## 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 skewness of commodity futures returns**

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

**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

**Statistical arbitrage in the U.S. treasury futures market**

*by*Dare, Wale

**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

**On the effects of static and autoregressive conditional higher order moments on dynamic optimal hedging**

*by*Hou, Yang & Holmes, Mark

**Time-Varying Price Discovery and Autoregressive Loading Factors: Evidence from S&P 500 Cash and E-Mini Futures Markets**

*by*Hou, Yang & Li, Steven

**Price Discovery in the Stock Index Futures Market: Evidence from the Chinese stock market crash**

*by*Hou, Yang & Nartea, Gilbert

**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

**Squaring Venture Capital Valuations with Reality**

*by*William Gornall & Ilya A. Strebulaev

**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

**The Competitive Effects of Linking Electricity Markets Across Space and Time**

*by*Tangerås, Thomas & Wolak, Frank A.

**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

**Trader Positions and Marketwide Liquidity Demand**

*by*Esen Onur & John S. Roberts & Tugkan Tuzun

**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

**Existence of pure-strategy equilibria in Bayesian games: a sharpened necessity result**

*by*M. Ali Khan & Yongchao Zhang

**Asset pricing in an imperfect world**

*by*Gianluca Cassese

**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

**A direct solution method for pricing options involving the maximum process**

*by*Masahiko Egami & Tadao Oryu

**Model uncertainty, recalibration, and the emergence of delta–vega hedging**

*by*Sebastian Herrmann & Johannes Muhle-Karbe

**Pathwise superreplication via Vovk’s outer measure**

*by*Mathias Beiglböck & Alexander M. G. Cox & Martin Huesmann & Nicolas Perkowski & David J. Prömel

**Hybrid scheme for Brownian semistationary processes**

*by*Mikkel Bennedsen & Asger Lunde & Mikko S. Pakkanen

**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

**The Information Content of a Nonlinear Macro-Finance Model for Commodity Prices**

*by*Saqib Khan & Zeigham Khokher & Timothy Simin

**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

**Within-Firm Pay Inequality**

*by*Holger M. Mueller & Paige P. Ouimet & Elena Simintzi

**Effects of Spot Market Short-Sale Constraints on Index Futures Trading**

*by*Frank J. Fabozzi & Ahmet K. Karagozoglu & Na Wang

**The Trend Is Your Friend: Time-Series Momentum Strategies across Equity and Commodity Markets**

*by*Athina Georgopoulou & Jiaguo (George) Wang

**Recovery with Unbounded Diffusion Processes**

*by*Johan Walden

**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

**Information Revelation in Merger Waves**

*by*Pablo Moran

**Non-affine GARCH Option Pricing Models, Variance-Dependent Kernels, and Diffusion Limits**

*by*Alexandru Badescu & Zhenyu Cui & Juan-Pablo Ortega

**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 & RenÃ© Garcia & Jose Vicente

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

*by*Caio Almeida & Kym Ardison & RenÃ© Garcia & Jose Vicente

**Mutual Funds Dynamics and Economic Predictors**

*by*Gianni Amisano & Roberto Savona

**Estimating the Location of World Wheat Price Discovery**

*by*Joseph P. Janzen & Michael K. Adjemian

**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

**Risk Measurements-credit Default Swaps versus Capital Markets – Relationship, Dynamics and Forecast Ability**

*by*Mariya Paskaleva

**Pricing of a structured product on the SX5E when the uncertainty of returns is modeled as a log-stable process**

*by*José Antonio Climent Hernández & Carolina Cruz Matú

**Valuación de un producto estructurado de compra sobre el SX5E cuando la incertidumbre de los rendimientos está modelada con procesos log-estables**

*by*José Antonio Climent Hernández & Carolina Cruz Matú

**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

**The benefit of life insurance contracts with capped index participation when stock prices are subject to jump risk**

*by*Antje Mahayni & Matthias Muck

**Pricing double barrier options under a volatility regime-switching model with psychological barriers**

*by*Shiyu Song & Yongjin Wang

**Profitability patterns in the interest rate derivatives market**

*by*Ralf Meyer

**A unified approach for the pricing of options relating to averages**

*by*Hideharu Funahashi & Masaaki Kijima

**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

**Merton Model and Capital Measurement in Commercial Banks: A Case Study of Selected Emerging Countries in Southeast Asia**

*by*Mohammadreza Janvisloo Alizadeh & Reza Sherafatian-Jahromi

**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

**Evolution Of Energy Company Share Prices And Their Relationship With Macroeconomic Variables: Evidence From Argentina Evolucion De Precios De Acciones De Empresa De Energia Y Su Relacion Con Las Variables Macroeconomicas: Evidencia De Argentina**

*by*Mario Luis Perossa & Alejandra Marinaro & Walter Velardez

**The Effects Of Information On Stock Indexes: The Contagion Of The 2007/2008 Crisis From The Core Countries To The Periphery, El Efecto De La Informacion Sobre Los Indices Bursatiles: La Transferencia De La Crisis 2007/2008 De Los Paises Centrales A La Periferia**

*by*Juan Carlos Alonso & Mario Luis Perossa & Pablo Waldman & Santiago Gigler

**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.

**Stock return predictability in emerging markets: Does the choice of predictors and models matter across countries?**

*by*Hadhri, Sinda & Ftiti, Zied

**On the dynamic dependence and investment performance of crude oil and clean energy stocks**

*by*Ahmad, Wasim

**Feedback trading in stock index futures: Evidence from South Africa**

*by*Charteris, Ailie & Musadziruma, Arnold

**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

**Production and hedging under state-dependent preferences and background risk**

*by*Wong, Kit Pong

**Growth option, contingent capital and agency conflicts**

*by*Tan, Yingxian & Yang, Zhaojun

**Merge to be too big to fail: A real option approach**

*by*Zhu, Jiaqing & Li, Guangzhong & Li, Jie

**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

**Investor demand, market efficiency and spot-futures relation: Further evidence from crude palm oil**

*by*Go, You-How & Lau, Wee-Yeap

**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

**Do cointegrated commodities bubble together? the case of hog, corn, and soybean**

*by*Alexakis, Christos & Bagnarosa, Guillaume & Dowling, Michael

**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.

**Hedging and speculative pressures and the transition of the spot-futures relationship in energy and metal markets**

*by*Park, Jin Suk & Shi, Yukun

**Parameter estimation risk in asset pricing and risk management: A Bayesian approach**

*by*Tunaru, Radu & Zheng, Teng

**Modeling positive electricity prices with arithmetic jump-diffusions**

*by*Hess, Markus

**Higher moment risk premiums for the crude oil market: A downside and upside conditional decomposition**

*by*Da Fonseca, José & Xu, Yahua

**A multifactor stochastic volatility model of commodity prices**

*by*Cortazar, Gonzalo & Lopez, Matias & Naranjo, Lorenzo

**Crude inventory accounting and speculation in the physical oil market**

*by*Diaz-Rainey, Ivan & Roberts, Helen & Lont, David H.

**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

**Approximate arbitrage-free option pricing under the SABR model**

*by*Yang, Nian & Chen, Nan & Liu, Yanchu & Wan, Xiangwei

**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

**The Lead Lag Relationship Between Spot and Futures Markets in the Energy Sector**

*by*Jengchung Victor Chen & Yolanda Gabriela Prince & Quang-An Ha

**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

**Covered call writing in a cumulative prospect theory framework**

*by*Martina Nardon & Paolo Pianca

**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**

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

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

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**Price discovery in spot and futures markets: A reconsideration**

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**Estimating the Leverage Parameter of Continuous-time Stochastic Volatility Models Using High Frequency S&P 500 and VIX**

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**(Re)financing the Slave Trade with the Royal African Company in the Boom Markets of 1720**

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**Seasonal Stochastic Volatility: Implications for the Pricing of Commodity Options**

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**Rationalization of Investment Preference Criteria**

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**A Futures Trading Experiment: An Active Classroom Approach to Learning**

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**A Closed-Form Solution for Options with Ambiguity about Stochastic Volatility**

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**The Price of Risk and Ambiguity in an Intertemporal General Equilibrium Model of Asset Prices**

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**Investment timing with fixed and proportional costs of external financing**

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**Real Options Valuation of Abandoned Farmland**

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**Systemic Risk-Taking: Amplification Effects, Externalities, and Regulatory Responses**

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**A Transparency Standard for Derivatives**

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**Global Asset Pricing**

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**A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation**

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**Limited and Varying Consumer Attention: Evidence from Shocks to the Salience of Bank Overdraft Fees**

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**Continuous Workout Mortgages**

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**Systemic Sovereign Credit Risk: Lessons from the U.S. and Europe**

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**Generalized Transform Analysis of Affine Processes and Applications in Finance**

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**Simple Variance Swaps**

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**Limits to Arbitrage and Hedging: Evidence from Commodity Markets**

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**Margin-Based Asset Pricing and Deviations from the Law of One Price**

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**Investors' and Central Bank's Uncertainty Embedded in Index Options**

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**What Does Futures Market Interest Tell Us about the Macroeconomy and Asset Prices?**

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**Corridor implied volatility and the variance risk premium in the Italian market**

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**Beating the Random Walk in Central and Eastern Europe by Survey Forecasts**

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**Testing the asset pricing model of exchange rates with survey data**

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**A Structural Balance Sheet Model of Sovereign Credit Risk**

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**Estimating the Leverage Parameter of Continuous-time Stochastic Volatility Models Using High Frequency S&P 500 and VIX**

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**Testing option pricing models: complete and incomplete markets**

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**The Puzzle of Index Option Returns**

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**Pricing Nikkei 225 Options Using Realized Volatility**

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**Calibration of selfdecomposable Lévy models**

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**Information Flow between Sovereign CDS and Dollar-Yen Currency Option Markets in the Sovereign Debt Crisis of 2009-2011**

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**Pricing of Gas Swing Options using Monte Carlo Methods**

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**Informational Efficiency in Futures Markets for Crude Oil**

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**Valuation of Liabilities in Hybrid Pension Plans**

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**Continuous Workout Mortgages**

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**The Relative Informational Efficiency of Stocks, Options and Credit Default Swaps**

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**The Relative Informational Efficiency of Stocks, Options and Credit Default Swaps**

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**Hedging and Vertical Integration in Electricity Markets**

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**Variance risk, financial intermediation, and the cross-section of expected option returns**

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**The Dependence Structure between Carbon Emission Allowances and Financial Markets - A Copula Analysis**

*by*Marc Gronwald & Janina Ketterer & Stefan TrÃ¼ck

**Options introduction and volatility in the EU ETS**

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**Estimating the Leverage Parameter of Continuous-time Stochastic Volatility Models Using High Frequency S&P 500 and VIX**

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**The Effect of Secondary Markets on Equity-Linked Life Insurance with Surrender Guarantees**

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**Volatility in EMU sovereign bond yields: Permanent and transitory components**

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**What we can learn from pricing 139,879 Individual Stock Options**

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**Risk and Return: Long-Run Relationships, Fractional Cointegration, and Return Predictability**

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**Coherent Model-Free Implied Volatility: A Corridor Fix for High-Frequency VIX**

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**Forecasting with Option Implied Information**

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**American Option Pricing with Discrete and Continuous Time Models: An Empirical Comparison**

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**Efficient and accurate log-Lévi approximations to Lévi driven LIBOR models**

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**Latent Integrated Stochastic Volatility, Realized Volatility, and Implied Volatility: A State Space Approach**

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**Hedge Ratio And Hedging Efficiency: Evidence From Indian Derivative Market**

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**Asset Pricing With Incomplete Information In A Discrete-Time Pure Exchange Economy**

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**Sentimental Preferences and the Organizational Regime of Betting Markets**

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**Patent Valuation and Real Options**

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**Firm Decisions: Determinants of Investments**

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**Financial Innovations**

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**Development of Exchange-Traded Derivatives Markets in Selective Central and Eastern European Countries**

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**Practical and theoretical aspects of market-consistent valuation and hedging of insurance liabilities**

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**Decisiones óptimas de consumo y portafolio. Un enfoque de precios de estado de Arrow-Debreu**

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**Safer Margins for Option Trading: How Accuracy Promotes Efficiency**

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**Heterogeneous Basket Options Pricing Using Analytical Approximations**

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**The Predictability of Non-Overlapping Forecasts: Evidence from a New Market**

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**Las emisiones primarias de energía en el mercado español: valoración de opciones teórica y de mercado/Primary Energy Emissions in the Spanish Market: Theoretical and Market-Based Option Pricing**

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**Az arbitrázs preferenciákkal történő karakterizációjáról**

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**Commentary: Some Methodological Suggestions**

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**The Relationship between Volatility and Expected Returns: Some Evidence for Australia**

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**Multi-Factor Approach For Pricing Basket Credit Linked Notes Under Issuer Default Risk**

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**Application Of A High-Order Asymptotic Expansion Scheme To Long-Term Currency Options**

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**The Valuation Of Reset Options When Underlying Assets Are Autocorrelated**

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**The Liquidity Effect In Option Pricing: An Empirical Analysis**

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**Implied Index And Option Pricing Errors: Evidence From The Taiwan Option Market**

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**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**

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**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**

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**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**

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**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**

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

*by*Marc CHESNEY & Remo CRAMERI & Loriano MANCINI

**The Value of Tradeability**

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**Predictive Power of Information Market Prices**

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**Weak Approximation of G-Expectations**

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**Conditional Density Models for Asset Pricing**

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**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