Evidence from BRICS countries**

*by*Liu, Tengdong & Hammoudeh, Shawkat & Thompson, Mark A.

**Stochastic modeling and fair valuation of drawdown insurance**

*by*Zhang, Hongzhong & Leung, Tim & Hadjiliadis, Olympia

**Pricing participating products with Markov-modulated jump–diffusion process: An efficient numerical PIDE approach**

*by*Fard, Farzad Alavi & Siu, Tak Kuen

**Valuing equity-linked death benefits in jump diffusion models**

*by*Gerber, Hans U. & Shiu, Elias S.W. & Yang, Hailiang

**The value of interest rate guarantees in participating life insurance contracts: Status quo and alternative product design**

*by*Eling, Martin & Holder, Stefan

**Finite-time survival probability and credit default swaps pricing under geometric Lévy markets**

*by*Hao, Xuemiao & Li, Xuan & Shimizu, Yasutaka

**Control variates and conditional Monte Carlo for basket and Asian options**

*by*Dingeç, Kemal Dinçer & Hörmann, Wolfgang

**Optimal decision on dynamic insurance price and investment portfolio of an insurer**

*by*Mao, Hong & Carson, James M. & Ostaszewski, Krzysztof M. & Wen, Zhongkai

**Pricing European options on deferred annuities**

*by*Ziveyi, Jonathan & Blackburn, Craig & Sherris, Michael

**Pricing inflation products with stochastic volatility and stochastic interest rates**

*by*Singor, Stefan N. & Grzelak, Lech A. & van Bragt, David D.B. & Oosterlee, Cornelis W.

**Analysis of DJIA, S&P 500, S&P 400, NASDAQ 100 and Russell 2000 ETFs and their influence on price discovery**

*by*Ivanov, Stoyu I. & Jones, Frank J. & Zaima, Janis K.

**Impact of volatility estimation method on theoretical option values**

*by*Borkowski, Bolesław & Krawiec, Monika & Shachmurove, Yochanan

**Systemic risk analysis using forward-looking Distance-to-Default series**

*by*Saldías, Martín

**Executive compensation, risk taking and the state of the economy**

*by*Raviv, Alon & Sisli-Ciamarra, Elif

**Is warrant really a derivative? Evidence from the Chinese warrant market**

*by*Chang, Eric C. & Luo, Xingguo & Shi, Lei & Zhang, Jin E.

**Simulated testing of nonparametric measure changes for hedging European options**

*by*Smith, Godfrey

**A generalised arbitrage-free Nelson–Siegel model: The impact of unspanned stochastic volatility**

*by*Chen, Rui & Du, Ke

**Do long-short speculators destabilize commodity futures markets?**

*by*Miffre, Joëlle & Brooks, Chris

**Predicting the limit-hit frequency in futures contracts**

*by*Levy, Tamir & Qadan, Mahmod & Yagil, Joseph

**Pricing of derivatives on commodity indices**

*by*Rauch, Johannes & Krayzler, Mikhail & Brunner, Bernhard & Zagst, Rudi

**Continuous-time VIX dynamics: On the role of stochastic volatility of volatility**

*by*Kaeck, Andreas & Alexander, Carol

**Credit risk, valuation and fundamental analysis**

*by*Realdon, Marco

**A leader of the world commodity futures markets in the making? The case of China's commodity futures**

*by*Fung, Hung-Gay & Tse, Yiuman & Yau, Jot & Zhao, Lin

**Humps in the volatility structure of the crude oil futures market: New evidence**

*by*Chiarella, Carl & Kang, Boda & Nikitopoulos, Christina Sklibosios & Tô, Thuy-Duong

**A model for hedging load and price risk in the Texas electricity market**

*by*Coulon, Michael & Powell, Warren B. & Sircar, Ronnie

**Quantitative analysis of feasibility of hydrous ethanol futures contracts in Brazil**

*by*Quintino, Derick David & David, Sergio Adriani

**Selective hedging in hydro-based electricity companies**

*by*Sanda, Gaute Egeland & Olsen, Eirik Tandberg & Fleten, Stein-Erik

**On the speed towards the mean for continuous time autoregressive moving average processes with applications to energy markets**

*by*Benth, Fred Espen & Taib, Che Mohd Imran Che

**Nonlinearity in cap-and-trade systems: The EUA price and its fundamentals**

*by*Lutz, Benjamin Johannes & Pigorsch, Uta & Rotfuß, Waldemar

**The stochastic seasonal behavior of energy commodity convenience yields**

*by*Mirantes, Andrés García & Población, Javier & Serna, Gregorio

**An empirical study of the information premium on electricity markets**

*by*Benth, Fred Espen & Biegler-König, Richard & Kiesel, Rüdiger

**Analyzing the impact of futures trading on spot price volatility: Evidence from the spot electricity market in France and Germany**

*by*Kalantzis, Fotis G. & Milonas, Nikolaos T.

**Valuation of collateralized debt obligations with hierarchical Archimedean copulae**

*by*Choroś-Tomczyk, Barbara & Härdle, Wolfgang Karl & Okhrin, Ostap

**An examination of the continuous-time dynamics of international volatility indices amid the recent market turmoil**

*by*Li, Minqiang

**No-arbitrage implied volatility functions: Empirical evidence from KOSPI 200 index options**

*by*Kim, Namhyoung & Lee, Jaewook

**Semi-parametric estimation of American option prices**

*by*Gagliardini, Patrick & Ronchetti, Diego

**Large distributional games with traits**

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

**Measuring the stance of monetary policy in zero lower bound environments**

*by*Krippner, Leo

**High quantiles estimation with Quasi-PORT and DPOT: An application to value-at-risk for financial variables**

*by*Araújo Santos, Paulo & Fraga Alves, Isabel & Hammoudeh, Shawkat

**Pricing options on stocks denominated in different currencies: Theory and illustrations**

*by*Ng, Andrew C.Y. & Li, Johnny Siu-Hang & Chan, Wai-Sum

**Day-of-the-week effect on the VIX. A parsimonious representation**

*by*Gonzalez-Perez, Maria T. & Guerrero, David E.

**Determinants of credit spreads: The role of ambiguity and information uncertainty**

*by*Guo, Liang

**Price and volatility dynamics between securitized real estate spot and futures markets**

*by*Shi, Jing & Xu, Tracy

**Executive bonus compensation when abnormal earnings and the state of the economy are correlated**

*by*Kim, Hwa-Sung

**Asymmetry in the jump-size distribution of the S&P 500: Evidence from equity and option markets**

*by*Kaeck, Andreas

**Practical policy iteration: Generic methods for obtaining rapid and tight bounds for Bermudan exotic derivatives using Monte Carlo simulation**

*by*Beveridge, Christopher & Joshi, Mark & Tang, Robert

**Asian and Australian options: A common perspective**

*by*Ewald, Christian-Oliver & Menkens, Olaf & Hung Marten Ting, Sai

**Pricing Parisian and Parasian options analytically**

*by*Zhu, Song-Ping & Chen, Wen-Ting

**A flexible matrix Libor model with smiles**

*by*Da Fonseca, José & Gnoatto, Alessandro & Grasselli, Martino

**Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order**

*by*Schlögl, Erik

**An inverse finite element method for pricing American options**

*by*Zhu, Song-Ping & Chen, Wen-Ting

**Option pricing with discrete time jump processes**

*by*Guégan, Dominique & Ielpo, Florian & Lalaharison, Hanjarivo

**Macro-hedging for commodity exporters**

*by*Borensztein, Eduardo & Jeanne, Olivier & Sandri, Damiano

**Production and hedging implications of executive compensation schemes**

*by*Akron, Sagi & Benninga, Simon

**Empirical Testing of Modified Black-Scholes Option Pricing Model Formula on NSE Derivative Market in India**

*by*Matloob Ullah Khan & Ambrish Gupta & Sadaf Siraj

**Asimetría y curtosis en el modelo binomial para valorar opciones reales: caso de aplicación para empresas de base tecnológica**

*by*Gastón Silverio Milanesi

**Modelos de valoración de opciones sobre títulos de renta fija: aplicación al mercado colombiano**

*by*Luis Guillermo Herrera Cardona & Darwin Cárdenas Giraldo

**Provocări Implicate De Evaluarea Companiilor**

*by*Ludmila D. SOBOL

**Default and liquidity regimes in the bond market during the 2002-2012 period**

*by*Georges Dionne & Olfa Maalaoui Chun

**The Overnight Currency Swap Rates and ISE Overnight Repo Rates**

*by*Doruk KUCUKSARAC & Ozgur OZEL

**Law and Finance: The Case of Constructive Sales**

*by*Thomas J. Brennan

**High dimensionality in finance: a graph-theory analysis**

*by*Raynaud, Franck & Lautier, Delphine

**Leverage and Financial Instability**

*by*A. Smirnov.

**Vorschlag eines Bewertungskonzepts von Zertifikaten**

*by*Armin Varmaz & Christian Fieberg

**The forward premium puzzle and latent factors day by day**

*by*Bernoth, Kerstin & von Hagen, Jürgen & de Vries, Casper

**Pricing Synthetic CDOs Using a Three Regime Random-Factor-Loading Model**

*by*Messow, Philip

**The term structure of bond market liquidity conditional on the economic environment: An analysis of government guaranteed bonds**

*by*Schuster, Philipp & Uhrig-Homburg, Marliese

**Network neutrality and consumer discrimination: Comparing ISP's GTCs and DPI application**

*by*Grove, Nico & Agic, Damir & Sedlmeir, Joachim

**A parsimonious model for intraday European option pricing**

*by*Scalas, Enrico & Politi, Mauro

**Fixed income strategies for trading and for asset management**

*by*Tinschert, Jonas & Cremers, Heinz

**Das Geschäft mit Derivaten und strukturierten Produkten: Welche Rolle spielt die Bank?**

*by*Schmidt, Wolfgang M.

**A partially linear approach to modelling the dynamics of spot and futures prices**

*by*Gaul, Jürgen & Theissen, Erik

**Portfolioallokation: Einbezug verschiedener Assetklassen**

*by*Herz, Christian & Neunert, Daniela & Will, Sebastian & Wolf, Niko J. & Zwick, Tobias

**Anomalous dynamics of Black–Scholes model time-changed by inverse subordinators**

*by*Marcin Magdziarz & Janusz Gajda

**The relationship between spot and futures CO2 emission allowance prices in the EU-ETS**

*by*Stefan Trück & Wolfgang Härdle & Rafal Weron

**Extracting information on implied volatilities and discrete dividends from American options prices**

*by*Martina Nardon & Paolo Pianca

**Prospect theory: An application to European option pricing**

*by*Martina Nardon & Paolo Pianca

**Leveraged Investments and Agency Conflicts When Prices Are Mean Reverting**

*by*Kristoffer Glover & Gerhard Hambusch

**Consistent Modeling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model**

*by*Jan Baldeaux & Alexander Badran

**Alternative Term Structure Models for Reviewing Expectations Puzzles**

*by*Christina Nikitopoulos-Sklibosios & Eckhard Platen

**Modelling Default Correlations in a Two-Firm Model with Dynamic Leverage Ratios**

*by*Carl Chiarella & Chi-Fai Lo & Ming Xi Huang

**The Value of Interest Rate Guarantees in Participating Life insurance Contracts: Status Quo and Alternative Product Design**

*by*Eling, Martin & Holder, Stefan

**Calibration of stochastic volatility models via second order approximation: the Heston model case**

*by*Elisa Alòs & Rafael De Santiago & Josep Vives

**Estimating Implied Recovery Rates from the Term Structure of CDS Spreads**

*by*Marcin Jaskowski & Michael McAleer

**Relaxing Competition through Speculation : Committing to a Negative Supply Slope**

*by*Holmberg, P. & Willems, Bert

**Relaxing Competition through Speculation : Committing to a Negative Supply Slope**

*by*Holmberg, P. & Willems, Bert

**Convertible Bonds and Bank Risk-Taking**

*by*Natalya Martynova & Enrico Perotti

**Double Asymptotics for Explosive Continuous Time Models**

*by*Xiaohu Wang & Jun Yu

**Large Distributional Games with Traits**

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

**Large Games with a Bio-Social Typology**

*by*M. Ali Khan & Kali P. Rath & Yeneng Sun & Haomiao Yu

**Pricing Synthetic CDOs Using a Three Regime Random-Factor-Loading Model**

*by*Philip Messow

**Pricing Decisions and Insider Trading in Horse Betting Markets**

*by*A. SCHNYTZER & V. MAKROPOULOU & M. LAMERS

**Hedging through a Limit Order Book with Varying Liquidity**

*by*Rossella Agliardi & Ramazan Gençay

**The Informational Role of Spot Prices and Inventories**

*by*Smith, James L. & Thompson, Rex

**Average Portfolio Insurance Strategies**

*by*Jacques Pézier & Johanna Scheller

**A General Approach to Real Option Valuation with Applications to Real Estate Investments**

*by*Carol Alexander & Xi Chen

**Interrelación entre los mercados de derivados y el mercado de bonos soberanos del Perú y su impacto en las tasas de interés**

*by*Choy, Marylin & Cerna, Jorge

**Quel impact des nouveaux spéculateurs sur les prix agricoles ? Une analyse empirique des fonds d’investissement**

*by*Jean Cordier & Alexandre Gohin

**Volatility Impact of Stock Index Futures Trading - A Revised Analysis**

*by*Wagner, Helmut & Matanovic, Eva

**Currency Carry Trades, Position-Unwinding Risk, and Sovereign Credit Premia**

*by*Huang, Huichou & MacDonald, Ronald

**Why African Stock Markets Should Formally Harmonise and Integrate their Operations**

*by*Ntim, Collins G

**Markets Evolution After the Credit Crunch**

*by*Bianchetti, Marco & Carlicchi, Mattia

**Linepack storage valuation under price uncertainty**

*by*Arvesen, Øystein & Medbø, Vegard & Fleten, Stein-Erik & Tomasgard, Asgeir & Westgaard, Sjur

**Why Do Financial Intermediaries Buy Put Options from Companies?**

*by*Gyoshev, Stanley & Kaplan, Todd R. & Szewczyk, Samuel & Tsetsekos, George

**Swapping Headline for Core Inflation: An Asset Liability Management Approach**

*by*Fulli-Lemaire, Nicolas & Palidda, Ernesto

**Collateral choice and the fundamental theorem of asset pricing**

*by*Luis Manuel, García Muñoz

**Interest Rates After The Credit Crunch: Multiple-Curve Vanilla Derivatives and SABR**

*by*Marco, Bianchetti & Mattia, Carlicchi

**Arbitrarily Fast CRR Schemes**

*by*Leduc, Guillaume

**European Option General First Order Error Formula**

*by*Leduc, Guillaume

**Sovereign default Risk in the Euro-Periphery and the Euro-Candidate Countries**

*by*Gabrisch, Hubert & Orlowski, Lucjan T. & Pusch, Toralf

**Do financial investors affect the price of wheat?**

*by*Girardi, Daniele

**Futures basis, inventory and commodity price volatility: An empirical analysis**

*by*Symeonidis, Lazaros & Prokopczuk, Marcel & Brooks, Chris & Lazar, Emese

**The synchronized and long-lasting structural change on commodity markets: evidence from high frequency data**

*by*Bicchetti, David & Maystre, Nicolas

**Mathematical analysis and numerical methods for pricing pension plans allowing early retirement**

*by*Calvo-Garrido, Maria del Carmen & Pascucci, Andrea & Vázquez Cendón, Carlos

**Returns in commodities futures markets and financial speculation: a multivariate GARCH approach**

*by*Matteo Manera & Marcella Nicolini & Ilaria Vignati

**Long memory and Periodicity in Intraday Volatility**

*by*Eduardo Rossi & Dean Fantazzini

**The Determinants of Extreme Commodity Prices**

*by*Karlygash Kuralbayeva & Samuel Malone

**The effects of external financing costs on investment timing and sizing decisions**

*by*Michi NISHIHARA & Takashi SHIBATA

**Measuring the stance of monetary policy in zero lower bound environments**

*by*Leo Krippner

**Modifying Gaussian term structure models when interest rates are near the zero lower bound**

*by*Leo Krippner

**Embedded Leverage**

*by*Andrea Frazzini & Lasse H. Pedersen

**Tail Risk in Momentum Strategy Returns**

*by*Kent Daniel & Ravi Jagannathan & Soohun Kim

**Parametric Inference and Dynamic State Recovery from Option Panels**

*by*Torben G. Andersen & Nicola Fusari & Viktor Todorov

**Internet, noise trading and commodity prices**

*by*Massimo PERI & Daniela VANDONE & Lucia BALDI

**On the Investment-Uncertainty Relationship: A Game Theoretic Real Option Approach**

*by*Elmar Lukas & Andreas Welling

**Model Implied Credit Spreads**

*by*Gunnar Grass

**Equity options, credit default swaps e leverage: un semplice modello a volatilita' stocastica per i derivati azionari e creditizi**

*by*Gaia Barone

**Estimating implied recovery rates from the term structure of CDS spreads**

*by*Marcin Jaskowski & Michael McAleer

**The Puzzle of Index Option Returns**

*by*George M. Constantinides & Jens Carsten Jackwerth & Alexi Savov

**Recovering Delisting Returns of Hedge Funds**

*by*James E. Hodder & Jens Carsten Jackwerth & Olga Kolokolova

**Volatility Spillover in the Foreign Exchange Market: The Indian Experience**

*by*Saurabh Ghosh

**Market efficiency of commodity futures in India**

*by*Inoue, Takeshi & Hamori, Shigeyuki

**Efficient Pricing of European-Style Options Under Heston's Stochastic Volatility Model**

*by*Zhylyevskyy, Oleksandr

**Regulations and price discovery: oil spot and futures markets**

*by*Ashima Goyal & Shruti Tripathi

**Credit Risk Contagion and the Global Financial Crisis**

*by*Azusa Takeyama & Nick Constantinou & Dmitri Vinogradov

**A Framework for Extracting the Probability of Default from Stock Option Prices**

*by*Azusa Takeyama & Nick Constantinou & Dmitri Vinogradov

**Effectiveness of Weather Derivatives as a Cross-Hedging Instrument against Climate Change: The Cases of Reservoir Water Allocation Management in Guanajuato, Mexico and Lambayeque, Peru**

*by*Miriam Juarez-Torres & Leonardo Sanchez-Aragon

**Implied Basket Correlation Dynamics**

*by*Wolfgang Karl HÃ¤rdle & Elena Silyakova & &

**Option calibration of exponential LÃ©vy models: Implementation and empirical results**

*by*Jacob SÃ¶hl & Mathias Trabs

**Confidence sets in nonparametric calibration of exponential LÃ©vy models**

*by*Jakob SÃ¶hl

**A Quasi-Bounded Target Zone Model - Theory and Application to Hong Kong Dollar**

*by*C. F. Lo & C. H. Hui & S. W. Chu & T. Fong

**What Makes the VIX Tick?**

*by*Warren Bailey & Lin Zheng & Yinggang Zhou

**Relaxing Competition through Speculation: Committing to a Negative Supply Slope**

*by*Holmberg, Pär & Willems, Bert

**A Markov Copula Model of Portfolio Credit Risk with Stochastic Intensities and Random Recoveries**

*by*Bielecki, T.R. & Cousin, A. & Crépey, S. & Herbertsson, Alexander

**The Relative Contemporaneous Information Response. A New Cointegration-Based Measure of Price Discovery**

*by*Helder Sebastião

**Microstructure effect on firm’s volatility risk**

*by*Flavia Barsotti & Simona Sanfelici

**Optimal Capital Structure with Endogenous Default and Volatility Risk**

*by*Flavia Barsotti

**Returns in Commodities Futures Markets and Financial Speculation: A Multivariate GARCH Approach**

*by*Matteo Manera & Marcella Nicolini & Ilaria Vignati

**Uncertainty and leveraged Lucas Trees: the cross section of equilibrium volatility risk premia**

*by*Andrea Vedolin

**Measuring the stance of monetary policy in zero lower bound environments**

*by*Leo Krippner

**Modifying Gaussian term structure models when interest rates are near the zero lower bound (this is a revised version of CAMA working paper 36/2011)**

*by*Leo Krippner

**Cumulative Prospect Theory, employee exercise behaviour and stock options cost assessment**

*by*Bahaji, Hamza

**Managing Commodity Risk : Can Sovereign Funds Help ?**

*by*Brière, Marie

**Consistent Price Systems and Arbitrage Opportunities of the Second Kind in Models with Transaction Costs**

*by*Lépinette-Denis, Emmanuel & Kabanov, Yuri

**An Introduction to Particle Methods with Financial Applications**

*by*Carmona, René & Del Moral, Pierre & Hu, Peng & Oudjane, Nadia

**The Market Microstructure of the European Climate Exchange**

*by*Yoichi Otsubo & Bruce Mizrach

**Measuring the Bid-Ask Spreads: Application to the European Union Allowances Futures Market**

*by*Yoichi Otsubo

**Euro at Risk: The Impact of Member Countries Credit Risk on the Stability of the Common Currency**

*by*Thorsten Lehnert & Lamia Bekkour & Xisong Jin & Fanou Rasmouki & Christian Wolff

**Too-Systemic-To-Fail: What Option Markets Imply About Sector-wide Government Guarantees**

*by*Kelly, Bryan & Lustig, Hanno & van Nieuwerburgh, Stijn

**The asymmetric commodity inventory effect on the optimal hedge ratio**

*by*CARPANTIER, Jean-FranÃ§ois & SAMKHARADZE, Besik

**Optimal Static Hedging of Energy Price and Volume Risk: Closed-Form Results**

*by*Javier Orlando Pantoja Robayo & Andrea Roncoroni

**Implied probabilities of default from Colombian money market spreads: The Merton Model under equity market informational constraints**

*by*Carlos León

**Volatility Transmission across Currency, Commodity and Equity Markets under Multi-Chain Regime Switching: Implications for Hedging and Portfolio Allocation**

*by*A. Khalifa & S. Hammoudeh & E. Otranto & S. Ramchander

**Macroeconomic Factors as Drivers of LGD Prediction: Empirical Evidence from the Czech Republic**

*by*Konstantin Belyaev & Aelita Belyaeva & Tomas Konecny & Jakub Seidler & Martin Vojtek

**Risk Management and Financial Derivatives: An Overview**

*by*Shawkat Hammoudeh & Michael McAleer

**Sovereign default and macroeconomic tipping points**

*by*Joy, Mark

**Relaxing competition through speculation: Committing to a negative supply slope**

*by*Holmberg, P. & Willems, B.

**Bank stability and market discipline: The effect of contingent capital on risk taking and default probability**

*by*Jens Hilscher & Alon Raviv

**Inflation Derivatives Under Inflation Target Regimes**

*by*Mordecai Avriel & Jens Hilscher & Alon Raviv

**Ambiguity Aversion and Variance Premium**

*by*Jianjun Miao & Bin Wei & Hao Zhou

**Interaction between Single Stock Futures and the Underlying Securities: A Cross-Country Analysis**

*by*Evren Arik & Elif Mutlu

**Estimating probability distributions of future asset prices: empirical transformations from option-implied risk-neutral to real-world density functions**

*by*de Vincent-Humphreys, Rupert & Noss, Joseph

**Using Merton model: an empirical assessment of alternatives**

*by*Zvika Afik & Ohad Arad & Koresh Galil

**Asset Pricing with Second-Order Esscher Transforms**

*by*Monfort, A. & Pegoraro, F.

**Macro-Prudential Policy and the Conduct of Monetary Policy**

*by*Beau, D. & Clerc, L. & Mojon, B.

**Price as a choice under nonstochastic randomness in finance**

*by*Y, Ivanenko. & B, Munier.

**The role of financial investments in agricultural commodity derivatives markets**

*by*Alessandro Borin & Virginia Di Nino

**Valuation of vix derivatives**

*by*Javier Mencía & Enrique Sentana

**Estimating the Policy Rule from Money Market Rates when Target Rate Changes Are Lumpy**

*by*Jean-Sébastien Fontaine

**The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation**

*by*Peter Christoffersen & Bruno Feunou & Kris Jacobs & Nour Meddahi

**Risk Premium, Variance Premium and the Maturity Structure of Uncertainty**

*by*Bruno Feunou & Jean-Sébastien Fontaine & Abderrahim Taamouti & Roméo Tedongap

**Pricing European Options on Deferred Insurance**

*by*Jonathan Ziveyi & Craig Blackburn & Michael Sherris

**Stock Return and Cash Flow Predictability: The Role of Volatility Risk**

*by*Tim Bollerslev & Lai Xu & Hao Zhou

**GARCH Option Valuation: Theory and Evidence**

*by*Peter Christoffersen & Kris Jacobs & Chayawat Ornthanalai

**Commodity derivatives pricing with inventory effects**

*by*Christian Bach & Matt P. Dziubinski

**Modeling and Pricing in Financial Markets for Weather Derivatives**

*by*Fred Espen Benth & Jūratė Šaltytė Benth

**An Introduction to Wavelet Theory in Finance:A Wavelet Multiscale Approach**

*by*Francis In & Sangbae Kim

**Security Analysis, Portfolio Management, and Financial Derivatives**

*by*Cheng-Few Lee & Joseph Finnerty & John Lee & Alice C Lee & Donald Wort

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

*by*Moreau, Ludovic

**Price Discovery and Asymmetric Volatility Spillovers in Indian Spot-Futures Gold Markets**

*by*P. Srinivasan & P. Ibrahim

**Breaking Through Risk Management, a Derivative for the Leasing Industry**

*by*Prado, Sylvain Michael & Ananth, Ram

**Volatility Regimes For The Vix Index**

*by*JACINTO MARABEL ROMO

**Do financial investors affect the price of wheat?**

*by*Daniele Girardi

**Testing for Sibex Market’s Long-Term Memory**

*by*Pochea Maria-Miruna

**Valuación financiera de proyectos de inversión en nuevas tecnologías con opciones reales**

*by*Álvarez Echeverría Francisco & López Sarabia Pablo & Venegas Martínez Francisco

**On the Origins of Conditional Heteroscedasticity in Time Series**

*by*Richard Ashley

**Extracting Deflation Probability Forecasts from Treasury Yields**

*by*Jens H.E. Christensen & Jose A. Lopez & Glenn D. Rudebusch

**Pricing Of Payment Deferred Vulnerable Options And Its Application To Vulnerable Range Accrual Notes**

*by*Po-Cheng Wu & Chih-Wei Lee & Cheng-Kun Kuo

**A Comparison Of Delta Hedging Under Two Price Distribution Assumptions By Likelihood Ratio**

*by*Lingyan Cao & Zheng-Feng Guo

**Option Portfolio Value At Risk Using Monte Carlo Simulation Under A Risk Neutral Stochastic Implied Volatility Model**

*by*Peng He

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

*by*Lingyan Cao & Zheng-Feng Guo

**Does It Matter Who Trades Energy Derivatives?**

*by*Bahattin Büyüksahin & Michel A. Robe

**Speculation, Returns, Volume and Volatility in Commodities Futures Markets**

*by*Andrea Bastianin & Matteo Manera & Marcella Nicolini & Ilaria Vignati

**Market Application of the Fuzzy-Stochastic Approach in the Heston Option Pricing Model**

*by*Gianna Figa-Talamanca & Maria Letizia Guerra

**Portfolio Diversification in Extreme Environments: Are There Benefits from Adding Commodity Future Indices?**

*by*Bala Batavia & Nandakumar Parameswar & Cheick Wagué

**Valuación económica de proyectos energéticos mediante opciones reales: el caso de energía nuclear en México**

*by*Francisco Álvarez Echeverría & Pablo López Sarabia & Francisco Venegas-Martínez

**Real option valuation of abandoned farmland**

*by*Nishihara, Michi

**Implementing option pricing models when asset returns follow an autoregressive moving average process**

*by*Wang, Chou-Wen & Wu, Chin-Wen & Tzang, Shyh-Weir

**Volatility risk premium decomposition of LIFFE equity options**

*by*Lin, Bing-Huei & Lin, Yueh-Neng & Chen, Yin-Jung

**Production and futures hedging with state-dependent background risk**

*by*Wong, Kit Pong

**Debt reorganization strategies with complete verification under information asymmetry**

*by*Shibata, Takashi & Tian, Yuan

**Call-pricing equity returns and default risks of entry mode with brand perception in retail banking**

*by*Tsai, Jeng-Yan & Chang, Chuen-Ping

**Empirical estimation of the option premium for residential redevelopment**

*by*Clapp, John M. & Bardos, Katsiaryna Salavei & Wong, S.K.

**Efficient growth boundaries in the presence of population externalities and stochastic rents**

*by*Jou, Jyh-Bang

**The relevance of thinking-by-analogy for investors’ willingness-to-pay: An experimental study**

*by*Siddiqi, Hammad

**Pinning in the S&P 500 futures**

*by*Golez, Benjamin & Jackwerth, Jens Carsten

**Dynamic jump intensities and risk premiums: Evidence from S&P500 returns and options**

*by*Christoffersen, Peter & Jacobs, Kris & Ornthanalai, Chayawat

**The option to stock volume ratio and future returns**

*by*Johnson, Travis L. & So, Eric C.

**Limited arbitrage between equity and credit markets**

*by*Kapadia, Nikunj & Pu, Xiaoling

**What does futures market interest tell us about the macroeconomy and asset prices?**

*by*Hong, Harrison & Yogo, Motohiro

**U.S. stock market crash risk, 1926–2010**

*by*Bates, David S.

**Pricing of commercial real estate securities during the 2007–2009 financial crisis**

*by*Driessen, Joost & Van Hemert, Otto

**Arbitrage crashes and the speed of capital**

*by*Mitchell, Mark & Pulvino, Todd

**Time series momentum**

*by*Moskowitz, Tobias J. & Ooi, Yao Hua & Pedersen, Lasse Heje

**Endogenous liquidity in credit derivatives**

*by*Qiu, Jiaping & Yu, Fan

**Counterparty credit risk and the credit default swap market**

*by*Arora, Navneet & Gandhi, Priyank & Longstaff, Francis A.

**CAPM for estimating the cost of equity capital: Interpreting the empirical evidence**

*by*Da, Zhi & Guo, Re-Jin & Jagannathan, Ravi

**Rational asset pricing bubbles and portfolio constraints**

*by*Hugonnier, Julien

**Conservative traders, natural selection and market efficiency**

*by*Luo, Guo Ying

**Anchoring bias in the TARP warrant negotiations**

*by*Wilson, Linus

**Derivatives traders’ reaction to mispricing in the underlying equity**

*by*Hayunga, Darren K. & Holowczak, Richard D. & Lung, Peter P. & Nishikawa, Takeshi

**Real options and earnings-based bonus compensation**

*by*Huang, Hsing-Hua & Huang, Hongming & Shih, Pai-Ta

**Volatility spillovers and the effect of news announcements**

*by*Jiang, George J. & Konstantinidi, Eirini & Skiadopoulos, George

**Asset pricing with Second-Order Esscher Transforms**

*by*Monfort, Alain & Pegoraro, Fulvio

**Endogenizing exogenous default barrier models: The MM algorithm**

*by*Forte, Santiago & Lovreta, Lidija

**Keep on smiling? The pricing of Quanto options when all covariances are stochastic**

*by*Branger, Nicole & Muck, Matthias

**The term structure of illiquidity premia**

*by*Kempf, Alexander & Korn, Olaf & Uhrig-Homburg, Marliese

**When are path-dependent payoffs suboptimal?**

*by*Kassberger, Stefan & Liebmann, Thomas

**Exploring the role of the realized return distribution in the formation of the implied volatility smile**

*by*Chalamandaris, Georgios & Rompolis, Leonidas S.

**Price discovery and volatility spillovers in the European Union emissions trading scheme: A high-frequency analysis**

*by*Rittler, Daniel

**A comparative study of the probability of default for global financial firms**

*by*Câmara, António & Popova, Ivilina & Simkins, Betty

**Option-implied volatility factors and the cross-section of market risk premia**

*by*Li, Junye

**Pricing American interest rate options under the jump-extended constant-elasticity-of-variance short rate models**

*by*Beliaeva, Natalia & Nawalkha, Sanjay

**Volatility dynamics for the S&P 500: Further evidence from non-affine, multi-factor jump diffusions**

*by*Kaeck, Andreas & Alexander, Carol

**Corporate taxes, strategic default, and the cost of debt**

*by*Nejadmalayeri, Ali & Singh, Manohar

**30-Day Interbank futures: Investigating the process of price discovery following RBA cash target rate announcements**

*by*Smales, Lee A.

**The options market response to accounting earnings announcements**

*by*Truong, Cameron & Corrado, Charles & Chen, Yangyang

**Valuing equity-linked death benefits and other contingent options: A discounted density approach**

*by*Gerber, Hans U. & Shiu, Elias S.W. & Yang, Hailiang

**Dynamic hedging of conditional value-at-risk**

*by*Melnikov, Alexander & Smirnov, Ivan

**An investor sentiment barometer — Greek Implied Volatility Index (GRIV)**

*by*Siriopoulos, Costas & Fassas, Athanasios

**Escaping TARP**

*by*Wilson, Linus & Wu, Yan Wendy

**Stock option contract adjustments: The case of special dividends**

*by*Barraclough, Kathryn & Stoll, Hans R. & Whaley, Robert E.

**Anatomy of a meltdown: The risk neutral density for the S&P 500 in the fall of 2008**

*by*Birru, Justin & Figlewski, Stephen

**The relationship between reciprocal currency futures prices**

*by*Bick, Avi

**Barrier option pricing for exchange rates under the Levy–HJM processes**

*by*Hsu, Pao-Peng & Chen, Ying-Hsiu

**Option pricing and ARCH processes**

*by*Zumbach, Gilles

**Discrete time hedging with liquidity risk**

*by*Ku, Hyejin & Lee, Kiseop & Zhu, Huaiping

**Discrete versus continuous time models: Local martingales and singular processes in asset pricing theory**

*by*Jarrow, Robert & Protter, Philip

**A jump-diffusion approach to modelling vulnerable option pricing**

*by*Xu, Weidong & Xu, Weijun & Li, Hongyi & Xiao, Weilin

**Negotiating M&As under uncertainty: The influence of managerial flexibility on the first-mover advantage**

*by*Lukas, Elmar & Welling, Andreas

**Asymmetries, causality and correlation between FTSE100 spot and futures: A DCC-TGARCH-M analysis**

*by*Tao, Juan & Green, Christopher J.

**Short-sale constraints and efficiency of the spot–futures dynamics**

*by*McMillan, David G. & Philip, Dennis

**A contingent claim analysis of sunflower management under board monitoring and capital regulation**

*by*Tsai, Jeng-Yan & Lin, Jyh-Horng

**Market efficiency and risk premia in short-term forward prices**

*by*Haugom, Erik & Ullrich, Carl J.

**Clustering in crude oil prices and the target pricing zone hypothesis**

*by*Bharati, Rakesh & Crain, Susan J. & Kaminski, Vincent

**Integration of the global carbon markets**

*by*Mizrach, Bruce

**Modeling and explaining the dynamics of European Union Allowance prices at high-frequency**

*by*Conrad, Christian & Rittler, Daniel & Rotfuß, Waldemar

**Testing the Masters Hypothesis in commodity futures markets**

*by*Irwin, Scott H. & Sanders, Dwight R.

**Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies**

*by*Sadorsky, Perry

**How much should we pay for interconnecting electricity markets? A real options approach**

*by*Cartea, Álvaro & González-Pedraz, Carlos

**Nonparametric estimation of scalar diffusion models of interest rates using asymmetric kernels**

*by*Gospodinov, Nikolay & Hirukawa, Masayuki

**The effects of Federal funds rate surprises on S&P 500 volatility and volatility risk premium**

*by*Gospodinov, Nikolay & Jamali, Ibrahim

**How to allocate forward contracts: The case of electricity markets**

*by*de Frutos, María-Ángeles & Fabra, Natalia

**Gauging potential sovereign risk contagion in Europe**

*by*Fong, Tom Pak Wing & Wong, Alfred Y-T.

**Futures basis, inventory and commodity price volatility: An empirical analysis**

*by*Symeonidis, Lazaros & Prokopczuk, Marcel & Brooks, Chris & Lazar, Emese

**The impact of convertible debt financing on investment timing**

*by*Yagi, Kyoko & Takashima, Ryuta

**Unilateral CVA for CDS in a contagion model with stochastic pre-intensity and interest**

*by*Bao, Qunfang & Chen, Si & Li, Shenghong

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

*by*Lin, Yueh-Neng & Chang, Chien-Hung

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

*by*Cheng, Jun & Ibraimi, Meriton & Leippold, Markus & Zhang, Jin E.

**Fair demographic risk sharing in defined contribution pension systems**

*by*Gabay, Daniel & Grasselli, Martino

**The dynamics of mergers and acquisitions in oligopolistic industries**

*by*Hackbarth, Dirk & Miao, Jianjun

**Good timing: The economics of optimal stopping**

*by*Davis, Graham A. & Cairns, Robert D.

**Evaluating callable and putable bonds: An eigenfunction expansion approach**

*by*Lim, Dongjae & Li, Lingfei & Linetsky, Vadim

**Valuation of power options under Heston's stochastic volatility model**

*by*Kim, Jerim & Kim, Bara & Moon, Kyoung-Sook & Wee, In-Suk

**Aggregate volatility risk: Explaining the small growth anomaly and the new issues puzzle**

*by*Barinov, Alexander

**How should firms selectively hedge? Resolving the selective hedging puzzle**

*by*Wojakowski, Rafał M.

**Theoretical and Empirical Review of Asset Pricing Models:A Structural Synthesis**

*by*Saban Celik

**A Quantitative Mirror on the Euribor Market Using Implied Probability Density Functions**

*by*Josep Maria Puigvert-Gutiérrez & Rupert de Vincent-Humphreys

**La nouvelle régulation des swaps : une opportunité manquée**

*by*Annette L. Nazareth & Gabriel D. Rosenberg

**Les marchés de produits dérivés et la loi américaine sur les faillites**

*by*Mark J. Roe

**Commodity Investing**

*by*K. Geert Rouwenhorst & Ke Tang

**Econometric Analysis Regarding The Dependence Of The Futures Price, The Underlying Asset And The Robor**

*by*Mircea Gabriel Ciolpan & Jenica Popescu

**Valuation of a Hydro-Electric Power Project in Emerging Markets: An Application of Real Options**

*by*Richard Ebil Ottoo

**Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data**

*by*Yacine A�t-Sahalia & Jean Jacod

**Tranching, CDS, and Asset Prices: How Financial Innovation Can Cause Bubbles and Crashes**

*by*Ana Fostel & John Geanakoplos

**Portfolio optimization using forward-looking information**

*by*Kempf, Alexander & Korn, Olaf & Saßning, Sven

**Incentives from stock option grants: a behavioral approach**

*by*Bahaji, Hamza

**Inflation et désinflation**

*by*Bezbakh, Pierre

**A Market for Weather Risk ? Conflicting Metrics, Attempts at Compromise and Limits to Commensuration**

*by*Huault, Isabelle & Rainelli, Hélène

**Incentives from stock option grants: a behavioral approach**

*by*Bahaji, Hamza

**Options introduction and volatility in the EU ETS**

*by*Chevallier, Julien & Le Pen, Yannick & Sévi, Benoît

**A Finite-Dimensional Approximation for Pricing Moving Average Options**

*by*Bernhart, Marie & Tankov, Peter & Warin, Xavier

**The Relation Between Oil and Gas Returns: a Factor Analysis**

*by*Sévi, Benoît & Le Pen, Yannick & Chevallier, Julien & Bunn, Derek

**Incentives from stock option grants: a behavioral approach**

*by*Bahaji, Hamza

**The dynamics of mergers and acquisitions in oligopolistic industries**

*by*Jianjun Miao & Dirk Hackbarth

**The Pricing of the Option Implicitly Granted by the Italian Treasury to the Specialists in the Reserved Auction Reopening**

*by*Chiara Coluzzi

**A General Structural Approach For Credit Modeling Under Stochastic Volatility**

*by*Escobar, Marcos & Friederich, Tim & Seco, Luis & Zagst, Rudi

**A Stochastic Programming Model to Minimize Volume Liquidity Risk in Commodity Trading**

*by*Fragniere, Emmanuel & Markov, Iliya

**Interest Rates After the Credit Crunch: Markets and Models Evolution**

*by*Bianchetti, Marco & Carlicchi, Mattia

**Extreme Börsenbewegung und Intraday-Preisstellung von Open-End-Turbo-Zertifikaten auf den DAX: Der Fall Kerviel**

*by*Sebastian Lobe & Klaus Röder

**Pricing of temperature-based weather options for Turkey**

*by*Ahmet GÖNCÜ & Mehmet Oguz KARAHAN & Tolga Umut KUZUBAŞ

**Efficiency and hedging effectiveness in the NYMEX crude oil futures market**

*by*Tarkan ÇAVUŞOĞLU & Soner GÖKTEN

**The value of tradeability**

*by*Chesney, Marc & Kempf, Alexander

**Price discovery in spot and futures markets: A reconsideration**

*by*Theissen, Erik

**Does modeling framework matter? A comparative study of structural and reduced-form models**

*by*Gündüz, Yalin & Uhrig-Homburg, Marliese

**Portfolio-Management für Privatanleger auf Basis des State Preference Ansatzes**

*by*Fäßler, Robert & Kraus, Christina & Weiler, Sebastian M. & Abukadyrova, Kamila

**Option pricing in subdiffusive Bachelier model**

*by*Marcin Magdziarz & Sebastian Orzel & Aleksander Weron

**Three-Benchmarked Risk Minimization for Jump Diffusion Markets**

*by*Ke Du & Eckhard Platen

**Do financial investors affect commodity prices? The case of Hard Red Winter Wheat**

*by*Daniele Girardi

**Semi-nonparametric estimation of the call price surface under strike and time-to-expiry no-arbitrage constraints**

*by*Fengler, Matthias & Hin, Lin-Yee

**A General Equilibrium Model of Environmental Option Values**

*by*Iain Fraser & Katsuyuki Shibayama

**Estimating the Leverage Parameter of Continuous-time Stochastic Volatility Models Using High Frequency S&P 500 and VIX**

*by*Isao Ishida & Michael McAleer & Kosuke Oya

**(Re)financing the Slave Trade with the Royal African Company in the Boom Markets of 1720**

*by*Gary S. Shea

**A Social Network for Trade and Inventories of Stock during the South Sea Bubble**

*by*Gary S. Shea

**East India Company and Bank of England Shareholders during the South Sea Bubble: Partitions, Components and Connectivity in a Dynamic Trading Network**

*by*Andrew Mays & Gary S. Shea

**Does Stock Return Predictability Affect ESO Fair Value?**

*by*CARMONA, JULIO & LEÓN, ANGEL & VAELLO-SEBASTIÁ, ANTONI

**Seasonal Stochastic Volatility: Implications for the Pricing of Commodity Options**

*by*Janis Back & Marcel Prokopczuk & Markus Rudolf

**Rationalization of Investment Preference Criteria**

*by*Jacques Pézier

**Does Information Content of Option Prices Add Value for Asset Allocation?**

*by*Vladimir Zdorovenin & Jacques Pézier

**A Market-based Approach to Sector Risk Determinants and Transmission in the Euro Area**

*by*Martín Saldías

**Evaluating Asset Pricing Models in a Simulated Multifactor Approach**

*by*Carrasco-Gutierrez, Carlos Enrique & Piazza, Wagner

**Option Pricing in an Oligopolistic Setting**

*by*Villena, Marcelo & Villena, Mauricio

**A Futures Trading Experiment: An Active Classroom Approach to Learning**

*by*Mitchell, David & Hunsader, Kenneth & Parker, Scott

**On the demand pressure hypothesis in option markets: the case of a redundant option**

*by*Bennour, Khaled

**Price Discovery and Volatility Spillovers in Indian Spot-Futures Commodity Market**

*by*P., Srinivasan

**HUMAN Capital Contracts in Chile : An excercise based on Income data on Chilean HE graduates**

*by*Lozano Rojas, Felipe Andres

**The Zeeman Effect in Finance: Libor Spectroscopy and Basis Risk Management**

*by*Marco, Bianchetti

**Hedging dynamics with gold futures**

*by*Singh, Saurabh & Saharawat, Swati

**International stock market comovements: what happened during the financial crisis?**

*by*Horvath, Roman & Poldauf, Petr

**Financial Management of Weather Risk with Energy Derivatives**

*by*Janda, Karel & Vylezik, Tomas

**Expansion formulae for local Lévy models**

*by*Stefano, Pagliarani & Pascucci, Andrea & Candia, Riga

**An efficient lattice algorithm for the libor market model**

*by*Tim, Xiao

**Thinking by analogy, systematic risk, and option prices**

*by*Siddiqi, Hammad

**One numerical procedure for two risk factors modeling**

*by*Cocozza, Rosa & De Simone, Antonio

**Hedging vs. speculative pressures on commodity futures returns**

*by*Cifarelli, Giulio & Paladino, Giovanna

**A Closed-Form Solution for Options with Ambiguity about Stochastic Volatility**

*by*Gonçalo Faria & João Correia-da-Silva

**The Price of Risk and Ambiguity in an Intertemporal General Equilibrium Model of Asset Prices**

*by*Gonçalo Faria & João Correia-da-Silva

**Investment timing with fixed and proportional costs of external financing**

*by*Michi Nishihara & Takashi Sshibata

**Real Options Valuation of Abandoned Farmland**

*by*Michi Nishihara

**Systemic Risk-Taking: Amplification Effects, Externalities, and Regulatory Responses**

*by*Anton Korinek

**A Transparency Standard for Derivatives**

*by*Viral V. Acharya

**Global Asset Pricing**

*by*Karen K. Lewis

**A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation**

*by*Torben G. Andersen & Dobrislav Dobrev & Ernst Schaumburg

**Limited and Varying Consumer Attention: Evidence from Shocks to the Salience of Bank Overdraft Fees**

*by*Victor Stango & Jonathan Zinman

**Continuous Workout Mortgages**

*by*Robert J. Shiller & Rafal M. Wojakowski & M. Shahid Ebrahim & Mark B. Shackleton

**Systemic Sovereign Credit Risk: Lessons from the U.S. and Europe**

*by*Andrew Ang & Francis A. Longstaff

**Generalized Transform Analysis of Affine Processes and Applications in Finance**

*by*Hui Chen & Scott Joslin

**Simple Variance Swaps**

*by*Ian Martin

**Limits to Arbitrage and Hedging: Evidence from Commodity Markets**

*by*Viral V. Acharya & Lars A. Lochstoer & Tarun Ramadorai

**Margin-Based Asset Pricing and Deviations from the Law of One Price**

*by*Nicolae Gârleanu & Lasse Heje Pedersen

**Investors' and Central Bank's Uncertainty Embedded in Index Options**

*by*Alexander David & Pietro Veronesi

**What Does Futures Market Interest Tell Us about the Macroeconomy and Asset Prices?**

*by*Harrison Hong & Motohiro Yogo

**Corridor implied volatility and the variance risk premium in the Italian market**

*by*Silvia Muzzioli

**Beating the Random Walk in Central and Eastern Europe by Survey Forecasts**

*by*Anna Naszódi

**Testing the asset pricing model of exchange rates with survey data**

*by*Anna Naszódi

**Spot and future prices of agricultural commodities: fundamentals and speculation**

*by*Lucia BALDI & Massimo PERI & Daniela VANDONE

**A Structural Balance Sheet Model of Sovereign Credit Risk**

*by*Pascal François & Georges Hübner & Jean-Roch Sibille

**Currency Total Return Swaps: Valuation and Risk Factor Analysis**

*by*Romain Cuchet & Pascal François & Georges Hübner

**Estimating the Leverage Parameter of Continuous-time Stochastic Volatility Models Using High Frequency S&P 500 and VIX**

*by*Isao Ishida & Michael McAleer & Kosuke Oya

**Testing option pricing models: complete and incomplete markets**

*by*Olesia Verchenko

**The Puzzle of Index Option Returns**

*by*George M. Constantinides & Jens Carsten Jackwerth & Alexi Savov

**Relative Scarcity of Commodities with a Long-Term Economic Relationship and the Correlation of Futures Returns**

*by*Jaime Casassus & Peng Liu & Ke Tang

**Performance-sensitive government bonds - A new proposal for sustainable sovereign debt management**

*by*Matthias Bank & Alexander Kupfer & Rupert Sendlhofer

**Liquidity considerations in estimating implied volatility**

*by*Rohini Grover & Susan Thomas

**Pricing Nikkei 225 Options Using Realized Volatility**

*by*Masato Ubukata & Toshiaki Watanabe

**Calibration of selfdecomposable Lévy models**

*by*Mathias Trabs

**Pricing Chinese rain: a multi-site multi-period equilibrium pricing model for rainfall derivatives**

*by*Wolfgang HÃ¤rdle & Maria Osipenko

**Information Flow between Sovereign CDS and Dollar-Yen Currency Option Markets in the Sovereign Debt Crisis of 2009-2011**

*by*Cho-Hoi Hui & Tom Fong

**Explaining Share Price Disparity with Parameter Uncertainty: Evidence from Chinese A- and H-Shares**

*by*Tsz-Kin Chung & Ka-Fai Li & Cho-Hoi Hui

**Concocting Marketable Cocos**

*by*George M. von Furstenberg

**Effects of Liquidity on the Nondefault Component of Corporate Yield Spreads: Evidence from Intraday Transactions Data**

*by*Song Han & Hao Zhou

**Long-Dated Agricultural Futures Price Estimates Using the Seasonal Nelson-Siegel Model**

*by*Jason West

**Adaptive continuous time Markov chain approximation model to general jump-diffusions**

*by*Mario Cerrato & Chia Chun Lo & Konstantinos Skindilias

**Technical Analysis with a Long-Term Perspective: Trading Strategies and Market Timing Ability**

*by*Isakov, Dusan & Marti, Didier

**Pricing of Gas Swing Options using Monte Carlo Methods**

*by*Andrea Klimešová & Tomáš Václavík

**Modelling Long-Term Electricity Contracts at EEX**

*by*Robert Flasza & Milan Rippel & Jan Šolc

**Modifying Gaussian term structure models when interest rates are near the zero lower bound**

*by*Leo Krippner

**Variance Bounds on the Permanent and Transitory Components of Stochastic Discount Factors**

*by*Bakshi, Gurdip & Chabi-Yo, Fousseni

**Informational Efficiency in Futures Markets for Crude Oil**

*by*Andreas Fritz & Christoph Weber

**Valuation of Liabilities in Hybrid Pension Plans**

*by*Dirk Broeders & An Chen & David Rijsbergen

**Employee Stock Options Incentive Effects: A CPT-Based Model**

*by*Bahaji, Hamza

**A Conditionally Heteroskedastic Model with Time-varying Coefficients for Daily Gas Spot Prices**

*by*Zakoïan, Jean-Michel & Regnard, Nazim

**Hedging and vertical integration in electricity markets**

*by*Chemla, Gilles & Porchet, Arnaud & Aïd, René & Touzi, Nizar

**Continuous Workout Mortgages**

*by*Robert J. Shiller & Rafal M. Wojakowski & M. Shahid Ebrahim & Mark B. Shackleton

**Good deals in markets with frictions**

*by*Alejandro Balbás & Beatriz Balbás & Raquel Balbás

**Pairing market risk with credit risk**

*by*Isabel Figuerola-Ferretti & Ioannis Paraskevopoulos

**The Relative Informational Efficiency of Stocks, Options and Credit Default Swaps**

*by*Lamia Bekkour & Thorsten Lehnert & Maria Chiara Amadori

**The Relative Informational Efficiency of Stocks, Options and Credit Default Swaps**

*by*Lamia Bekkour & Thorsten Lehnert & Maria Chiara Amadari

**CDS Auctions**

*by*Chernov, Mikhail & Gorbenko, Alexander & Makarov, Igor

**Hedging and Vertical Integration in Electricity Markets**

*by*Aïd, René & Chemla, Gilles & Porchet, Arnaud & Touzi, Nizar

**Variance risk, financial intermediation, and the cross-section of expected option returns**

*by*Schürhoff, Norman & Ziegler, Alexandre

**The risk neutral valuation paradox**

*by*A. Fiori Maccioni

**The Dependence Structure between Carbon Emission Allowances and Financial Markets - A Copula Analysis**

*by*Marc Gronwald & Janina Ketterer & Stefan Trück

**Options introduction and volatility in the EU ETS**

*by*Julien Chevallier & Yannick Le Pen & Benoît Sévi

**Estimating the Leverage Parameter of Continuous-time Stochastic Volatility Models Using High Frequency S&P 500 and VIX**

*by*Isao Ishida & Michael McAleer & Kosuke Oya

**The Effect of Secondary Markets on Equity-Linked Life Insurance with Surrender Guarantees**

*by*Christian Hilpert & Jing Li & Alexander Szimayer

**American options with multiple priors in continuous time**

*by*Jörg Vorbrink

**Macro-prudential policy and the conduct of monetary policy**

*by*Beau, D. & Clerc, L. & Mojon, B.

**Macroeconomic determinants of carry trade activity**

*by*Alessio Anzuini & Fabio Fornari

**Where is the value in high frequency trading?**

*by*Álvaro Cartea & José Penalva

**Volatility in EMU sovereign bond yields: Permanent and transitory components**

*by*Simón Sosvilla-Rivero & Amalia Morales-Zumaquero

**What we can learn from pricing 139,879 Individual Stock Options**

*by*Lars Stentoft

**Risk and Return: Long-Run Relationships, Fractional Cointegration, and Return Predictability**

*by*Tim Bollerslev & Daniela Osterrieder & Natalia Sizova & George Tauchen

**Coherent Model-Free Implied Volatility: A Corridor Fix for High-Frequency VIX**

*by*Torben G. Andersen & Oleg Bondarenko & Maria T. Gonzalez-Perez

**Forecasting with Option Implied Information**

*by*Peter Christoffersen & Kris Jacobs & Bo Young Chang

**American Option Pricing with Discrete and Continuous Time Models: An Empirical Comparison**

*by*Lars Stentoft

**Efficient and accurate log-Lévi approximations to Lévi driven LIBOR models**

*by*Antonis Papapantoleon & John Schoenmakers & David Skovmand

**Latent Integrated Stochastic Volatility, Realized Volatility, and Implied Volatility: A State Space Approach**

*by*Christian Bach & Bent Jesper Christensen

**Hedge Ratio And Hedging Efficiency: Evidence From Indian Derivative Market**

*by*Tripathy NALINIPRAVA

**Asset Pricing With Incomplete Information In A Discrete-Time Pure Exchange Economy**

*by*Prasad V. BIDARKOTA & Brice V. DUPOYET

**Sentimental Preferences and the Organizational Regime of Betting Markets**

*by*Egon Franck & Erwin Verbeek & Stephan Nüesch

**Patent Valuation and Real Options**

*by*Alper, Deger

**Firm Decisions: Determinants of Investments**

*by*Ionescu Alexandra

**Financial Innovations**

*by*Piciu Gabriela Cornelia & Chiþiga Georgiana

**Development of Exchange-Traded Derivatives Markets in Selective Central and Eastern European Countries**

*by*Anton Sorin Gabriel & Diaconasu Delia-Elena

**Practical and theoretical aspects of market-consistent valuation and hedging of insurance liabilities**

*by*Łukasz Delong

**Decisiones óptimas de consumo y portafolio. Un enfoque de precios de estado de Arrow-Debreu**

*by*Gavira Durón Nora & Venegas Martínez Francisco

**Safer Margins for Option Trading: How Accuracy Promotes Efficiency**

*by*Rafi Eldor & Shmuel Hauser & Uzi Yaari

**Heterogeneous Basket Options Pricing Using Analytical Approximations**

*by*Georges Dionne & Genevieve Gauthier & Nadia Ouertani & Nabil Tahani

**The Predictability of Non-Overlapping Forecasts: Evidence from a New Market**

*by*Manolis G. Kavussanos & Ilias D. Visvikis

**Las emisiones primarias de energía en el mercado español: valoración de opciones teórica y de mercado/Primary Energy Emissions in the Spanish Market: Theoretical and Market-Based Option Pricing**

*by*PEÑA, JUAN IGNACIO

**Az arbitrázs preferenciákkal történő karakterizációjáról**

*by*Badics, Tamás

**Commentary: Some Methodological Suggestions**

*by*Fumio Hayashi

**The Relationship between Volatility and Expected Returns: Some Evidence for Australia**

*by*Ali F. Darrat & Bin Li & Omar Benkato

**Multi-Factor Approach For Pricing Basket Credit Linked Notes Under Issuer Default Risk**

*by*Po-Cheng Wu

**Application Of A High-Order Asymptotic Expansion Scheme To Long-Term Currency Options**

*by*Kohta Takehara & Masashi Toda & Akihiko Takahashi

**The Valuation Of Reset Options When Underlying Assets Are Autocorrelated**

*by*Yu-Hong Liu & I-Ming Jiang & Shih-Cheng Lee & Yu-Ting Chen

**The Liquidity Effect In Option Pricing: An Empirical Analysis**

*by*Shih-Ping Feng

**Implied Index And Option Pricing Errors: Evidence From The Taiwan Option Market**

*by*Ching-Ping Wang & Hung-Hsi Huang & Chien-Chia Hung

**Transaction Cost Discovery By Decomposition Of The Error Term: A Bootstrapping Approach**

*by*Ariful Hoque

**Herding the Mutual Fund Managers in the Athens Stock Exchange**

*by*Nikolaos Theriou & George Mlekanis & Dimitrios Maditinos

**Impacto de los productos derivados los objetivos de política monetaria: un modelo de equilibrio general**

*by*L. Arturo Bernal Ponce & Francisco Venegas Martínez

**Industry loss warranties: contract features, pricing, and central demand factors**

*by*Nadine Gatzert & Hato Schmeiser

**Flips, flops and foreclosures: anatomy of a real estate bubble**

*by*Dag Einar Sommervoll & Gavin Wood

**Caracterización y modelado de redes: el caso de la Bolsa Mexicana de Valores**

*by*Linda Margarita Medina Herrera & José Benito Díaz Hernández

**Options introduction and volatility in the EU ETS**

*by*Chevallier, Julien & Le Pen, Yannick & Sévi, Benoît

**Asymmetric convergence in US financial credit default swap sector index markets**

*by*Chen, Li-Hsueh & Hammoudeh, Shawkat & Yuan, Yuan

**Adding and subtracting Black-Scholes: A new approach to approximating derivative prices in continuous-time models**

*by*Kristensen, Dennis & Mele, Antonio

**A joint valuation of premium payment and surrender options in participating life insurance contracts**

*by*Schmeiser, H. & Wagner, J.

**Equity-linked pension schemes with guarantees**

*by*Nielsen, J. Aase & Sandmann, Klaus & Schlögl, Erik

**Pricing catastrophe swaps: A contingent claims approach**

*by*Braun, Alexander

**The uncertain mortality intensity framework: Pricing and hedging unit-linked life insurance contracts**

*by*Li, Jing & Szimayer, Alexander

**A risk-based model for the valuation of pension insurance**

*by*Chen, An

**Computing American option prices in the lognormal jump–diffusion framework with a Markov chain**

*by*Simonato, Jean-Guy

**CAPM option pricing**

*by*Husmann, Sven & Todorova, Neda

**American option pricing with discrete and continuous time models: An empirical comparison**

*by*Stentoft, Lars

**Analysing interconnectivity among economies**

*by*Wong, Alfred Y-T. & Fong, Tom Pak Wing

**Large traders and illiquid options: Hedging vs. manipulation**

*by*Kraft, Holger & Kühn, Christoph

**Minimum return guarantees with fund switching rights—An optimal stopping problem**

*by*Mahayni, Antje & Schoenmakers, John G.M.

**Neural Networks as Semiparametric Option Pricing Tool**

*by*Michaela Barunikova & Jozef Barunik

**Aproximación De Reclamos Contingentes Para La Predicción De Riesgo De Crédito En Sus Medidas De Determinación De La Distancia De Default Y Su Probabil**

*by*JUAN SERGIO CRUZ MERCHÁN & JAIME VARGAS VIVES

**Commodity Booms and Busts**

*by*Colin A. Carter & Gordon C. Rausser & Aaron Smith

**Global Asset Pricing**

*by*Karen K. Lewis

**The Economics of Credit Default Swaps**

*by*Robert A. Jarrow

**The value of tradeability**

*by*Chesney, Marc & Kempf, Alexander

**Approximating the Numeraire Portfolio by Naive Diversification**

*by*Eckhard Platen & Renata Rendek

**Pricing and Hedging in the Freight Futures Market**

*by*Marcel Prokopczuk

**Dynamic hedging strategies: An application to the crude oil market**

*by*Lautier, Delphine & Galli, Alain

**A Market for Weather Risk ? Conflicting Metrics, Attempts at Compromise and Limits to Commensuration**

*by*Huault, Isabelle & Rainelli, Hélène

**Spéculation et marchés dérivés du pétrole**

*by*Chevallier, Julien

**Interest rate risk hedging demand under a Gaussian framework**

*by*Attaoui, Sami & Six, Pierre

**Recovering risk-neutral densities from exchange rate options: Evidence from Lira-Dollar options**

*by*Halil İbrahim AYDIN & Ahmet DEĞERLİ & Pınar ÖZLÜ

**Planes no creíbles de estabilización de precios, riesgo cambiario y opciones reales para posponer consumo. Un análisis con volatilidad estocástica**

*by*Venegas-Martínez, Francisco

**Modeling and explaining the dynamics of European Union allowance prices at high-frequency**

*by*Conrad, Christian & Rittler, Daniel & Rotfuß, Waldemar

**Explaining time-varying risk of electricity forwards: trading activity and news announcements**

*by*Schulz, Frowin C.

**A call on Art investments**

*by*Kraeussl, Roman & Wiehenkamp, Christian

**Optimal bidding strategies on the power market based on the stochastic models**

*by*Magdalena Weglarz & Agnieszka Wylomanska

**FX Smile in the Heston Model**

*by*Agnieszka Janek & Tino Kluge & Rafal Weron & Uwe Wystup

**Extracting Implied Dividends from Options Prices: some Applications to the Italian Derivatives Market**

*by*Martina Nardon & Paolo Pianca

**Monte Carlo derivative pricing with partial information in a class of doubly stochastic Poisson processes with marks**

*by*Silvia Centanni & Marco Minozzo

**Option Valuation in Multivariate SABR Models**

*by*Jörg Kienitz & Manuel Wittke

**Equity-Linked Pension Schemes with Guarantees**

*by*J. Aase Nielsen & Klaus Sandmann & Erik Schlogl

**A dynamic copula approach to recovering the index implied volatility skew**

*by*Matthias Fengler & Helmut Herwartz & Christian Werner

**Option data and modeling BSM implied volatility**

*by*Matthias Fengler

**The Variance Gamma Scaled Self-Decomposable Process in Actuarial Modelling**

*by*Conall O'Sullivan & Michael Moloney

**Is Power Production Flexibility a Substitute for Storability? Evidence from Electricity Futures Prices**

*by*Mehtap Kilic & Ronald Huisman

**Do Firms sell forward for Strategic Reasons? An Application to the Wholesale Market for Natural Gas**

*by*Remco van Eijkel & Jose Luis Moraga

**Recovering Risk-Neutral Densities from Exchange Rate Options: Evidence in Turkey (Kur Opsiyonlarindan Riske Duyarsiz Yogunluk Fonksiyonu Cikarimi: Turkiye Ornegi)**

*by*Halil Ibrahim Aydin & Ahmet Degerli & Pinar Ozlu

**Diagnóstico, Evaluación y Propuesta de Desarrollo del Mercado de Derivados en Chile**

*by*Carlos Budnevich & Salvador Zurita

**Upper and lower bounds on dynamic risk indifference prices in incomplete markets**

*by*Xavier De Scheemaekere

**Insecticide Use and Crop Selection: A South Dakota Case Study**

*by*McDonald, Tia Michelle & Scott W. Fausti & Keating, Ariel Ruth & Li, Jing & Lundgren, Jonathan & Catangui, Mike

**Variance Risk Premiums and Predictive Power of Alternative Forward Variances in the Corn Market**

*by*Zhiguang Wang & Scott W. Fausti & Bashir A. Qasmi

**The Market Microstructure of the European Climate Exchange**

*by*Bruce Mizrach & Yoichi Otsubo

**Tail Return Analysis of Bear Stearns Credit Default Swaps**

*by*Liuling Li & Bruce Mizrach

**A systematic approach for valuing American-style installment options with continuous payment plan**

*by*Pierangelo Ciurlia

**A systematic approach for valuing European-style installment options with continuous payment plan**

*by*Pierangelo Ciurlia

**On the evaluation of European continuous-istallment options**

*by*Pierangelo Ciurlia

**Government Revenue Volatility in Alberta**

*by*Smith, Constance & Landon, Stuart

**VIX Dynamics with Stochastic Volatility of Volatility**

*by*Andreas Kaeck & Carol Alexander

**Regime-Dependent Smile-Adjusted Delta Hedging**

*by*Carol Alexander & Alexander Rubinov & Markus Kalepky & Stamatis Leontsinis

**Seasonality and the Valuation of Commodity Options**

*by*Janis Back & Marcel Prokopczuk & Markus Rudolf

**Does model fit matter for hedging? Evidence from FTSE 100 options**

*by*Carol Alexander & Andreas Kaeck

**American Option Valuation: Implied Calibration of GARCH Pricing-Models**

*by*Michael Weber & Marcel Prokopczuk

**An Empirical Model Comparison for Valuing Crack Spread Options**

*by*Steffen Mahringer & Marcel Prokopczuk

**Selective Hedging in Hydro-Based Electricity Companies**

*by*Olsen, Eirik Tandberg & Sanda, Gaute Egeland & Fleten, Stein-Erik

**The puzzle of privately-imposed price limits: are the limits imposed by financial exchanges effective?**

*by*Reiffen, David & Buyuksahin, Bahattin

**Multiple risky securities valuation II**

*by*Ilya, Gikhman

**Power Spot Price Models with negative Prices**

*by*Schneider, Stefan & Schneider, Stefan

**Unilateral CVA for CDS in Contagion model: With volatilities and correlation of spread and interest**

*by*Bao, Qunfang & Chen, Si & Liu, Guimei & Li, Shenghong

**Survival Measures and Interacting Intensity Model: with Applications in Guaranteed Debt Pricing**

*by*Bao, Qunfang & Li, Shenghong & Liu, Guimei

**Borrowing Constraint and the Effect of Option Introduction**

*by*Amira, Khaled & Bennour, Khaled

**Strategic asset allocation and intertemporal demands: with commodities as an asset class**

*by*Su, Yongyang & Lau, Marco Chi Keung

**Unilateral CVA for CDS in Contagion Model_with Volatilities and Correlation of Spread and Interest**

*by*Bao, Qunfang & Chen, Si & Liu, Guimei & Li, Shenghong

**Levy Subordinator Model: A Two Parameter Model of Default Dependency**

*by*Balakrishna, B S

**Model based Monte Carlo pricing of energy and temperature quanto options**

*by*Caporin, Massimiliano & Pres, Juliusz & Torro, Hipolit

**FX Smile in the Heston Model**

*by*Janek, Agnieszka & Kluge, Tino & Weron, Rafal & Wystup, Uwe

**An Analysis of the relationship between WTI term structure and oil market fundamentals in 2002-2009**

*by*Cavalcante, Mileno

**The relevance of coarse thinking for investors' willingness to pay: An experimental study**

*by*Siddiqi, Hammad

**Risky funding: a unified framework for counterparty and liquidity risk**

*by*Morini, Massimo & Prampolini, Andrea

**Canonical Representation Of Option Prices and Greeks with Implications for Market Timing**

*by*Cadogan, Godfrey

**Coarse thinking, implied volatility, and the valuation of call and put options**

*by*Siddiqi, Hammad

**Discounting Revisited. Valuations under Funding Costs, Counterparty Risk and Collateralization**

*by*Fries, Christian P.

**On cross-currency models with stochastic volatility and correlated interest rates**

*by*Grzelak, Lech & Oosterlee, Kees

**Evaluation of hydropower upgrade projects - a real options approach**

*by*Elverhøi, Morten & Fleten, Stein-Erik & Fuss, Sabine & Heggedal, Ane Marte & Szolgayova, Jana & Troland, Ole Christian

**Onshore and offshore market for Indian Rupee: recent evidence on volatility and shock spillover**

*by*Behera, Harendra

**Leveraging the British Railway Mania: Derivatives for the Individual Investor**

*by*Campbell, Gareth

**Credit Derivatives**

*by*Giandomenico, Rossano

**Levy Subordinator Model of Default Dependency**

*by*Balakrishna, B S

**Higher-order volatility: time series**

*by*Carey, Alexander

**An Equity-Interest Rate Hybrid Model With Stochastic Volatility and the Interest Rate Smile**

*by*Grzelak, Lech & Oosterlee, Kees

**Downturn LGD: A Spot Recovery Approach**

*by*Li, Hui

**Alpha-root Processes for Derivatives pricing**

*by*Balakrishna, BS

**Time-varying spot and futures oil price dynamics**

*by*Guglielmo Caporale & Davide Ciferri & Alessandro Girardi

**Modelling and forecasting wind speed intensity for weather risk management**

*by*Massimiliano Caporin & Juliusz Pres

**The effects of costly exploration on optimal investment timing**

*by*Michi NISHIHARA & Takashi SHIBATA

**Evaluating the occurrence and disappearance of real options**

*by*Michi Nishihara

**A model for determining whether a firm should exercise multiple real options individually or simultaneously**

*by*Michi Nishihara

**An Empirical Analysis of the Swaption Cube**

*by*Anders B. Trolle & Eduardo S. Schwartz

**Liquidity Risk of Corporate Bond Returns: A Conditional Approach**

*by*Viral V. Acharya & Yakov Amihud & Sreedhar T. Bharath

**Index Investment and Financialization of Commodities**

*by*Ke Tang & Wei Xiong

**Are Options on Index Futures Profitable for Risk Averse Investors? Empirical Evidence**

*by*George M. Constantinides & Michal Czerwonko & Jens Carsten Jackwerth & Stylianos Perrakis

**Macroeconomic Conditions and the Puzzles of Credit Spreads and Capital Structure**

*by*Hui Chen

**Explaining the Favorite-Longshot Bias: Is it Risk-Love or Misperceptions?**

*by*Erik Snowberg & Justin Wolfers

**The Predictive Content of Commodity Futures**

*by*Menzie D. Chinn & Olivier Coibion

**Sources of Variation in Holding Returns for Fed Funds Futures Contracts**

*by*James D. Hamilton & Tatsuyoshi Okimoto

**On the Relative Pricing of long Maturity S&P 500 Index Options and CDX Tranches**

*by*Pierre Collin-Dufresne & Robert S. Goldstein & Fan Yang

**Is Credit Event Risk Priced? Modeling Contagion via the Updating of Beliefs**

*by*Pierre Collin-Dufresne & Robert S. Goldstein & Jean Helwege

**Likelihood-Related Estimation Methods and Non-Gaussian GARCH Processes**

*by*Christophe Chorro & Dominique Guegan & Florian Ielpo

**Option pricing for GARCH-type models with generalized hyperbolic innovations**

*by*Christophe Chorro & Dominique Guegan & Florian Ielpo

**Towards a volatility index for the Italian stock market**

*by*Silvia Muzzioli

**Trade in Financial ServicesÑHas the IMF Been Involved Constructively?**

*by*Robert M. Stern

**A Reduced Form Model of Default Spreads with Markov-Switching Macroeconomic Factors**

*by*Georges Dionne & Geneviève Gauthier & Khemais Hammami & Mathieu Maurice & Jean-Guy Simonato

**Multivariate Option Pricing with Time Varying Volatility and Correlations**

*by*Jeroen V.K. Rombouts & Lars Stentoft

**Heterogeneous Beliefs in a Continuous-Time Model**

*by*Chiaki Hara

**Options on Multiple Assets in a Mean-Reverting Model**

*by*Masahiko Egami & Tadao Oryu

**Pinning in the S&P 500 Futures**

*by*Benjamin Golez & Jens Carsten Jackwerth

**Correlation Structure between Inflation and Oil Futures Returns: An Equilibrium Approach**

*by*Jaime Casassus & Diego Ceballos

**An Empirical Analysis of Equity Market Expectations in the Recent Financial Turmoil Using Implied Moments and Jump Diffusion Processes**

*by*Yoshihiko Sugihara & Nobuyuki Oda

**Pricing Options on Commodity Futures: The Role of Weather and Storage**

*by*Marin Bozic

**FX Smile in the Heston Model**

*by*Agnieszka Janek & Tino Kluge & RafaÅ‚ Weron & Uwe Wystup

**Parametric estimation of risk neutral density functions**

*by*Maria Grith & Volker KrÃ¤tschmer

**Meteorological forecasts and the pricing of weather derivatives**

*by*Matthias Ritter & Oliver Mußhoff & Martin Odening

**Estimation of the characteristics of a LÃ©vy process observed at arbitrary frequency**

*by*Johanna Kappus & Markus ReiÃŸ

**Illiquidity and Derivative Valuation**

*by*Ulrich Horst & Felix Naujokat

**Volatility Investing with Variance Swaps**

*by*Wolfgang Karl HÃ¤rdle & Elena Silyakova

**The Risk of Sudden Depreciation of the Euro in the Sovereign Debt Crisis of 2009-2010**

*by*Cho-Hoi Hui & Tsz-Kin Chung

**Using Interest Rate Derivative Prices to Estimate LIBOR-OIS Spread Dynamics and Systemic Funding Liquidity Shock Probabilities**

*by*Cho-Hoi Hui & Tsz-Kin Chung & Chi-Fai Lo

**Analysing Interconnectivity among Economies**

*by*Alfred Wong & Tom Fong

**Commodity Futures Returns: A Non Linear Markov Regime Switching Model of Hedging and Speculative Pressures**

*by*Giulio Cifarelli & Giovanna Paladino

**The Price and Risk Effects of Option Introductions on the Nordic Markets**

*by*Staffan Linden

**Default Risk in Stochastic Volatility Models**

*by*Hans Gersbach & Nicolae Surulescu

**A comparison of reduced-form permit price models and their empirical performances**

*by*Georg Grüll & Luca Taschini

**Environmental economics and modeling marketable permits**

*by*Luca Taschini

**Option hedging for small investors under liquidity costs**

*by*H. Mete Soner & Umut Cetin & Nizar Touzi

**Market Efficiency Test in the VIX Futures Market**

*by*Jian Zhang & Lee W. Sanning & Sherrill Shaffer

**Government Revenue Volatility: The Case of Alberta, an Energy Dependent Economy**

*by*Stuart Landon & Constance Smith

**Do firms sell forward for strategic reasons? An application to the wholesale market for natural gas**

*by*van Eijkel, Remco & Moraga-González, Jose L.

**Volatility in Equilibrium: Asymmetries and Dynamic Dependencies**

*by*Tim Bollerslev & Natalia Sizova & George Tauchen

**Volatility Jumps**

*by*Viktor Todorov & George Tauchen

**Implied Risk-Neutral probability Density functions from options prices : A comparison of estimation methods**

*by*Rihab Bedoui & Haykel Hamdi

**The Forward Premium Puzzle and Latent Factors Day by Day**

*by*Kerstin Bernoth & Juergen von Hagen & Casper de Vries

**The Forward Premium Puzzle and Latent Factors Day by Day**

*by*Kerstin Bernoth & Jürgen von Hagen & Casper G. de Vries

**Time-Varying Spot and Futures Oil Price Dynamics**

*by*Guglielmo Maria Caporale & Davide Ciferri & Allessandro Girardi

**Volatility Exposure for Strategic Asset Allocation**

*by*Brière, Marie & Burgues, Alexandre & Signori, Ombretta

**Dynamic Hedging Strategies: An Application to the Crude Oil Market**

*by*Lautier, Delphine & Galli, Alain

**Causalities between CO2, electricity, and other energy variables during phase I and phase II of the EU ETS**

*by*Keppler, Jan Horst & Mansanet-Bataller, Maria

**Disentangling crashes from tail events**

*by*Aboura, Sofiane

**Mean square error for the Leland-Lott hedging strategy: convex pay-offs**

*by*Lépinette-Denis, Emmanuel & Kabanov, Yuri

**The Predictive Content of Commodity Futures**

*by*Menzie D. Chinn & Olivier Coibion

**Outliers in Garch models and the estimation of risk measures**

*by*Aurea Grané & Helena Veiga

**How much should we pay for interconnecting electricity markets? A real options approach**

*by*Álvaro Cartea & Carlos González-Pedraz

**Derivatives pricing with marked point processes using Tick-by-tick dataR**

*by*Álvaro Cartea

**A Direct Test of Rational Bubbles**

*by*Friedrich Geiecke & Mark Trede

**An exact pricing formula for European call options on zero-coupon bonds in the run-up to a currency union**

*by*Gerrit Reher & Bernd Wilfling

**The Forward Premium Puzzle and Latent Factors Day by Day**

*by*Bernoth, Kerstin & de Vries, Casper G & von Hagen, Jürgen

**Improving Portfolio Selection Using Option-Implied Volatility and Skewness**

*by*DeMiguel, Victor & Plyakha, Yuliya & Uppal, Raman & Vilkov, Grigory

**Performance Maximization of Actively Managed Funds**

*by*Guasoni, Paolo & Huberman, Gur & Wang, Zhenyu

**Valuation of VIX Derivatives**

*by*Mencía, Javier & Sentana, Enrique

**Option pricing with asymmetric heteroskedastic normal mixture models**

*by*ROMBOUTS, Jeroen V. K. & STENTOFT, Lars

**Commodities inventory effect**

*by*CARPANTIER, Jean - FranÃ§ois

**Multivariate option pricing with time varying volatility and correlations**

*by*ROMBOUTS, Jeroen J. K & STENTOFT, Lars

**Liquidity risks on power exchanges**

*by*DE MAERE Dâ€™AERTRYCKE, Gauthier & SMEERS, Yves

**Estimating the Appropriate Risk Profile for the Tax Savings: A Contingent Claim Approach**

*by*Gonzalo Diaz Hoyos & Ignacio Velez Pareja

**Dependencia de largo plazo y la regla de la raíz del tiempo para escalar la volatilidad en el mercado colombiano**

*by*Carlos León & Francisco Vivas

**Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models**

*by*Jeroen Rombouts & Lars Peter Stentoft

**Multivariate Option Pricing With Time Varying Volatility and Correlations**

*by*Jeroen Rombouts & Lars Peter Stentoft

**Is the Price Kernel Monotone?**

*by*Giovanni BARONE-ADESI & Hakim DALL'O

**Do Firms Sell Forward for Strategic Reasons? An Application to the Wholesale Market for Natural Gas**

*by*Remco van Eijkel & José Luis Moraga Gonzalez

**Time-Varying Spot and Futures Oil Price Dynamics**

*by*Guglielmo Maria Caporale & Davide Ciferri & Alessandro Girardi

**Bilateral Trade, Openness and Asset Holdings**

*by*Jing Li & Alexander Szimayer

**The Uncertain Mortality Intensity Framework: Pricing and Hedging Unit-Linked Life Insurance Contracts**

*by*Jing Li & Alexander Szimayer

**The valuation of N-phased investment projects under jump-diffusion processes**

*by*R. Andergassen & L. Sereno

**Financial markets with volatility uncertainty**

*by*Jörg Vorbrink

**Credit ratings in structured finance and the role of systemic risk**

*by*Roberto Violi

**An analysis of the determinants of credit default swap spread changes before and during the subprime financial turmoil**

*by*Antonio Di Cesare & Giovanni Guazzarotti

**Market Expectations and Option Prices: Evidence for the Can$/US$ Exchange Rate**

*by*Alejandro Garcia & Andrei Prokopiw

**Level Shifts in Volatility and the Implied-Realized Volatility Relation**

*by*Bent Jesper Christensen & Paolo Santucci de Magistris

**The Risk-Return Tradeoff and Leverage Effect in a Stochastic Volatility-in-Mean Model**

*by*Bent Jesper Christensen & Petra Posedel

**Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models**

*by*Jeroen V.K. Rombouts & Lars Stentoft

**Picard Approximation of Stochastic Differential Equations and Application to Libor Models**

*by*Antonis Papapantoleon & David Skovmand

**The Forecast Performance of Competing Implied Volatility Measures: The Case of Individual Stocks**

*by*Leonidas Tsiaras

**Multivariate Option Pricing with Time Varying Volatility and Correlations**

*by*Jeroen V.K. Rombouts & Lars Stentoft

**Spot price and future price for Brent and WTI markers: Behavior and determinants (1998-2008)**

*by*Giuseppe Pulitano & Emmanuel Borgucci

**Inverse Vertical Ratio Put Spread Strategy and its Application in Hedging Against a Price Drop**

*by*Vincent Šoltés & Omer Faraj S. Amaitiek

**Crisis of financial system and evolution of commodities market**

*by*Varshavsky, Leonid

**Assessing and Negotiating Commercial Contracts**

*by*Jan Vlachý

**An option on the average European futures prices for an efficient hog producer risk management**

*by*Martial Phélippé-Guinvarc’H & Jean Cordier

**Productos derivados sobre bienes de consumo**

*by*Francisco Venegas Martinez & Salvador Cruz Ake

**„Black-Scholes Model Used To Evaluate Stocks Options”**

*by*Turcan Radu Olimpiu Calin

**Investor Valuation of the Abandonment Option: Empirical Evidence from UK Divestitures 1985-1991**

*by*Ephraim Clark & Patrick Rousseau & Magid Gadad

**Asymmetric Information and Irreversible Investments: an Auction Model**

*by*Joril M?land

**Limit Orders, Trading Activity, and Transactions Costs in Equity Futures in an Electronic Trading Environment**

*by*Lorne N. Switzer & Haibo Fan

**Volatilidad estocástica y la ecuación de Fokker-Planck: parámetros dependientes del tiempo y filtro de Kalman**

*by*Claudia Estrella Castillo Ramírez

**Relación entre inflación y volatilidad de derivados financieros: el caso de México**

*by*L. Arturo Bernal Ponce & Humberto Valencia Herrera

**Financial Markets Interactions between Economic Theory and Practice**

*by*Mihaela NICOLAU

**The Role of Market-Implied Severity Modeling for Credit VaR**

*by*J. Samuel Baixauli & Susana Alvarez

**The Difficulty to Stabilize Energy Markets**

*by*Òscar Mascarilla, Yuri Yegorov & Yuri Yegorov & Montse Crespi-Vallbona

**Caracterización y pronóstico del precio spot de la energía eléctrica en Colombia**

*by*Sandra Patricia Bello-Rodríguez & Robert Baudilio Beltrán-Ahumada

**Black Gold & Fool´s Gold: Speculation in the Oil Futures Market**

*by*John Parsons

**estimación de una superficie de volatilidades para las opciones de tasa de cambio USD/COP**

*by*Andrés Gómez

**Policy responses to dislocations in the FX swap market: the experience of Korea**

*by*Naohiko Baba & Ilhyock Shim

**Risk Management**

*by*Philippe Jorion

**The Orientation Towards The Private Pension System – A Consequence Of The Public Pension System’S Unsustanability**

*by*Lect. Ph.D Mangra Madalina Giorgiana & Assoc. Prof. Ph.D Stanciu Marieta & Lect. Ph.D Sperdea Natalita Maria

**Options evaluation - Black-Scholes model vs. binomial options pricing model**

*by*Ioan TRENCA & Maria Miruna POCHEA & Angela Maria FILIP

**Credit Default Swaps and the Credit Crisis**

*by*Rene M. Stulz

**The Failure Mechanics of Dealer Banks**

*by*Darrell Duffie

**Price discovery in spot and futures markets: A reconsideration**

*by*Theissen, Erik

**Modeling and pricing of credit derivatives using macroeconomic information**

*by*Schmid, Bernd & Zagst, Rudi & Antes, Stefan & El Moufatich, Fayssal

**What executives should know about structural credit risk models and their limitations: a primer with examples**

*by*Malone, Samuel & Rodriguez, Abel & ter Horst, Enrique

**The European Commission and EUA prices: a high-frequency analysis of the EC's decisions on second NAPs**

*by*Rotfuß, Waldemar & Conrad, Christian & Rittler, Daniel

**Intraday price formation and volatility in the European Union emissions trading scheme: an introductory analysis**

*by*Rotfuß, Waldemar

**Valuing options in Heston's stochastic volatility model: Another analytical approach**

*by*Frontczak, Robert

**On modified Mellin transforms, Gauss-Laguerre quadrature, and the valuation of American call options**

*by*Frontczak, Robert & Schöbel, Rainer

**Strategic pricing of financial options**

*by*Bieta, Volker & Broll, Udo & Milde, Hellmuth & Siebel, Wilfried

**Accuracy of premium calculation models for CAT bonds: An empirical analysis**

*by*Galeotti, Marcello & Gürtler, Marc & Winkelvos, Christine

**Credit gap risk in a first passage time model with jumps**

*by*Packham, Natalie & Schlögl, Lutz & Schmidt, Wolfgang M.

**Credit dynamics in a first passage time model with jumps**

*by*Packham, Natalie & Schlögl, Lutz & Schmidt, Wolfgang M.

**Price discovery in spot and futures markets: A reconsideration**

*by*Theissen, Erik

**Trading the bond-CDS basis: The role of credit risk and liquidity**

*by*Trapp, Monika

**The term structure of illiquidity premia**

*by*Kempf, Alexander & Korn, Olaf & Uhrig-Homburg, Marliese

**The information content of implied volatilities and model-free volatility expectations: Evidence from options written on individual stocks**

*by*Taylor, Stephen J. & Yadav, Pradeep K. & Zhang, Yuanyuan

**Risk premia in electricity wholesale spot markets: empirical evidence from Germany**

*by*Pietz, Matthäus

**Risk premia in the German electricity futures market**

*by*Pietz, Matthäus

**Calibration of the subdiffusive Black–Scholes model**

*by*Sebastian Orzel & Aleksander Weron

**Implied volatilities of American options with cash dividends: an application to Italian Derivatives Market (IDEM)**

*by*Martina Nardon & Paolo Pianca

**Modelling the Evolution of Credit Spreads Using the Cox Process Within the HJM Framework A CDS Option Pricing Model**

*by*Carl Chiarella & Viviana Fanelli & Silvana Musti

**A Benchmark Approach to Investing and Pricing**

*by*Eckhard Platen

**Asset Markets and Monetary Policy**

*by*Eckhard Platen & Willi Semmler

**Alternative Defaultable Term Structure Models**

*by*Nicola Bruti-Liberati & Christina Nikitopoulos-Sklibosios & Eckhard Platen & Erik Schlogl

**Pricing caps with HJM models: the benefits of humped volatility**

*by*Jury Falini

**Option trading strategies based on semi-parametric implied volatility surface prediction**

*by*Francesco Audrino & Dominik Colangelo

**A decomposition formula for option prices in the Heston model and applications to option pricing approximation**

*by*Elisa Alòs

**How to Manage Food Price Instability in Developing Countries ?**

*by*Galtier, F.

**Comment gérer l'instabilité des prix alimentaires dans les pays en développement ?**

*by*Galtier, F.

**Valuation of R&D Investment Opportunities with the Threat of Competitors Entry in Real Option Analysis**

*by*Giovanni Villani

**Automated Likelihood Based Inference for Stochastic Volatility Models**

*by*Hans J. Skaug & Jun Yu

**Pricing and Hedging of Asian Options: Quasi-Explicit Solutions via Malliavin Calculus**

*by*Zhaojun Yang & Christian-Oliver Ewald & Olaf Menkens

**Integration of the Global Emissions Trading Markets**

*by*Bruce Mizrach

**Indeterminacy of competitive equilibrium with risk of default**

*by*Gaetano Bloise & Pietro Reichlin & Mario Tirelli

**A New Look at Copper Markets: A Regime-Switching Jump Model**

*by*Chan, Wing Hong & Young, Denise

**Option Pricing Under Lévy Processes: A Unifying Formula**

*by*Rossella Agliardi

**Commodity Derivatives Valuation with Autoregression and Moving Average in the Price Dynamics**

*by*Raphael Paschke & Marcel Prokopczuk

**Is there a Distress Risk Anomaly? Pricing of Systematic Default Risk in the Cross Section of Equity Returns**

*by*Anginer, Deniz & Yildizhan, Celim

**New insights into India’s single stock futures markets**

*by*HUNG, MAO-WEI & SO, LEH-CHYAN

**Modelos estocásticos para el precio spot y del futuro de commodities con alta volatilidad y reversión a la media**

*by*García de la Vega, Victor Manuel & Ruiz-Porras, Antonio

**On The Heston Model with Stochastic Interest Rates**

*by*Grzelak, Lech & Oosterlee, Kees

**A Spot Stochastic Recovery Extension of the Gaussian Copula**

*by*Bennani, Norddine & Maetz, Jerome

**Double Impact on CVA for CDS: Wrong-Way Risk with Stochastic Recovery**

*by*Li, Hui

**Assessing the influence of spot price predictability on electricity futures hedging**

*by*Torro, Hipolit

**Extension of Spot Recovery Model for Gaussian Copula**

*by*Li, Hui

**Effects of market sentiment in index option pricing: a study of CNX NIFTY index option**

*by*Nagarajan, Thirukumaran & Malipeddi, Koteswararao

**A Quasi-analytical Interpolation Method for Pricing American Options under General Multi-dimensional Diffusion Processes**

*by*Li, Minqiang

**Alternative Tilts for Nonparametric Option Pricing**

*by*Walker, Todd B & Haley, M. Ryan

**How Duration Between Trades of Underlying Securities Affects Option Prices**

*by*Cartea, Álvaro & Meyer-Brandis, Thilo

**On Models of Stochastic Recovery for Base Correlation**

*by*Li, Hui

**Term Structure Equations Under Benchmark Framework**

*by*El Qalli, Yassine

**A fundamental power price model with oligopolistic competition representation**

*by*Vazquez, Miguel & Barquín, Julián

**Analytical Approximations for the Critical Stock Prices of American Options: A Performance Comparison**

*by*Minqiang Li, Li

**Modeling long-term electricity forward prices**

*by*Povh, Martin & Fleten, Stein-Erik

**New renewable electricity capacity under uncertainty: The potential in Norway**

*by*Fleten, Stein-Erik & Ringen, Geir

**Hybrid or Electric Vehicles? A Real Options Perspective**

*by*Michi NISHIHARA

**Did the ETF enhance arbitrage between cash and futures of the Nikkei225?**

*by*Youki Kohsaka

**Preemptive Investment Game with Alternative Projects**

*by*Michi Nishihara

**Are Banks Different? Evidence from the CDS Market**

*by*Burkhard Raunig & Martin Scheicher

**Macro-Hedging for Commodity Exporters**

*by*Eduardo Borensztein & Olivier Jeanne & Damiano Sandri

**Credit Default Swaps and the Credit Crisis**

*by*René M. Stulz

**Systemic Risk and the Refinancing Ratchet Effect**

*by*Amir E. Khandani & Andrew W. Lo & Robert C. Merton

**Asset Return Dynamics under Bad Environment Good Environment Fundamentals**

*by*Geert Bekaert & Eric Engstrom

**U.S. Stock Market Crash Risk, 1926-2006**

*by*David S. Bates

**Valuing Toxic Assets: An Analysis of CDO Equity**

*by*Francis A. Longstaff & Brett Myers

**The Term Structures of Equity and Interest Rates**

*by*Martin Lettau & Jessica A. Wachter

**Information, Liquidity, and the (Ongoing) Panic of 2007**

*by*Gary B. Gorton

**Credit Risk Transfer and Bank Competition**

*by*Hendrik Hakenes & Isabel Schnabel

**The skew pattern of implied volatility in the DAX index options market**

*by*Silvia Muzzioli

**The skew pattern of implied volatility in the DAX index options market**

*by*Silvia Muzzioli

**Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models**

*by*Jeroen V.K. Rombouts & Lars Stentoft

**Basket Options on Heterogeneous Underlying Assets**

*by*Georges Dionne & Geneviève Gauthier & Nadia Ouertani

**Credit Spread Changes within Switching Regimes**

*by*Olfa Maalaoui & Georges Dionne & Pascal François

**Liquidität, Risikoeinstellung des Kapitalmarktes und Konjunkturerwartung als Preisdeterminanten von Collateralized Debt Obligations (CDOs) - Eine simulationsgestützte Analyse**

*by*Gann, Philipp

**Heterogeneous Impatience in a Continuous-Time Model**

*by*Chiaki Hara

**The Superiority of Time-Varying Hedge Ratios in Turkish Futures**

*by*Onur Olgun & Ý. Hakan Yetkiner

**Pricing executive stock options under employment shocks**

*by*Ángel León Valle & Antonio Vaello & Julio Carmona

**Speculation and Volatility Spillover in the Crude Oil and Agricultural Commodity Markets: A Bayesian Analysis**

*by*Xiaodong Du & Cindy L. Yu & Dermot J. Hayes

**Speculation and Volatility Spillover in the Crude Oil and Agricultural Commodity Markets: A Bayesian Analysis**

*by*Xiaodong Du & Cindy L. Yu & Dermot J. Hayes

**Polar sets of anisotropic Gaussian random fields**

*by*Jakob SÃ¶hl

**Representations for optimal stopping under dynamic monetary utility functionals**

*by*Volker KrÃ¤tschmer & John Schoenmakers

**CDO and HAC**

*by*Barbara ChoroÅ› & Wolfgang HÃ¤rdle & Ostap Okhrin

**CDO Pricing with Copulae**

*by*Barbara Choros & Wolfgang HÃ¤rdle & Ostap Okhrin

**A Microeconomic Explanation of the EPK Paradox**

*by*Wolfgang HÃ¤rdle & Volker KrÃ¤tschmer & Rouslan Moro

**Credit Spreads on Corporate Bonds and the Macroeconomy in Japan**

*by*Kiyotaka Nakashima & Makoto Saito

**Option Pricing Using Realized Volatility and ARCH Type Models**

*by*Toshiaki Watanabe & Masato Ubukata

**Discriminatory Power and Predictions of Defaults of Structural Credit Risk Models**

*by*T. C. Wong & C. H. Hui & C. F. Lo

**A Liquidity Risk Stress-Testing Framework with Interaction between Market and Credit Risks**

*by*Eric Wong & Cho-Hoi Hui

**Heterogeneous Impatience in a Continuous-Time Model**

*by*Hara, Chiaki

**A Model of Deferred Callability in Defaultable Debt**

*by*Mjøs, Aksel & Persson, Svein-Arne

**Pricing basket default swaps in a tractable shot-noise model**

*by*Herbertsson, Alexander & Jang, Jiwook & Schmidt, Thorsten

**Systemic Risk and the Refinancing Ratchet Effect**

*by*Amir E. Khandani & Andrew W. Lo & Robert C. Merton

**What is the Impact of Stock Market Contagion on an Investor's Portfolio Choice?**

*by*Nicole Branger & Holger Kraft & Christoph Meinerding

**Option Pricing: The empirical tests of the Black-Scholes pricing formula and the feed-forward networks**

*by*Michaela Vlasáková Baruníková

**Did Speculation Affect World Rice Prices?**

*by*C. Peter Timmer

**Term Structure Equations Under Benchmark Framework**

*by*El Qalli Yassine

**Expected Returns and Volatility of Fama-French Factors**

*by*Chabi-Yo, Fousseni

**Volatility in Equilibrium: Asymmetries and Dynamic Dependencies**

*by*Tim Bollerslev & Natalia Sizova & George Tauchen

**Hedging residual value risk using derivatives**

*by*Sylvain Prado

**Quantifying the reversibility phenomenon for the repeat-sales index**

*by*Simon, Arnaud

**Forward Hedging and Vertical Integration in Electricity Markets**

*by*Chemla, Gilles & Porchet, Arnaud & Touzi, Nizar & Aïd, René

**Compatibility between pricing rules and risk measures: The CCVaR**

*by*Alejandro BalbÃ¡s & Raquel BalbÃ¡s

**Macro-Hedging for Commodity Exporters**

*by*Borensztein, Eduardo & Jeanne, Olivier & Sandri, Damiano

**Indeterminacy of Competitive Equilibrium with Risk of Default**

*by*Bloise, Gaetano & Reichlin, Pietro & Tirelli, Mario

**Limits to Arbitrage and Hedging: Evidence from Commodity Markets**

*by*Acharya, Viral V & Lochstoer, Lars & Ramadorai, Tarun

**The valuation of power futures based on optimal dispatch**

*by*DE MAERE Dâ€™AERTRYCKE, Gauthier & SMEERS, Yves

**Bayesian option pricing using mixed normal heteroskedasticity models**

*by*ROMBOUTS, Jeroen V.K. & STENTOFT, Lars

**Implementing Binomial Trees**

*by*Manfred Gilli & Enrico Schumann

**Una aproximación teórica a la superficie de volatilidad en el mercado colombiano a través del modelo de difusión con saltos**

*by*Carlos León

**The Merton Approach to Estimating Loss Given Default: Application to the Czech Republic**

*by*Jakub Seidler & Petr Jakubik

**Valuation Of Vix Derivatives**

*by*Javier Mencía & Enrique Sentana

**Bankruptcy Codes, Liquidation Timing, And Debt Valuation**

*by*Max Bruche

**Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models**

*by*Jeroen Rombouts & Lars Peter Stentoft

**Realizing Smiles: Pricing Options with Realized Volatility**

*by*Fulvio CORSI & Nicola FUSARI & Davide LA VECCHIA

**Dynamic Investment and Financing under Asymmetric Information**

*by*Erwan MORELLEC & Norman SCHURHOFF

**A Strategic R&D Investment with Flexible Development Time in Real Option Game Analysis**

*by*Giovanni Villani

**Admissible strategies in semimartingale portfolio selection**

*by*Sara Biagini & Ales Cerny

**Macroeconomic Uncertainty and Credit Default Swap Spreads**

*by*Christopher F Baum & Chi Wan

**An Alternative Formula to Price American Options**

*by*Rocío Elizondo & Pablo Padilla & Mogens Bladt

**Structural The Equity Premium and the Volatility Spread: The Role of Risk-Neutral Skewness**

*by*Bruno Feunou & Jean-Sébastien Fontaine & Roméo Tedongap

**Measures of Aggregate Credit Conditions and Their Potential Use by Central Banks**

*by*Alejandro García & Andrei Prokopiw

**A No Arbitrage Fractional Cointegration Analysis Of The Range Based Volatility**

*by*Eduardo Rossi & Paolo Santucci de Magistris

**Adding and Subtracting Black-Scholes: A New Approach to Approximating Derivative Prices in Continuous Time Models**

*by*Dennis Kristensen & Antonio Mele

**Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models**

*by*Jeroen V.K. Rombouts & Lars Stentoft

**Volatility in Equilibrium: Asymmetries and Dynamic Dependencies**

*by*Tim Bollerslev & Natalia Sizova & George Tauchen

**Characteristics Of Japan'S Commodities Index And Its Correlation With Stock Index**

*by*Yamori NOBUYOSHI

**Modeling Dynamics of Oil Prices under Different Regimes of Oil Market Development**

*by*Varshavsky , Leonid

**Model Uncertainty and Liquidity**

*by*Bryan Routledge & Stanley Zin

**Valuation of Convexity Related Interest Rate Derivatives**

*by*Jiří Witzany

**Algorithm For Generalized Garman Equation In Option Pricing Of A Financial Derivatives With Stochastic Volatility Models**

*by*Socaciu Tiberiu & Danubianu Mirela & Maxim Ioan & Naaji Antoanela

**Modeling Volatility in Foreign Currency Option Pricing**

*by*Ariful Hoque & Felix Chan & Meher Manzur

**European Put-Call Parity and the Early Exercise Premium for American Currency Options**

*by*Geoffrey Poitras & Chris Veld & Yuriy Zabolotnyuk

**Modelización de las expectativas y estrategias de inversión en mercados de opciones**

*by*Begoña Font Belaire

**Pervasive Gaming: Testing Future Context Aware Applications**

*by*Paul PISJAK & Stefan FELDER & Ernst-Olav RUHLE & Martin LUNDBORG & Matthias EHRLER

**Cash Flow Statements**

*by*Jadranka Kapic

**The Hazards Of Propping Up: Bubbles And Chaos**

*by*Philip Maymin

**Information Spillovers In The Spot And Etf Indices In Taiwan**

*by*Chien-Cheng Wang & Yung-Shi Liau & Jack J.W. Yang

**Computational Efficiency and Accuracy in the Valuation of Basket Options**

*by*Pengguo Wang

**Implied Market Loss Given Default in the Czech Republic: Structural-Model Approach**

*by*Jakub Seidler & Petr Jakubík

**Model Selection and Estimation of Long-Memory Time-Series Models**

*by*Katelijne A.E. Carbonez

**International Portfolio Diversification: Evidence from European Emerging Markets**

*by*Nikolaos L. Hourvouliades

**Una contribución a la valuación de los Synthetic CDO**

*by*Francisco García Castillo

**Price volatility forecasts for agricultural commodities: an application of volatility models, option implieds and composite approaches forfutures prices of corn and wheat**

*by*Guillermo Benavides Perales

**Modelos Estocásticos para el Precio Spot y del Futuro de Commodities con Alta Volatilidad y Reversión a la Media**

*by*Víctor Manuel García de la Vega & Antonio Ruiz Porras

**Pricing Foreign Equity Options with Stochastic Correlation and Volatility**

*by*Jun Ma

**The Development of New Catastrophe Risk Markets**

*by*Howard C. Kunreuther & Erwann O. Michel-Kerjan

**The Term Structure of Interest Rates**

*by*Robert A. Jarrow

**Credit Risk Models**

*by*Robert A. Jarrow

**Estimating and Testing Continuous-Time Models in Finance: The Role of Transition Densities**

*by*Yacine A�t-Sahalia

**Volatility Derivatives**

*by*Peter Carr & Roger Lee

**New financial derivatives on Romanian market - contracts for difference**

*by*Mircea CIOLPAN

**World Oil: Market or Mayhem?**

*by*James L. Smith

**THE HIDDEN HISTORY OF 9-11, 2nd edition, paperback**

*by*

**Entry Strategies of Partnerships versus Conventional Firms**

*by*Michele Moretto & Gianpaolo Rossini

**On the lognormality of forward credit default swap spreads**

*by*Jabbour, George & El Masri, Fatena & Young, Stephen

**Türkiye’de Döviz ve Endeks Futures Sözleşmelerinin Stokastik Modellenmesi**

*by*Alper ÖZÜN & Mehmet TÜRK

**Pricing American options with Mellin transforms**

*by*Frontczak, Robert & Schöbel, Rainer

**Was kostet eine Garantie? Ein statistischer Vergleich der Rendite von langfristigen Anlagen**

*by*Becker, Christoph & Wystup, Uwe

**Forward-start options in the Barndorff-Nielsen-Shephard Model**

*by*Keller-Ressel, Martin & Kilin, Fiodar

**On the valuation of fader and discrete barrier options in Heston's Stochastic Volatility Model**

*by*Griebsch, Susanne & Wystup, Uwe

**Pro-rata matching and one-tick futures markets**

*by*Field, Jonathan & Large, Jeremy

**A partially linear approach to modelling the dynamics of spot and futures prices**

*by*Gaul, Jürgen & Theissen, Erik

**A value at risk analysis of credit default swaps**

*by*Scheicher, Martin & Raunig, Burkhard

**The pricing of correlated default risk: evidence from the credit derivatives market**

*by*Zhu, Haibin & Tarashev, Nikola A.

**Market conditions, default risk and credit spreads**

*by*Tang, Dragon Yongjun & Yan, Hong

**Modelling energy forward prices**

*by*Joanna Janczura & Aleksander Weron

**An efficient binomial approach to the pricing of options on stocks with cash dividends**

*by*Martina Nardon & Paolo Pianca

**Real World Pricing for a Modified Constant Elasticity of Variance Model**

*by*Shane M Miller & Eckhard Platen

**Exchange Options Under Jump-Diffusion Dynamics**

*by*Gerald H. L. Cheang & Carl Chiarella

**Modelling the Evolution of Credit Spreads using the Cox Process within the HUM Framework: A CDS Option Pricing Model**

*by*Carl Chiarella & Viviana Fanelli & Silvana Musti

**On Honest Times in Financial Modeling**

*by*Ashkan Nikeghbali & Eckhard Platen

**Distributional Deviations in Random Number Generation in Finance**

*by*Sergio Chavez & Eckhard Platen

**A Unifying Approach to Asset Pricing**

*by*Eckhard Platen

**Hedge Portfolios in Markets with Price Discontinuities**

*by*Gerald H.L. Cheang & Carl Chiarella

**Analytic Pricing of Contingent Claims Under the Real-World Measure**

*by*Shane Miller & Eckhard Platen

**The Law of Minimal Price**

*by*Eckhard Platen

**Hedging for the Long Run**

*by*Eckhard Platen & Hardy Hulley

**Betting on Hitler: The value of political connections in Nazi Germany**

*by*Joachim Voth & Thomas Ferguson

**A Hull and White formula for a general stochastic volatility jump-diffusion model with applications to the study of the short-time behavior of the implied volatility**

*by*Elisa Alòs & Jorge A. León & Monique Pontier & Josep Vives

**R&D Cooperation in Real Option Game Analysis**

*by*Giovanni Villani

**Predicting the Fed**

*by*Kenneth B. Petersen & Vladimir Pozdnyakov

**Volatility Exposure for Strategic Asset Allocation**

*by*Marie Briere & Alexandre Burgues & Ombretta Signori

**Jump and Cojump Risk in Subprime Home Equity Derivatives**

*by*Bruce Mizrach

**Asset prices, debt constraints and inefficiency**

*by*Gaetano Bloise & Pietro Reichlin

**Incomplete Financial Markets and Contingent Claim Pricing in a dual expected utility theory framework**

*by*Massimiliano Corradini & Andrea Gheno

**Interview with Nobel Prize Laureate Myron S. Scholes**

*by*Scholes, Myron S.

**An analytically tractable time-changed jump-diffusion default intensity model**

*by*Naoufel El-Bachir & Damiano Brigo

**Markov Switching GARCH Diffusion**

*by*Carol Alexander & Emese Lazar

**A model for pricing real estate derivatives with stochastic interest rates**

*by*Ciurlia, Pierangelo & Gheno, Andrea

**The Economics of Financial Derivative Instruments**

*by*NWAOBI, GODWIN C

**A Novel Pricing Method For European Options Based On Fourier-Cosine Series Expansions**

*by*Fang, Fang & Oosterlee, Kees

**Pricing Early-Exercise and Discrete Barrier Options by Fourier-Cosine Series Expansions**

*by*Fang, Fang & Oosterlee, Kees

**Investment Model Uncertainty and Fair Pricing**

*by*Los, Cornelis A. & Tungsong, Satjaporn

**Dynamic Conditioning and Credit Correlation Baskets**

*by*Albanese, Claudio & Vidler, Alicia

**Multi-asset Spread Option Pricing and Hedging**

*by*Li, Minqiang & Deng, Shijie & Zhou, Jieyun

**A Novel Pricing Method For European Options Based On Fourier-Cosine Series Expansions**

*by*Fang, Fang & Oosterlee, Kees

**Numeraire Invariance and application to Option Pricing and Hedging**

*by*Jamshidian, Farshid

**Risky Swaps**

*by*Gikhman, Ilya

**Risky Swaps**

*by*Gikhman, Ilya

**Closed-Form Approximations for Spread Option Prices and Greeks**

*by*Li, Minqiang

**Risky Swaps**

*by*Gikhman, Ilya

**An Adaptive Succesive Over-relaxation Method for Computing the Black-Scholes Implied Volatility**

*by*Li, Minqiang

**Natural volatility and option pricing**

*by*Carey, Alexander

**Liquidity-Induced Dynamics in Futures Markets**

*by*Fagan, Stephen & Gencay, Ramazan

**Approximating correlated defaults**

*by*Rosenthal, Dale W.R.

**Multiple risky securities valuation I**

*by*Ilya, Gikhman

**Implied Volatility with Time-Varying Regime Probabilities**

*by*Lanne, Markku & Ahoniemi, Katja

**Two Curves, One Price :Pricing & Hedging Interest Rate Derivatives Decoupling Forwarding and Discounting Yield Curves**

*by*Bianchetti, Marco

**Valuing Coupon Bond Linked to Variable Interest Rate**

*by*Giandomenico, Rossano

**Asset Liability Management for Banks**

*by*Giandomenico, Rossano

**Pricing of Double Barrier Options by Spectral Theory**

*by*Dell'Era Mario, M.D.

**Pricing of the European Options by Spectral Theory**

*by*Dell'Era Mario, M.D.

**Levy Density Based Intensity Modeling of the Correlation Smile**

*by*Balakrishna, B S

**'Noise trader risk' and Bayesian market making in FX derivatives: rolling loaded dice?**

*by*Ulibarri, Carlos A. & Anselmo, Peter & Hovsepian, Karen & Florescu, Ionut & Tolk, Jacob

**Real Option Games with R&D and Learning Spillovers**

*by*Martzoukos, Spiros H & Zacharias, Eleftherios

**Price Deviations of S&P 500 Index Options from the Black-Scholes Formula Follow a Simple Pattern**

*by*Li, Minqiang

**A Damped Diffusion Framework for Financial Modeling and Closed-form Maximum Likelihood Estimation**

*by*Li, Minqiang

**Cash Flow-Wise ABCDS pricing**

*by*Penasse, Julien

**A semiparametric factor model for electricity forward curve dynamics**

*by*Borak, Szymon & Weron, Rafal

**Hedging error in Lévy models with a Fast Fourier Transform approach**

*by*Flavio Angelini & Marco Nicolosi

**Forecasting temperature indices with timevarying long-memory models**

*by*Massimiliano Caporin & Juliusz Pres

**Are Workers Enterprises Entry Policies Conventional?**

*by*Michele Moretto & Gianpaolo Rossini

**Mispricing of S&P 500 Index Options**

*by*George M. Constantinides & Jens Carsten Jackwerth & Stylianos Perrakis

**The True Cost of Social Security**

*by*Alexander W. Blocker & Laurence J. Kotlikoff & Stephen A. Ross

**Fooling Some of the People All of the Time: The Inefficient Performance and Persistence of Commodity Trading Advisors**

*by*Geetesh Bhardwaj & Gary B. Gorton & K. Geert Rouwenhorst

**Derivatives Markets for Home Prices**

*by*Robert J. Shiller

**Consumption and Portfolio Choice with Option-Implied State Prices**

*by*Yacine Aït-Sahalia & Michael W. Brandt

**Arbitrage-free Limit Order Books and the Pricing of Order Flow Risk**

*by*Bruce Lehmann

**Option pricing under GARCH models with generalized hyperbolic innovations (II) : data and results**

*by*Christophe Chorro & Dominique Guegan & Florian Ielpo

**Option pricing under GARCH models with generalized hyperbolic innovations (I) : methodology**

*by*Christophe Chorro & Dominique Guegan & Florian Ielpo

**Pricing bivariate option under GARCH processes with time-varying copula**

*by*Jing Zhang & Dominique Guegan

**Option based forecasts of volatility: An empirical study in the DAX index options market**

*by*Silvia Muzzioli

**Density forecast evaluation and the effect of risk-neutral central moments on the currency risk premium: tests based on EUR/HUF option-implied densities**

*by*Csaba Csávás

**Are the exchange rates of EMU candidate countries anchored by their expected euro locking rates?**

*by*Anna Naszódi

**Effects of Background Risks on Cautiousness with an Application to a Portfolio Choice Problem**

*by*Chiaki Hara & James Huang & Christoph Kuzmics

**Short-term electricity futures prices: Evidence on the time-varying risk premium**

*by*Hipòlit Torró & Julio Lucia

**Do Futures Benefit Farmers?**

*by*Lence, Sergio H.

**Forward Trading in Exhaustible-Resource Oligopoly**

*by*Juan-Pablo Montero & Matti Liski

**A semiparametric factor model for electricity forward curve dynamics**

*by*Szymon Borak & RafaÅ‚ Weron

**Numerics of Implied Binomial Trees**

*by*Wolfgang Härdle & Alena Mysickova

**Assessing Credit Risk of Companies with Mean-Reverting Leverage Ratios**

*by*C. F. Lo & T. C. Wong & C. H. Hui & M. X. Huang

**A Note on Estimating Realignment Probabilities -- A First-Passage-Time Approach**

*by*Cho-Hoi Hui & Chi-Fai Lo

**Market Expectation of Appreciation of the Renminbi**

*by*Cho-Hoi Hui & Chi-Fai Lo & Tsz-Kin Chung

**Heterogeneous Impatience in a Continuous-Time Model**

*by*Hara, Chiaki

**Effects of Background Risks on Cautiousness with an Application to a Portfolio Choice Problem**

*by*Hara, Chiaki & Huang, James & Kuzmics, Christoph

**Continuous Monitoring: Look before You Leap**

*by*Lindset, Snorre & Persson, Svein-Arne

**Level dependent annuities: Defaults of multiple degrees**

*by*Mjøs, Aksel & Persson, Svein-Arne

**Game-theoretical, Strategic forward Contracting in the Electricity Market**

*by*Holmberg, Pär

**The partial adjustment factors of FTSE 100 stock index and stock index futures: The informational impact of electronic trading systems**

*by*Helder Sebastião

**Valuing American Derivatives by Least Squares Methods**

*by*Mario Cerrato

**Can Tests Based on Option Hedging Errors Correctly Identify Volatility Risk Premia?**

*by*Nicole Branger & Christian Schlag

**Uma análise empírica de eficiência relativa nos mercados futuro e à vista de açúcar**

*by*Roseli da Silva & Rodrigo Takeuchi

**Implied Market Loss Given Default: structural-model approach**

*by*Jakub Seidler

**Valuation of Convexity Related Derivatives**

*by*Jiří Witzany

**Derivatives Markets for Home Prices**

*by*Shiller, Robert J.

**Measuring idiosyncratic risks in leveraged buyout transactions**

*by*Gottschalg, Oliver & Groh, Alexander Peter & Baule, Rainer

**Impact Of Proposed Commodity Transaction Tax On Futures Trading In India**

*by*Pravakar Sahoo & Rajiv Kumar

**Multivariate Feller conditions in term structure models: Why do(n't) we care?**

*by*Peter Spreij & Enno Veerman & Peter Vlaar

**Theory of Storage: An Empirical Assessment of the European Natural Gas Market**

*by*Marcus Stronzik & Margarethe Rammerstorfer & Anne Neumann

**The Determinants Of Volatility On The American Crude Oil Futures Market**

*by*Riva, Fabrice & Lautier, Delphine

**Do Leveraged Credit Derivatives Modify Credit Allocation ?**

*by*Viala, Jean-Renaud & Boulier, Jean-François & Brière, Marie

**A market for weather risk ? Worlds in conflict and compromising**

*by*Rainelli, Hélène & Huault, Isabelle

**GARCH (1,1) Models with Exogenously-Driven Volatility: Structure and Estimation**

*by*Zakoïan, Jean-Michel & Regnard, Nazim

**A market for weather risk ? Worlds in conflict and compromising**

*by*Rainelli, Hélène & Huault, Isabelle

**Systematic credit risk: CDX index correlation and extreme dependence**

*by*Aboura, Sofiane & Wagner, Niklas

**Derivatives Markets for Home Prices**

*by*Robert J. Shiller

**The Virtues and Vices of Equilibrium and the Future of Financial Economics**

*by*J. Doyne Farmer & John Geanakoplos

**Capital requirements: Are they the best solution?**

*by*Alejandro Balbas

**Nonparametric Estimation of Scalar Diffusion Processes of Interest Rates Using Asymmetric Kernels**

*by*Nikolay Gospodinov & Masayuki Hirukawa

**Asset Prices, Debt Constraints and Inefficiency**

*by*Bloise, Gaetano & Reichlin, Pietro

**On the Impact of Forward Contract Obligations in Multi-Unit Auctions**

*by*de Frutos, Maria-Angeles & Fabra, Natalia

**La subvencion financiera del coste de la deuda: la importancia de la pregunta en la investigacion financiera**

*by*Mariano Gonzalez Sanchez & Ignacio Velez-Pareja & Ana Isabel Mateos Ansotegui

**The Endogenous Price Dynamics of the Emission Allowances: An Application to CO2 Option Pricing**

*by*Marc Chesney & Luca Taschini

**Barrier Options and a Reflection Principle of the Fractional Brownian Motion**

*by*Cipian Necula

**Pricing European and Barrier Options in the Fractional Black-Scholes Market**

*by*Ciprian Necula

**Option Pricing in a Fractional Brownian Motion Environment**

*by*Cipian Necula

**A Framework for Derivative Pricing in the Fractional Black-Scholes Market**

*by*Ciprian Necula

**Summary statistics of option-implied probability density functions and their properties**

*by*Lynch, Damien & Panigirtzoglou, Nikolaos

**On the foundations of Lévy finance: Equilibrium for a single-agent financial market with jumps**

*by*Frederik Herzberg

**La prévision des taux d’intérêt à partir de contrats futures : l’apport de variables économiques et financières**

*by*Coffinet, J.

**Futures Markets, Oil Prices and the Intertemporal Approach to the Current Account**

*by*Elif C. Arbatli

**Default Dependence: The Equity Default Relationship**

*by*Stuart M. Turnbull & Jun Yang

**Expected Stock Returns and Variance Risk Premia**

*by*Tim Bollerslev & Tzuo Hao & George Tauchen

**American Option Pricing using GARCH models and the Normal Inverse Gaussian distribution**

*by*Lars Stentoft

**Option Pricing using Realized Volatility**

*by*Lars Stentoft

**Volatility Components, Affine Restrictions and Non-Normal Innovations**

*by*Peter Christoffersen & Kris Dorion & Yintian Wang

**Méthodes numériques pour la valorisation d'options swings et autres problèmes sur les matières premières**

*by*Kourouvakalis, Stylianos

**Arbitrages and Arrow-Debreu Prices**

*by*Gaia Barone

**Financial instruments to hedge commodity price risk for developing countries**

*by*Lu, Yinqiu & Neftci, Salih

**Examination of selected improvement approaches to Monte Carlo simulation in option pricing**

*by*Tomáš Tichý

**Investigating a thin-capitalization rule: An option-based analysis**

*by*Jan Vlachý

**Dilution and Dividend Effects on the Portuguese Equity Warrants Market**

*by*José Eduardo Correia & João Duque

**Algunas aplicaciones de la Teoría de Lie a la Economía y las Finanzas = Some Applications of Lie Theory to Economics and Finance**

*by*Hernández Fernández, Isabel & Mateos Contreras, Consuelo & Núñez Valdés, Juan & Tenorio Villalón, Ángel F.

**Specification and Calibration Errors in Measures of Portfolio Credit Risk: The Case of the ASRF Model**

*by*Nikola Tarashev & Haibin Zhu

**The Effects Of Congressional Elections On Future Equity Market Returns**

*by*Vincent Louis Ovlia & David Enke & Michael C. Davis

**An Arbitrage Approach to the Pricing of Catastrophe Options Involving the Cox Process**

*by*Fujita, Takahiko & Ishimura, Naoyuki & Tanaka, Daichi

**First Passage and Excursion Time Models for Valuing Defautltable Bonds: a Review with Some Insights**

*by*Martina Nardon

**Price linkages between Chinese and world copper futures markets**

*by*LI Xindan & ZHANG Bing

**Measuring the Financial Markets’ Perception of EMU Enlargement: The Role of Ambiguity Aversion**

*by*Martin Cincibuch & Matrina Horníková

**Rendimientos del mercado accionario y depreciaciones cambiarias en México: 1988-2007**

*by*Domingo Rodríguez Benavides & Arturo Morales Castro

**The Performance of the A0( ) Diffusion Model to Hedge a Forward Commitment in the Corn Market**

*by*C. de Ville de Goyet

**The Performance of the A0( ) Diffusion Model to Hedge a Forward Commitment in the Corn Market**

*by*C. de Ville de Goyet

**Parametric vs. non-parametric methods for estimating option implied risk-neutral densities: the case of the exchange rate Mexican peso – US dollar**

*by*Guillermo Benavides Perales & Israel Felipe Mora Cuevas

**Sobre la convergencia del modelo GARCH(1,1)-M al movimiento geométrico browniano con reversión a la media**

*by*Francisco Venegas Martínez & Francisco J. Sánchez Torres

**El modelo de Vasicek y la integral de trayectoria de Feynman**

*by*Francisco Ortiz Arango & Francisco Venegas-Martínez

**Clarifying the dynamics of the relationship between option and stock markets using the threshold vector error correction model**

*by*Li, Ming-Yuan Leon

**The ABX: how do the markets price subprime mortgage risk?**

*by*Ingo Fender & Martin Scheicher

**Credit derivatives an structured creit: the nascant markets of Asia and the Pacific**

*by*Eli M Remolona & Ilhyock Shim

**Financial Stability of the Turkish Banking Sector**

*by*Münür Yayla & Alper Hekimoglu & Mahmut Kutlukaya

**The institutional aspects of the Dojima rice exchange market in Tokugawa era: The role of governance mechanism**

*by*Yasuo Takatsuki

**Default Contagion in Large Homogeneous Portfolios**

*by*Herbertsson, Alexander

**Optimal selling strategies by a large player in energy markets**

*by*Kalife, Aymeric

**Information Asymmetry in the French Market around Crises**

*by*Bellalah, Mondher & Aboura, Sofiane

**The Dynamics of Mergers and Acquisitions in Oligopolistic Industries**

*by*Dirk Hackbarth & Jianjun Maio

**Optionsbewertung unter Lévy-Prozessen – Eine Analyse für den deutschen Aktienindex**

*by*Andreas Rathgeber

**Mercados de notas estructuradas. Un análisis descriptivo y métodos de evaluación**

*by*Venegas-Martínez, Francisco

**Modelo de opciones reales y aplicación al mercado petrolero**

*by*Hernández del Valle, Adrián & Martínez García, Claudia Icela

**Default swaps and hedging credit baskets**

*by*Schmidt, Wolfgang M.

**Accelerating the calibration of stochastic volatility models**

*by*Kilin, Fiodar

**Extended-Gaussian Term Structure Models and Credit Risk Applications**

*by*Marco Realdon

**An Extended Structural Credit Risk Model (forthcoming in the Icfai Journal of Financial Risk Management; all copyrights rest with the Icfai University Press)**

*by*Marco Realdon

**A Two Factor Black-Karasinski Credit Default Swap Pricing Model (forthcoming in the Icfai Journal of Derivatives Markets, Vol IV, No 4, October 2007; all copyrights rest with the Icfai University Press)**

*by*Marco Realdon

**Option Pricing and Spikes in Volatility: Theoretical and Empirical Analysis**

*by*Paola Zerilli

**Pricing under the Real-World Probability Measure for Jump-Diffusion Term Structure Models**

*by*Nicola Bruti-Liberati & Christina Nikitopoulos-Sklibosios & Eckhard Platen

**Time Delay and Noise Explaining Cyclical Fluctuations in Prices of Commodities**

*by*Uwe Küchler & Eckhard Platen

**Empirical Evidence on Student-t Log-Returns of Diversified World Stock Indices**

*by*Eckhard Platen & Renata Rendek

**A Benchmark Approach to Portfolio Optimization under Partial Information**

*by*Eckhard Platen & Wolfgang Runggaldier

**Forecasting Implied Volatility Surfaces**

*by*Francesco Audrino & Dominik Colagelo

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

*by*Patrick Gagliardini & Paolo Porchia & Fabio Trojani

**Interval LU-fuzzy arithmetic in the Black and Scholes option pricing**

*by*Maria Letizia Guerra & Laerte Sorini & Luciano Stefanini

**Modelling Credit Spreads evolution using the Cox Process within the HJM framework**

*by*Viviana Fanelli & Silvana Musti

**Pricing of CDS Options with the HJM approach: a Numerical Implementation**

*by*Viviana Fanelli & Silvana Musti

**Valuation of the surrender option in unit-linked life insurance policies in a non-rational behaviour framework**

*by*Luca Anzilli & Luigi De Cesare

**Strategic Technology Adoption and Market Dynamics as Option Games**

*by*Flavia Cortelezzi & Giovanni Villani

**A Monte Carlo approach to value exchange options using a single stochastic factor**

*by*Giovanni Villani

**Option Pricing and Momentum**

*by*Rodriguez, J.C.

**A Preference-Free Formula to Value Commodity Derivatives**

*by*Rodriguez, J.C.

**The Forward Premium Puzzle only emerges gradually**

*by*Kerstin Bernoth & J�rgen von Hagen & Casper G. de Vries

**Automated Likelihood Based Inference for Stochastic Volatility Models**

*by*Hans J. Skaug & Jun Yu

**Automated Likelihood Based Inference for Stochastic Volatility Models**

*by*Jun Yu

**Arbitrage and Simple Financial Market Efficiency during the South Sea Bubble: A Comparative Study of the Royal African and South Sea Companies Subscription Share Issues**

*by*Gary S. Shea

**Contingent Claim Pricing In A Dual Expected Utility Theory Framework**

*by*Massimiliano Corradini & Andrea Gheno

**An exact formula for default swaptions’ pricing in the SSRJD stochastic intensity model**

*by*Damiano Brigo & Naoufel El-Bachir

**A new Model for Stock Price Movements**

*by*Venier, Guido

**Decomposing and valuing callable convertible bonds: a new method based on exotic options**

*by*Zhou, Qi-Yuan & Wu, Chong-Feng & Feng, Yun

**The Impact of Return Nonnormality on Exchange Options**

*by*Li, Minqiang

**Empirical Study of the effect of including Skewness and Kurtosis in Black Scholes option pricing formula on S&P CNX Nifty index Options**

*by*Saurabha, Rritu & Tiwari, Manvendra

**An Hilbert space approach for a class of arbitrage free implied volatilities models**

*by*Brace, Alan & Fabbri, Giorgio & Goldys, Benjamin

**Joint Modeling of Call and Put Implied Volatility**

*by*Ahoniemi, Katja & Lanne, Markku

**Some mathematical properties of the futures market platform**

*by*Laib, Fodil & Laib, M.S.

**Integrating Multiple Commodities in a Model of Stochastic Price Dynamics**

*by*Paschke, Raphael & Prokopczuk, Marcel

**Moment Methods for Exotic Volatility Derivatives**

*by*Albanese, Claudio & Osseiran, Adel

**Callable Swaps, Snowballs And Videogames**

*by*Albanese, Claudio

**A STRUCTURAL MODEL FOR CREDIT-EQUITY DERIVATIVES AND BESPOKE CDOs**

*by*Albanese, Claudio & Vidler, Alicia

**Tradable measure of risk**

*by*Pospisil, Libor & Vecer, Jan & Xu, Mingxin

**Free boundary and optimal stopping problems for American Asian options**

*by*Andrea, Pascucci

**Exchange Options**

*by*Jamshidian, Farshid

**Long run credit risk diversification: empirical decomposition of corporate bond spreads**

*by*Sun, David & Lin, William & Nieh, Chien-Chung

**Hedging Effectiveness under Conditions of Asymmetry**

*by*Cotter, John & Hanly, James

**Malliavin differentiability of the Heston volatility and applications to option pricing**

*by*Alos, Elisa & Ewald, Christian-Oliver

**CMS swaps in separable one-factor Gaussian LLM and HJM model**

*by*Henrard, Marc

**The irony in the derivatives discounting**

*by*Henrard, Marc

**A fast and accurate FFT-based method for pricing early-exercise options under Lévy processes**

*by*Lord, Roger & Fang, Fang & Bervoets, Frank & Oosterlee, Kees

**Stressing rating criteria allowing for default clustering: the CPDO case**

*by*Torresetti, Roberto & Pallavicini, Andrea

**Skewed Libor Market Model and Gaussian HJM explicit approaches to rolled deposit options**

*by*Henrard, Marc

**Delayed Default Dependency and Default Contagion**

*by*Balakrishna, B S

**Corporate debt pricing I**

*by*Ilya, Gikhman

**Techniques alternatives d’estimation et tests en présence d’erreurs de mesure sur les variables explicatives**

*by*Francois-Éric Racicot

**Programmes de volatilité stochastique et de volatilité implicite : applications Visual Basic (Excel) et Matlab**

*by*Francois-Éric Racicot & Raymond Théoret

**Explicit formulas for the minimal variance hedging strategy in a martingale case**

*by*Flavio Angelini & Stefano Herzel

**Measuring the error of dynamic hedging: a Laplace transform approach**

*by*Flavio Angelini & Stefano Herzel

**Partnerships vs. Firms Entry Strategies**

*by*Michele Moretto & Gianpaolo Rossini

**Utility Indifference Pricing in an Incomplete Market Model with Incomplete Information**

*by*Kazuhiro Takino

**The institutional aspects of the Dojima rice exchange market in Tokugawa era: The role of governance mechanism**

*by*Yasuo Takatsuki

**Optimal Portfolio Choice and Investment in Education**

*by*Egil Matsen & Snorre Lindset

**Construction and Interpretation of Model-Free Implied Volatility**

*by*Torben G. Andersen & Oleg Bondarenko

**Linearity-Generating Processes: A Modelling Tool Yielding Closed Forms for Asset Prices**

*by*Xavier Gabaix

**Real Options With Uncertain Maturity and Competition**

*by*Kristian R. Miltersen & Eduardo S. Schwartz

**The relation between implied and realised volatility: are call options more informative than put options? Evidence from the DAX index options market**

*by*Silvia Muzzioli

**Testing Market Efficiency and Price Discovery in European Carbon Markets**

*by*George Milunovich & Roselyne Joyeux

**A Reduced Form Model of Default Spreads with Markov Switching Macroeconomic Factors**

*by*Georges Dionne & Geneviève Gauthier & Khemais Hammami & Mathieu Maurice & Jean-Guy Simonato

**On Debt Service and Renegotiation when Debt-holders Are More Strategic**

*by*Jean-Marc Bourgeon & Georges Dionne

**Sensitivities for Bermudan Options by Regression Methods**

*by*Denis Belomestny & Grigori Milstein & John Schoenmakers

**Statistics of Risk Aversion**

*by*Enzo Giacomini & Wolfgang Härdle

**Empirical Pricing Kernels and Investor Preferences**

*by*Kai Detlefsen & Wolfgang Härdle & Rouslan Moro

**Bookmaker and pari-mutuel betting: Is a (reverse) favourite-longshot bias built-in?**

*by*Alexander K. Koch & Hui-Fai Shing

**Is the Hong Kong Dollar Exchange Rate "Bounded" in the Convertibility Zone?**

*by*Cho-Hoi Hui & Tom Fong

**Ratings Versus Market-Based Measures of Default Risk of East Asian Banks**

*by*Eric Wong & Cho-Hoi Hui & Chi-fai Lo

**Valuing Foreign Currency Options with a Mean-Reverting Process: A Study of Hong Kong Dollar**

*by*Cho-hoi Hui & Vincent Yeung & Laurence Fung & Chi-Fai Lo

**Measuring Market Sentiment in Hong Kong's Stock Market**

*by*Ip-wing Yu & Chi-sang Tam

**Representative Consumer's Risk Aversion and Efficient Risk-Sharing Rules**

*by*Hara, Chiaki & Huang, James & Kuzmics, Christoph

**Risk Exchange as a Market or Production Game**

*by*Borglin, Anders & Flåm, Sjur

**Rationalizing Constrained Contingent Claims**

*by*Borglin, Anders & Flåm, Sjur

**Modelling Default Contagion Using Multivariate Phase-Type Distributions**

*by*Herbertsson, Alexander

**Pricing Synthetic CDO Tranches in a Model with Default Contagion Using the Matrix-Analytic Approach**

*by*Herbertsson, Alexander

**Pricing k-th-to-default Swaps under Default Contagion: The Matrix-Analytic Approach**

*by*Herbertsson, Alexander & Rootzén, Holger

**Accounting Transparency and the Term Structure of Credit Default Swap Spreads**

*by*Bajlum, Claus & Tind Larsen, Peter

**Risk exchange as a market or production game**

*by*Borglin, Anders & Flåm, Sjur Didrik

**Tests d’arbitrage sur options: une analyse empirique des cotations de market-makers**

*by*Ardia, David

**Forecasting Weekly Electricity Prices at Nord Pool**

*by*Hipòlit Torró

**Are Workers. Enterprises Entry Policies Conventional**

*by*Michele Moretto & Gianpaolo Rossini

**Hedging Exposure to Electricity Price Risk in a Value at Risk Framework**

*by*Huisman, R. & Mahieu, R.J. & Schlichter, F.

**Measuring idiosyncratic risks in leveraged buyout transactions**

*by*Groh, Alexander P. & Baule, Rainer & Gottschalg, Oliver

**Term Structure Modeling for Pension Funds:What to do in Practice?**

*by*Peter Vlaar

**Regulatory Change and Micro Structure Effects in SPI Futures**

*by*Gerard Gannon & Chi-Ying Chang

**Liquidity Risk and Correlation Risk: A Clinical Study of the General Motors and Ford Downgrade of May 2005**

*by*Acharya, Viral V & Schaefer, Stephen M & Zhang, Yili

**What Do We Learn from the Price of Crude Oil Futures?**

*by*Alquist, Ron & Kilian, Lutz

**Unlocking Value: Equity Carve outs as Strategic Real Options**

*by*Perotti, Enrico C & Rossetto, Silvia

**Understanding Index Option Returns**

*by*Broadie, Mark & Chernov, Mikhail & Johannes, Michael

**Measuring the Financial Markets' Perception of EMU Enlargement: The Role of Ambiguity Aversion**

*by*Martin Cincibuch & Martina Hornikova

**Stochastic Volatility: Risk Minimization and Model Risk**

*by*Christian-Olivier Ewald & Rolf Poulsen & Klaus Reiner Schenk-Hoppe

**Extending Time-Changed Lévy Asset Models Through Multivariate Subordinators**

*by*Elisa Luciano & Patrizia Semeraro

**Estimating the Cost of Executive Stock Options: Evidence from Switzerland**

*by*Wolfgang Drobetz & Pascal Pensa & Markus M. Schmid

**The tail wags the dog: time-varying information shares in the Bund market**

*by*Christian Upper & Thomas Werner

**Parametric properties of semi-nonparametric distributions, with applications to option valuation**

*by*Ángel León & Javier Mencía & Enrique Sentana

**Price Discovery in Canadian and U.S. 10-Year Government Bond Markets**

*by*Bryan Campbell & Scott Hendry

**Price Discovery in Canadian Government Bond Futures and Spot Markets**

*by*Christopher Chung & Bryan Campbell & Scott Hendry

**Market Power in Power Markets: Evidence from Forward Prices of Electricity**

*by*Bent Jesper Christensen & Thomas Elgaard Jensen & Rune Mølgaard

**Construction and Interpretation of Model-Free Implied Volatility**

*by*Torben G. Andersen & Oleg Bondarenko

**Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities**

*by*Tim Bollerslev & Michael Gibson & Hao Zhou

**Racionalidad economica implicita en teoria financiera**

*by*Francisco Venegas-Martinez

**Matemática Financiera con MATLAB© = Mathematical Finance with MATLAB©**

*by*Merino, María & Vadillo, Fernando

**Party Influence in Congress and the Economy**

*by*Snowberg, Erik & Wolfers, Justin & Zitzewitz, Eric

**Timing Decisions in a Multinational Context: Implementing the Amin/Bodurtha Framework**

*by*Manfred Fruhwirth & Paul Schneider & Markus S. Schwaiger

**Mispricing Persistence and the Effectiveness of Arbitrage Trading**

*by*Pascal Alphonse

**Desarrollo del mercado de derivados cambiarios en Chile**

*by*Luís Antonio Ahumada & Jorge Selaive C.

**An Alternative Formulation for the Pricing of Stock Index Futures: Theoretical and Empirical Perspectives**

*by*Chou-Wen Wang & Ting-Yi Wu

**General Equilibrium Stock Index Futures Pricing Allowing for Event Risk**

*by*Simon H. Yen & Jai Jen Wang

**Call an Put Implied Volatilities and the Derivation of Option Implied Trees**

*by*V. Moriggia, S. Muzzioli, C. Torricelli

**The Valuation of Mortgage Backed Securities with Stochastic Probabilities of Default and Prepayment**

*by*Francisco Venegas Martínez & J. Víctor Reynoso Vendrell

**The Closed-form Solution for Pricing American Put Options**

*by*Wang Xiaodong

**Measuring portfolio credit risk: modelling versus calibration errors**

*by*Nikola Tarashev & Haibin Zhu

**Economic derivatives**

*by*Blaise Gadanecz & Richhild Moessner & Christian Upper

**Pricing the CBT T-Bonds Futures**

*by*Ramzi Ben Abdallah & Hatem Ben Ameur & MichÃ¨le Breton

**A closed form approach to valuing and hedging basket options**

*by*Svetlana Borovkova & Ferry Permana

**Pricing American Options under Stochastic Volatility and Jump Diffusion Dynamics**

*by*Carl Chiarella & Andrew Ziogas

**Non-constant volatility models a comparison**

*by*Paolo Foschi

**Threshold Autoregressive Models of the Commodities Futures Basis**

*by*Alfonso Gutierrez & Jerry Coakley & Neil Kellard

**Capture Basin Algorithm for Evaluating and Managing Complex Financial Instruments**

*by*Dominique Pujal & Patrick Saint-Pierre

**Numerical Methods for American Spread Options under Jump Diffusion Processes**

*by*Finance, University of Technology, Sydney,; Gunter Meyer, School of Mathematics, Georgia Institute of Technology,; Andrew Ziogas, School of Economics & Gerald H. L. Cheang & Carl Chiarella & Gunter Meyer & Andrew Ziogas

**Allocation of Individual Risks in a Market Economy**

*by*Pamela Labadie

**The Determinants of the Time to Efficiency in Options Markets : A Survival Analysis Approach**

*by*Riva, Fabrice & Deville, Laurent

**The determinants of the time to efficiency in options markets : a survival analysis approach**

*by*Riva, Fabrice & Deville, Laurent

**Initiation of the 9-11 Operation, with Evidence of Insider Trading Beforehand**

*by*Paul Zarembka

**The Hidden History Of 9-11-2001**

*by*

**Correlation and the Pension Protection Fund**

*by*Paul Sweeting

**An overreaction implementation of the coherent market hypothesis and option pricing**

*by*Schöbel, Rainer & Veith, Jochen

**Risk preference based option pricing in a fractional Brownian market**

*by*Rostek, Stefan & Schöbel, Rainer

**Interest rate convexity and the volatility smile**

*by*Boenkost, Wolfram & Schmidt, Wolfgang M.

**Strategic trading and manipulation with spot market power**

*by*Muermann, Alexander & Shore, Stephen H.

**Stochastic modeling of private equity: an equilibrium based approach to fund valuation**

*by*Buchner, Axel & Kaserer, Christoph & Wagner, Niklas

**Forecasting the price of crude oil via convenience yield predictions**

*by*Knetsch, Thomas A.

**Valuation of the Firm's Liabilities when Equity Holders are also Creditors**

*by*Marco Realdon

**The Target Rate and Term Structure of Interest Rates**

*by*Marco Realdon

**Equity Valuation Under Stochastic Interest Rates**

*by*Marco Realdon

**Book Values and Market Values of Equity and Debt**

*by*Marco Realdon

**Quadratic Term Structure Models in Discrete Time**

*by*Marco Realdon

**Financial engineering methods in insurance**

*by*Jan Iwanik

**On the efficient application of the repeated Richardson extrapolation technique to option pricing**

*by*Luca Barzanti & Corrado Corradi & Martina Nardon

**On the Pricing and Hedging of Long Dated Zero Coupon Bonds**

*by*Eckhard Platen

**Approximating the Growth Optimal Portfolio with a Diversified World Stock Index**

*by*Truc Le & Eckhard Platen

**Approximating the Growth Optimal Portfolio with a Diversified World Stock Index**

*by*Truc Le & Eckhard Platen

**On Weak Predictor-Corrector Schemes for Jump-Diffusion Processes in Finance**

*by*Nicola Bruti-Liberati & Eckhard Platen

**Approximation of Jump Diffusions in Finance and Economics**

*by*Nicola Bruti-Liberati & Eckhard Platen

**On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility**

*by*Elisa Alòs & Jorge A. León & Josep Vives

**Optimal Fourier Inversion in Semi-analytical Option Pricing**

*by*Roger Lord & Christian Kahl

**Why the Rotation Count Algorithm works**

*by*Roger Lord & Christian Kahl

**A Comparison of Biased Simulation Schemes for Stochastic Volatility Models**

*by*Roger Lord & Remmert Koekkoek & Dick van Dijk

**The epistemology of modern finance**

*by*Xavier De Scheemaekere

**Market Reactions to Central Bank Communication Policies :Reading Interest Rate Options Smiles**

*by*Marie Briere

**Stratégies d'investissement en actions et fonds à capital garanti**

*by*Roland Gillet & Isabelle Nagot & Ariane Szafarz

**A new proposition on the martingale representation theorem and on the approximate hedging of contingent claim in mean-variance criterion**

*by*André Farber & Van Huu Nguyen & Quan Hoang Vuong

**Realized Bond-Stock Correlation: Macroeconomic Announcement Effects**

*by*Charlotte Christiansen & Angelo Ranaldo

**Pricing problems of perpetual Bermudan options**

*by*Yoshifumi Muroi & Takashi Yamada

**Artificial Neural Network Enhanced Parametric Option Pricing**

*by*Panayiotis C. Andreou & Chris Charalambous & Spiros H. Martzoukos

**Sir George Caswall vs. the Duke of Portland: Financial Contracts and Litigation in the wake of the South Sea Bubble**

*by*Gary S. Shea

**Do Birds of a Feather Flock Together? Speculator Herding in the World Oil Market**

*by*Robert Weiner

**The Returns to Currency Speculation**

*by*Craig Burnside & Martin Eichenbaum & Isaac Kleshchelski & Sergio Rebelo

**Debt Dilution and Maturity Structure of Sovereign Bonds**

*by*Ran Bi

**Credit Derivatives Pricing with a Smile-Extended Jump Stochastic Intensity Model**

*by*Damiano Brigo & Naoufel El-Bachir

**Optimal Hedging with Higher Moments**

*by*Chris Brooks & A.Cerny & J. Miffre

**Hedging Options with Scale-Invariant Models**

*by*Carol Alexander & Leonardo M. Nogueira

**Copulas and dependence models in credit risk: diffusions versus jumps**

*by*Luciano, Elisa

**Operator Methods, Abelian Processes And Dynamic Conditioning**

*by*Albanese, Claudio

**A Numerical Method for Pricing Electricity Derivatives for Jump-Diffusion Processes Based on Continuous Time Lattices**

*by*Albanese, Claudio & Lo, Harry & Stathis, Tompaidis

**Spectral Methods For Volatility Derivatives**

*by*Albanese, Claudio & Mijatovic, Aleksandar

**Higher-order volatility: dynamics and sensitivities**

*by*Carey, Alexander

**Path-conditional forward volatility**

*by*Carey, Alexander

**Diversification with idiosyncratic credit spreads: a pooled estimation on heterogeneous panels**

*by*Lin, William & Sun, David

**Accelerating the calibration of stochastic volatility models**

*by*Kilin, Fiodar

**Investment timing and optimal capacity choice for small hydropower projects**

*by*Bøckman, Thor & Fleten, Stein-Erik & Juliussen, Erik & Langhammer, Håvard & Revdal, Ingemar

**Bonds futures: Delta? No gamma!**

*by*Henrard, Marc

**Martingale Model**

*by*Giandomenico, Rossano

**Forecasting and testing a non-constant volatility**

*by*Abramov, Vyacheslav & Klebaner, Fima

**Valuing an American Put Option**

*by*Giandomenico, Rossano

**Bonds futures and their options: more than the cheapest-to-deliver; quality option and marginning**

*by*Henrard, Marc

**Pricing of the Policy Life in Absence of Default Risk and Asset Liability Management**

*by*Giandomenico, Rossano

**Asset Liability Management in Insurance Company**

*by*Giandomenico, Rossano

**A Semi-Analytical Parametric Model for Dependent Defaults**

*by*Balakrishna, B S

**Some critical comments on credit risk modeling**

*by*ilya, gikhman

**TIPS Options in the Jarrow-Yildirim model**

*by*Henrard, Marc

**Simulations de la couverture delta et de la couverture delta-gamma d’un portefeuille dans le cadre du modèle de Black et Scholes**

*by*Francois-Éric Racicot & Raymond Théoret

**La simulation de Monte Carlo: forces et faiblesses (avec applications Visual Basic et Matlab et présentation d’une nouvelle méthode QMC)**

*by*Francois-Éric Racicot & Raymond Théoret

**Les modèles HJM et LMM revisités**

*by*Francois-Éric Racicot & Raymond Théoret

**La Value-at-Risk: Modèles de la VaR, simulations en Visual Basic (Excel) et autres mesures récentes du risque de marché**

*by*Francois-Éric Racicot & Raymond Théoret

**Are Volatility Expectations Characterized By Regime Shifts? Evidence From Implied Volatility Indices**

*by*Kazuhiko Nishina & Nabil Maghrebi & Mark J. Holmes

**Party Influence in Congress and the Economy**

*by*Erik Snowberg & Justin Wolfers & Eric Zitzewitz

**Unspanned Stochastic Volatility and the Pricing of Commodity Derivatives**

*by*Anders B. Trolle & Eduardo S. Schwartz

**Bankruptcy and Collateral in Debt Constrained Markets**

*by*Timothy J. Kehoe & David K. Levine

**A General Stochastic Volatility Model for the Pricing and Forecasting of Interest Rate Derivatives**

*by*Anders B. Trolle & Eduardo S. Schwartz

**Interpreting Prediction Market Prices as Probabilities**

*by*Justin Wolfers & Eric Zitzewitz

**Partisan Impacts on the Economy: Evidence from Prediction Markets and Close Elections**

*by*Erik Snowberg & Justin Wolfers & Eric Zitzewitz

**Strategic Urban Development under Uncertainty**

*by*Flavia Cortelezzi & Pierpaolo Giannoccolo

**Hedgers, Investors and Futures Return Volatility: the Case of NYMEX Crude Oil**

*by*George Milunovich & Ronald D. Ripple

**Heterogeneous Basket Options Pricing Using Analytical Approximations**

*by*Georges Dionne & Geneviève Gauthier & Nadia Ouertani & Nabil Tahani

**Efficient Risk-Sharing Rules with Heterogeneous Risk Attitudes and Background Risks**

*by*Chiaki Hara & James Huang & Christoph Kuzmics

**Representative Consumer's Risk Aversion and Efficient Risk-Sharing Rules**

*by*Chiaki Hara & James Huang & Christoph Kuzmics

**Bankruptcy, Counterparty Risk, and Contagion**

*by*Holger Kraft & Mogens Steffensen

**Interpreting Prediction Market Prices as Probabilities**

*by*Wolfers, Justin & Zitzewitz, Eric

**Interpreting Prediction Market Prices as Probabilities**

*by*Justin Wolfers & Eric Zitzewitz

**Partisan Impacts on the Economy: Evidence from Prediction Markets and Close Elections**

*by*Snowberg, Erik & Wolfers, Justin & Zitzewitz, Eric

**Partisan Impacts on the Economy: Evidence from Prediction Markets and Close Elections**

*by*Erik Snowberg & Justin Wolfers & Eric Zitzewitz

**Underdeveloped spot markets and futures trading: The Soya Oil exchange in India**

*by*Bharat Ramaswami & Jatinder Bir Singh

**Convenience Yields for CO2 Emission Allowance Futures Contracts**

*by*Szymon Borak & Wolfgang Härdle & Stefan Trück & Rafal Weron

**Multiple Disorder Problems for Wiener and Compound Poisson Processes With Exponential Jumps**

*by*Pavel Gapeev

**Constrained General Regression in Pseudo-Sobolev Spaces with Application to Option Pricing**

*by*Zdenek Hlavka & Michal Pesta

**Integral Options in Models with Jumps**

*by*Pavel V. Gapeev

**On Maximal Inequalities for some Jump Processes**

*by*Pavel V. Gapeev

**Discounted Optimal Stopping for Maxima of some Jump-Diffusion Processes**

*by*Pavel V. Gapeev

**Perpetual Barrier Options in Jump-Diffusion Models**

*by*Pavel V. Gapeev

**Discounted Optimal Stopping for Maxima in Diffusion Models with Finite Horizon**

*by*Pavel V. Gapeev

**Spectral calibration of exponential Lévy Models [2]**

*by*Denis Belomestny & Markus Reiß

**Spectral calibration of exponential Lévy Models [1]**

*by*Denis Belomestny & Markus Reiß

**Tail Conditional Expectation for vector-valued Risks**

*by*Imen Bentahar

**Barrier Option Hedging under Constraints: A Viscosity Approach**

*by*Imen Bentahar & Bruno Bouchard

**Calibration Design of Implied Volatility Surfaces**

*by*Kai Detlefsen & Wolfgang Härdle

**Closed form spread option valuation**

*by*Bjerksund, Petter & Stensland, Gunnar

**Optimal Pension Insurance Design**

*by*Døskeland, Trond M. & Nordahl, Helge A.

**Intergenerational Effects of Guaranteed Pension Contracts**

*by*Døskeland, Trond M. & Nordahl, Helge A.

**Monetary Policy Shocks and Stock Returns: Evidence from the British Market**

*by*A Gregoriou & A Kontonikas & R MacDonald & A Montagnoli

**Tractable Hedging - An Implementation of Robust Hedging Strategies**

*by*Nicole Branger & Antje Mahayni

**Pricing and Hedging Illiquid Energy Derivatives:an Application to the JCC Index**

*by*Matteo Manera & Elisa Scarpa

**Are there Monday effects in stock returns: a stochastic dominance approach**

*by*Young-Hyun Cho & Oliver Linton & Yoon-Jae Whang

**A Two-Stage Realized Volatility Approach to Estimation of Diffusion Processes with Discrete**

*by*Peter C. B. Phillips & Jun Yu

**Evolution et sensibilité des stock-options : cas du marché français**

*by*Abdelaziz Elmarzougui

**Time-Varying Hedge Ratios: An Application to the Indian Stock Futures Market**

*by*Prasad Bhattacharaya & Harminder Singh & Gerard Gannon

**Estimating Forward Pricing Function: How Efficient is Indian Stock Index Futures Market?**

*by*Prasad Bhattacharaya & Harminder Singh

**A super-replication theorem in Kabanov’s model of transaction costs**

*by*Campi, Luciano & Schachermayer, Walter

**The Determinants of the Time to Efficiency in Options Markets : A Survival Analysis Approach**

*by*Riva, Fabrice & Deville, Laurent

**The Effect of Introducing a Non-redundant Derivative on the Volatility of Stock-Market Returns**

*by*Bhamra, Harjoat Singh & Uppal, Raman

**Interpreting Prediction Market Prices as Probabilities**

*by*Wolfers, Justin & Zitzewitz, Eric

**Partisan Impacts on the Economy: Evidence from Prediction Markets and Close Elections**

*by*Snowberg, Erik & Wolfers, Justin & Zitzewitz, Eric

**Pricing Interest Rate-SensitiveCredit Portfolio Derivatives**

*by*Philippe Ehlers & Philipp J. Schonbucher

**Closed-Form Solutions For European And Digital Calls In The Hull And White Stochastic Volatility Model And Their Relation To Locally R-Minimizing And Delta Hedges**

*by*Christian-Olivier Ewald & Klaus Reiner Schenk-Hoppe & Zhaojun Yang

**Background Filtrations andCanonical Loss Processes for Top-Down Models of Portfolio Credit Risk**

*by*Philippe Ehlers & Philipp J. Schoenbucher

**Financing and Takeovers**

*by*Erwan Morellec & Alexei Zhdanov

**Stock Returns in Mergers and Acquisitions**

*by*Dirk Hackbarth & Erwan Morellec

**Inefficiencies and Market Power in Financial Arbitrage: A Study of California’s Electricity Markets**

*by*Christopher Knittel & Catherine Wolfram & James Bushnell & Severin Borenstein

**Default Risk, Bankruptcy Procedures and the Market Value of Life Insurance Liabilities**

*by*An Chen & Michael Suchanecki

**Hedging Basket Options by Using a Subset of Underlying Assets**

*by*Xia Su

**Survival Analysis of Hedge Funds**

*by*Naohiko Baba & Hiromichi Goko

**Banks’ optimal implementation strategies for a risk sensitive regulatory capital rule: a real options and signalling approach**

*by*Kjell Bjørn Nordal

**The pricing of portfolio credit risk**

*by*Nikola A. Tarashev & Haibin Zhu

**Macro factors in the term structure of credit spreads**

*by*Maurizio Luisi & Jeffery D. Amato

**Risk-Adjusted Forecasts of Oil Prices**

*by*Patrizio Pagano & Massimiliano Pisani

**Implied default barrier in credit default swap premia**

*by*Francisco Alonso & Santiago Forte & José M. Marqués

**Conditioning Information and Variance Bounds on Pricing Kernels with Higher-Order Moments: Theory and Evidence**

*by*Fousseni Chabi-Yo

**Un modelo de riesgo de credito basado en opciones compuestas con barrera. Aplicacion al mercado continuo espanol**

*by*Maria Carmen Badia Batlle & M. Mercedes Galisteo Rodriguez & M. Teresa Preixens Benedicto

**Exchange Rate Risk Measurement and Management: Issues and Approaches for Firms**

*by*Michael G. Papaioannou

**The Valuation of Options on Bonds with Default Risk**

*by*Riadh Belhaj

**Economic Capital Management For Insurance Companies Using Conditional Value At Risk And A Copula Approach**

*by*Rossella Bisignani & Giovanni Masala & Marco Micocci

**Interpreting Recent Changes in the Credit Spreads of Japanese Banks**

*by*Jun Pan & Kenneth J. Singleton

**The Arbitrage Efficiency of the Nikkei 225 Options Market: A Put-Call Parity Analysis**

*by*Steven Li

**Measuring Investors' Risk Appetite**

*by*Prasanna Gai & Nicholas Vause

**Option Put-Call Parity Relations When the Underlying Security Pays Dividends**

*by*Weiyu Guo & Tie Su

**Option Pricing with Long-Short Spreads**

*by*Pengguo wang

**Model Dependency of the Digital Option Replication – Replication under an Incomplete Model (in English)**

*by*Tomáš Tichý

**A Non-Parametric Test of the Conditional CAPM for the Mexican Economy**

*by*Jorge H. del Castillo-Spíndola

**Standard & Poor’S Depositary Receipts And The Market Quality Of S&P 500 Index Futures**

*by*Quentin C. Chu & Mustafa Mesut Kayali

**Rating, Credit Spread, and Pricing Risky Debt: Empirical Study on Taiwan's Security Market**

*by*Ken Hung & Chang-Wen Duan & Chin W. Yang

**Modelos de valoración de opciones europeas en tiempo continuo**

*by*Jaime Villamil

**Risk premia across asset markets: information from option prices**

*by*Nikola Tarashev & Kostas Tsatsaronis

**Scope for Credit Risk Diversification**

*by*Samuel Hanson & M. Hashem Pesaran & Til Schuermann

**U.S. Real Exchange Rate Fluctuations and Relative Price Fluctuations**

*by*Caroline M. Betts & Timothy J. Kehoe

**The Valuation of Multiple Asset American Options under Jump Diffusion Processes**

*by*A. Ziogas & G. Cheang & C. Chiarella

**The Valuation Of American Exchange Options Under**

*by*GERALD H. L. CHEANG & CARL CHIARELLA & ANDREW ZIOGAS

**Neural Networks for Extracting the Asset Price Dynamics Implicit in Market Prices of Stock Index Options**

*by*Ing-Chyuan Wu

**Alternative Characterizations of the European Continuous-Installment Option Valuation Problem**

*by*Ilir Roko & Pierangelo Ciurlia

**Using Copulas to Construct Bivariate Foreign Exchange Distributions with an Application to the Sterling Exchange Rate Index**

*by*Christoph Schleicher & Matthew Hurd & Mark Salmon

**Wavelet based Multi-grid analysis, Wavelet Galerkin method and their Applications to American option: A Survey**

*by*Ken-ichi Mitsui & Yoshio Tabata

**La dynamique des prix et le volume sur le LES**

*by*Guermas, Lila

**The Determinants of the Time to Efficiency in Options Markets : A Survival Analysis Approach**

*by*Riva, Fabrice & Deville, Laurent

**The Determinants of the Time to Efficiency in Options Markets : A Survival Analysis Approach**

*by*Riva, Fabrice & Deville, Laurent

**Le comportement des indices de volatilité implicite internationaux**

*by*Aboura, Sofiane

**Mergers and acquisitions as a response to economic change**

*by*Lambrecht, Bart

**Efficient pricing of default risk: Different approaches for a single goal**

*by*Brigo, Damiano & Morini, Massimo

**The Pension Protection Fund**

*by*David McCarthy & Anthony Neuberger

**Valuación actuarial de bonos catastróficos para desastres naturales en México**

*by*Fernández-Durán, Juan José & Gregorio-Domínguez, M. Mercedes

**Price Discovery in the Black Pepper Market in Kerala, India**

*by*Aviral Chopra and David A. Bessler

**Absicherung von Strompreisrisiken mit Futures: Theorie und Empirie**

*by*Rodt, Marc & Schäfer, Klaus

**A note on the correlation smile**

*by*Hager, Svenja & Schöbel, Rainer

**Time series properties of a rating system based on financial ratios**

*by*Krüger, Ulrich & Stötzel, Martin & Trück, Stefan

**The Wishart Autoregressive Process of Multivariate Stochastic Volatility**

*by*Joan Jasiak & R. Sufana & C. Gourieroux

**Calibration of the multifactor HJM model for energy market**

*by*Ewa Broszkiewicz-Suwaj & Aleksander Weron

**The Magnitude of Menu Costs: Direct Evidence from Large U.S. Supermarket Chains**

*by*Daniel Levy & Mark Bergen & Shantanu Dutta & Robert Venable

**Price Adjustment at Multiproduct Retailers**

*by*Daniel Levy & Shantanu Dutta & Mark Bergen & Robert Venable

**Hedge ratio estimation and hedging effectiveness: the case of the S&P 500 stock index futures contract**

*by*Dimitris Kenourgios & Aristeidis Samitas & Panagiotis Drosos

**Testing Efficiency And The Unbiasedness Hypothesis Of The Emerging Greek Futures Market**

*by*Dimitris Kenourgios

**Price Discovery In The Athens Derivatives Exchange: Evidence For The Ftse/Ase-20 Futures Market**

*by*Dimitris Kenourgios

**Libor Market Model and Gaussian HJM explicit approaches to option on composition**

*by*Marc Henrard

**Valuing defaultable bonds: an excursion time approach**

*by*Martina Nardon

**Simple Formulas to Option Pricing and Hedging in the Black- Scholes Model**

*by*paolo pianca

**The Foresight Bias in Monte-Carlo Pricing of Options with Early**

*by*Christian Fries

**Implied Calibration of Stochastic Volatility Jump Diffusion Models**

*by*Stefano Galluccio & Yann Le Cam

**Convexity adjustment and delivery option in Australian dollar 90 Day Bills Futures**

*by*Marc Henrard

**Dynamic State Tameness**

*by*Jaime Londoño

**Persistence Characteristics of the Chinese Stock Markets**

*by*Cornelis A. Los & Bing Yu

**The Degree of Stability of Price Diffusion**

*by*Cornelis A. Los

**Simulation-Based Pricing of Convertible Bonds**

*by*Manuel Ammann & Axel Kind & Christian Wilde

**Bermudan swaptions in Hull-White one-factor model: analytical and numerical approaches**

*by*Marc Henrard

**An empirical analysis of structural models of corporate debt pricing**

*by*Joao C. A. Teixeira

**From Default Probabilities To Credit Spreads: Credit Risk Models Do Explain Market Prices**

*by*Stefan Denzler & Michel M. Dacorogna & Ulrich A. Mueller & Alexander McNeil

**Proxy simulation schemes using likelihood ratio weighted Monte Carlo for generic robust Monte-Carlo sensitivities and high accuracy drift approximation (with applications to the LIBOR Market Model)**

*by*Christian P. Fries & Joerg Kampen

**Eurodollar futures and options: convexity adjustment in HJM one- factor model**

*by*Henrard Marc

**Generic Market Models**

*by*Raoul Pietersz & Marcel van Regenmortel

**A Comparison of Single Factor Markov-functional and Multi Factor Market Models**

*by*Raoul Pietersz & Antoon Pelsser

**Efficient Rank Reduction of Correlation Matrices**

*by*Igor Grubisic & Raoul Pietersz

**Rank Reduction of Correlation Matrices by Majorization**

*by*Raoul Pietersz & Patrick J. F. Groenen

**Fast drift approximated pricing in the BGM model**

*by*Raoul Pietersz & Antoon Pelsser & Marcel van Regenmortel

**Risk Managing Bermudan Swaptions in the Libor BGM Model**

*by*Raoul Pietersz & Antoon Pelsser

**Market price of risk implied by Asian-style electricity options**

*by*Rafal Weron

**A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton with Jumps**

*by*Carl Chiarella & Christina Nikitopoulos-Sklibosios & Erik Schlogl

**On the Strong Approximation of Pure Jump Processes**

*by*Nicola Bruti-Liberati & Eckhard Platen

**Investments for the Short and Long Run**

*by*Eckhard Platen

**On the Strong Approximation of Jump-Diffusion Processes**

*by*Nicola Bruti-Liberati & Eckhard Platen

**A Hardware Generator of Multi-point Distributed Random Numbers for Monte Carlo Simulation**

*by*Nicola Bruti-Liberati & Filippo Martini & Massimo Piccardi & Eckhard Platen

**Benchmarking and Fair Pricing Applied to Two Market Models**

*by*Hardy Hulley & Shane Miller & Eckhard Platen

**Currency Derivatives under a Minimal Market Model with Random Scaling**

*by*David Heath & Eckhard Platen

**On the Distributional Characterization of Log-returns of a World Stock Index**

*by*Kevin Fergusson & Eckhard Platen

**The Value of Fighting Irreversible Demise by Softening the Irreversible Cost**

*by*Magis, P. & Sbuelz, A.

**The Impact of Overnight Periods on Option Pricing**

*by*Boes, M.J. & Drost, F.C. & Werker, B.J.M.

**Estimation of the Stylized Facts of a Stochastic Cascade Model**

*by*Céline Azizieh & Wolfgang Breymann

**Option Pricing and the Implied Tail Index with the Generalized Extreme Value (GEV) Distribution**

*by*Sheri Markose & Amadeo Alentorn

**Extracting expectations from currency option prices: a comparison of methods**

*by*Marian Micu

**Option-Pricing in Incomplete Markets: The Hedging Portfolio plus a Risk Premium-Based Recursive Approach**

*by*Alfredo IbÃ¡Ã±ez

**Pricing American-style Derivatives under the Heston Model Dynamics: A Fast Fourier Transformation in the Geskeâ€“Johnson Scheme**

*by*Oleksandr Zhylyevskyy

**Understanding financial derivatives during the South Sea Bubble: the case of the South Sea subscription shares**

*by*Gary S. Shea

**Financial Market Analysis Can Go Mad (in the search for irrational behaviour during the South Sea Bubble)**

*by*Gary S. Shea

**Corporate valuations and the merton model**

*by*Andrea Gheno

**O Mercado interbancário de câmbio no Brasil,Creation-Date: 2005-07**

*by*Marcio Gomes Pinto Garcia & Fábio Urban

**Asymmetries and Volatility Regimes in the European Equity Markets**

*by*Carol Alexandra & Emese Lazar

**On The Continuous Limit of GARCH**

*by*Carol Alexandra & Emese Lazar

**Advance Contracts for the Sale of Wool in Medieval England; An Undeveloped and Inefficient Market?**

*by*Adrian Bell & Chris Brooks & Paul Dryburgh

**The Continuous Limit of GARCH Processess**

*by*Carol Alexandra & Emese Lazar

**Hedging with Foreign-listed Single Stock Futures**

*by*Hung, Mao-wei & Lee, Cheng-few & So, Leh-chyan

**Higher-order volatility**

*by*Carey, Alexander

**Optimal investment strategies in decentralized renewable power generation under uncertainty**

*by*Fleten, Stein-Erik & Maribu, Karl Magnus & Wangensteen, Ivar

**Options valuation**

*by*ilya, gikhman

**L'assurance de portefeuille: Simulations en Visual Basic de portefeuilles visant à reproduire les flux monétaires de stratégies d'options**

*by*Francois-Éric Racicot & Raymond Théoret

**De l'évaluation du risque de crédit**

*by*Francois-Éric Racicot & Raymond Théoret

**Modelling Dynamic Storage Function in Commodity Markets:Theory and Evidence**

*by*Luca Pieroni & Matteo Ricciarelli

**Pricing a Bermudan Swaption with a Short Rate Lattice Method**

*by*Yasuhiro Tamba

**La flexibilidad como creadora de valor. El caso de una explotaci¢n forestal en Portugal**

*by*Alonso Bonis, Susana & Vallelado Gonz lez, Eleuterio & Henriques Xavier, Jos‚ Manuel

**Equilibrium Commodity Prices with Irreversible Investment and Non-Linear Technology**

*by*Jaime Casassus & Pierre Collin-Dufresne & Bryan R. Routledge

**Demand-Based Option Pricing**

*by*Nicolae Garleanu & Lasse Heje Pedersen & Allen M. Poteshman

**Notes for a Contingent Claims Theory of Limit Order Markets**

*by*Bruce N. Lehmann

**Futures Prices in a Production Economy with Investment Constraints**

*by*Leonid Kogan & Dmitry Livdan & Amir Yaron

**The Tactical and Strategic Value of Commodity Futures**

*by*Claude B. Erb & Campbell R. Harvey

**A Theory of Takeovers and Disinvestment**

*by*Bart Lambrecht & Stewart C. Myers

**The Predictive Content of Energy Futures: An Update on Petroleum, Natural Gas, Heating Oil and Gasoline**

*by*Menzie D. Chinn & Michael LeBlanc & Olivier Coibion

**Realized Volatility and Correlation in Grain Futures Markets: Testing for Spill-Over Effects**

*by*Jae H. Kim & Hristos Doucouliagos

**The no arbitrage condition in option implied trees: evidence from the Italian index options market**

*by*V. Moriggia & S. Muzzioli & C. Torricelli

**Implied volatility of foreign exchange options: is it worth tracking?**

*by*Áron Gereben & Klára Pintér

**Default Risk in Corporate Yield Spreads**

*by*Georges Dionne & Geneviève Gauthier & Khemais Hammami & Mathieu Maurice & Jean-Guy Simonato

**Heterogeneous Risk Attitudes in a Continuous-Time Model**

*by*Chiaki Hara

**Mispricing of S&P 500 Index Options**

*by*Jens Carsten Jackwerth & George M. Constantinaides & Stylianos Perrakis

**Option Pricing: Real and Risk-Neutral Distributions**

*by*Jens Carsten Jackwerth & George M. Constantinaides & Stylianos Perrakis

**A Diffusion Approximation to the Markov Chains Model of the Financial Market and the Expected Riskless Profit Under Selling of Call and Put Options**

*by*Nagaev, Alexander V. & Nagaev, Sergei A. & Kunst, Robert M.

**A Diffusion Approximation for the Riskless Profit Under Selling of Discrete Time Call Options. Non-identically Distributed Jumps**

*by*Nagaev, Alexander V. & Nagaev, Sergei A. & Kunst, Robert M.

**Demanda de Derivativos de Câmbio no Brasil: Hedge ou Especulação**

*by*Walter Novaes & Fernando N. de Oliveira

**Duality and Derivative Pricing with Time-Changed Lévy Processes**

*by*José Fajardo & Ernesto Mordecki

**Equivalent Martingale Measures and Lévy Processes**

*by*José Fajardo

**Duality and Derivative Pricing with Lévy Processes**

*by*José Fajardo & Ernesto Mordecki

**Explicit characterization of the super-replication strategy in financial markets with partial transaction costs**

*by*Imen Bentahar & Bruno Bouchard

**US Monetary Policy Announcements and the Term Structure of Interest Rate Differentials: Evidence from Hong Kong and Singapore**

*by*Giorgio Valente

**Callable Risky Perpetual Debt: Options, Pricing And Bankruptcy Implications**

*by*Mjøs, Aksel & Persson, Svein-Arne

**On finite dimensional realizations for the term structure of futures prices**

*by*Björk, Tomas & Blix, Magnus & Landen, Camilla

**On the Timing Option in a Futures Contract**

*by*Björk, Tomas & Biagini, Francesca

**Quadratic Portfolio Credit Risk models with Shot-noise Effects**

*by*Gaspar, Raquel M. & Schmidt, Thorsten

**Correlation Between Intensity and Recovery in Credit Risk Models**

*by*Gaspar, Raquel M. & Slinko, Irina

**Start-up Entry Strategies: Employer vs. Nonemployer firms**

*by*Michele Moretto & Gianpaolo Rossini

**Do Major Financial Crises Provide Information on Sovereign Risk to the Rest of the World? A Look at Credit Default Swap Markets**

*by*Didier Cossin & Gero Jung

**Are European Corporate Bond and Default Swap Markets Segmented?**

*by*Didier Cossin & Hongze Lu

**Theory and Calibration of Swap Market Models**

*by*S.Galluccio & Z. Huang & J.-M. Ly & O. Scaillet

**A Portrait of Hedge Fund Investors: Flows, Performance and Smart Money**

*by*Baquero, G. & Verbeek, M.J.C.M.

**Efficient Rank Reduction of Correlation Matrices**

*by*Grubisic, I. & Pietersz, R.

**A Comparison of Single Factor Markov-Functional and Multi Factor Market Models**

*by*Pietersz, R. & Pelsser, A.A.J.

**Generic Market Models**

*by*Pietersz, R. & van Regenmortel, M.

**Structural Change in Japanese Business Fluctuations and Nikkei 225 Stock Index Futures Transactions**

*by*Toshiaki Watanabe & Hirokuni Uchiyama

**Measuring Financial Stability: Applying the MfRisk Model to the Netherlands**

*by*Jan Willem van den End & Mostafa Tabbae

**The Impact of Serial Correlation on Option Prices in a Non- Frictionless Environment: An Alternative Explanation for Volatility Skew**

*by*John S. Ying & Joel S. Sternberg

**Temporary Stabilization and the Real Option of Waiting when Consumption can be Delayed: an Extreme Value Approach**

*by*Francisco Venegas-Martínez

**Segmentation in the Crude Oil Futures Term Structure**

*by*Lautier, Delphine

**The term structure of crude oil futures prices : a principal component analysis**

*by*Lautier, Delphine

**A Matter of Principal**

*by*Lautier, Delphine

**Term Structure Models of Commodity Prices: A Review**

*by*Lautier, Delphine

**GARCH option pricing under skew**

*by*Aboura, Sofiane

**Pricing CAC 40 Index Options under Asymmetry of Information**

*by*Aboura, Sofiane

**A Two-Stage Realized Volatility Approach to the Estimation for Diffusion Processes from Discrete Observations**

*by*Peter C.B. Phillips & Jun Yu

**Modelling the Surrender Conditions in Equity-Linked Life Insurance**

*by*Anna Rita Bacinello

**Parametric Properties of Semi-Nonparametric Distributions, With Applications to Option Valuation**

*by*León, Ángel & Mencía, Javier & Sentana, Enrique

**Demand-Based Option Pricing**

*by*Garleanu, Nicolae Bogdan & Pedersen, Lasse Heje & Poteshman, Allen M

**Insider Trading in Credit Derivatives**

*by*Acharya, Viral V & Johnson, Tim

**A Model of Corporate Liquidity**

*by*Anderson, Ronald W. & Carverhill, Andrew

**Parametric Properties Of Semi-Nonparametric Distributions, With Applications To Option Valuation**

*by*Ángel León & Javier Mencía & Enrique Sentana

**Scope for Credit Risk Diversification**

*by*Hanson, S. & Pesaran, M.H. & Schuermann, T.

**Produktdesign und Semi-Statische Absicherung von Turbo-Zertifikaten**

*by*Antje Mahayni & Michael Suchanecki

**Loss Analysis of a Life Insurance Company Applying Discrete-time Risk-minimizing Hedging Strategies**

*by*An Chen

**Explaining the level of credit spreads: option-implied jump risk premia in a firm value model**

*by*Martijn Cremers & Joost Driessen & Pascal Maenhout & David Weinbaum

**The pricing of unexpected credit losses**

*by*Jeffery D. Amato & Eli M Remolona

**Explaining credit default swap spreads with equity volatility and jump risks of individual firms**

*by*Haibin Zhu & Benjamin Yibin Zhang & Hao Zhou

**Can option smiles forecast changes in interest rates? An application to the US, the UK and the euro area**

*by*Marcello Pericoli

**State Dependence in Fundamentals and Preferences Explains Risk-Aversion Puzzle**

*by*Fousseni Chabi-Yo & René Garcia & Eric Renault

**Option Valuation As an Expectation in The Complex Domain: The Black-Scholes Case**

*by*Hortensia Fontanals Albiol & Ramon Lacayo

**Valoracion de credit default swaps: Una aplicacion del modelo de Hull-White al mercado espanol**

*by*Maria Carmen Badia Batlle & Merche Galisteo & M. Teresa Preixens Benedicto

**Indexált alaptermék árú opciók**

*by*Radnai, Márton

**The application of contingent valuation method to community-led financing schemes: evidence from rural cameroon**

*by*William M. Fonta & H. Eme Ichoku

**Valuation of Standard Options under the Constant Elasticity of Variance Model**

*by*Richard Lu & Yi-Hwa Hsu

**An empirical comparison of the performance of alternative option pricing models**

*by*Eva Ferreira & Mónica Gago & Angel León & Gonzalo Rubio

**Risk aversion and risk premia in the CDS market**

*by*Jeffery D Amato

**The rise and fall of US dollar interest rate volatility: evidence from swaptions**

*by*Fabio Fornari

**Contractual terms and CDS pricing**

*by*Franck Packer & Haibin Zhu

**CDS index tranches and the pricing of credit risk correlations**

*by*Jeffery D Amato & Jacob Gyntelberg

**Do hedging instruments stabilize markets?**

*by*Florian Wagener & William Brock & Cars Hommes

**Asymmetric Jump Processes: Option Pricing Implications**

*by*Brice Dupoyet

**Pricing a Path-dependent American Option by Monte Carlo Simulation**

*by*Masaaki Kijima & Hajime Fujiwara

**Speculative option valuation: A supercomputing approach**

*by*Enrico Scalas & Alessandro Vivoli & Paride Dagna & Guido Germano

**On the Intradaily Relationship between Information Revelation and Trade Duration: The Evidence of MSCI Taiwan Futures**

*by*Chiang & Min-Hsien;Fan

**A Bayesian semiparametric approach to pricing the S&P 500 index options**

*by*Marcin Kacperczyk; Paul Damien; Stephen Walker

**Prognoses for a Non-Predictable Discounted Commodity Price Process**

*by*Wright, Brian D. & Bobenrieth & Eugenio S. A.

**Pricing LME Commodity Futures Contracts**

*by*Richard Heaney

**Márgenes con spread intraclase para el mercado mexicano de derivados**

*by*Díaz-Tinoco, Jaime & Venegas-Martínez, Francisco

**Role of Commodity Futures Market in Spot Price Stabilization, Production and Inventory Decisions with Reference to India**

*by*Basab Dasgupta

**Cross currency swap valuation**

*by*Boenkost, Wolfram & Schmidt, Wolfgang M.

**Pure risk premiums under deductibles. A quantitative management in actuarial practice**

*by*Krzysztof Burnecki & Joanna Nowicka-Zagrajek & Aleksander Weron

**Principal Components Analysis in implied volatility modeling (Analiza skladowych glownych w modelowaniu implikowanej zmiennosci)**

*by*Rafal Weron & Slawomir Wojcik

**Finding the optimal exercise time for American warrants on WIG20 futures (Wyznaczanie optymalnego momentu wykonania warrantów amerykańskich na kontrakty futures na indeks WIG20)**

*by*Bartosz Stawiarski

**Heterogeneity in Price Rigidity: Evidence from a Case Study Using Micro-Level Data**

*by*Daniel Levy & Shantanu Dutta & Mark Bergen

**Price Flexibility in Channels of Distribution: Evidence from Scanner Data**

*by*Shantanu Dutta & Mark Bergen & Daniel Levy

**System Identification in Noisy Data Environments: An Application to Six Asian Stock Markets**

*by*Cornelis A Los

**Why VAR Fails: Long Memory and Extreme Events in Financial Markets**

*by*Cornelis A. Los

**A Generalized Earnings-Based Stock Valuation Model**

*by*Ming Dong & David Hirshleifer

**Stock Valuation and Investment Strategies**

*by*Zhiwu Chen & Ming Dong

**When to Put All Your Eggs in One Basket.....When Diversification Increases Portfolio Risk!**

*by*Cornelis A. Los

**The Effects of Option Expiration on NSE volume and prices**

*by*Akash Gupta & Samik Metia & Prashant Trivedi

**Accounting for Employee Stock Options: An Economics Perspective**

*by*Junning Cai

**Multi-Fractal Spectral Analysis of the 1987 Stock Market Crash**

*by*CORNELIS A. LOS & ROSSITSA M. YALAMOVA

**Optimal Multi-Currency Investment Strategies with Exact Attribution in Three Asian Countries**

*by*CORNELIS A. LOS

**The Changing Concept of Financial Risk**

*by*CORNELIS A. LOS

**What Constitutes a Good Model? An Analysis of Models for Mortgage Backed Securities**

*by*Massoud Heidari & Liuren Wu

**Static Hedging of Standard Options**

*by*Peter Carr & Liuren Wu

**Variance Risk Premia**

*by*Peter Carr & Liuren Wu

**Taking Positive Interest Rates Seriously**

*by*Enlin Pan & Liuren Wu

**Estimating the Volatility Structure of an Arbitrage-Free Interest Rate Model Via the Futures Markets**

*by*Ram Bhar & Carl Chiarella & Thuy-Duong To

**Bank Stability and Market Discipline: Debt-for-Equity Swap versus Subordinated Notes**

*by*Alon Raviv

**Swaptions: 1 price, 10 deltas, and ... 6 1/2 gammas**

*by*Marc Henrard

**Numeraire-invariant option pricing and american, bermudan, trigger stream rollover (v1.6)**

*by*Farshid Jamshidian

**A survey on risk-return analysis**

*by*Don U.A. Galagedera

**GARCH Option Pricing Under Skew**

*by*Sofiane ABOURA

**Idiosyncratic Risk, Systematic Risk and Stochastic Volatility: An Implementation of Merton’s Credit Risk Valuation**

*by*Gatfaoui Hayette

**How Does Systematic Risk Impact Stocks? A Study On the French Financial Market**

*by*Gatfaoui Hayette

**Pricing and Hedging Options in Incomplete Markets: Idiosyncratic Risk, Systematic Risk and Stochastic Volatility**

*by*Gatfaoui Hayette & Chauveau Thierry

**Overnight Indexed Swaps and Floored Compounded Instrument in HJM One-Factor Model**

*by*Marc Henrard

**A Note on the Bias of using Futures Rates as a Proxy for the Instantaneous Forward Rate**

*by*Thuy-Duong To

**Capital Asset Pricing for Markets with Intensity Based Jumps**

*by*Eckhard Platen

**An Intraday Empirical Analysis of Electricity Price Behaviour**

*by*Eckhard Platen & Jason West & Wolfgang Breymann

**A Benchmark Approach to Finance**

*by*Eckhard Platen

**A Markovian Defaultable Term Structure Model with State Dependent Volatilities**

*by*Carl Chiarella & Erik Schlögl & Christina Nikitopoulos-Sklibosios

**Two-Factor Model for Low Interest Rate Regimes**

*by*Shane Miller & Eckhard Platen

**Diversified Portfolios with Jumps in a Benchmark Framework**

*by*Eckhard Platen

**Understanding the Implied Volatility Surface for Options on a Diversified Index**

*by*David Heath & Eckhard Platen

**Intraday Empirical Analysis and Modeling of Diversified World Stock Indices**

*by*Wolfgang Breymann & Leah Kelly & Eckhard Platen

**Local Volatility Function Models under a Benchmark Approach**

*by*David Heath & Eckhard Platen

**Idiosyncratic Risk, Systematic Risk and Stochastic Volatility: An Implementation of Merton's Credit Risk Valuation**

*by*Hayette Gatfaoui

**Pricing and Hedging Options in Incomplete Markets: Idiosyncratic Risk, Systematic Risk and Stochastic Volatility**

*by*Thierry Chauveau & Hayette Gatfaoui

**A generalization of Hull and White formula and applications to option pricing approximation**

*by*Elisa Alòs

**Does futures exhibit maturity effect? New evidence from an extensive set of US and foreign futures contracts**

*by*Daal, Elton & Farhat, Joseph Basheer & Wei, Peihwang P.

**Approximating equity volatility**

*by*Ahmed Loulit

**Mixed Lognormal Distributions for Derivatives Pricing and Risk-Management**

*by*Dietmar Leisen

**The Manufacturing Flexibility to Switch Products: Valuation and Optimal Strategy**

*by*Sorin Tuluca & Piotr Stalinski

**The Risk-Neutral Measure and Option Pricing under Log-Stable Uncertainty using Romberg Fourier Inversion**

*by*J. Huston McCulloch

**South Sea Company Subscription Shares and Warrant Values in 1720**

*by*Gary S. Shea

**Rational Pricing of Options during the South Sea Bubble: Valuing the 22 August 1720 Options**

*by*Gary S. Shea

**Capital market equilibrium with moral hazard and flexible technology**

*by*John Quiggin & Robert G. Chambers

**Interview with Nobel Prize Laureate Robert C. Merton**

*by*Merton, Robert C.

**Stochastic Local Volatility**

*by*Carol Alexander & Leonardo Nogueira

**The Equity Index Skew, Market Crashes and Asymmetric Normal Mixture GARCH**

*by*Carol Alexandra & Emese Lazar

**An Uncertain Volatility Explanation for Delayed Calls of Convertible Bonds**

*by*Ali Bora Yigibasioglu & Carol Alexandra

**Efeito da flexibilidade na decisão de investimento: Uma aplicação à exploração do cobre**

*by*Gomes Santana Félix, Elisabete & Esperança, José Paulo

**Methodological problems in solvency assessment of an insurance company**

*by*Cocozza, R & Di Lorenzo, E & Sibillo, M

**Optimal hedging strategies for multi-period guarantees in the presence of transaction costs: A stochastic programming approach**

*by*Fleten, Stein-Erik & Lindset, Snorre

**Option Pricing Under the Variance Gamma Process**

*by*Fiorani, Filo

**Introducing contemporaneous open-outcry and e-trading at the Chicago Board of Trade**

*by*Ulibarri, Carlos A.

**Private Information: Similarity as Compatibility**

*by*João Correia-da-Silva & Carlos Hervés-Beloso

**Various Features of the Chooser Flexible Cap**

*by*Masamitsu Ohnishi & Yasuhiro Tamba

**Pricing of a Chooser Flexible Cap and its Calibration**

*by*Daisuke Ito & Masamitsu Ohnishi & Yasuhiro TAMBA

**The Cross-Section of Volatility and Expected Returns**

*by*Andrew Ang & Robert J. Hodrick & Yuhang Xing & Xiaoyan Zhang

**Facts and Fantasies about Commodity Futures**

*by*Gary Gorton & K. Geert Rouwenhorst

**Should We Fear Derivatives?**

*by*Rene M. Stulz

**Modelling the Risk and Return Relation Conditional on Market Volatility and Market Conditions**

*by*Don U.A. Galagedera & Robert Faff

**The internal efficiency of Index Option Markets:Tests on the Italian Market**

*by*Costanza Torricelli & Marianna Brunetti

**Why is the index smile so steep?**

*by*Christian Schlag & Nicole Branger

**The Timing of Bets and the Favorite-Longshot Bias**

*by*Marco Ottaviani & Peter Norman Sørensen

**Autoregressive Conditional Volatility, Skewness And Kurtosis**

*by*Ángel León & Gonzalo Rubio & Gregorio Serna

**Forward Contracting and Collusion in Oligopoly**

*by*Juan-Pablo Montero

**The Consumption-Based Determinants of the Term Structure of Discount Rates**

*by*Gollier, Christian

**Financial fragility under implicit insurance scheme: Evidence from the collapse of Thai financial institutions**

*by*Anuchitworawong, Chaiyasit

**Deposit Insurance, Corporate Governance and Discretionary Behavior: Evidence from Thai Financial Institutions**

*by*Anuchitworawong, Chaiyasit

**Towards a General Theory of Good Deal Bounds**

*by*Björk, Tomas & Slinko, Irina

**On Finite Dimensional Realizations of Forward Price Term Structure Models**

*by*Gaspar, Raquel M.

**General Quadratic Term Structures of Bond, Futures and Forward Prices**

*by*Gaspar, Raquel M.

**On the Pricing of Step-Up Bonds in the European Telecom Sector**

*by*Lando, David & Mortensen, Allan

**Warrant Pro 1: Market Price Synthesis with a Software Agent and a Neurosimulator**

*by*Bartels, Patrick & Breitner, Michael H.

**Is Jump Risk Priced? - What We Can (and Cannot) Learn From Option Hedging Errors**

*by*Nicole Branger & Christian Schlag

**When Are Static Superhedging Strategies Optimal?**

*by*Nicole Branger & Angelika Esser & Christian Schlag

**The Dynamics of Mergers and Acquisitions**

*by*Erwan Morellec & Alexei Zdhanov

**Investment under Uncertainty and Incomplete Markets**

*by*Julien Hugonnier & Erwan Morellec

**The Effects of Macroeconomic News on Beliefs and Preferences: Evidence from the Options Market**

*by*Alessandro BEBER & Michael W. BRANDT

**Fund liquidation, self-selection and look-ahead bias in the hedge fund industry**

*by*ter Horst, J.R. & Verbeek, M.J.C.M.

**An Improved Estimator For Black-Scholes-Merton Implied Volatility**

*by*Hallerbach, W.G.P.M.

**Rank reduction of correlation matrices by majorization**

*by*Pietersz, R. & Groenen, P.J.F.

**Valoración de la garantía de los planes de pensiones en España**

*by*Chamorro Gómez, José Manuel

**The Risk-Neutral Measure and Option Pricing under Log-Stable Uncertainty**

*by*J. Huston McCulloch

**Specification Analysis of Option Pricing Models Based on Time-Changed Levy Processes**

*by*Jing-zhi Huang & Liuren Wu

**Evaluating Incentive Options**

*by*Wei Xiong & Ronnie Sircar

**Pricing Derivatives on Two Lé}vy-driven Stocks**

*by*Ernesto Mordecki & José Fajardo

**Dynamics of Interest Rate Curve by Functional Auto-regression**

*by*Alexei Onatski & Slava Kargin

**Structurally Sound Dynamic Index Futures Hedging**

*by*Patrick McGlenchy & Paul Kofman

**Understanding Electricity Price Volatility within and across Markets**

*by*Goto, Mika & Karolyi, G. Andrew

**Comments on "A reconsideration of tax shield valuation" by Enrique R. Arzac and Lawrence R. Glosten**

*by*Fernandez, Pablo

**An Anatomy of Futures Returns: Risk Premiums and Trading Strategies**

*by*Frans A. de Roon & Rob W. J. van den Goorbergh & Theo E. Nijman

**Simple and extended Kalman filters : an application to term structures of commodity prices**

*by*Galli, Alain & Lautier, Delphine

**The Determinants of the Time to Efficiency in Options Markets: A Survival Analysis Approach**

*by*Deville, Laurent & Riva, Fabrice

**La volatilité des prix des matières premières**

*by*Lautier, Delphine & Simon, Yves

**Asset Prices and International Spillovers: An Empirical Investigation**

*by*Sarno, Lucio & Valente, Giorgio

**Confidence Building on Euro Conversion: Theory and Evidence from Currency Options**

*by*Driessen, Joost & Perotti, Enrico C

**Valuation Of A Biotech Company: A Real Options Approach**

*by*Angel Leon & Diego Piñeiro

**Representative Consumer's Risk Aversion and Efficient Risk-Sharing Rules**

*by*Hara, C. & Christoph Kuzmics

**On an Alternative Approach to Pricing General Barrier Options**

*by*Michael Suchanecki

**Market Expectations Implicit in Derivative Prices: Applications to Exchange and Oil Markets**

*by*Alejandro Díaz de León & Martha Elena Casanova

**Estimating state price densities by Hermite polynomials: theory and application to the Italian derivatives market**

*by*Paolo Guasoni

**Estimating expectations of shocks using option prices**

*by*Antonio Di Cesare

**Modelling the Evolution of Credit Spreads in the United States**

*by*Stuart M. Turnbull & Jun Yang

**Commodity-Linked Bonds: A Potential Means for Less-Developed Countries to Raise Foreign Capital**

*by*Joseph Atta-Mensah

**On the pricing of options under limited information**

*by*DE SCHEPPER, Ann & HEIJNEN, Bart

**The Optimality of Multi-stage Venture Capital Financing: An Option-Theoretic Approach**

*by*Robert Dubil

**Firm and Corporate Bond Valuation: A Simulation Dynamic Programming Approach**

*by*Augusto Castillo

**A Note on Sector, Rating, and Maturity Effects on Risk Premia**

*by*Konstantinos Drakos

**Information Flow between Price Change and Trading Volume in Gold Futures Contracts**

*by*Ramaprasad Bhar & Shigeyuki Hamori

**Defection of Traditional Standard Deviation Scaling of Capital Asset Returns**

*by*Vladimír Gazda & Karel Koøený & Tomáš Výrost

**Replication Methods in the Pricing and Hedging of Barrier Options**

*by*Tichý Tomáš

**An Interpretation of Czech FX Options**

*by*Pavel Bouc & Martin Cincibuch

**Hedging Strategies and Financial Risks**

*by*Zdenìk Zmeškal

**Los Modelos Implícitos de Valoración de Opciones**

*by*Arregui Ayastuy, Gerardo

**Decision for the Optimal Location -- Waiting Timing Relationship in A Real Options Model**

*by*Chin-Tsai Lin & Cheng-Ru Wu

**Construction d'un portefeuille sous-jacent virtuel**

*by*Sophie Pardo & Robert Kast & André Lapied

**Diversified Portfolios in a Benchmark Framework**

*by*Eckhard Platen

**A Stochastic Seasonal Model for Commodity Option Pricing**

*by*Monica Barbu & Kevin Burrage

**An Implementation of the Shirakawa Jump-Diffusion Term Structure Model**

*by*Christina Nikitopoulos-Sklibosios & Carl Chiarella

**The Evolution of Expectations Towards Expiration**

*by*Roy van der Weide & Remco Peters

**A Numerical Solution to American Style Options on Commodities**

*by*Kevin Burrage & Jamie Alcock & Monica Barbu

**WARRANT-PRO-2: A GUI-Software for Easy Evaluation, Design and Visualization of European Double-Barrier Options**

*by*Oliver Kubertin & Michael H. Breitner

**Les stratégies de placements d’ordres : le cas des ordres à quantité cachée**

*by*Raposo, Juan

**Financial Markets in Continuous Time**

*by*Jeanblanc, Monique & Dana, Rose-Anne

**How can management deliver value for shareholders?**

*by*Chen, Andrew & Conover, James & Kensinger, John

**Notes on convexity and quanto adjustments for interest rates and related options**

*by*Boenkost, Wolfram & Schmidt, Wolfgang M.

**Over-allotment options in IPOs on Germany's Neuer Markt: An empirical investigation**

*by*Franzke, Stefanie A. & Schlag, Christian

**The Forecasting Performance of German Stock Option Densities**

*by*Keller, Joachim & Glatzer, Ernst & Craig, Ben R. & Scheicher, Martin

**Net Foreign Assets Management and Capital Account Liberalization. The Romanian Case**

*by*Florian Neagu

**Net Foreign Assets Management and Capital Account Liberalization. The Romanian Case**

*by*Florian Neagu

**Net Foreign Assets Management and Capital Account Liberalization. The Romanian Case**

*by*Florian Neagu

**Net Foreign Assets Management and Capital Account Liberalization. The Romanian Case**

*by*Florian Neagu

**Net Foreign Assets Management and Capital Account Liberalization. The Romanian Case**

*by*Florian Neagu

**American Option Pricing with Transaction Costs**

*by*Valeri Zakamouline

**European Option Pricing and Hedging with both Fixed and Proportional Transaction Costs**

*by*Valeri Zakamouline

**Alternative Market Structures for Derivatives**

*by*Sohnke M. Bartram & Frank R. Fehle

**Net Foreign Assets Management and Capital Account Liberalization. The Romanian Case**

*by*Florian Neagu

**Consistent Estimation of Pricing Kernels from Noisy Price Data**

*by*Vladislav Kargin

**Explicit bond option and swaption formula in Heath-Jarrow-Morton one factor model**

*by*Marc Henrard

**A semi-analytical approach to Canary swaptions in HJM one-factor model**

*by*Henrard Marc

**Lattice Option Pricing By Multidimensional Interpolation**

*by*Vladislav Kargin

**Risk Disaggregation And Credit Risk Valuation In The Merton Like Way**

*by*Hayette Gatfaoui

**Competition among Alternative Option Market Structures: Evidence from Eurex vs. Euwax**

*by*Sohnke M. Bartram & Frank R. Fehle

**Efficient Path-Dependent Valuation Using Lattices: Fixed and Floating Strike Asian Options**

*by*Allen Abrahamson

**A Note on Constructing 50-50 Step Probability Binomial Lattices to Replicate Wiener Diffusion**

*by*Allen Abrahamson

**A Simple Model for Credit Migration and Spread Curves**

*by*Li Chen & Damir Filipovic

**Option value and optimal rotation policies for aquaculture exploitations**

*by*Arantza Murillas Maza

**The Role of Intra-Day and Inter-Day Data Effects in Determining Linear and Nonlinear Granger Causality Between Australian Futures and Cash Index Markets**

*by*R. M. Eldridge & Maurice Peat & Max Stevenson

**An Alternative Interest Rate Term Structure Model**

*by*Eckhard Platen

**A Benchmark Framework for Risk Management**

*by*Eckhard Platen

**Pricing and Hedging for Incomplete Jump Diffusion Benchmark Models**

*by*Eckhard Platen

**Fair Pricing of Weather Derivatives**

*by*Eckhard Platen & Jason West

**Modeling the Volatility and Expected Value of a Diversified World Index**

*by*Eckhard Platen

**Pricing of Index Options Under a Minimal Market Model with Lognormal Scaling**

*by*David Heath & Eckhard Platen

**On the valuation and incentive effects of executive cash bonus contracts**

*by*Lionel Martellini & Branko Urosevic

**Australian Asian options**

*by*Manuel Moreno & Javier F. Navas

**A general decomposition formula for derivative prices in stochastic volatility models**

*by*Elisa Alòs

**Reexamining the maturity effect using extensive futures data**

*by*Daal, Elton & Farhat, Joseph Basheer & Wei, Peihwang P.

**Analytic American Option Pricing and Applications**

*by*Sbuelz, A.

**Multivariate Option Pricing Using Dynamic Copula Models**

*by*van den Goorbergh, R.W.J. & Genest, C. & Werker, B.J.M.

**Structural RFV : Recovery Form and Defaultable Debt Analysis**

*by*Guha, R. & Sbuelz, A.

**Black Scholes for Portfolios of Options in Discrete Time: the Price is Right, the Hedge is wrong**

*by*Bas Peeters & Cees L. Dert & Andr� Lucas

**A Monte Carlo Method for the Normal Inverse Gaussian Option Valuation Model using an Inverse Gaussian Bridge**

*by*Nick Webber & Claudia Ribeiro

**Valuing Path Dependent Options in the Variance-Gamma Model by Monte Carlo with a Gamma Bridge**

*by*Nick Webber & Claudia Ribeiro

**The estimation of implied volatility from the Black-Scholes model: some new formulas and their applications**

*by*Steven Li

**Pricing American Options under Stochastic Volatility: A New Method Using Chebyshev Polynomials to Approximate the Early Exercise Boundary**

*by*Elias Tzavalis & Shijun Wang

**A General Equilibrium Financial Asset Economy with Transaction Costs and Trading Constraints**

*by*Frank Milne & Edwin Neave

**Opções reais: tipologias e sua avaliação**

*by*Gomes Santana Félix, Elisabete

**Dalle Riserve alle Opzioni: " La partecipazione agli utili nelle polizze vita"**

*by*Giandomenico, Rossano

**An Equilibrium Analysis of Real Estate**

*by*Steven R. Grenadier

**Limited Arbitrage and Short Sales Restrictions: Evidence from the Options Markets**

*by*Eli Ofek & Matthew Richardson & Robert F. Whitelaw

**Pricing Australian S&P200 Options: A Bayesian Approach Based on Generalized Distributional Forms**

*by*David B. Flynn & Simone D. Grose & Gael M. Martin & Vance L. Martin

**Implicit Bayesian Inference Using Option Prices**

*by*Gael M. Martin & Catherine S. Forbes & Vance L. Martin

**Bayesian Estimation of a Stochastic Volatility Model Using Option and Spot Prices: Application of a Bivariate Kalman Filter**

*by*Catherine S. Forbes & Gael M. Martin & Jill Wright

**Call and put implied volatilities and the derivation of option implied trees**

*by*V. Moriggia & S. Muzzioli & C. Torricelli

**The Put-Call Parity in the Index Options Markets: Further results for the Italian Mib30 Options market**

*by*Costanza Torricelli & Marianna Brunetti

**Endogenous Value and Financial Fragility**

*by*Gobert, Karine & Gonz�lez, Patrick & Lai, Alexandra & Poitevin, Michel

**Endogenous Value and Financial Fragility**

*by*Gobert, Karine & Gonz�lez, Patrick & Lai, Alexandra & Poitevin, Michel

**A Diffusion Approximation for the Riskless Profit under Selling of Discrete Time Call Options**

*by*Nagaev, Sergei A.

**Valuing Corporate Liabilities**

*by*Ericsson, Jan & Reneby, Joel

**Long-Term Supply Contracts and Collusion in the Electricity Markets**

*by*Le Coq, Chloé

**On the Geometry of Interest Rate Models**

*by*Björk, Tomas

**Does the Black-Scholes formula work for electricity markets? A nonparametric approach**

*by*Hjalmarsson, Erik

**The Value and Incentives of Option-based Compensation in Danish Listed Companies**

*by*Bechmann, Ken L. & Jørgensen, Peter Løchte

**Competition and Irreversible Investments under Uncertainty**

*by*Michele Moretto

**Quantitative Selection of Long-Short Hedge Funds**

*by*Kaifeng CHEN & Alexander PASSOW

**Sovereign Debt Contract and Optimal Consumption-Investment Strategies**

*by*Andriy DEMCHUK,

**Fat Tails in Power Prices**

*by*Huisman, R. & Huurman, C.

**Risk managing bermudan swaptions in the libor BGM model**

*by*Pietersz, R. & Pelsser, A.A.J.

**Pricing default swaps: empirical evidence**

*by*Houweling, P. & Vorst, A.C.F.

**A Merton Model Approach to Assessing the Default Risk of UK Public Companies**

*by*Tudela, Merxe & Garry Young

**The Jump Component of the Volatility Structure of Interest Rate Futures Markets: An International Comparison**

*by*To, Thuy Duong & Carl Chiarella

**Risk Management: An Interdisciplinary Framework**

*by*Tapiero, Charles

**Value at Risk and Inventory Control**

*by*Tapiero, Charles

**A Class of Marked Point Processes for Modelling Electricity Prices**

*by*Geman, Hélyette & Roncoroni, Andrea

**Les stratégies de placements d’ordres : le cas des ordres à quantité cachée**

*by*Raposo, Juan

**Les options réelles : une idée séduisante, un concept utile et multiforme, un instrument facile à créer mais difficile à valoriser**

*by*Lautier, Delphine

**Jackknifing Bond Option Prices**

*by*Peter C.B. Phillips & Jun Yu

**Late Informed Betting and the Favourite-Longshot Bias**

*by*Ottaviani, Marco & Sørensen, Peter Norman

**Heterogeneity of Investors and Asset Pricing in a Risk-Value World**

*by*Franke, Günter & Weber, Martin

**Evaluation Of A Taxi Sector Reform: A Real Options Approach**

*by*Gerard Llobet & Meritxell Albertí & Ángel León

**The Importance of the Loss Function in Option Valuation**

*by*Peter Christoffersen & Kris Jacobs

**Order Flows, Delta Hedging and Exchange Rate Dynamics**

*by*Bronka Rzepkowski

**A real options approach to tender offers and acquisitions processes**

*by*José Dapena & Santiago Fidalgo

**Non-Institutional Market Making Behavior: The Dalian Futures Exchange**

*by*Oscar Jorda & Holly Liu & Jeffrey Williams

**The Risk Management of Minimum Return Guarantees**

*by*Antje Mahayni & Erik Schlögl

**The Effect of Dynamic Hedging of Options Positions on Intermediate-Maturity Interest Rates**

*by*Thanasis N. Christodoulopoulos & Ioulia Grigoratou

**Collateral and Credit Supply**

*by*Joseph Atta-Mensah

**Valuation of Defaultable Bonds and Debt Restructuring**

*by*Ariadna Dumitrescu

**Are One Factor Logarithmic Volatility Models Useful to Fit the Features of Financial Data? An Application to Microsoft Data**

*by*Maria Helena Lopes Moreira da Veiga

**Forecasting Volatility Using A Continuous Time Model**

*by*Maria Helena Lopes Moreira da Veiga

**Extension of the corrected barrier approximation by Broadie, Glasserman, and Kou**

*by*Per Hörfelt

**Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity**

*by*Ji-Wook Jang & Angelos Dassios

**Random step functions model for interest rates**

*by*Eleanor Virag & Fima C. Klebaner & Konstantin Borovkov

**Numerical solution of jump-diffusion LIBOR market models**

*by*Nicolas Merener & Paul Glasserman

**The Pricing Of Options On Credit-Sensitive Bonds**

*by*Sandra Peterson & Richard C. Stapleton

**A volatilitás előrejelzése és a visszaszámított modellek**

*by*Zsembery, Levente

**Financial Innovation in Multi-Period Economies**

*by*Enrique Kawamura

**Securities Transaction Taxes for U.S. Financial Markets**

*by*Robert Pollin & Dean Baker & Marc Schaberg

**Small dimension PDE for discrete Asian options**

*by*Benhamou, Eric & Duguet, Alexandre

**Term Structure of Interest Rates in the Presence of Levy Jumps: The HJM Approach**

*by*Chenghu Ma

**Market Risk and Volatility in the Brazilian Stock Market**

*by*Joe Akira Yoshino

**Lead lag relatîonships between short term options and the french stock index cac 40: the impact of time measurement**

*by*Alexis Cellier

**Numerical Investigations of the Heath Jarrow Morton Model with Forward Rate Dependent Volatility**

*by*Carl Chiarella & Silvana Musti

**Daily Behavior Of Futures Returns: Evidence Form A New Computational Method**

*by*Roger Koppl & Sorin Tuluca

**Merton-style option pricing under regime switching**

*by*John Driffill & Turalay Kenc & Martin Sola

**Heterogeneous Preferences and the Representative Investor**

*by*Frank Niehaus

**Price Adjustment Time and the Black-Scholes Option Pricing Model: Discussion and New Results**

*by*Emmanuel Haven

**Finite element method for pricing European contingent claims on multiple assets. Part II: convergence and optimal error estimates**

*by*Fausto Gozzi & Simona Sanfelici

**Finite element method for pricing European contingent claims on multiple assets. Part I: semigroup approach and regularity estimates**

*by*Fausto Gozzi & Simona Sanfelici

**Structural Change Testing in Stochastic Volatility Models**

*by*J. del Hoyo & J.-Guillermo Llorente

**Utility Maximization on the Real Line under Proportional Transaction Costs**

*by*Bouchard, Bruno

**Cobertura de tasas de interés con futuros del mercado mexicano de derivados. Modelo estocástico de duración y convexidad**

*by*Venegas-Martinez, Francisco & Bernardo González-Aréchiga

**Credit risk modeling and valuation: An introduction**

*by*Giesecke, Kay

**An exponential model for dependent defaults**

*by*Giesecke, Kay

**Compensator-based simulation of correlated defaults**

*by*Giesecke, Kay

**Efficient hedging for a complete jump-diffusion model**

*by*Kirch, Michael & Krutchenko, R. N. & Melnikov, Aleksandr V.

**Solving the Esscher puzzle: the NEF-GHS option pricing model**

*by*Fischer, Matthias J.

**The Pricing puzzle: The default term structure of collateralised loan obligations**

*by*Jobst, Andreas A.

**On the Joint Pricing of Stocks and Bonds: Theory and Evidence**

*by*Harry Mamaysky

**Pricing European options on instruments with a constant dividend yield: The randomized discrete-time approach**

*by*Rafal Weron

**On annuities under random rates of interest**

*by*Krzysztof Burnecki & Agnieszka Marciniuk & Aleksander Weron

**Option pricing with Levy Process**

*by*Eric Benhamou

**A Martingale Result for Convexity Adjustment in the Black Pricing Model**

*by*Eric Benhamou

**Smart Monte Carlo: Various tricks using Malliavin calculus**

*by*Eric Benhamou

**A Generalisation of Malliavin Weighted Scheme for Fast Computation of the Greeks**

*by*Eric Benhamou

**Information, Alternative Markets, and Security Price Processes: A Survey of Literature**

*by*Rafiqul Bhuyan

**What Type of Process Underlies Options? A Simple Robust Test**

*by*Peter Carr & Liuren Wu

**Markov Chain Approximations For Term Structure Models**

*by*David Backus & Liuren Wu & Stanley Zin

**Asset Pricing Under The Quadratic Class**

*by*Markus Leippold & Liuren Wu

**Design and Estimation of Quadratic Term Structure Models**

*by*Markus Leippold & Liuren Wu

**The Finite Moment Log Stable Process and Option Pricing**

*by*Peter Carr & Liuren Wu

**Time-Changed Levy Processes and Option Pricing**

*by*Peter Carr & Liuren Wu

**Term Structure of Interest Rates, Yield Curve Residuals, and the Consistent Pricing of Interest Rates and Interest Rate Derivatives**

*by*Massoud Heidari & Liuren Wu

**Accouting for Biases in Black-Scholes**

*by*David Backus & Silverio Foresi & Liuren Wu

**Analytical Aproach to Value Options with State Variables of a Levy System**

*by*Nguyen Thanh Long

**All Moments of Discrete and Continuous Arithmetic Averages on Brownian Paths: A Closed Form**

*by*Allen Abrahamson

**A note on a generalized Black-Scholes formula**

*by*Bakhodir A Ergashev

**Pricing Convertible Bonds with Interest Rate, Equity, Credit and FX Risk**

*by*Ali Bora Yigitbasioglu

**A Benchmark Framework for Integrated Risk Management**

*by*Eckhard Platen

**Benchmark Model with Intensity Based Jumps**

*by*Eckhard Platen

**A Maximum Likelihood Approach to Estimation of Heath-Jarrow-Morton Models**

*by*Ram Bhar & Carl Chiarella & Thuy Duong To

**Consistent Pricing and Hedging for a Modified Constant Elasticity of Variance Model**

*by*David Heath & Eckhard Platen

**A Benchmark Approach to Filtering in Finance**

*by*Eckhard Platen & Wolfgang Runggaldier

**A Discrete Time Benchmark Approach for Finance and Insurance**

*by*Hans Buhlmann & Eckhard Platen

**Variance reduction methods for simulation of densities on Wiener space**

*by*Arturo Kohatsu & Roger Pettersson

**Optimal hedging under departures from the cost-of-carry valuation: evidence from the Spanish stock index futures market**

*by*Alfonso Novales & J.A. Lafuente

**Behavioral Preferences for Individual Securities : The Case for Call Warrants and Call Options**

*by*Ter Horst, J.R. & Veld, C.H.

**Pricing and Hedging Guaranteed Annuity Options via Static Option Replication**

*by*Antoon Pelsser

**When Did The Smart Money in Enron Lose Its' Smirk?**

*by*Bruce Mizrach

**An Empirical Study of Credit Default Swaps**

*by*Frank Skinner & Antonio Diaz

**Continuous Time Regime Switching Models and Applications in Estimating Processes with Stochastic Volatility and Jumps**

*by*Kyriakos Chourdakis

**Fundamental Properties of Bond Prices in Models of the Short-Term Rate**

*by*Antonio Mele

**Incomplete Diversification and Asset Pricing**

*by*Robert Elliott & Dilip Madan & Frank Milne

**Tests d'arbitrage et surfaces de volatilité : analyse empirique sur données haute fréquence**

*by*Ardia, David

**Extracting market expectations from option prices: an application to over-the-counter New Zealand dollar options**

*by*Aron Gereben

**Stochastic Dominance Bounds on Derivative Prices in a Multiperiod Economy with Proportional Transaction Costs**

*by*George M. Constantinides & Stylianos Perrakis

**Controlling the Cost of Minimum Benefit Guarantees in Public Pension Conversions**

*by*Kent Smetters

**Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions**

*by*Yacine Aït-Sahalia & Robert Kimmel

**Pricing Currency Options in Tranquil Markets: Modelling Volatility Frowns**

*by*G.C. Lim & G.M. Martin & V.L. Martin

**Bayesian Estimation of a Stochastic Volatility Model Using Option and Spot Prices**

*by*C.S. Forbes & G.M. Martin & J. Wright

**Nonsimultaneity and Futures Option Pricing: Simulation and Empirical Evidence**

*by*Robert E.J. Hibbard & Rob Brown & Keith R. McLaren

**Parametric Pricing of Higher Order Moments in S&P500 Options**

*by*G.C. Lim & G.M. Martin & V.L. Martin

**Finite dimensional Markovian realizations for stochastic volatility forward rate models**

*by*Björk, Tomas & Landén, Camilla & Svensson, Lars

**A Note on the Pricing of Real Estate Index Linked Swaps**

*by*Björk, Tomas & Clapham, Eric

**On the Use of Numeraires in Option pricing**

*by*Benninga, Simon & Björk, Tomas & Wiener, Zvi

**Stochastic Volatility and Seasonality in Commodity Futures and Options: The Case of Soybeans**

*by*Richter, Martin & Sørensen, Carsten

**On valuation before and after tax in no arbitrage models: Tax neutrality in the discrete time model**

*by*Jensen, Bjarne Astrup

**Banks’ option to lend, interest rate sensitivity, and credit availability**

*by*Hasan , Iftekhar & Sarkar, Sudipto

**Volatility Estimation via Hidden Markov Models**

*by*Alessandro Rossi & Giampiero M. Gallo

**Exploring for the Determinants of Credit Risk in Credit Default Swap Transaction Data: Is Fixed-Income Markets’ Information Suffcient to Evaluate Credit Risk?**

*by*Didier Cossin & Tomas Hricko & Daniel Aunon-Nerin & Zhijiang Huang

**Interactions Between Market and Credit Risk: Modeling the Joint Dynamics of Default-Free and Defaultable Bond Term Structures**

*by*Roger WALDER

**Option Pricing with Discrete Rebalancing**

*by*Jean-Luc PRIGENT & Olivier RENAULT & Olivier SCAILLET

**Why does Implied Risk Aversion Smile?**

*by*Alexandre Ziegler

**Market Dynamics Around Public Information Arrivals**

*by*Angelo Ranaldo

**Valuation of Sovereign Debt with Strategic Defaulting and Rescheduling**

*by*Michael WESTPHALEN

**Survival, Look-Ahead Bias and the Persistence in Hedge Fund Performance**

*by*Baquero, G. & ter Horst, J.R. & Verbeek, M.J.C.M.

**An Empirical Comparison of Default Swap Pricing Models**

*by*Houweling, P. & Vorst, A.C.F.

**An Empirical Comparison of Default Swap Pricing Models**

*by*Houweling, P. & Vorst, A.C.F.

**Autorregresive conditional volatility, skewness and kurtosis**

*by*León, Angel & Serna, Gregorio & Rubio Irigoyen, Gonzalo

**An empirical comparison of the performance of alternative option pricing models**

*by*Gago, Mónica & Rubio Irigoyen, Gonzalo & León, Angel & Ferreira García, María Eva

**Smiling under stochastic volatility**

*by*Rubio Irigoyen, Gonzalo & León, Angel

**Revisited multi-moment approximate option pricing models: a general comparison (Part 1)**

*by*Emmanuel Jurczenko & Bertrand Maillet & Bogdan Negrea

**Loan securitisation: default term structure and asset pricing based on loss prioritisation**

*by*Andreas A. Jobst

**Skewness and kurtosis implied by option prices: a second comment**

*by*Emmanuel Jurczenko & Bertrand Maillet & Bogdan Negrea

**Alternative Models for Stock Price Dynamic**

*by*Chernov, Mikhail & Gallant, A. Ronald & Ghysels, Eric & Tauchen, George

**The Kalman filter in finance: An application to term structure models of commodity prices and a comparison between the simple and the extended filters**

*by*Lautier, Delphine

**Trois modèles de structure par terme des prix du pétrole : une comparaison**

*by*Lautier, Delphine

**L’exposition au risque de change et les déterminants de la couverture : le cas**

*by*Bellalah, Mondher & Mefteh, Salma

**On Real Options and Information Costs**

*by*Bellalah, Mondher & El Farissi, Inass

**Annuity Risk: Volatility and Inflation Exposure in Payments from Immediate Life Annuities**

*by*Laura Ballotta & Steven Haberman

**When Does Strategic Debt Service Matter?**

*by*Acharya, Viral V & Huang, Jing-Zhi & Subrahmanyam, Marti G. & Sundaram, Rangarajan K

**Pricing Credit Derivatives with Rating Transitions**

*by*Acharya, Viral V & Das, Sanjiv Ranjan & Sundaram, Rangarajan K

**Corporate Bond Valuation and Hedging with Stochastic Interest Rates and Endogenous Bankruptcy**

*by*Acharya, Viral V & Carpenter, Jennifer

**Analytic Evaluation of Volatility Forecasts**

*by*Torben G. Andersen & Tim Bollerslev & Nour Meddahi

**Alternative Models for Stock Price Dynamics**

*by*Mikhail Chernov & A. Ronald Gallant & Eric Ghysels & George Tauchen

**On the Valuation of Warrants and Executive Stock Options: Pricing Formulae for Firms with Multiple Warrants/Executive Options**

*by*Darsinos, T. & Satchell, S.E.

**The Implied Distribution for Stocks of Companies with Warrants and/or Executive Stock Options**

*by*Darsinos, T. & Satchell, S.E.

**Maximal Arbitrage**

*by*Klaus Schürger

**Extended Libor Market Models with Affine and Quadratic Volatility**

*by*Christian Zühlsdorff

**The Pricing of Derivatives on Assets with Quadratic Volatility**

*by*Christian Zühlsdorff

**How to Avoid a Hedging Bias**

*by*Antje Dudenhausen

**On the fundamental theorem of asset pricing: random constraints and bang-bang no-arbitrage criteria**

*by*Igor V. Evstigneev & Klaus Schürger & Michael I. Taksar

**An Examination of the Effects of Parameter Misspecification**

*by*Antje Dudenhausen & Lutz Schlögl

**Effectiveness of Hedging Strategies under Model Misspecification and Trading Restrictions**

*by*Antje Dudenhausen

**The size of the equity premium**

*by*Fabio Fornari

**Intraday return and volatility relationships between the Ibex 35 spot and futures markets**

*by*Juan A. Lafuente

**Utility maximization on the real line under proportional transaction costs**

*by*Bruno Bouchard

**An analysis of a least squares regression method for American option pricing**

*by*Philip Protter & Emmanuelle Clément & Damien Lamberton

**The cumulant process and Esscher's change of measure**

*by*Albert N. Shiryaev & Jan Kallsen

**A model of financial market with several interacting assets. Complete market case**

*by*Victoria Steblovskaya & Sergio Albeverio

**No-arbitrage criteria for financial markets with efficient friction**

*by*(**), Christophe Stricker & (*), Miklós Rásonyi & Yuri Kabanov

**Pricing of Asian exchange rate options under stochastic interest rates as a sum of options**

*by*Klaus Sandmann & J. Aase Nielsen

**Conditional Gaussian models of the term structure of interest rates**

*by*Simon H. Babbs

**On the construction of finite dimensional realizations for nonlinear forward rate models**

*by*Camilla Landén & Tomas Björk

**A multicurrency extension of the lognormal interest rate Market Models**

*by*Erik Schlögl

**Valuation of exotic options under shortselling constraints**

*by*Uwe Wystup & Uwe Schmock & Steven E. Shreve

**Risk minimization under transaction costs**

*by*Paolo Guasoni

**Stochastic volatility, jumps and hidden time changes**

*by*Marc Yor & Dilip B. Madan & Hélyette Geman

**Derivative pricing based on local utility maximization**

*by*Jan Kallsen

**Valuation Of Convertible Bonds With Sequential Conversion**

*by*Wolfgang Bühler & Christian Koziol

**Valuation Of Defaultable Claims – A Survey**

*by*Marliese Uhrig-Homburg

**A Decomposition of Empirical Distributions with Applications to the Valuation of Derivative Assets**

*by*Mondher Bellalah & Marc Lavielle

**Árazási hiba a határidős indexpiacokon**

*by*Radnai, Márton

**A pénzügyi eszközök árazásának alaptétele diszkrét idejű modellekben**

*by*Medvegyev, Péter

**Comparative Analyses of Expected Shortfall and Value-at-Risk: Their Estimation Error, Decomposition, and Optimization**

*by*Yamai, Yasuhiro & Yoshiba, Toshinao

**A Minimal Financial Market Model**

*by*Eckhard Platen

**Digital Security Tokens and Their Derivatives**

*by*Kanta Matsuura

**Very High Order Lattice Methods for One Factor Models**

*by*Jonathan Alford and Nick Webber

**Pricing Barrier Bond Options with One-factor Interest Rate Models**

*by*Grace C.H. Kuan and Nick Webber

**A Partial Equilibrium Model of Option Markets**

*by*Dietmar P.J. Leisen and Kenneth L. Judd

**Volatility Reprojection and Forecasting Performance -- An EMM Approach toward the Multivariate Stochastic Volatility Model**

*by*George J. Jiang and Pieter J. van der Sluis

**Non Linear Error Correction in Spot and Forward Exchange Rates**

*by*David McMillan & Angela J Black

**Comparison of numerical methods for the aproximation of option price**

*by*S. Sanfelici

**Stock Based Compensation: Firm-specific risk, Efficiency and Incentives**

*by*Vicky Henderson

**A Neural Network Versus Black-Scholes: A Comparison of Pricing and Hedging Performances**

*by*Amilon, Henrik

**Environmental Variables and Real Estate Prices**

*by*Din, A. & Hoesli, M. & Bender, A.

**Décisions d’investissement et de démantèlement sous incertitude : une application au secteur électrique**

*by*Chaton, Corinne

**A Fuzzy expert system for solving ReaL-Option decision processes**

*by*Magni, C. A. & Mastroleo G. & Facchinetti, G.

**A Model For Pricing An Option With A Fuzzy Payoff**

*by*Muzzioli, Silvia & Torricelli, Costanza

**Default compensator, incomplete information, and the term structure of credit spreads**

*by*Giesecke, Kay

**Correlated default with incomplete information**

*by*Giesecke, Kay

**A benchmark model for financial markets**

*by*Platen, Eckhard

**Extracting implicit density functions from short term interest rate options**

*by*Nielsen, Hannah

**The dynamics of implied volatilities: A common principal components approach**

*by*Fengler, Matthias R. & Härdle, Wolfgang K. & Villa, Christophe

**Initial offerings of options**

*by*Müller, Sigrid M.

**An Empirical Comparison of Default Swap Pricing Models**

*by*Patrick Houweling & Ton Vorst

**Analytically inducting option cash flows for Markovian interest rate models: A new application paradigm**

*by*Junwu Gan

**Pricing the Risk of Recovery in Default with APR Violation**

*by*Haluk Unal & Dilip Madan & Levent Güntay

**A Simple Option Formula for General Jump-Diffusion and other Exponential Levy Processes**

*by*Alan L. Lewis

**Arbitrage in Continuous Complete Markets**

*by*Eckhard Platen

**Migration of Price Discovery With Constrained Futures Markets**

*by*Anthony D. Hall & Paul Kofman & Steve Manaster

**Benchmark Pricing of Credit Derivatives Under a Standard Market Model**

*by*Mark Craddock & Eckhard Platen

**A Benchmark Model for Financial Markets**

*by*Eckhard Platen

**On the robustness of least-squares Monte Carlo (LSM) for pricing American derivatives**

*by*Manuel Moreno & Javier R. Navas

**Fast Fourier Transform for discrete Asian Options**

*by*E. Benhamou

**Pricing Convertible Bonds with Interest Rate, Equity, Credit and FX Risk**

*by*Ali Bora Yigitbasioglu

**Credit Risk Diversification**

*by*Simonne Varotto

**Modelling Retail Deposit Spreads in the UK**

*by*Frank Skinner & Benton E. Gup & Michael Ioannides & Doowoo Nam

**Estimating Corporate Yield Curves**

*by*Antionio Diaz & Frank Skinner

**On modelling credit risk using Arbitrage Free Models**

*by*Frank Skinner & Antonio Diaz

**Arbitrage and Optimal Portfolio Choice with Financial Constraints**

*by*Helmut Elsinger & Martin Summer

**Model Uncertainty and Liquidity**

*by*Bryan R. Routledge & Stanley E. Zin

**Trading Inefficiencies in California's Electricity Markets**

*by*Severin Borenstein & James Bushnell & Christopher R. Knittel & Catherine Wolfram

**The Market for Crash Risk**

*by*David S. Bates

**The Pricing of Event Risks with Parameter Uncertainty**

*by*Kenneth A. Froot & Steven E. Posner

**Market Architecture and Nonlinear Dynamics of Australian Stock and Future Indices**

*by*Anderson, H.M. & Vahid, F.

**An Empirical Investigation of Structural Breaks in the Ex Ante Fisher Effect**

*by*Olekalns, N.

**Heterogeneity of Investors and Asset Pricing in a Risk-Value World**

*by*Günter Franke & Martin Weber

**Empirical Performance of the Czech and Hungarian Index Options under Jump**

*by*Lee, Gabriel S. & Boss, Michael & Klisz, Chris

**Extracting Risk-Neutral Probability Distributions from Option Prices Using Trading Volume as a Filter**

*by*Dupont, Dominique Y.

**Hedging Barrier Options: Current Methods and Alternatives**

*by*Dupont, Dominique Y.

**The Valuation of Corporate Liabilities: Theory and Tests**

*by*Reneby, Joel & Ericsson, Jan

**An Analysis of Subordinated Debt in Banking: The Case of Costly Bankruptcy**

*by*Nivorozhkin, Eugene

**A Finite Element Implementation of Passport Options**

*by*Topper, Jürgen

**Worst Case Pricing of Rainbow Options**

*by*Topper, Jürgen

**Liquidity and Credit Risk**

*by*Jan ERICSSON & Olivier RENAULT

**Serial and Parallel Krylov Methods for Implicit Finite Difference Schemes Arising in Multivariate Option Pricing**

*by*Evis KËLLEZI, & Giorgio PAULETTO

**Defaultable Security Valuation and Model Risk**

*by*Aydin AKGUN,

**Informed Option Trading Strategies**

*by*de Jong, C.M.

**Constrained indirect inference estimation**

*by*Giorgio Calzorali & Gabriele Fiorentini & Enrique Sentana

**Un modèle de structure par terme des prix des matières premières avec comportement asymétrique du rendement d'opportunité**

*by*Galli, Alain & Lautier, Delphine

**Arbitrage pricing and equilibrium pricing : compatibility conditions**

*by*Napp, Clotilde & Jouini, Elyès

**The martingales: theoretical and empirical characteristics**

*by*Fabrizio Erbetta & Luca Agnello

**Arbitraging mispriced assets with separation portfolios to lessen total risk**

*by*Rodolfo Apreda

**Bayesian Forecasting of Options Prices: A Natural Framework for Pooling Historical and Implied Volatiltiy Information**

*by*Darsinos, T. & Satchell, S.E.

**International Asset Allocation: A New Perspective**

*by*Abraham Lioui & Patrice Poncet

**Recovering the Probability Density Function of Asset Prices Using GARCH as Diffusion Approximations**

*by*Fabio Fornari & Antonio Mele

**Minimax and minimal distance martingale measures and their relationship to portfolio optimization**

*by*Thomas Goll & Ludger Rüschendorf

**Black and Scholes pricing and markets with transaction costs: An example**

*by*Haim Reisman

**Stochastic flows and the forward measure**

*by*Robert J. Elliott & John van der Hoek

**A deterministic-shift extension of analytically-tractable and time-homogeneous short-rate models**

*by*Damiano Brigo & Fabio Mercurio

**The numeraire portfolio for unbounded semimartingales**

*by*Dirk Becherer

**Forward rate dependent Markovian transformations of the Heath-Jarrow-Morton term structure model**

*by*Carl Chiarella & Oh Kang Kwon

**Applications of Malliavin calculus to Monte-Carlo methods in finance. II**

*by*Eric Fournié & Jean-Michel Lasry & Pierre-Louis Lions & Jérôme Lebuchoux

**Coherent risk measures and good-deal bounds**

*by*Stefan Jaschke & Uwe Küchler

**Information Content of Implied Probability Distributions: Empirical Studies of Japanese Stock Price Index Options**

*by*Shiratsuka, Shigenori

**Interest-Rate Swaps and Arbitrage**

*by*Jiøí Málek

**Martingale Measure Method for Expected Utility Maximization in Discrete-Time Incomplete Markets**

*by*Ping Li & Jianming Xia & Jia-an Yan

**Estructura de la bolsa española e introducción del mercado de activos derivados sobre el IBEX-35**

*by*Fernández Blanco, Matilde & Farinós Viñas, José Emilio

**Using Simulated Currency Rainbow Options to Evaluate Covariance Matrix Forecasts**

*by*Byström, Hans

**The Hedging Performance of Electricity Futures on the Nordic Power Exchange Nord Pool**

*by*Byström , Hans

**Coalition-Proof Implementation of Competitive Equilibria on a Constrained Reinsurance Market**

*by*Bernis, G. & Giraud, G.

**Relations intrajournalieres entre l'indice CAC 40 et les options sur indice. Quel est le marche prefere des investisseurs informes ?**

*by*Capelle-Blancard, G. & Vandelanoite, S.

**Style Investing**

*by*Barberis, N. & Shleifer, A.

**Excessive Continuation and Dynamic Agency Costs of Debt**

*by*Decamps, J.-P. & Faure-Grimaud, A.

**On the Information Content of Futures Prices, Application to LME Nonferrous Metal Futures**

*by*MARTINOT, N. & Lesourd, J.-B. & Morard, B.

**Continuous-Time Methods in Finance: A Review and an Assessment**

*by*Sundaresan, S.M.

**An Options-Based Analysis of Emerging Market Exchange Rate Expectations: Brazil's Real Plan, 1994-1999**

*by*Campa, J.M. & Chang, P.H.K. & Refalo, J.F.

**Reaching Equilibrium in the Capital Asset Pricing Model**

*by*Flam, S.D.

**Bayesian Option Pricing using Asymmetric Garch Models**

*by*Bauwens, L. & Lubrano, M.

**Gestion de portefeuille avec garantie: l'allocation optimale en actifs derives**

*by*Bertrand, P. & lesne, J.-P. & Prigent, J.-L.

**The Government and Market Expectations**

*by*Guesnerie, R.

**A discrete stochastic model for investment with an application to the transaction costs case**

*by*Carassus, Laurence & Jouini, Elyès

**Option Valuation under Stochastic Volatility**

*by*Alan L. Lewis

**Risk premia and financial modelling without measure transformation**

*by*Platen, Eckhard

**A minimal financial market model**

*by*Platen, Eckhard

**Risk Premia and Financial Modelling Without Measure Transformation**

*by*Eckhard Platen

**Examining Intraday Returns with Buy/Sell Information**

*by*Shin-Juh Lin & Jian Yang

**The Performance of Multi-Factor Term Structure Models for Pricing and Hedging Caps and Swaptions**

*by*Driessen, J.J.A.G. & Klaassen, P. & Melenberg, B.

**Hedging Double Barriers with Singles**

*by*Sbuelz, A.

**Index Option Pricing Models with Stochastic Volatility and Stochastic Interest Rates**

*by*Jiang, G.J. & van der Sluis, P.J.

**Libor and Swap Market Models for the Pricing of Interest Rate Derivatives : An Empirical Analysis**

*by*de Jong, F.C.J.M. & Driessen, J.J.A.G. & Pelsser, A.

**Is Leverage Effective in Increasing Performance Under Managerial Moral Hazard?**

*by*Calcagno, R.

**An EVT Approach to calculating Risk Capital Requirements**

*by*Chris Brooks & Gita Persand & Andrew D. Clare

**Value at Risk and Market Crashes**

*by*Chris Brooks & Gita Persand

**Stochastic Volatility and Jumps Driven by Continuous Time Markov Chains**

*by*Kyriakos Chourdakis

**Option Pricing under Discrete Shifts in Stock Returns**

*by*Kyriakos Chourdakis & Elias Tzavalis

**Option Pricing with a Dividend General Equilibrium Model**

*by*Kyriakos Chourdakis & Elias Tzavalis

**Cephalon, Inc. Taking Risk Management Theory Seriously**

*by*George Chacko & Peter Tufano & Geoffrey Verter

**Nonparametric Risk Management and Implied Risk Aversion**

*by*Yacine Ait-Sahalia & Andrew W. Lo

**The Effectiveness of the FX Market Interventions of the Bundesbank During the Louvre Period: An Options-Based Analysis**

*by*Christian Pierdzioch

**Noise Traders'Trigger Rates, FX Options, and Smiles**

*by*Christian Pierdzioch

**Stochastic Volatility and Pricing Bias in the Swedish OMX-Index Call Option Market**

*by*Byström , Hans

**On the construction of finite dimensional realizations for nonlinear forward rate models**

*by*Björk, Tomas & Landen, Camilla

**A Geometric View of Interest Rate Theory**

*by*Björk, Tomas

**On the Term Structure of Futures and Forward Prices**

*by*Björk, Tomas & Landen, Camilla

**Informed Trading, Short Sales Constraints, and Futures' Pricing**

*by*Hietala, Pekka & Jokivuolle, Esa & Koskinen, Yrjö

**Paying for minimum interest rate guarantees: Who should compensate who?**

*by*Jensen, Bjarne Astrup & Sørensen, Carsten

**Informed Trading, Short Sales Constraints and Futures' Pricing**

*by*Hietala, Pekka & Jokivuolle, Esa & Koskinen, Yrjö

**A Model for Estimating Recovery Rates and Collateral Haircuts for Bank Loans**

*by*Jokivuolle, Esa & Peura, Samu

**From Skews to a Skewed-t**

*by*de Jong, C.M. & Huisman, R.

**Uncertainty and Real Options. Investment and Development of Fishing Resources (II)**

*by*Murillas Maza, Arantza

**Uncertainty and Real Options. Investment and Development of Fishing Resources (I)**

*by*Murillas Maza, Arantza

**Options-based analysis of emerging market exchange rate expectations: Brazil's real plan, 1994-1999, An**

*by*Campa, Jose M. & Chang, Kevin & Refalo, James F.

**Option Pricing via Utility Maximization in the presence of Transaction Costs: an Asymptotic Analysis**

*by*Bouchard, Bruno

**Price functionals with bid–ask spreads : an axiomatic approach**

*by*Jouini, Elyès

**Explicit Solution of the Multivariate Super-Replication Problem under Transaction Costs**

*by*Bouchard, Bruno & Touzi, Nizar

**An Options-Based Analysis of Emerging Market Exchange Rate Expectations: Brazil’s Real Plan, 1994-1999**

*by*Campa, José Manuel & Chang, Kevin & Refalo, James F

**Excessive continuation and Dynamic Agency Costs of Debt**

*by*Décamps, Jean Paul & Faure-Grimaud, Antoine

**The Asian Financial Crisis: The Role of Derivative Securities Trading and Foreign Investors**

*by*Eric Ghysels & Junghoon Seon

**A Tree Implementation of a Credit Spread Model for Credit Derivatives**

*by*Philipp J. Schönbucher

**Factor Models for Portofolio Credit Risk**

*by*Philipp J. Schönbucher

**A Libor Market Model with Default Risk**

*by*Philipp J. Schönbucher

**The Term Structure of Implied Volatility**

*by*Alan L. Lewis

**The Fundamental Transform (Excerpt)**

*by*Alan L. Lewis

**Introduction and Summary of Results (Excerpt)**

*by*Alan L. Lewis

**Local martingales, arbitrage, and viability**

*by*Mark Loewenstein & Gregory A. Willard

**Game options**

*by*Yuri Kifer

**A simple regime switching term structure model**

*by*Asbjørn T. Hansen & Rolf Poulsen

**Markov-functional interest rate models**

*by*Joanne Kennedy & Phil Hunt & Antoon Pelsser

**Bond pricing in a hidden Markov model of the short rate**

*by*Camilla LandÊn

**Robustness of the Black-Scholes approach in the case of options on several assets**

*by*Tiziano Vargiolu & Silvia Romagnoli

**Options on a traded account: Vacation calls, vacation puts and passport options**

*by*Steven E. Shreve & Jan Vecer

**Incompleteness of markets driven by a mixed diffusion**

*by*N. Bellamy & M. Jeanblanc

**Discrete time option pricing with flexible volatility estimation**

*by*Christian M. Hafner & Wolfgang HÄrdle

**Superreplication in stochastic volatility models and optimal stopping**

*by*RØdiger Frey

**Efficient hedging: Cost versus shortfall risk**

*by*Hans FÃllmer & Peter Leukert

**Pricing double barrier options using Laplace transforms**

*by*Antoon Pelsser

**Convergence of discrete time option pricing models under stochastic interest rates**

*by*O. Scaillet & J.-L. Prigent & J.-P. Lesne

**Local time, coupling and the passport option**

*by*Vicky Henderson & David Hobson

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

*by*O. Renault & O. Scaillet & B. Leblanc

**Comment on `Pricing double barrier options using Laplace transforms' by Antoon Pelsser**

*by*C.H. Hui & P.H. Yuen & C.F. Lo

**Opciones de Suscripción de Acciones Stock Rights**

*by*Patricia Jurfest & Salvador Zurita

**Growth Optimal Portfolio in a Market Driven by a Jump-Diffusion-Like Process or a Levy Process**

*by*Jia-an Yan & Qiang Zhang & Shuguang Zhang

**Water Management in France: Delegation and Irreversibility**

*by*Ephraim Clark & Gérard Mondello

**On the Log-Return Distribution of Index Benchmarked Share Prices**

*by*Eckhard Platen

**A Minimal Share Market Model with Stochastic Volatility**

*by*Eckhard Platen

**Return-Volume Dynamics in UK Futures**

*by*David McMillan & Alan Speight

**Innovation and Market Value**

*by*Hall, B.H.

**Minute-by-Minute Dynamics of the Australian Bond Futures Market in Response to New Macroeconomic Information**

*by*Kim, S.-J. & Sheen, J.

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

*by*Wei, J.Z. & Duan, J.C.

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

*by*Wei, J.Z. & Duan, J.C.

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

*by*McIntyre, M.

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

*by*McIntyre, M.

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

*by*Capelle-Blancard, G. & Jurczenko, E.

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

*by*Capelle-Blancard, G. & Jurczenko, E.

**The Interest Rate/FX Arbitrage Under Peg Regime: a Duffie Singleton Approach**

*by*Aspandilarov, S. & Bottazzi, J.-M.

**The Interest Rate/FX Arbitrage Under Peg Regime: a Duffie Singleton Approach**

*by*Aspandilarov, S. & Bottazzi, J.-M.

**On the Different Notions of Arbitrage and Existence of Equilibrium**

*by*Dana, R.-A. & Le Van, C. & Magnien, F.

**On the Different Notions of Arbitrage and Existence of Equilibrium**

*by*Dana, R.-A. & Le Van, C. & Magnien, F.

**Evolution of Market Uncertainty around Earnings Announcements**

*by*Isakov, D. & Perignon, C.

**Speculating on a Cure of Cander: A Non-Event that Made Stock Prices Soar**

*by*Huberman, G. & Regev, T.

**Speculating on a Cure of Cander: A Non-Event that Made Stock Prices Soar**

*by*Huberman, G. & Regev, T.

**Prevision des prix a terme du cacao et modeles ARMA non-lineaires**

*by*Bolgot, S. & Terraza, M.

**Alternative solutions of the black-sholes equation**

*by*Hortensia Fontanals Albiol & Ramon Lacayo & Josep Vives

**Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis**

*by*Hafner, Christian M. & Herwartz, Helmut

**Efficient hedging: Cost versus shortfall risk**

*by*Föllmer, Hans & Leukert, Peter

**Closed form integration of artificial neural networks with some applications**

*by*Gottschling, Andreas & Haefke, Christian & White, Halbert

**Digital Contracts: Simple Tools for Pricing Complex Derivatives**

*by*Jonathan E. Ingersoll Jr.

**Do Call Prices and the Underlying Stock Always Move in the Same Direction?**

*by*Charles Quanwei Cao & Gurdip S. Bakshi & Zhiwu Chen

**A short history of the VOLAX - or how we tried to trade implied volatility (Krotka historia VOLAX-u - czyli jak probowano handlowac implikowana zmiennoscia)**

*by*Tomasz Garlinski & Rafal Weron

**Utility based pricing of contingent claims**

*by*A. Gamba & P. Pellizzari

**Credit Enhancement through Financial Engineering: Freeport-McMoRan's Gold-Denominated Depository Shares**

*by*N. K. Chidambaran & Chitru S. Fernando & Paul A. Spindt

**Local volatility changes in the black-scholes model**

*by*Hans Peter Bermin & Arturo Kohatsu

**Performance of Delta-hedging strategies in interval models - A robustness study**

*by*Roorda, B. & Engwerda, J.C. & Schumacher, J.M.

**The Joint Estimation of Term Structures and Credit Spreads**

*by*Patrick Houweling & Jaap Hoek & Frank Kleibergen

**A Structural Model of the Term Structure of Credit Spreads with Stochastic Recovery and Contractual Design**

*by*Hugues Pirotte

**Implementing a Structural Valuation Model of Swap Credit-Sensitive Rates**

*by*Hugues Pirotte

**Australian Banking Risk: The Stock Market’s Assessment and the Relationship Between Capital and Asset Volatility**

*by*Marianne Gizycki & Brenton Goldsworthy

**Predicting monetary policy using federal funds future prices**

*by*Söderström, Ulf

**On the Existence of Finite Dimensional Realizations for Nonlinear Forward Rate Models**

*by*Björk, Tomas & Svensson, Lars

**A Note on Contingent Claims Pricing with Non-Traded Assets**

*by*Ericsson, Jan & Reneby, Joel

**Predicting monetary policy using federal funds futures prices**

*by*Söderström, Ulf

**Die Berechnung von Passport-Optionen mit Finiten Elementen**

*by*Topper, Jürgen

**A Semiparametric Estimation of Liquidity Effects on Option Pricing**

*by*Ferreira García, María Eva & Gago, Mónica & Rubio Irigoyen, Gonzalo

**The Development of the State Bond Market**

*by*Ivanter Alexander & Peresetsky Anatoly

**Pricing of non-redundant derivatives in a complete market**

*by*Jouini, Elyès & Bizid, Abdelhamid & Koehl, Pierre-François

**Viability and equilibrium in securities markets with frictions**

*by*Jouini, Elyès & Kallal, Hedi

**Option Pricing with Discrete Rebalancing**

*by*Prigent, J.-L. & Renault, O. & Scaillet, O.

**Asymmetries of information in centralized order-driven markets**

*by*Boccard, N. & Calcagno, R.

**UDROP: A Small Contribution to the New International Financial Architecture**

*by*Buiter, Willem H. & Sibert, Anne

**A New Class of Stochastic Volatility Models with Jumps: Theory and Estimation**

*by*Mikhail Chernov & A. Ronald Gallant & Eric Ghysels & George Tauchen

**The Valuation of Volatility Options**

*by*Jérôme B. Detemple & Carlton Osakwe

**The Pricing of Derivatives on Assets with Quadratic Volatility**

*by*Christian Zuehlsdorff

**Valuation of Barrier Options in a Black--Scholes Setup with Jump Risk**

*by*Dietmar P.J. Leisen

**Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives**

*by*Dudenhausen, Antje & Erik Schloegl & Lutz Schloegl

**Pricing Interest Rate Derivatives in a Non-Parametric Two-Factor Term-Structure Model**

*by*Knight, John & Li, Fuchun & Yuan, Mingwei

**Some recent developments in capital market theory: A survey**

*by*Richard C. Stapleton

**On dynamic measures of risk**

*by*Ioannis Karatzas & Jaksa Cvitanic

**Minimal realizations of interest rate models**

*by*Tomas BjÃrk & Andrea Gombani

**Applications of Malliavin calculus to Monte Carlo methods in finance**

*by*Eric Fournié & Jean-Michel Lasry & Pierre-Louis Lions & Jérôme Lebuchoux & Nizar Touzi

**Convergence of strategies: An approach using Clark-Haussmann's formula**

*by*Jan Pedersen

**Exercise regions of American options on several assets**

*by*Stephane Villeneuve

**Quantile hedging**

*by*Hans FÃllmer & Peter Leukert

**Connecting discrete and continuous path-dependent options**

*by*Paul Glasserman & S.G. Kou & Mark Broadie

**A closed-form solution to the problem of super-replication under transaction costs**

*by*HuyËn Pham & Nizar Touzi & Jaksa Cvitanic

**Opcióárazás numerikus módszerekkel**

*by*Benedek, Gábor

**Market Price Analysis and Risk Management for Convertible Bonds**

*by*Ohtake, Fuminobu & Oda, Nobuyuki & Yoshiba, Toshinao

**Extracting Market Expectations from Option Prices: Case Studies in Japanese Option Markets**

*by*Nakamura, Hisashi & Shiratsuka, Shigenori

**Currency Options And Trade Smoothing Under An Exchange Rate Regime Shift**

*by*Alexis Derviz

**In Honor of the Nobel Laureates Robert C. Merton and Myron S. Scholes: A Partial Differential Equation That Changed the World**

*by*Robert A. Jarrow

**How well do classical credit risk pricing models fit swap transaction data?**

*by*Hugues Pirotte & Didier Cossin

**Temporal Aggregation, Volatiilty Components and Volume in HIgh Frequency UK Bond Futures**

*by*David G McMillan & Alan EH Speight

**Variance Decomposition of Stock Returns and Dividend Imputation System**

*by*Wu, P.X.

**Estimating the Equity Risk Premium and Equity Costs: New Ways of Looking at Old Data**

*by*Booth, L.

**Estimating the Equity Risk Premium and Equity Costs: New Ways of Looking at Old Data**

*by*Booth, L.

**Les opérations de metallgesellschaft sur les marchés à terme de produits pétroliers : spéculation ou couverture ?**

*by*Lautier, Delphine

**Dynamics of the term structure on interest rates: a two-factor model**

*by*Hortensia Fontanals Albiol & Merche Galisteo & Lourdes Gomez del Valle

**Quantile hedging**

*by*Föllmer, Hans & Leukert, Peter

**Pricing and Hedging Long-Term Options**

*by*Charles Quanwei Cao & Gurdip S. Bakshi & Zhiwu Chen

**Self-similar models in risk theory**

*by*Krzysztof Burnecki

**Do Brokers Misallocate Customer Trades? Evidence From Futures Markets**

*by*Hun Y. Park & Asani Sarkar & Lifan Wu

**Autobiography**

*by*Scholes, Myron S.

**Autobiography**

*by*Merton, Robert C.

**Is after-hours trading informative?**

*by*Ulibarri, Carlos A.

**Optimal Investment, Growth Options, and Security Returns**

*by*Jonathan Berk & Richard C. Green & Vasant Naik

**Finite Element Modelling of Exotic Options**

*by*Topper, Jürgen

**A Comparative Study of Structural Models of Corporate Bond Yields: An Exploratory Investigation**

*by*Anderson, Ronald & Sundaresan, Suresh

**Direct Estimation of the Risk Neutral Factor Dynamics of Affine Term Structure Models**

*by*Bams, Dennis & Schotman, Peter C

**Reading Interest Rate and Bond Futures Options' Smiles Around the 1997 French Snap Election**

*by*Coutant, Sophie & Jondeau, Eric & Rockinger, Michael

**Extracting Expectations about 1992 UK Monetary Policy from Option Prices**

*by*Söderlind, Paul

**What Data Should Be Used to Price Options?**

*by*Mikhail Chernov & Eric Ghysels

**Why Is the Bid Price Greater than the Ask? Price Discovery during the Nasdaq Pre-Opening**

*by*Charles Cao & Eric Ghysels & Frank Hatheway

**Building a Consistent Pricing Model from Observed Option Prices**

*by*Laurent, Jean-Paul & Dietmar P.J. Leisen

**Pseudo--Arbitrage - A new Approach to Pricing and Hedging in Incomplete Markets**

*by*Daniel Sommer

**Asian Exchange Rate Options under Stochastic Interest Rates: Pricing as a Sum of Delayed Payment Options**

*by*Nielsen, J.A. & Sandmann, K.

**Estimating Gram-Charlier Expansions with Positivity Constraints**

*by*Jondeau, E. & Rockinger, M.

**Reading Interest Rate and Bond Futures Options' Smiles: How PIBOR and National Operators Appreciated the 1997 French Snap Election**

*by*Coutant, S. & Jondeau, E. & Rockinger, M.

**Lévy processes in finance: a remedy to the non-stationarity of continuous martingales**

*by*Marc Yor & Boris Leblanc

**Option pricing with transaction costs and a nonlinear Black-Scholes equation**

*by*Halil Mete Soner & Guy Barles

**Path dependent options on yields in the affine term structure model**

*by*Olivier Scaillet & Boris Leblanc

**Robust hedging of the lookback option**

*by*David G. Hobson

**Functional convergence of Snell envelopes: Applications to American options approximations**

*by*Maurizio Pratelli & Sabrina Mulinacci

**Implied interest rate pricing models**

*by*J.E. Kennedy & P.J. Hunt

**Local martingales and the fundamental asset pricing theorems in the discrete-time case**

*by*J. Jacod & A.N. Shiryaev

**Hedging American contingent claims with constrained portfolios**

*by*Ioannis Karatzas & (*), S. G. Kou

**Volatility of the short rate in the rational lognormal model**

*by*Lisa R. Goldberg

**Perfect option hedging for a large trader**

*by*RØdiger Frey

**Swap Credit Risk: An Empirical Investigation on Transaction Data**

*by*Hugues Pirotte & Didier Cossin

**Looking for Spot in the Presence of Futures**

*by*Krishna Ramaswamy & Patrick Waldron

**Swap Credit Risk: An Empirical Investigation on Transaction Data**

*by*Hugues Pirotte & Didier Cossin

**The Volatility Smile and Yield Curve: Probability Densities Implicit in ERM/$ Options**

*by*Bruce Mizrach

**Bayesian Arbitrage Threshold Analysis**

*by*Forbes, C.S. & Kalb, G.R.J. & Kofman, P.

**Quarterly Earnings Announcements and the Lead/Lag Relationship between the Stock and Option Markets**

*by*Itzhak Krinsky & Jason Lee

**Market Expectations in the UK Before and After the ERM Crisis**

*by*Söderlind, Paul

**Etude des effets de l'introduction d'option sur le marche des action sous-jacentes, exemen empirique sur la Soffex**

*by*Perignon, C.

**Option Pricing with a General Market Point Process**

*by*Prigent, J.L.

**Incomplete Markets: Convergence of Options Values under the Minimal Martingale Measure. The Multidimensional Case**

*by*Prigent, J.L.

**Convergence of Discrete Time Options Pricing Models under Stochastic Rates**

*by*Lesne, J.P. & Prigent, J.L. & Scaillet, O.

**An Equilibrium Model with Restricted Stock Market Participation**

*by*Basak, S & Cuoco, D

**Couts de transaction, contraintes de vente a decouvert et taxes: une approche unifiee**

*by*Carassus, L. & Jouini, E.

**The Cross Section of Common Stock Returns: A Review of the Evidence and Some New Findings**

*by*Hawawini, G. & Keim, D.B.

**Pricing the Gamble for Resurrection and the Consequences of Renegotiation and Debt Design**

*by*Decamps, J.-P. & Faure-Grimaud, A.

**How Efficient Markets Undervalue Stocks: CAPM and ECMH Under Conditions of Uncertainty and Disagreement**

*by*Stout, L.A.

**Etude des effets de l'introduction d'option sur le marche des action sous-jacentes, exemen empirique sur la Soffex**

*by*Perignon, C.

**Is Beta Still Alive? Conclusive Evidence from the Swiss Stock market**

*by*Isakov, D.

**Foreign Ownership Restrictions and Equity price Premiums: Explaining the High Cost of International Diversification**

*by*Bailey, W. & Peter, C.Y. & Jun-Koo, K.

**Asymmetric Price Distribution and Bid-Ask Quotes in the stock options Market**

*by*Chan, K. & Peter, C.Y.

**Bayesian Option Pricing Using Asymmetric GARCH**

*by*Bauwens, L. & Lubrano, M.

**A Decision Theoretic Approach to Bid-Ask Spreads**

*by*Kast, R. & Lapied, A.

**Incomplete markets, transaction costs and liquidity effects**

*by*Jouini, Elyès & Touzi, Nizar & Koehl, Pierre-François

**Pricing and Hedging of Contingent Claims in Term Structure Models with Exogenous Issuing of New Bonds**

*by*Sommer, Daniel

**A variational approach for pricing options and corporate bonds**

*by*Jean-Charles Rochet & Jean-Paul DÊcamps

**Empirical Performance of Alternative Option Pricing Models**

*by*Charles Quanwei Cao & Gurdip S. Bakshi & Zhiwu Chen

**PSA Duration: Conquering the Prepayment Risk of Mortgage Portfolios**

*by*Boleslav Gulko

**Empirical Performance of Alternative Option Pricing Models**

*by*Charles Quanwei Cao & Gurdip S. Bakshi & Zhiwu Chen

**No-Arbitrage Bounds on Contingent Claims Prices with Convex Constraints on the Dollar Investments of the Hedge Portfolio**

*by*Claus Munk

**The Random-Time Binomial Model**

*by*Dietmar P.J. Leisen

**Options on a Stock with Market-Dependent Volatility**

*by*J. Chalupa

**The Random Yield Curve and Interest Rate Options**

*by*Meifang Chu

**Multifactor Generalization of "Discount-Bond Derivatives on a Recombining Binomial Tree"**

*by*J. Chalupa

**Discount-Bond Derivatives on a Recombining Binomial Tree**

*by*J. Chalupa

**On the relevance of modeling volatility for pricing purposes**

*by*Manuel Moreno

**Exchange rate target zones : A new approach**

*by*de Jong, F.C.J.M. & Drost, F.C. & Werker, B.J.M.

**New Evidence on Price and Volatility Effects of Stock Option Introductions**

*by*Kabir, M.R.

**Analyzing specification errors in models for futures risk premia with hedging pressure**

*by*de Roon, F.A. & Nijman, T.E. & Veld, C.H.

**Derivatives in a Dynamic Environment**

*by*Scholes, Myron S.

**Applications of Option-Pricing Theory: Twenty-Five Years Later**

*by*Merton, Robert C.

**Equilibrium Valuation of Options on the Market Portfolio with Stochastic Volatility and Return Predictability**

*by*Melanie Cao

**Equilibrium Valuation of Currency Options in a Small Open Economy**

*by*Melanie Cao

**Pricing and Hedging Derivative Securities in Incomplete Markets: An E-Aritrage Model**

*by*Dimitris Bertsimas & Leonid Kogan & Andrew W. Lo

**Optimal Risk Management Using Options**

*by*Dong-Hyun Ahn & Jacob Boudoukh & Matthew Richardson & Robert F. Whitelaw

**The Forecasting Ability of Correlations Implied in Foreign Exchange Options**

*by*Jose M. Campa & P. H. Kevin Chang

**Heterogeneous Information Arrival and Option Pricing**

*by*Patrick K. Asea & Mthuli Ncube

**An Efficient Generalized Discrete-Time Approach to Poisson-Gaussian Bond Option Pricing in the Heath-Jarrow-Morton Model**

*by*Sanjiv Ranjan Das

**The Significance of the Market Portfolio**

*by*Stefano Athanasoulis & Robert J. Shiller

**Minimal Realizations of Forward Rates**

*by*Björk, Tomas & Gombani, Andrea

**Variance Optimal Cap Pricing Models**

*by*Laurent, J.P. & Scaillet, O.

**Multiregime Term Structure Models**

*by*Gouriéroux, C. & Scaillet, O.

**Debt Valuation and Marketability Risk**

*by*Tychon, Pierre & Vannetelbosch, Vincent J.

**Optimal Determination of Bookmakers' Betting Odds: Theory and Tests**

*by*Fingleton, John & Waldron, Patrick

**New Techniques to Extract Market Expectations from Financial Instruments**

*by*Söderlind, Paul & Svensson, Lars E O

**Manipulation of Metals Futures: Lessons from Sumitomo**

*by*Gilbert, Christopher L

**Bayesian option pricing using asymmetric GARCH**

*by*BAUWENS, LUC & LUBRANO, Michel

**Nonparametric Methods and Option Pricing**

*by*Eric Ghysels & Valentin Patilea & Éric Renault & Olivier Torrès

**Derivative Asset Analysis in Models with Level-Dependent and Stochastic Volatility**

*by*Frey, Rüdiger

**The Random-Time Binomial Model**

*by*Leisen, Dietmar

**A Tractable Term Structure Model with Endogenous Interpolation and Positive Interest Rates**

*by*Schloegl, Erik & Lutz Schloegl

**Factor Models and the Shape of the Term Structure**

*by*Schloegl, Erik & Daniel Sommer

**Models of Compelxity in Economics and Finance**

*by*Brock, W.A. & Hommes, C.H.

**General trigger values of optimal investment**

*by*VANDENBROUCKE, Jürgen

**Fast accurate binomial pricing**

*by*L.C.G. Rogers & E.J. Stapleton

**A note on the forward measure**

*by*Mark Davis

**A note on pricing interest rate derivatives when forward LIBOR rates are lognormal**

*by*Beniamin Goldys

**Option pricing in the presence of natural boundaries and a quadratic diffusion term (*)**

*by*Sven Rady

**LIBOR and swap market models and measures (*)**

*by*Farshid Jamshidian

**A note on the existence of unique equivalent martingale measures in a Markovian setting**

*by*Tina Hviid Rydberg

**On Leland's strategy of option pricing with transactions costs**

*by*Yuri M. Kabanov & (*), Mher M. Safarian

**Weighted norm inequalities and hedging in incomplete markets**

*by*Martin Schweizer & Christophe Stricker & Freddy Delbaen & Pascale Monat & Walter Schachermayer

**On the range of options prices (*)**

*by*Ernst Eberlein & Jean Jacod

**Tax Effects in Canadian Equity Option Markets**

*by*Moshe Arye Milevsky & Eliezer Z. Prisman

**Optimal Determination of Bookmakers' Betting Odds: Theory and Tests**

*by*John Fingleton & Patrick Waldron

**Did Option Prices Predict the ERM Crises?**

*by*Bruce Mizrach

**Institutional Holdings and Trading Volume Reactions to Quarterly Earnings Announcements**

*by*J.B. Kim & I. Krinsky & J. Lee

**New Techniques to Extract Market expectations from Financial Instruments**

*by*Söderlind, Paul & Svensson, Lars E.O.

**Interest Rate Theory - CIME Lectures 1996**

*by*Björk, Tomas

**The Short Term Price Performance of Initial Public Offerings of Common Stock: Australia 1991-1994**

*by*Kearney, C. & Sadeghi, M.

**Volatility in the Nikkei Stock Market Index; Causes and International Transmission**

*by*Kearney, C. & Kelly, B.

**Market Risk, Corporate Governance & the Regulation of Financial Firms**

*by*Casson, P.

**EU Capital Requirements and the Level Playing Field**

*by*Dale, R. & Wolfe, S.

**Approximating the Asset Pricing Kernel**

*by*Chapman, D.A.

**A Market-Based Evaluation of Discretionary-Accrual Models**

*by*Guay, W. & Kothari, S.P. & Watts, R.L.

**The Analysis of VAR, Deltas and State Prices: A New Approach**

*by*Grundy, B.D. & Wiener, Z.

**The Stability of ARCH Models Across Australian Financial Markets**

*by*Lee, J. & Brooks, R.

**The Impact of the Return Interval on The estimation of Systematic Risk in Australia**

*by*Jesev, T. & Brailsford, T.

**Forecasting the S&P500: A Disequilibrium Indicator**

*by*Davidson, S. & Meyer, S.

**Further Evidence on the Relationship between Beta Stability and the length of the Estimation Period**

*by*Faff, R. & Brooks, R.

**A P.D.E. Approach to Asian Options: Analytical and Numerical Evidence**

*by*Alziary, B. & Decamps, J-P. & Koehl, P-F.

**Do Noise Traders Influence Stock Prices**

*by*Kelly, M.

**Pricing American-Style Securities Using Simulation**

*by*Broadie, M. & Glasserman, P.

**Settlement, Tax and Non-Synchronous Effects in the Basis of U.K. Stock Index Futures**

*by*Theobald, M. & Yallup, P.

**The Timing of Arbitrage: An Option Approach**

*by*Lambrecht, B.

**Endogenous uncertainty in a general equilibrium model with price contingent contracts (*)**

*by*Ho-Mou Wu & Mordecai Kurz

**Equilibrium Valuation of Foreign Exchange Claims**

*by*Gurdip S. Bakshi & Zhiwu Chen

**An Alternative Valuation Model for Contingent Claims**

*by*Gurdip S. Bakshi & Zhiwu Chen

**The Pricing of Foreign Currency Futures Options**

*by*Chang Mo Ahn

**Equilibrium Valuation of Foreign Exchange Claims**

*by*Gurdip S. Bakshi & Zhiwu Chen

**Randomization and the American Put**

*by*Peter Carr

**Option Valuation and the Price of Risk**

*by*John Chalupa

**Improving Value-At-Risk Estimates By Combining Kernel Estimation With Historical Simulation**

*by*J. S. Butler & Barry Schachter

**Bootstrap Results From the State Space From Representation of the Heath-Jarrow-Morton Model**

*by*Ram Bhar & Carl Chiarella

**A two-mean reverting-factor model of the term structure of interest rates**

*by*Manuel Moreno

**Optimal regulation of a fully insured deposit banking system**

*by*Xavier Freixas & Emmanuelle Gabillon

**Intraday Lead-Lag Relationships between the Futures-, Options and Stock Market**

*by*de Jong, F.C.J.M. & Donders, M.W.M.

**Markets with endogenous uncertainty: theory and policy**

*by*Chichilnisky, Graciela

**Noncommercial Trading in the Energy Futures Market**

*by*Dale, Charles & Zyren, John

**Implied Volatility Functions: Empirical Tests**

*by*Bernard Dumas & Jeff Fleming & Robert E. Whaley

**Towards a General Theory of Bond Markets**

*by*Björk, Tomas & di Masi, Giovanni & Kabanov, Yuri & Runggaldier, Wolfgang

**Stock Options as Barrier Contingent Claims**

*by*Ericsson, Jan & Reneby, Joel

**Diversified Portfolios in Continuous Time**

*by*Björk, Tomas & Näslund, Bertil

**Numerical analysis of strategic contingent claims models**

*by*Anderson, Ronald W. & Tu, Cheng

**Default risk in asset pricing**

*by*Mella-Baral, Pierre & Tychon, Pierre

**Implied Volatility Functions: Empirical Tests**

*by*Dumas, Bernard J & Fleming, Jeff & Whaley, Robert E

**American Options with Stochastic Dividends and Volatility: A Nonparametric Investigation**

*by*Mark Broadie & Jérôme B. Detemple & Eric Ghysels & Olivier Torrès

**Nonparametric Estimation of American Options Exercise Boundaries and Call Prices**

*by*Mark Broadie & Jérôme B. Detemple & Eric Ghysels & Olivier Torrès

**Arbitrage Based Pricing When Volatility Is Stochastic**

*by*Peter Bossaert & Eric Ghysels & Christian Gouriéroux

**Lognormality of Rates and Term Structure Models**

*by*Goldys, B. & M. Musiela & D. Sondermann

**The Term Structure of Defaultable Bond Prices**

*by*Schönbucher, Philipp J.

**Continuous-Time Term Structure Models**

*by*Musiela, Marek & Marek Rutkowski

**The Pricing and Hedging of Options in Finitely Elastic Markets**

*by*Frey, Rüdiger

**Pricing the American Put Option: A Detailed Convergence Analysis for Binomial Models**

*by*Leisen, Dietmar

**Derivatives Activity at Troubled Banks**

*by*Joe Peek & Eric S. Rosengren

**On a general class of one-factor models for the term structure of interest rates (*)**

*by*W.M. Schmidt

**Kamatparitás lebegő és csúszó leértékeléses árfolyamrendszerben**

*by*Barabás, Gyula

**Kamatkülönbség és árfolyam-várakozások az előre bejelentett kúszó árfolyamrendszerben**

*by*Darvas, Zsolt

**Imperfect Information, Money and Economic Growth**

*by*Ho, W.H.

**The Determination of Stock Market Volatility and Its International Transmission**

*by*Kearney, C.

**Do Managed Futures Make Good Investments?**

*by*Edwards, F.R. & Park, J.M.

**Mutual Funds and Financial Stability**

*by*Edwards, F.R.

**Derivatives and the Efficient Allocation of Price Risks in a General Equilibrium World**

*by*Heal, G.

**Separation and Hedging Results with State-Contingent Production**

*by*Chambers, R.G. & Quiggin, J.

**Altruism and Determinacy of Equilibria in Overlapping Generations Models with Externalities**

*by*Venditti, A.

**Discrete Time Option Pricing with Bid-Ask Spreads**

*by*Kast, R. & Lapied, A.

**Estimation of Continuous Time Models for Stock Returns and Interest Rates**

*by*Tauchen, George E. & Gallant, A. Ronald

**Specification Analysis of Continuous Time Models in Finance**

*by*Gallant, A. Ronald & Tauchen, George E.

**Arbitrage in securities markets with short-sales constraints**

*by*Jouini, Elyès & Kallal, Hedi

**Martingales and arbitrage in securities markets with transaction costs**

*by*Kallal, Hedi & Jouini, Elyès

**Approximation Pricing and the Variance-Optimal Martingale Measure**

*by*Schweizer, Martin

**Convergence of Option Values under Incompleteness**

*by*Runggaldier, Wolfgang J. & Martin Schweizer

**Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices**

*by*Yacine Ait-Sahalia & Andrew W. Lo

**Testing Option Pricing Models**

*by*David S. Bates

**Banks and Derivatives**

*by*Gary Gorton & Richard Rosen

**A Framework for Valuing Corporate Securities**

*by*Ericsson, Jan & Reneby, Joel

**Bond markets where prices are driven by a general marked point process**

*by*Björk, T. & Kabanov, Y. & Runggaldier, W.

**Uniqueness of the Fair Premium for Equity-Linked Life Insurance Contracts**

*by*Nielsen, J. Aase & Klaus Sandmann

**The Pricing of Asian Options under Stochastic Interest Rates**

*by*Nielsen, J. A. & K. Sandmann

**Market Volatility and Feedback Effects from Dynamic Hedging**

*by*Frey, Rüdiger & Alexander Stremme

**Binomial Models for Option Valuation - Examining and Improving Convergence**

*by*Leisen, D. P. J. & M. Reimer

**A Systematic Approach to Pricing and Hedging of International Derivatives with Interest-Rate Risk**

*by*Frey, Rüdiger & Daniel Sommer

**Equity-linked life insurance - a model with stochastic interest rates**

*by*Nielsen, J. Aase & Klaus Sandmann

**A Discrete Time Approach for European and American Barrier Options**

*by*K. Sandmann & Reimer, M.

**The Direct Approach to Debt Option Pricing**

*by*K. Sandmann & Sandmann, K.

**On Smile and Skewness**

*by*Platen, Eckhard & Martin Schweizer

**Closed form representations for the minimal hedging portfolios of American type contingent claims**

*by*A. N. Vishnyakov & Kramkov, D.O.

**On the Approximation of Random Variables by Stochastic Integrals with Respect to Semimartingales**

*by*Christopeit, Norbert

**Put-call parities and the value of early exercise for put options on a performance index**

*by*de Roon, F.A. & Veld, C.H.

**Contingent Claims Valued And Hedged By Pricing And Investing In A Basis**

*by*Frank Milne & Dilip Madan

**Implementing Option Pricing Models When Asset Returns Are Predictable**

*by*Andrew W. Lo & Jiang Wang

**A Nonparametric Approach to Pricing and Hedging Derivative Securities Via Learning Networks**

*by*James M. Hutchinson & Andrew W. Lo & Tomaso Poggio

**The Valuation of American Options on Multiple Assets**

*by*Mark Broadie & Jérôme B. Detemple

**American Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methods**

*by*Mark Broadie & Jérôme B. Detemple

**American Capped Call Options on Dividend Paying Assets**

*by*Mark Broadie & Jérôme B. Detemple

**Closed Form Solutions for Term Structure Derivatives with Log-Normal Interest Rates**

*by*Miltersen, K. & K. Sandmann & D. Sondermann

**Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets**

*by*Kramkov, D.O.

**On Short Rate Processes and Their Implications for Term Structure Movements**

*by*Schlögl, Erik & Daniel Sommer

**Closed Form Term Structure Derivatives in a Heath-Jarrow- Morton Model with Log-Normal Annually Compounded Interest Rates**

*by*D. Sondermann & K. Miltersen

**On the Stability of Log-Normal Interest Rate Models and the Pricing of Eurodollar Futures**

*by*D. Sondermann & Sandmann, K.

**Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in thePHLX Deutschemark Options**

*by*David S. Bates

**Realignment Risk and Currency Option Pricing in Target Zones**

*by*Bernard Dumas & L. Peter Jennergren & Bertil Naslund

**Measuring Asset Values for Cash Settlement in Derivative Markets: Hedonic Repeated Measures indices and Perpetual Futures**

*by*Robert J. Shiller

**Optimal Hedging under Forward-Looking Behavior**

*by*Sergio H. Lence & Dermot J. Hayes

**A Term Structure Model and the Pricing of Interest Rate Derivative**

*by*K. Sandmann & Sondermann, D.

**On the use of the Black & Scholes model in a stochastic interest rate economy**

*by*Krister Rindell

**Existence and optimality of equilibria in markets with tradeable derivative securities**

*by*Henrotte,Philippe

**Unit root behavior in energy futures prices**

*by*Serletis, Apostolos

**Option Introduction and Liquidity Changes in the OTC/NASDAQ Equity Market**

*by*Rich Fortin & Judy Maese

**The Information Content of Prices in Derivative Security Markets**

*by*Louis O. Scott

**On the behaviour of the Finnish stock index options markets**

*by*Vesa Puttonen

**Option Pricing With V. G. Martingale Components**

*by*Frank Milne & Dilip Madan

**Economics of Energy Futures Markets**

*by*Dale, Charles

**The Multinomial Option Pricing Model and Its Brownian and Poisson Limits**

*by*Frank Milne & Dilip Madan & Hersh Shefrin

**The Pricing Mechanism of Primary Commodities since the 1970s**

*by*Kuchiki, Akifumi

**Minimum Chi-Square and Three-Stage Least Squares in Fixed Effects Models**

*by*Joshua Angrist

**Manipulations and repeated games in future markets**

*by*Chichilnisky, Graciela

**Red-Meat Price Policy in Egypt**

*by*Soliman, Ibrahim

**Measuring patterns of price movements in the Treasury bill futures market**

*by*Dale, Charles & Workman, Rosemarie

**The Hedging Effectiveness of Currency Futures Markets**

*by*Dale, Charles

**Usefulness of Treasury Bill Futures as Hedging Instruments**

*by*Cicchetti, Paul & Dale, Charles & Vignola, Anthony

**The Efficiency of the Treasury Bill Futures Market: An Analysis of Alternative Specifications**

*by*Vignola, Anthony & Dale, Charles

**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 Nelson-Siegel Model of the Term Structure of Option Implied Volatility and Volatility Components**

*by*Qian Han & Bin Zhao

**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

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

*by*Patrick Leoni & Stéphane Luchini

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

*by*Patrick Leoni & Stéphane 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

**La volatilité des prix du pétrole**

*by*Chevalier, Jean-Marie

**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