## 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.

**Variance swap payoffs, risk premia and extreme market conditions**

*by*Jeroen V.K. Rombouts & Lars Stentoft & Francesco Violante

**The effectiveness of seasonal investments in European Share Portfolios**

*by*Heidorn, Thomas & Maier, F. & Winker, M.

**Illiquidity transmission from spot to futures markets**

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

**A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors**

*by*Mesias Alfeus & Martino Grasselli & Erik Schlögl

**Investing for the Long Run**

*by*Dietmar P.J. Leisen & Eckhard Platen

**GARCH option pricing models with Meixner innovations**

*by*Fengler, Matthias & Melnikov, Alexander

**In the Nick of Time: A Heteroskedastic SVAR Model and Its Application to the Crude Oil Futures Market**

*by*Sun, Hang & Bos, Jaap W.B. & Li, Zhuo

**A Stochastic Factor Model for Risk Management of Commodity Derivatives**

*by*Zi-Yi Guo

**The Role of Economic and Financial Uncertainties in Predicting Commodity Futures Returns and Volatility: Evidence from a Nonparametric Causality-in-Quantiles Test**

*by*Mehmet Balcilar & Walid Bahloul & Juncal Cunado & Rangan Gupta

**Factor Pricing in Commodity Futures and the Role of Liquidity**

*by*Chong, Terence Tai Leung & Tsui, Chun & Chan, Wing Hong

**Une perspective macroprudentielle pour la stabilité financière**

*by*Pinshi Paula, Christian

**A Reconsideration of the Equity Premium Puzzle**

*by*Cantillo, Miguel

**Une perspective macroprudentielle pour la stabilité financière**

*by*Pinshi, Christian

**Dynamic bankruptcy procedure with asymmetric information between insiders and outsiders**

*by*Michi Nishihara & Takashi Shibata

**Price Uncertainty and Price-Contingent Securities**

*by*Geoffrey Heal

**Mispriced Index Option Portfolios**

*by*George M. Constantinides & Michal Czerwonko & Stylianos Perrakis

**Taper Tantrums: QE, its Aftermath and Emerging Market Capital Flows**

*by*Anusha Chari & Karlye Dilts Stedman & Christian Lundblad

**Sharing R&D Risk in Healthcare via FDA Hedges**

*by*Adam Jørring & Andrew W. Lo & Tomas J. Philipson & Manita Singh & Richard T. Thakor

**Costs of capital under credit risk**

*by*Peter Reichling & Anastasiia Zbandut

**Hedging spark spread risk with futures**

*by*Beatriz Martínez Martínez & Hipolit Torro Enguix

**Information Aggregation in a Prediction Market for Climate Outcomes**

*by*Elmira Aliakbari & Ross McKitrick

**Firm-Specific Risk-Neutral Distributions : The Role of CDS Spreads**

*by*Sirio Aramonte & Mohammad Jahan-Parvar & Samuel Rosen & John W. Schindler

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

*by*Geert Bekaert & Eric Engstrom & Andrey Ermolov

**The TIPS Liquidity Premium**

*by*Andreasen, Martin M. & Christensen, Jens H. E. & Riddell, Simon

**Is There an On-the-Run Premium in TIPS?**

*by*Christensen, Jens H. E. & Lopez, Jose A. & Shultz, Patrick

**Estimating Loss Given Default from CDS under Weak Identification**

*by*Liu, Lily Y.

**Continuous-time perpetuities and time reversal of diffusions**

*by*Constantinos Kardaras & Scott Robertson

**A comment on Wu and Xia (2016) from a macroeconomic perspective**

*by*Leo Krippner

**Identifying Speculative Demand Shocks in Commodity Futures Markets through Changes in Volatility**

*by*Michael Hachula & Malte Rieth

**Examining the Common Dynamics of Commodity Futures Prices**

*by*Christian Gross

**Corporate Debt Maturity Profiles**

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

**Market Discipline Through Credit Ratings and Too-Big-To-Fail in Banking?**

*by*Sascha KOLARIC & Florian KIESEL & Steven ONGENA

**Market Discipline Through Credit Ratings and Too-Big-To-Fail in Banking?**

*by*Sascha KOLARIC & Florian KIESEL & Steven ONGENA

**Market Discipline Through Credit Ratings and Too-Big-To-Fail in Banking?**

*by*Sascha KOLARIC & Florian KIESEL & Steven ONGENA

**Product Market Competition and Option Prices**

*by*Erwan Morellec & Alexei Zhdanov

**Price Discovery in Some Primary Commodity Markets in India**

*by*Raushan Kumar

**Is there accuracy of forward freight agreements in forecasting future freight rates? An empirical investigation**

*by*Evangelia Kasimati & Nikolaos Veraros

**Borderline: judging the adequacy of return distribution estimation techniques in initial margin models**

*by*Houllier, Melanie & Murphy, David

**An indicator of inflation expectations anchoring**

*by*Filippo Natoli & Laura Sigalotti

**The eurozone (expected) inflation: an option’s eyes view**

*by*Ricardo Gimeno & Alfredo Ibáñez

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

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

**Hedging under generalized good-deal bounds and model uncertainty**

*by*Dirk Becherer & Klebert Kentia

**General economic equilibrium with financial markets and retainability**

*by*A. Jofré & R. T. Rockafellar & R. J-B. Wets

**The real miss-specification in the forward rate premium puzzle**

*by*Amit K. Sinha & Philip A. Horvath & Robert C. Scott

**The role of measurability in game-theoretic probability**

*by*Vladimir Vovk

**The space of outcomes of semi-static trading strategies need not be closed**

*by*Beatrice Acciaio & Martin Larsson & Walter Schachermayer

**Change of numeraire in the two-marginals martingale transport problem**

*by*Luciano Campi & Ismail Laachir & Claude Martini

**The scaling limit of superreplication prices with small transaction costs in the multivariate case**

*by*Peter Bank & Yan Dolinsky & Ari-Pekka Perkkiö

**Watermark options**

*by*Neofytos Rodosthenous & Mihail Zervos

**Arbitrage-free pricing of multi-person game claims in discrete time**

*by*Ivan Guo & Marek Rutkowski

**Model uncertainty and the pricing of American options**

*by*David Hobson & Anthony Neuberger

**Hedging with small uncertainty aversion**

*by*Sebastian Herrmann & Johannes Muhle-Karbe & Frank Thomas Seifried

**Continuous-time perpetuities and time reversal of diffusions**

*by*Constantinos Kardaras & Scott Robertson

**The evolving nature of intraday price discovery in the Chinese CSI 300 index futures market**

*by*Qiang Liu & Gaoxiu Qiao

**Equilibrium approach of asset and option pricing under LÃ©vy process and stochastic volatility**

*by*Shuang Li & Yanli Zhou & Yonghong Wu & Xiangyu Ge

**Non-parametric American option valuation using Cressieâ€“Read divergences**

*by*Jamie Alcock & Godfrey Smith

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

*by*Filipe Martins da Rocha & Yiannis Vailakis

**The Multifactorial Pastor-Stambaugh Model: Explaining The Impact Of Liquidity On The Rate Of Return Based On The Example Of The Warsaw Stock Exchange**

*by*Agata Gniadkowska-Szymanska

**An Asset Pricing Approach to Liquidity Effects in Corporate Bond Markets**

*by*Dion Bongaerts & Frank de Jong & Joost Driessen

**What Is the Consumption-CAPM Missing? An Information-Theoretic Framework for the Analysis of Asset Pricing Models**

*by*Anisha Ghosh & Christian Julliard & Alex P. Taylor

**The Anatomy of the CDS Market**

*by*Martin Oehmke & Adam Zawadowski

**Commodity Markets, Long-Run Predictability, and Intertemporal Pricing**

*by*Adrian Fernandez-Perez & Ana-Maria Fuertes & Joelle Miffre

**Jump and Volatility Dynamics for the S&P 500: Evidence for Infinite-Activity Jumps with Non-Affine Volatility Dynamics from Stock and Option Markets**

*by*Hanxue Yang & Juho Kanniainen

**Reference-Dependent Preferences and the Empirical Pricing Kernel Puzzle**

*by*Maria Grith & Wolfgang K. Härdle & Volker Krätschmer

**Forecasting Stock Returns Using Option-Implied State Prices**

*by*Konstantinos Metaxoglou & Aaron Smith

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

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

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

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

**Mutual Funds Dynamics and Economic Predictors**

*by*Gianni Amisano & Roberto Savona

**The Financialization of Food?**

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

**On the Market-consistent Valuation of Fish Farms: Using the Real Option Approach and Salmon Futures**

*by*Christian-Oliver Ewald & Ruolan Ouyang & Tak Kuen Siu

**Transmission of future prices of corn of the Chicago Board of Trade to the Mexican spot market**

*by*Francisco Ortiz Arango & Alma Nelly Montiel Guzmán

**Transmisión de precios futuros de maíz del Chicago Board of Trade al mercado spot mexicano**

*by*Francisco Ortiz Arango & Alma Nelly Montiel Guzmán

**Internal price stabilization tools in the Colombian sugar market: Do they work?**

*by*Julio César Alonso Cifuentes & Andrés Mauricio Arcila Vásquez & Sebastián Montenegro Arana

**Volatility forecasting in the Chinese commodity futures market with intraday data**

*by*Ying Jiang & Shamim Ahmed & Xiaoquan Liu

**The affine styled-facts price dynamics for the natural gas: evidence from daily returns and option prices**

*by*Chih-Chen Hsu & An-Sing Chen & Shih-Kuei Lin & Ting-Fu Chen

**Setting the futures margin with price limits: the case for single-stock futures**

*by*Chen-Yu Chen & Jian-Hsin Chou & Hung-Gay Fung & Yiuman Tse

**Implied volatility and skewness surface**

*by*Bruno Feunou & Jean-Sébastien Fontaine & Roméo Tédongap

**A four-factor stochastic volatility model of commodity prices**

*by*Max F. Schöne & Stefan Spinler

**Rainbow trend options: valuation and applications**

*by*Jr-Yan Wang & Hsiao-Chuan Wang & Yi-Chen Ko & Mao-Wei Hung

**A bias in the volatility smile**

*by*Don M. Chance & Thomas A. Hanson & Weiping Li & Jayaram Muthuswamy

**On the multiplicity of option prices under CEV with positive elasticity of variance**

*by*Dirk Veestraeten

**A Lattice Framework with Smooth Convergence for Pricing Real Estate Derivatives with Stochastic Interest Rate**

*by*Dong Zou & Pu Gong

**Robust Monte Carlo Method for R&D Real Options Valuation**

*by*Marta Biancardi & Giovanni Villani

**Investment, agency conflicts, debt maturity, and loan guarantees by negotiation**

*by*Liu Gan & Zhaojun Yang

**Dynamic Stochastic Factors, Risk Management and the Energy Futures**

*by*Zi-Yi Guo & Yangxiaoteng Luo

**Private Valuation of Compensation Stock Options**

*by*Diego C. Cueto

**Un modelo de inversión óptima para fondos soberanos: caso fondo mexicano del petróleo para la estabilización y el desarrollo**

*by*Sierra-Juárez, Guillermo & Méndez García, Daniela

**Economic information transmissions and liquidity between shipping markets: New evidence from freight derivatives**

*by*Alexandridis, G. & Sahoo, S. & Visvikis, I.

**Accounting quality, information risk and the term structure of implied volatility around earnings announcements**

*by*Anagnostopoulou, Seraina C. & Tsekrekos, Andrianos E.

**Liquidity, information, strategic trading in an electronic order book: New insights from the European carbon markets**

*by*Rannou, Yves

**Time-varying risk aversion and return predictability**

*by*Yoon, Sun-Joong

**Stochastic volatility vs. jump diffusions: Evidence from the Chinese convertible bond market**

*by*Fan, Chenxi & Luo, Xingguo & Wu, Qingbiao

**Liquidity basis between credit default swaps and corporate bonds markets**

*by*Kim, Kwanho

**Optimal capital structure with moral hazard**

*by*Mu, Congming & Wang, Anxing & Yang, Jinqiang

**Pricing vulnerable options with stochastic volatility**

*by*Wang, Guanying & Wang, Xingchun & Zhou, Ke

**Financial tail risks in conventional and Islamic stock markets: A comparative analysis**

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

**Valuation of a hypothetical mining project under commodity price and exchange rate uncertainties by using numerical methods**

*by*Aminrostamkolaee, Behnam & Scroggs, Jeffrey S. & Borghei, Matin Sadat & Safdari-Vaighani, Ali & Mohammadi, Teymour & Hossein Pourkazemi, Mohammad

**Violations of uncovered interest rate parity and international exchange rate dependences**

*by*Ames, Matthew & Bagnarosa, Guillaume & Peters, Gareth W.

**Explaining the negative returns to volatility claims: An equilibrium approach**

*by*Eraker, Bjørn & Wu, Yue

**The term structure of credit spreads, firm fundamentals, and expected stock returns**

*by*Han, Bing & Subrahmanyam, Avanidhar & Zhou, Yi

**The price of variance risk**

*by*Dew-Becker, Ian & Giglio, Stefano & Le, Anh & Rodriguez, Marius

**Stochastic idiosyncratic cash flow risk and real options: Implications for stock returns**

*by*Bhamra, Harjoat S. & Shim, Kyung Hwan

**Optimal delta hedging for options**

*by*Hull, John & White, Alan

**Corporate liquidity and dividend policy under uncertainty**

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

**Real options in finance**

*by*Lambrecht, Bart M.

**Variance risk in commodity markets**

*by*Prokopczuk, Marcel & Symeonidis, Lazaros & Wese Simen, Chardin

**Rewarding risk-taking or skill? The case of private equity fund managers**

*by*Buchner, Axel & Wagner, Niklas F.

**Do oil futures prices predict stock returns?**

*by*Chiang, I-Hsuan Ethan & Hughen, W. Keener

**Pricing and disentanglement of American puts in the hyper-exponential jump-diffusion model**

*by*Leippold, Markus & Vasiljević, Nikola

**The composition of CMBS risk**

*by*Christopoulos, Andreas D.

**Option pricing under time-varying risk-aversion with applications to risk forecasting**

*by*Kiesel, Rüdiger & Rahe, Florentin

**Slow diffusion of information and price momentum in stocks: Evidence from options markets**

*by*Chen, Zhuo & Lu, Andrea

**Corporate liquidity and dividend policy under uncertainty**

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

**The joint cross-sectional variation of equity returns and volatilities**

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

**Semi-analytical valuation for discrete barrier options under time-dependent Lévy processes**

*by*Lian, Guanghua & Zhu, Song-Ping & Elliott, Robert J. & Cui, Zhenyu

**Discrete-time option pricing with stochastic liquidity**

*by*Leippold, Markus & Schärer, Steven

**An empirical comparison of transformed diffusion models for VIX and VIX futures**

*by*Bu, Ruijun & Jawadi, Fredj & Li, Yuyi

**Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps**

*by*Cui, Zhenyu & Kirkby, J. Lars & Nguyen, Duy

**Range-based and GARCH volatility estimation: Evidence from the French asset market**

*by*Benlagha, Noureddine & Chargui, Sana

**Futures markets and real estate public equity: Connectivity of lumber futures and Timber REITs**

*by*Clements, Sherwood & Tidwell, Alan & Jin, Changha

**Credit derivatives and stock return synchronicity**

*by*Bai, Xuelian & Hu, Nan & Liu, Ling & Zhu, Lu

**An examination of investors’ reaction to the announcement of CoCo bonds issuance: A global outlook**

*by*Liao, Qunfeng & Mehdian, Seyed & Rezvanian, Rasoul

**Cumulative Prospect Theory for piecewise continuous distributions**

*by*Gürtler, Marc & Stolpe, Julia

**Laplacian risk management**

*by*Madan, Dilip B. & Smith, Robert H. & Wang, King

**What determines bank CDS spreads? Evidence from European and US banks**

*by*Drago, Danilo & Tommaso, Caterina Di & Thornton, John

**How fundamental is the one-period trinomial model to European option pricing bounds. A new methodological approach**

*by*Braouezec, Yann

**Discontinuous payoff option pricing by Mellin transform: A probabilistic approach**

*by*Gzyl, H. & Milev, M. & Tagliani, A.

**An equilibrium pricing model for wind power futures**

*by*Gersema, Gerke & Wozabal, David

**Generating options-implied probability densities to understand oil market events**

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

**Is hedging the crack spread no longer all it's cracked up to be?**

*by*Liu, Pan & Vedenov, Dmitry & Power, Gabriel J.

**Joint price and volumetric risk in wind power trading: A copula approach**

*by*Pircalabu, A. & Hvolby, T. & Jung, J. & Høg, E.

**Blending under uncertainty: Real options analysis of ethanol plants and biofuels mandates**

*by*Ghoddusi, Hamed

**Inventory shocks and the oil–ethanol–grain price nexus**

*by*Plante, Michael & Dhaliwal, Navi

**Linear–quadratic term structure models for negative euro area yields**

*by*Realdon, Marco & Boonyanet, Wachira

**Volatility and expected option returns: A note**

*by*Chaudhury, Mo

**Price disagreements and adjustments in index derivatives markets**

*by*Ryu, Doojin & Yang, Heejin

**Learning and forecasts about option returns through the volatility risk premium**

*by*Bernales, Alejandro & Chen, Louisa & Valenzuela, Marcela

**How should a local regime-switching model be calibrated?**

*by*He, Xin-Jiang & Zhu, Song-Ping

**Risk-free Yields, Risk Aversion, and Volatility**

*by*Samih Antoine Azar

**The Effect of Liberalization on Export-import in Indonesia**

*by*Muhammad Sofjan

**Leverage Certificates - A Case of Innovative Financial Engineering**

*by*Rodrigo Hernandez & Yingying Shao & Pu Liu

**Collateral Risk and Demographic Discrimination in Mortgage Market Equilibria**

*by*David Nickerson & Robert Jones

**Time-Induced Stress Effect on Financial Decision Making in Real Markets: The Case of Traffic Congestion**

*by*Gelman, Sergey & Kliger, Doron

**Bedingte Aktiengeschäfte**

*by*Dilger, Alexander

**Commodities, financialization, and heterogeneous agents**

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

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

*by*Hofmann, Maurice & Rottmann, Horst

**How do insiders trade?**

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

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

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

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

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

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

*by*Pawel Maryniak & Stefan Trueck & Rafal Weron

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

*by*Paweł Sakowski & Robert Ślepaczuk & Mateusz Wywiał

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

*by*Paweł Sakowski & Robert Ślepaczuk & Mateusz Wywiał

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

*by*Paweł Sakowski & Robert Ślepaczuk & Mateusz Wywiał

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

*by*Eckhard Platen & David Taylor

**Detecting Money Market Bubbles**

*by*Jan Baldeaux & Katja Ignatieva & Eckhard Platen

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

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

**Hedging Futures Options with Stochastic Interest Rates**

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

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

*by*Alessandro Gnoatto & Martino Grasselli & Eckhard Platen

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

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

**Asset Pricing and Extreme Event Risk: Common Factors in ILS Fund Returns**

*by*Ben Ammar, Semir & Braun, Alexander & Eling, Martin

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

*by*Ben Ammar, Semir

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

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

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

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

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

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

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

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

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

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

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

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

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

*by*Straub, Ludwig & Ulbricht, Robert

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

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

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

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

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

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

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

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

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

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

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

*by*Stephanie Chan & Sweder van Wijnbergen

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

*by*BRAJESH KUMAR

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

*by*Lauenstein, Philipp & Küster Simic, André

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

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

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

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

**Pricing of Idiosyncratic Equity and Variance Risks**

*by*Elise Gourier

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

*by*Chris Bardgett & Elise Gourier & Markus Leippold

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

*by*Naghmeh Niroomand & Glenn P. Jenkins

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

*by*Ilker Ersegun Kayhan & Glenn P. Jenkins

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

*by*Ilker Ersegun Kayhan & Glenn P. Jenkins

**Une perspective macroprudentielle pour la stabilité financière**

*by*Pinshi, Christian

**Impacto del mercado de derivados en la política monetaria: un modelo de volatilidad estocástica**

*by*Silva-Correa, María de los Ángeles & Martínez-Marca, José Luís & Venegas-Martínez, Francisco

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

*by*Rosas-Martinez, Victor H.

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

*by*Pandey, Ashish

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

*by*Brogi, Athos

**Power Style Contracts Under Asymmetric Lévy Processes**

*by*Fajardo, José

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

*by*fajardo, José

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

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

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

*by*Kim, Minseong

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

*by*Degiannakis, Stavros & Filis, George

**Commodity Price Forecasts, Futures Prices and Pricing Models**

*by*Gonzalo Cortazar & Cristobal Millard & Hector Ortega & Eduardo S. Schwartz

**Fracking, Drilling, and Asset Pricing: Estimating the Economic Benefits of the Shale Revolution**

*by*Erik Gilje & Robert Ready & Nikolai Roussanov

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

*by*Geert Bekaert & Eric Engstrom & Andrey Ermolov

**Commodities for the Long Run**

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

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

*by*Sang Byung Seo & Jessica A. Wachter

**Term Structures of Asset Prices and Returns**

*by*David Backus & Nina Boyarchenko & Mikhail Chernov

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

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

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

*by*David S. Bates

**Options-Pricing Formula with Disaster Risk**

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

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

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

**The risk asymmetry index**

*by*Elyas Elyasani & Luca Gambarelli & Silvia Muzzioli

**Moment Risk Premia and the Cross-Section of Stock Returns**

*by*Elyas Elyasiani & Luca Gambarelli & Silvia Muzzioli

**Fear or greed? What does a skewness index measure?**

*by*Elyas Elyasiani & Luca Gambarelli & Silvia Muzzioli

**Forecasting and pricing powers of option-implied tree models: Tranquil and volatile market conditions**

*by*Elyas Elyasiani & Silvia Muzzioli & Alessio Ruggieri

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

*by*Daniel Ladley & Guanqing Liu & James Rockey

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

*by*Takahiro Hattori

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

*by*Takuji Arai

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

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**GARCH Option Valuation: Theory and Evidence**

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**Comparative Static Analysis of the Option Pricing Models**

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**Option Pricing Theory and Firm Valuation**

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**Options and Option Strategies**

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**Commodity Futures, Financial Futures, and Stock-Index Futures**

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**The Efficient-Market Hypothesis and Security Valuation**

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**Performance-Measure Approaches for Selecting Optimum Portfolios**

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**Index Models for Portfolio Selection**

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**Capital Asset Pricing Model and Beta Forecasting**

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**Risk-Aversion, Capital Asset Allocation, and Markowitz Portfolio-Selection Model**

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**Sources of Risks and Their Determination**

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**The Uses and Calculation of Market Indexes**

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**Introduction to Valuation Theories**

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

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**Accounting Information and Regression Analysis**

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

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**The options market response to accounting earnings announcements**

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**Valuing equity-linked death benefits and other contingent options: A discounted density approach**

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**Dynamic hedging of conditional value-at-risk**

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**The relationship between reciprocal currency futures prices**

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**Option pricing and ARCH processes**

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**Discrete time hedging with liquidity risk**

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**Discrete versus continuous time models: Local martingales and singular processes in asset pricing theory**

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**A jump-diffusion approach to modelling vulnerable option pricing**

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**Negotiating M&As under uncertainty: The influence of managerial flexibility on the first-mover advantage**

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**Asymmetries, causality and correlation between FTSE100 spot and futures: A DCC-TGARCH-M analysis**

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**Short-sale constraints and efficiency of the spot–futures dynamics**

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**A contingent claim analysis of sunflower management under board monitoring and capital regulation**

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**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**

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**Integration of the global carbon markets**

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**Modeling and explaining the dynamics of European Union Allowance prices at high-frequency**

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**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**

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**How much should we pay for interconnecting electricity markets? A real options approach**

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**Nonparametric estimation of scalar diffusion models of interest rates using asymmetric kernels**

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**The effects of Federal funds rate surprises on S&P 500 volatility and volatility risk premium**

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**How to allocate forward contracts: The case of electricity markets**

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**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**

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**The impact of convertible debt financing on investment timing**

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**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.

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**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**

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**Aggregate volatility risk: Explaining the small growth anomaly and the new issues puzzle**

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**Theoretical and Empirical Review of Asset Pricing Models:A Structural Synthesis**

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**Econometric Analysis Regarding The Dependence Of The Futures Price, The Underlying Asset And The Robor**

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**Valuation of a Hydro-Electric Power Project in Emerging Markets: An Application of Real Options**

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**Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data**

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**Tranching, CDS, and Asset Prices: How Financial Innovation Can Cause Bubbles and Crashes**

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**The dynamics of mergers and acquisitions in oligopolistic industries**

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**The Pricing of the Option Implicitly Granted by the Italian Treasury to the Specialists in the Reserved Auction Reopening**

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**A General Structural Approach For Credit Modeling Under Stochastic Volatility**

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**A Stochastic Programming Model to Minimize Volume Liquidity Risk in Commodity Trading**

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**Interest Rates After the Credit Crunch: Markets and Models Evolution**

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**Libor and Swap Market Models for the Pricing of Interest Rate Derivatives : An Empirical Analysis**

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**A Geometric View of Interest Rate Theory**

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**On the Term Structure of Futures and Forward Prices**

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**Informed Trading, Short Sales Constraints, and Futures' Pricing**

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**Paying for minimum interest rate guarantees: Who should compensate who?**

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**Uncertainty and Real Options. Investment and Development of Fishing Resources (II)**

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**Introduction and Summary of Results (Excerpt)**

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**Convergence of discrete time option pricing models under stochastic interest rates**

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**Local time, coupling and the passport option**

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

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**Comment on `Pricing double barrier options using Laplace transforms' by Antoon Pelsser**

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**A Minimal Share Market Model with Stochastic Volatility**

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**Minute-by-Minute Dynamics of the Australian Bond Futures Market in Response to New Macroeconomic Information**

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

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

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

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

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

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

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**The Interest Rate/FX Arbitrage Under Peg Regime: a Duffie Singleton Approach**

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**The Interest Rate/FX Arbitrage Under Peg Regime: a Duffie Singleton Approach**

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**On the Different Notions of Arbitrage and Existence of Equilibrium**

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**Evolution of Market Uncertainty around Earnings Announcements**

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**Speculating on a Cure of Cander: A Non-Event that Made Stock Prices Soar**

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**Speculating on a Cure of Cander: A Non-Event that Made Stock Prices Soar**

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**Prevision des prix a terme du cacao et modeles ARMA non-lineaires**

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**Alternative solutions of the black-sholes equation**

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**Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis**

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**Efficient hedging: Cost versus shortfall risk**

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**A short history of the VOLAX - or how we tried to trade implied volatility (Krotka historia VOLAX-u - czyli jak probowano handlowac implikowana zmiennoscia)**

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**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**

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**Performance of Delta-hedging strategies in interval models - A robustness study**

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**The Joint Estimation of Term Structures and Credit Spreads**

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**A Structural Model of the Term Structure of Credit Spreads with Stochastic Recovery and Contractual Design**

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**Implementing a Structural Valuation Model of Swap Credit-Sensitive Rates**

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**Predicting monetary policy using federal funds future prices**

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**On the Existence of Finite Dimensional Realizations for Nonlinear Forward Rate Models**

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**A Note on Contingent Claims Pricing with Non-Traded Assets**

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**Predicting monetary policy using federal funds futures prices**

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**A Semiparametric Estimation of Liquidity Effects on Option Pricing**

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**Option Pricing with Discrete Rebalancing**

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**Asymmetries of information in centralized order-driven markets**

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**UDROP: A Small Contribution to the New International Financial Architecture**

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**Valuation of Barrier Options in a Black--Scholes Setup with Jump Risk**

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**Some recent developments in capital market theory: A survey**

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**Quantile hedging**

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**Connecting discrete and continuous path-dependent options**

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**A closed-form solution to the problem of super-replication under transaction costs**

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**Extracting Market Expectations from Option Prices: Case Studies in Japanese Option Markets**

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**Currency Options And Trade Smoothing Under An Exchange Rate Regime Shift**

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**In Honor of the Nobel Laureates Robert C. Merton and Myron S. Scholes: A Partial Differential Equation That Changed the World**

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**Variance Decomposition of Stock Returns and Dividend Imputation System**

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**Estimating the Equity Risk Premium and Equity Costs: New Ways of Looking at Old Data**

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**Estimating the Equity Risk Premium and Equity Costs: New Ways of Looking at Old Data**

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**Dynamics of the term structure on interest rates: a two-factor model**

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**Quantile hedging**

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**Self-similar models in risk theory**

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**Do Brokers Misallocate Customer Trades? Evidence From Futures Markets**

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**Autobiography**

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**Autobiography**

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**Finite Element Modelling of Exotic Options**

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**Direct Estimation of the Risk Neutral Factor Dynamics of Affine Term Structure Models**

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**Extracting Expectations about 1992 UK Monetary Policy from Option Prices**

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*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.

**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.

**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.

**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.

**La bolsa de Bilbao: presente y futuro**

*by*Juan Luis Llorens

**Deuda pública de Euskadi**

*by*Agustín Garmendia Iribar

**Regulación y control de los nuevos riesgos**

*by*Arturo de la Lama López-Areal

**Evolución de los productos derivados sobre tipos de interés en España: análisis de sus riestos y ventajas**

*by*Lorenzo de Cristobal y de Nicolás

**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

**Earnings As An Explanatory Variable For Returns**

*by*EASTON, PD & HARRIS, TS

**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 D. Angrist & Whitney K. Newey

**Manipulations and repeated games in future markets**

*by*Chichilnisky, Graciela

**Stock-Price Reactions To Lifo Adoptions - The Association Between Excess Returns And Lifo Tax Savings**

*by*BIDDLE, GC & LINDAHL, FW

**The Markets Response To The 1974 Lifo Adoptions**

*by*RICKS, WE

**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

**Lifo-Fifo, Accounting Ratios And Market Risk**

*by*DERSTINE, RP & HUEFNER, RJ

**Alternative Approach To Predicting Corporate Bond Ratings - Comment**

*by*HORRIGAN, JO

**Alternative Approach To Predicting Corporate Bond Ratings**

*by*WEST, RR

**The TIPS Liquidity Premium**

*by*Martin M. Andreasen & Jens H.E. Christensen & Simon Riddell

**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 & Stï¿½phane Luchini

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

*by*Patrick Leoni & Stï¿½phane Luchini

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

*by*Marco Realdon

**Valuation of Put Options on Leveraged Equity**

*by*Marco Realdon

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

*by*Marco Realdon

**Valuation of Exchangeable Convertible Bonds**

*by*Marco Realdon

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

*by*Peter D Spencer

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

*by*Aaron Tornell & Chunming Yuan

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

*by*Palani-Rajan Kadapakkam & Umesh Kumar

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

*by*Karan Bhanot & Antonio S. Mello

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

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

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

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

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

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

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

*by*Yiuman Tse & Michael Williams

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

*by*Yiuman Tse & Lin Zhao

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

*by*Jason West

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

*by*Nicolas Mougeot

**Linear-Rational Term Structure Models**

*by*Damir FILIPOVIC & Martin LARSSON & Anders TROLLE

**Portfolio Selection with Options and Transaction Costs**

*by*Semyon MALAMUD

**Option Pricing and Hedging with Small Transaction Costs**

*by*Jan Kallsen & Johannes Muhle-Karbe

**Time-Changed LÃ©vy LIBOR Market Model: Pricing and Joint Estimation of the Cap Surface and Swaption Cube**

*by*Markus Leippold & Jacob Stromberg

**Macroeconomic Determinants of Stock Market Volatility and Volatility Risk-Premiums**

*by*Valentina Corradi & Walter Distaso & Antonio Mele

**Affine Variance Swap Curve Models**

*by*Damir FilipoviÄ‡

**Misvaluation and Return Anomalies in Distress Stocks**

*by*Assaf Eisdorfer & Amit Goyal & Alexei Zhdanov

**Managing the Risks of Corporate Bond Portfolios: New Evidence in the Light of the Sub-Prime Crisis**

*by*Giovanni Barone-Adesi & Nicola Carcano & Hakim Dall'O

**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

**Dynamics of Variance Risk Premia, Investors' Sentiment and Return Predictability**

*by*Jeroen V.K. Rombouts & Lars Stentoft & Francesco Violante

**A Non-Structural Investigation of VIX Risk Neutral Density**

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