## 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.

**How taxes impact the choice between an annuity and the lump sum at retirement**

*by*Fengler, Matthias & Melnikov, Alexander

**Costs of capital under credit risk**

*by*Peter Reichling & Anastasiia Zbandut

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

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

**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

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

*by*Filipe Martins da Rocha & Yiannis Vailakis

**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

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

*by*Marta Biancardi & Giovanni Villani

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

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

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

*by*Rannou, Yves

**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

**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

**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

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

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

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

*by*Ghoddusi, Hamed

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

*by*Ryu, Doojin & Yang, Heejin

**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

**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

**Option Pricing Models**

*by*Giandomenico, Rossano

**Power Style Contracts Under Asymmetric Lévy Processes**

*by*Fajardo, José

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

*by*fajardo, José

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

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

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

*by*Kim, Minseong

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

*by*Degiannakis, Stavros & Filis, George

**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**

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

**Dynamic interactions between government bonds and exchange rate expectations in currency options**

*by*Cho-Hoi Hui & Edward Tan

**Pricing Corporate Bonds With Interest Rates Following Double Square-root Process**

*by*Chi-Fai Lo & Cho-Hoi Hui

**Exchange Rate Dynamics and US Dollar-denominated Sovereign Bond Prices in Emerging Markets**

*by*Cho-Hoi Hui & Chi-Fai Lo & Po-Hon Chau

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

*by*Grodecka, Anna

**Informed trading in oil-futures market**

*by*Rousse, O. & Sévi, B.

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

*by*Van Tassel, Peter & Vogt, Erik

**Term structures of asset prices and returns**

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

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

*by*Nick Gebbia

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

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

**Informed Trading in Oil-Futures Market**

*by*Olivier Rousse & Benoît Sévi

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

*by*Beatriz Martínez & Hipòlit Torró

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

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

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

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

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

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

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

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

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

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

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

*by*Luciano Campi & Ismail Laachir & Claude Martini

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

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

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

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

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

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

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

*by*Daniël Vullings

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

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

**Coherent Pricing**

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

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

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

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

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

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

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

**Term structures of asset prices and returns**

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

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

*by*Chan, Stephanie & van Wijnbergen, Sweder

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

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

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

*by*Skander Ben Abdallah & Pierre Lasserre

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

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

**Convex Duality with Transaction Costs**

*by*Yan Dolinsky & Halil Mete Soner

**S&P 500 Index, an Option Implied Risk Analysis**

*by*Giovanni Barone-Adesi & Chiara Legnazzi & Carlo Sala

**Dependent Defaults and Losses with Factor Copula Models**

*by*Damien Ackerer & Thibault Vatter

**WTI Crude Oil Option-Implied VaR and CVaR: An Empirical Application**

*by*Giovanni Barone-Adesi & Chiara Legnazzi & Carlo Sala

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

*by*Damir Filipovic & Yerkin Kitapbayev

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

*by*Lorenzo CAMPONOVO & Olivier SCAILLET & Fabio TROJANI

**The Jacobi Stochastic Volatility Model**

*by*Damien Ackerer & Damir Filipović & Sergio Pulido

**Linear Credit Risk Models**

*by*Damien Ackerer & Damir Filipović

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

*by*Damir Filipović & Martin Larsson & Anders B. Trolle

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

*by*Markus Leippold & Steven Schaerer

**A Bayesian Estimate of the Pricing Kernel**

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

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

*by*Martin HERDEGEN & Martin SCHWEIZER

**State-controlled companies and political risk: Evidence from the 2014 Brazilian election**

*by*Augusto Carvalho & Bernardo Guimaraes

**Sovereign GDP-linked bonds**

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

**The role of collateral in supporting liquidity**

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

**Risk premia and seasonality in commodity futures**

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

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

*by*Benavides Guillermo

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

*by*Onofrio Panzarino & Francesco Potente & Alfonso Puorro

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

*by*Ricardo Gimeno & Eva Ortega

**What Fed Funds Futures Tell Us About Monetary Policy Uncertainty**

*by*Jean-Sébastien Fontaine

**Equity Option-Implied Probability of Default and Equity Recovery Rate**

*by*Bo Young Chang & Greg Orosi

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

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

**The informational role of thin options markets: Empirical evidence from the Spanish case**

*by*C. José García Martín & Begoña Herrero Piqueras & Ana María Ibáñez Escribano

**Stability of utility maximization in nonequivalent markets**

*by*Kim Weston

**Consistent price systems under model uncertainty**

*by*Bruno Bouchard & Marcel Nutz

**Model-independent superhedging under portfolio constraints**

*by*Arash Fahim & Yu-Jui Huang

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

*by*Matteo Burzoni & Marco Frittelli & Marco Maggis

**Un modelo "naive" de opción barrera para la predicción de fracaso financiero / A “naive” barrier option model to predict final distress**

*by*Milanesi, Gastón Silverio & &

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

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

**Cross-Sectional Returns With Volatility Regimes From A Diverse Portfolio Of Emerging And Developed Equity Indices**

*by*Pawe³ Sakowski & Robert Œlepaczuk & Mateusz Wywia³

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

*by*Zaremba, Adam

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

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

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

*by*Pratap Kumar Jena

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

*by*Jian Wu

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

*by*Vivien Brunel & Stéphane Crépey & Monique Jeanblanc

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

*by*Nick Baltas

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

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

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

*by*Edyta Marcinkiewicz

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

*by*Tomáš Václavík & Andrea Klimešová

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

*by*Ambrosio Ortiz Ramírez & María Teresa Martínez Palacios

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

*by*Aysegul Ates

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

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

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

*by*Roman V. Ivanov & Katsunori Ano

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

*by*Marcos Escobar & Daniel Krause & Rudi Zagst

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

*by*Taiga Saito

**Commodity Spread Option with Cointegration**

*by*Katsushi Nakajima & Kazuhiko Ohashi

**Adapted hedging**

*by*Dilip B. Madan

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

*by*Ryoichi Ikeda & Yoske Igarashi

**Risk premia in option markets**

*by*Dilip B. Madan

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

*by*Mengzhe Zhang & Leunglung Chan

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

*by*Eduardo Sandoval & Macarena Soto

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

*by*Jian Chen & Chenghu Ma

**Dynamic volatility spillovers across shipping freight markets**

*by*Tsouknidis, Dimitris A.

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

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

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

*by*Buchner, Axel

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

*by*Taboga, Marco

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

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

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

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

**Is the refining margin stationary?**

*by*Población, Javier & Serna, Gregorio

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

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

**Systematic risk and volatility skew**

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

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

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

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

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

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

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

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

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

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

*by*Bahloul, Walid & Bouri, Abdelfettah

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

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

**Gambling preference and individual equity option returns**

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

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

*by*Hasler, Michael & Marfè, Roberto

**Early option exercise: Never say never**

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

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

*by*Choi, Jaewon & Richardson, Matthew

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

*by*Barras, Laurent & Malkhozov, Aytek

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

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

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

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

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

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

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

*by*Carr, Peter & Wu, Liuren

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

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

**Nominal price illusion**

*by*Birru, Justin & Wang, Baolian

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

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

**Quadratic variance swap models**

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

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

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

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

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

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

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

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

*by*Kumar, Satish

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

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

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

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

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**The Glosten-Jagannathan-Runkle-Generalized Autoregressive Conditional Heteroscedastic approach to investigating the foreign exchange forward premium volatility**

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**GARCH DIFFUSION MODEL, iVIX, AND VOLATILITY RISK PREMIUM**

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**Valuacio?n de opciones simples y complejas contenidas en arrendamientos financieros**

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**Modeling Persistence of Carbon Emission Allowance Prices**

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**Seasonality and Stochastic Volatility in Wheat Options**

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

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

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**The [phi]-Martingale**

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

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

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

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*by*Nick Taylor

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*by*Chin, Michael & Liu, Zhuoshi

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*by*Zvika Afik & Ohad Arad & Koresh Galil

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**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

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

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

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*by*Peter Christoffersen & Mathieu Fournier & Kris Jacobs & Mehdi Karoui

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*by*Jean-Guy Simonato & Lars Stentoft

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

**The Ethics of Financial Speculation in Futures Markets**

*by*Ingo Pies & Matthias Georg Will & Thomas Glauben & Sören Prehn

**Nominal GDP Futures Contract Targeting**

*by*W. William Woolsey & Scott Sumner

**How to Lose Money in Derivatives: Examples from Hedge Funds and Bank Trading Departments**

*by*Sebastien Lleo & William T. Ziemba

**Returns from Investing in S&P500 Futures Options, 1985–2010**

*by*Alexandre Ziegler & William T. Ziemba

**The European Sovereign Debt Crisis and the Role of Credit Swaps**

*by*Eleftherios I. Thalassinos & Theodoros Stamatopoulos & Pantelis E. Thalassinos

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*by*Rita l. D'Ecclesia

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*by*Paolo Falbo & Daniele Felletti & Silvana Stefani

**Modeling the Dynamics of Temperature with a View to Weather Derivatives**

*by*Eirini Konstantinidi & Gkaren Papazian & George Skiadopoulos

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*by*Fotis Giannakoulis & Nikos Gavriilidis & Nikolas Arachovas

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**Volatility as an Asset Class**

*by*Tom Nohel & Steven K. Todd

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*by*Betty Simkins & Yuecheng Jia

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*by*Tim Weithers

**Interest Rate Futures: Elements of a Successful Financial Innovation**

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**The Fast Track to the Futures: Technological Innovation, Market Microstructure, Market Participants, and the Regulation of High-Frequency Trading**

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**The Variation of Certain Speculative Prices**

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**Proof that Properly Anticipated Prices Fluctuate Randomly**

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*by*Nakamura, Hisashi & Shiratsuka, Shigenori

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

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

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**Autobiography**

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**Autobiography**

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**Asian Exchange Rate Options under Stochastic Interest Rates: Pricing as a Sum of Delayed Payment Options**

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**Reading Interest Rate and Bond Futures Options' Smiles: How PIBOR and National Operators Appreciated the 1997 French Snap Election**

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**Swap Credit Risk: An Empirical Investigation on Transaction Data**

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**Looking for Spot in the Presence of Futures**

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**Swap Credit Risk: An Empirical Investigation on Transaction Data**

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**Etude des effets de l'introduction d'option sur le marche des action sous-jacentes, exemen empirique sur la Soffex**

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**Option Pricing with a General Market Point Process**

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**Incomplete Markets: Convergence of Options Values under the Minimal Martingale Measure. The Multidimensional Case**

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**Convergence of Discrete Time Options Pricing Models under Stochastic Rates**

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**How Efficient Markets Undervalue Stocks: CAPM and ECMH Under Conditions of Uncertainty and Disagreement**

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**Etude des effets de l'introduction d'option sur le marche des action sous-jacentes, exemen empirique sur la Soffex**

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**Asymmetric Price Distribution and Bid-Ask Quotes in the stock options Market**

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**Bayesian Option Pricing Using Asymmetric GARCH**

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**A Decision Theoretic Approach to Bid-Ask Spreads**

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**Pricing and Hedging of Contingent Claims in Term Structure Models with Exogenous Issuing of New Bonds**

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**Empirical Performance of Alternative Option Pricing Models**

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**Empirical Performance of Alternative Option Pricing Models**

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**Multifactor Generalization of "Discount-Bond Derivatives on a Recombining Binomial Tree"**

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**Derivatives in a Dynamic Environment**

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**Applications of Option-Pricing Theory: Twenty-Five Years Later**

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**Equilibrium Valuation of Options on the Market Portfolio with Stochastic Volatility and Return Predictability**

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**Equilibrium Valuation of Currency Options in a Small Open Economy**

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**Pricing and Hedging Derivative Securities in Incomplete Markets: An E-Aritrage Model**

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**Multiregime Term Structure Models**

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**Optimal Determination of Bookmakers' Betting Odds: Theory and Tests**

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**New Techniques to Extract Market Expectations from Financial Instruments**

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**Manipulation of Metals Futures: Lessons from Sumitomo**

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**Bayesian option pricing using asymmetric GARCH**

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**Nonparametric Methods and Option Pricing**

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**Derivative Asset Analysis in Models with Level-Dependent and Stochastic Volatility**

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**A Tractable Term Structure Model with Endogenous Interpolation and Positive Interest Rates**

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**Factor Models and the Shape of the Term Structure**

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**Models of Compelxity in Economics and Finance**

*by*Brock, W.A. & Hommes, C.H.

**General trigger values of optimal investment**

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**Tax Effects in Canadian Equity Option Markets**

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**Optimal Determination of Bookmakers' Betting Odds: Theory and Tests**

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**Did Option Prices Predict the ERM Crises?**

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**Institutional Holdings and Trading Volume Reactions to Quarterly Earnings Announcements**

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**New Techniques to Extract Market expectations from Financial Instruments**

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**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**

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**Derivatives Activity at Troubled Banks**

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**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.

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**Deuda pública de Euskadi**

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**Regulación y control de los nuevos riesgos**

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**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

**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

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

*by*Dirk Hackbarth & Jianjun Miao

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

*by*Look, Stefan

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

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

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*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

**A General Closed Form Option Pricing Formula**

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

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

*by*Sebastian Herrmann & Johannes Muhle-Karbe

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

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

**Noisy Arrow-Debreu Equilibria**

*by*Semyon MALAMUD

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

*by*Markus LEIPPOLD & Nikola VASILJEVIC

**Linear-Rational Term Structure Models**

*by*Damir FILIPOVIC & Martin LARSSON & Anders TROLLE

**Portfolio Selection with Options and Transaction Costs**

*by*Semyon MALAMUD

**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