## 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.

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

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

**GARCH option pricing models with Meixner innovations**

*by*Fengler, Matthias & Melnikov, Alexander

**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

**Costs of capital under credit risk**

*by*Peter Reichling & Anastasiia Zbandut

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

*by*Elmira Aliakbari & Ross McKitrick

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

*by*Constantinos Kardaras & Scott Robertson

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

*by*Michael Hachula & Malte Rieth

**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

**An indicator of inflation expectations anchoring**

*by*Filippo Natoli & Laura Sigalotti

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

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

**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

**Métodos numéricos para cálculo de la prima de opciones asiáticas / Numerical Methods for Calculation of Asian Options Premium**

*by*Gavira Durón, Nora & Aguilar Galindo, Julio Irving

**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

**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

**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

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

*by*Dirk Veestraeten

**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

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

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

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

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

**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

**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

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

*by*Benlagha, Noureddine & Chargui, Sana

**Credit derivatives and stock return synchronicity**

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

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

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

**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

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

*by*Chaudhury, Mo

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

*by*Ryu, Doojin & Yang, Heejin

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

*by*Muhammad Sofjan

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

*by*Gelman, Sergey & Kliger, Doron

**Bedingte Aktiengeschäfte**

*by*Dilger, Alexander

**Commodities, financialization, and heterogeneous agents**

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

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

*by*Hofmann, Maurice & Rottmann, Horst

**How do insiders trade?**

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

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

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

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

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

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

*by*Pawel Maryniak & Stefan Trueck & Rafal Weron

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

*by*Paweł Sakowski & Robert Ślepaczuk & Mateusz Wywiał

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

*by*Paweł Sakowski & Robert Ślepaczuk & Mateusz Wywiał

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

*by*Paweł Sakowski & Robert Ślepaczuk & Mateusz Wywiał

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

*by*Eckhard Platen & David Taylor

**Detecting Money Market Bubbles**

*by*Jan Baldeaux & Katja Ignatieva & Eckhard Platen

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

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

**Hedging Futures Options with Stochastic Interest Rates**

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

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

*by*Alessandro Gnoatto & Martino Grasselli & Eckhard Platen

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

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

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

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

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

*by*Ben Ammar, Semir

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

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

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

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

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

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

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

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

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

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

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

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

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

*by*Straub, Ludwig & Ulbricht, Robert

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

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

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

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

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

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

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

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

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

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

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

*by*Stephanie Chan & Sweder van Wijnbergen

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

*by*BRAJESH KUMAR

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

*by*Lauenstein, Philipp & Küster Simic, André

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

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

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

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

**Pricing of Idiosyncratic Equity and Variance Risks**

*by*Elise Gourier

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

*by*Chris Bardgett & Elise Gourier & Markus Leippold

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

*by*Naghmeh Niroomand & Glenn P. Jenkins

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

*by*Ilker Ersegun Kayhan & Glenn P. Jenkins

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

*by*Ilker Ersegun Kayhan & Glenn P. Jenkins

**Une perspective macroprudentielle pour la stabilité financière**

*by*Pinshi, Christian

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

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

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

*by*Rosas-Martinez, Victor H.

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

*by*Pandey, Ashish

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

*by*Brogi, Athos

**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

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

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

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

**Coherent Pricing**

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

**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

**Tests of investor learning models using earnings innovations and implied volatilities**

*by*Thaddeus Neururer & George Papadakis & Edward J. Riedl

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

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

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

*by*Seth J. Kopchak

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

*by*Yuri Kabanov & Constantinos Kardaras & Shiqi Song

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

*by*Andrew Lyasoff

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

*by*Tianyang Nie & Marek Rutkowski

**Polynomial diffusions and applications in finance**

*by*Damir Filipović & Martin Larsson

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

*by*Dimitri Vallière & Yuri Kabanov & Emmanuel Lépinette

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

*by*Angelos Dassios & You You Zhang

**Additive subordination and its applications in finance**

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

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

*by*Pierre Henry-Labordère & Nizar Touzi

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

*by*Bruno Bouchard & Grégoire Loeper & Yiyi Zou

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

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

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

*by*Jiatu Cai & Masaaki Fukasawa

**Stability of utility maximization in nonequivalent markets**

*by*Kim Weston

**Consistent price systems under model uncertainty**

*by*Bruno Bouchard & Marcel Nutz

**Model-independent superhedging under portfolio constraints**

*by*Arash Fahim & Yu-Jui Huang

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

*by*Matteo Burzoni & Marco Frittelli & Marco Maggis

**Superreplication when trading at market indifference prices**

*by*Peter Bank & Selim Gökay

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

*by*Xiaodong Du & Fengxia Dong

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

*by*Sanjay Sehgal & Mala Dutt

**Endogenous trading in credit default swaps**

*by*Marc Chesney & Delia Coculescu & Selim Gökay

**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**

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

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

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

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**Asset Price Volatility And Efficient Discrimination In Credit Market Equilibrium**

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

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**Dynamic volatility spillovers across shipping freight markets**

*by*Tsouknidis, Dimitris A.

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

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

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*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

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

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

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

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**Commodities' common factor: An empirical assessment of the markets' drivers**

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**Roll strategy efficiency in commodity futures markets**

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

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**Gambling preference and individual equity option returns**

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

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

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**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**

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**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**

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**Nominal price illusion**

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

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

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**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

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

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

**Credit derivatives as a commitment device: Evidence from the cost of corporate debt**

*by*Kim, Gi H.

**Commodities momentum: A behavioral perspective**

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

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

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

*by*Ahmed, Shamim & Tsvetanov, Daniel

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

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

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

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

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

*by*Schertler, Andrea

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

*by*Kokholm, Thomas

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

*by*Zhong, Angel & Gray, Philip

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

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

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

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

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

*by*Konstantinidi, Eirini & Skiadopoulos, George

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

*by*Realdon, Marco

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

*by*Tanha, Hassan & Dempsey, Michael

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

*by*Philip, Dennis & Shi, Yukun

**Catastrophe equity put options with target variance**

*by*Wang, Xingchun

**Lapse risk in life insurance: Correlation and contagion effects among policyholders’ behaviors**

*by*Barsotti, Flavia & Milhaud, Xavier & Salhi, Yahia

**The role of the dependence between mortality and interest rates when pricing Guaranteed Annuity Options**

*by*Deelstra, Griselda & Grasselli, Martino & Van Weverberg, Christopher

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

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

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

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

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

*by*Liang, Zongxia & Sheng, Wenlong

**Hedging pure endowments with mortality derivatives**

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

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

*by*Siu, Tak Kuen

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

*by*Cui, Zhenyu & Nguyen, Duy

**Do firms sell forward for strategic reasons? An application to the wholesale market for natural gas**

*by*van Eijkel, Remco & Kuper, Gerard H. & Moraga-González, José L.

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

*by*Eichler, Stefan & Sobański, Karol

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

*by*Abudy, Menachem Meni & Raviv, Alon

**Time series momentum and volatility scaling**

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

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

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

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

*by*Wang, Xingchun

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

*by*Xiao, Shuang & Ma, Shihua

**Pricing vulnerable options with stochastic default barriers**

*by*Wang, Xingchun

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

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

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

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

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

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

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

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

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

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

**Nonrandom price movements**

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

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

*by*Buchner, Axel & Wagner, Niklas

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

*by*Shi, Guangping & Liu, Xiaoxing & Tang, Pan

**Option pricing on foreign exchange in a Markov-modulated, incomplete-market economy**

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

**Asymmetries of the intraday return-volatility relation**

*by*Badshah, Ihsan & Frijns, Bart & Knif, Johan & Tourani-Rad, Alireza

**On Economic Space notion**

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**Is idiosyncratic volatility priced in commodity futures markets?**

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**Oil market modelling: A comparative analysis of fundamental and latent factor approaches**

*by*Cummins, Mark & Dowling, Michael & Kearney, Fearghal

**The modified dividend–price ratio**

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**Efficient estimation of lower and upper bounds for pricing higher-dimensional American arithmetic average options by approximating their payoff functions**

*by*Jin, Xing & Yang, Cheng-Yu

**Valuing an offshore oil exploration and production project through real options analysis**

*by*Guedes, José & Santos, Pedro

**Parametric model risk and power plant valuation**

*by*Bannör, Karl & Kiesel, Rüdiger & Nazarova, Anna & Scherer, Matthias

**Volatility in electricity derivative markets: The Samuelson effect revisited**

*by*Jaeck, Edouard & Lautier, Delphine

**How is volatility in commodity markets linked to oil price shocks?**

*by*Ahmadi, Maryam & Bashiri Behmiri, Niaz & Manera, Matteo

**Can market power in the electricity spot market translate into market power in the hedge market?**

*by*Fiuza de Bragança, Gabriel Godofredo & Daglish, Toby

**Asymmetric impacts of fundamentals on the natural gas futures volatility: An augmented GARCH approach**

*by*Ergen, Ibrahim & Rizvanoghlu, Islam

**On the dynamic dependence between equity markets, commodity futures and economic uncertainty indexes**

*by*Berger, Theo & Uddin, Gazi Salah

**A re-examination of maturity effect of energy futures price from the perspective of stochastic volatility**

*by*Liu, Wei-han

**Explaining credit default swap spreads by means of realized jumps and volatilities in the energy market**

*by*Da Fonseca, José & Ignatieva, Katja & Ziveyi, Jonathan

**Investors’ reaction to the government credibility problem: A real option analysis of emission permit policy risk**

*by*Kang, Sang Baum & Létourneau, Pascal

**On the predictability of energy commodity markets by an entropy-based computational method**

*by*Benedetto, F. & Giunta, G. & Mastroeni, L.

**An examination of the flow characteristics of crude oil: Evidence from risk-neutral moments**

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

**Carbon emission permit price volatility reduction through financial options**

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**Convenience yield in commodity price modeling: A regime switching approach**

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**Modelling futures price volatility in energy markets: Is there a role for financial speculation?**

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

*by*Baum, Christopher F. & Zerilli, Paola

**The shine of precious metals around the global financial crisis**

*by*Figuerola-Ferretti, Isabel & McCrorie, J. Roderick

**Smooth volatility shifts and spillovers in U.S. crude oil and corn futures markets**

*by*Teterin, Pavel & Brooks, Robert & Enders, Walter

**Optimal conditional hedge ratio: A simple shrinkage estimation approach**

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**Leverage changes and growth options in mergers and acquisitions**

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**Market uncertainty, expected volatility and the mispricing of S&P 500 index futures**

*by*Tu, Anthony H. & Hsieh, Wen-Liang G. & Wu, Wei-Shao

**Using Merton model for default prediction: An empirical assessment of selected alternatives**

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**Double asymptotics for explosive continuous time models**

*by*Wang, Xiaohu & Yu, Jun

**The effects of asymmetric volatility and jumps on the pricing of VIX derivatives**

*by*Park, Yang-Ho

**A tale of two option markets: Pricing kernels and volatility risk**

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**Corporate bond pricing model with stochastically volatile firm value process**

*by*Jang, Woon Wook & Eom, Young Ho & Kang, Yong Joo

**Multi-purpose binomial model: Fitting all moments to the underlying geometric Brownian motion**

*by*Kim, Y.S. & Stoyanov, S. & Rachev, S. & Fabozzi, F.

**Does speculation impact what factors determine oil futures prices?**

*by*Gogolin, Fabian & Kearney, Fearghal

**Risk-neutral skewness and market returns: The role of institutional investor sentiment in the futures market**

*by*Chen, Chen & Lee, Hsiu-Chuan & Liao, Tzu-Hsiang

**An analysis of government loan guarantees and direct investment through public-private partnerships**

*by*Soumaré, Issouf & Lai, Van Son

**An analytical approximation formula for European option pricing under a new stochastic volatility model with regime-switching**

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

**Asset retirement with infinitely repeated alternative replacements: Harvest age and species choice in forestry**

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**Leveraged investments and agency conflicts when cash flows are mean reverting**

*by*Glover, Kristoffer J. & Hambusch, Gerhard

**Calibration of stochastic volatility models: A Tikhonov regularization approach**

*by*Dai, Min & Tang, Ling & Yue, Xingye

**Why do employees like to be paid with Options?: A multi-period prospect theory approach**

*by*Sun, Lei & Widdicks, Martin

**Carbon Future Price Return, Oil Future Price Return and Stock Index Future Price Return in the U.S**

*by*Ching-Chun Wei & Ya-Ling Lin

**Examining the Relationship of Crude Oil Future Price Return and Agricultural Future Price Return in US**

*by*Ching-Chun Wei & Shu-Min Chen

**Volatility Transmission in Crude Oil, Gold, Standard and Poor’s 500 and US Dollar Index Futures using Vector Autoregressive Multivariate Generalized Autoregressive Conditional Heteroskedasticity Model**

*by*Tanattrin Bunnag

**Kou Jump Diffusion Model: An Application to the Standard and Poor 500, Nasdaq 100 and Russell 2000 Index Options**

*by*Wajih Abbasi & Petr Hájek & Diana Ismailova & Saira Yessimzhanova & Zouhaier Ben Khelifa & Kholnazar Amonov

**A Box Spread Test of the SET50 Index Options Market Efficiency: Evidence from the Thailand Futures Exchange**

*by*Woradee Jongadsayakul

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

*by*Nessrine Hamzaoui & Boutheina Regaieg

**Higher Order Adaptive Kalman Filter For Time Varying Alpha And Cross Market Beta Estimation In Indian Market**

*by*Atanu DAS

**An Efficient Binomial Method for Pricing Asian Options**

*by*Kyoung-Sook Moon & Yunju Jeong & Hongjoong Kim

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

*by*Xinyu WU & Hailin ZHOU

**Pricing Cdss And Cds Options Under A Regime-Switching Cev Process With Jump To Default**

*by*Ruxing Xu & Dan Wu & Ronghua Yi

**Herramientas de estabilización de los precios internos del azúcar en Colombia: ¿Funcionan?**

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

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

*by*Gasto?n Silverio Milanesi

**A Theory of Rational Demand for Index Insurance**

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**The Simple Economics of Commodity Price Speculation**

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

**The Response of Tail Risk Perceptions to Unconventional Monetary Policy**

*by*Masazumi Hattori & Andreas Schrimpf & Vladyslav Sushko

**Too-Systemic-to-Fail: What Option Markets Imply about Sector-Wide Government Guarantees**

*by*Bryan Kelly & Hanno Lustig & Stijn Van Nieuwerburgh

**Hedging of Time Discrete Auto-Regressive Stochastic Volatility Options**

*by*Alexandru Badescu & Joan del Castillo & Juan-Pablo Ortega

**Modeling Persistence of Carbon Emission Allowance Prices**

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

**Seasonality and Stochastic Volatility in Wheat Options**

*by*Michael Osei & Zhiguang Wang

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

*by*Adaemmer, Philipp & Bohl, Martin T. & Christian, Groß

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

*by*Mehta, Deepshikha

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

*by*Hoffmann, Steffen

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

*by*Stefan Trück & Rafal Weron

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

*by*Paweł Sakowski & Robert Ślepaczuk & Mateusz Wywiał

**Probability weighting functions**

*by*Martina Nardon & Paolo Pianca

**Pricing of Long-dated Commodity Derivatives with Stochastic Volatility and Stochastic Interest Rates**

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

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

*by*Mathias Barkhagen & Jörgen Blomvall & Eckhard Platen

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

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

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

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

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

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

*by*Lin Zhao & Sweder van Wijnbergen

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

*by*Daniël Linders & Jan Dhaene & Wim Schoutens

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*by*Nico Katzke & Chris Garbers

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

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

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

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*by*Siddiqi, Hammad

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*by*Hertrich, Markus

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

*by*Grothe, Magdalena & Meyler, Aidan

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

*by*Mehta, Deepshikha

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

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

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

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

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

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

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**Analogy Based Valuation of Currency Options**

*by*Siddiqi, Hammad

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

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

**Analogy based Valuation of Commodity Options**

*by*Siddiqi, Hammad

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

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

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

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*by*Elyas Elyasiani & Luca Gambarelli & Silvia Muzzioli

**Nonparametric Estimates of Option Prices Using Superhedging**

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**Valuing American options using fast recursive projections**

*by*Antonio Cosma & Stefano Galluccio & Paola Pederzoli & Olivier Scaillet

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

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

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*by*Cheng Few Lee & Joseph Finnerty & John Lee & Alice C Lee & Donald Wort

**Index Models for Portfolio Selection**

*by*Cheng Few Lee & Joseph Finnerty & John Lee & Alice C Lee & Donald Wort

**Capital Asset Pricing Model and Beta Forecasting**

*by*Cheng Few Lee & Joseph Finnerty & John Lee & Alice C Lee & Donald Wort

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

*by*Cheng Few Lee & Joseph Finnerty & John Lee & Alice C Lee & Donald Wort

**Sources of Risks and Their Determination**

*by*Cheng Few Lee & Joseph Finnerty & John Lee & Alice C Lee & Donald Wort

**The Uses and Calculation of Market Indexes**

*by*Cheng Few Lee & Joseph Finnerty & John Lee & Alice C Lee & Donald Wort

**Bond Valuation and Analysis**

*by*Cheng Few Lee & Joseph Finnerty & John Lee & Alice C Lee & Donald Wort

**Introduction to Valuation Theories**

*by*Cheng Few Lee & Joseph Finnerty & John Lee & Alice C Lee & Donald Wort

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

*by*Cheng Few Lee & Joseph Finnerty & John Lee & Alice C Lee & Donald Wort

**Accounting Information and Regression Analysis**

*by*Cheng Few Lee & Joseph Finnerty & John Lee & Alice C Lee & Donald Wort

**Modeling and Pricing in Financial Markets for Weather Derivatives**

*by*Fred Espen Benth & Jūratė Šaltytė Benth

**An Introduction to Wavelet Theory in Finance:A Wavelet Multiscale Approach**

*by*Francis In & Sangbae Kim

**Security Analysis, Portfolio Management, and Financial Derivatives**

*by*Cheng-Few Lee & Joseph Finnerty & John Lee & Alice C Lee & Donald Wort

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

*by*Moreau, Ludovic

**Price Discovery and Asymmetric Volatility Spillovers in Indian Spot-Futures Gold Markets**

*by*P. Srinivasan & P. Ibrahim

**Sovereign Bond’s Credit Risk Immunization in a Tax Income Volatility Environment: The Case of a USD Denominated Mexican Bond**

*by*Cruz Aké, Salvador & Venegas-Martínez, Francisco & Cabrera-Llanos, Agustín Ignacio

**Breaking Through Risk Management, a Derivative for the Leasing Industry**

*by*Prado, Sylvain Michael & Ananth, Ram

**Volatility Regimes For The Vix Index**

*by*JACINTO MARABEL ROMO

**Do financial investors affect the price of wheat?**

*by*Daniele Girardi

**Testing for Sibex Market’s Long-Term Memory**

*by*Pochea Maria-Miruna

**Valuación financiera de proyectos de inversión en nuevas tecnologías con opciones reales**

*by*Álvarez Echeverría Francisco & López Sarabia Pablo & Venegas Martínez Francisco

**On the Origins of Conditional Heteroscedasticity in Time Series**

*by*Richard Ashley

**Extracting Deflation Probability Forecasts from Treasury Yields**

*by*Jens H.E. Christensen & Jose A. Lopez & Glenn D. Rudebusch

**Pricing Of Payment Deferred Vulnerable Options And Its Application To Vulnerable Range Accrual Notes**

*by*Po-Cheng Wu & Chih-Wei Lee & Cheng-Kun Kuo

**A Comparison Of Delta Hedging Under Two Price Distribution Assumptions By Likelihood Ratio**

*by*Lingyan Cao & Zheng-Feng Guo

**Option Portfolio Value At Risk Using Monte Carlo Simulation Under A Risk Neutral Stochastic Implied Volatility Model**

*by*Peng He

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

*by*Lingyan Cao & Zheng-Feng Guo

**Does It Matter Who Trades Energy Derivatives?**

*by*Bahattin Büyüksahin & Michel A. Robe

**Speculation, Returns, Volume and Volatility in Commodities Futures Markets**

*by*Andrea Bastianin & Matteo Manera & Marcella Nicolini & Ilaria Vignati

**Market Application of the Fuzzy-Stochastic Approach in the Heston Option Pricing Model**

*by*Gianna Figa-Talamanca & Maria Letizia Guerra

**Portfolio Diversification in Extreme Environments: Are There Benefits from Adding Commodity Future Indices?**

*by*Bala Batavia & Nandakumar Parameswar & Cheick Wagué

**Valuación económica de proyectos energéticos mediante opciones reales: el caso de energía nuclear en México**

*by*Francisco Álvarez Echeverría & Pablo López Sarabia & Francisco Venegas-Martínez

**Real option valuation of abandoned farmland**

*by*Nishihara, Michi

**Implementing option pricing models when asset returns follow an autoregressive moving average process**

*by*Wang, Chou-Wen & Wu, Chin-Wen & Tzang, Shyh-Weir

**Volatility risk premium decomposition of LIFFE equity options**

*by*Lin, Bing-Huei & Lin, Yueh-Neng & Chen, Yin-Jung

**Production and futures hedging with state-dependent background risk**

*by*Wong, Kit Pong

**Debt reorganization strategies with complete verification under information asymmetry**

*by*Shibata, Takashi & Tian, Yuan

**Call-pricing equity returns and default risks of entry mode with brand perception in retail banking**

*by*Tsai, Jeng-Yan & Chang, Chuen-Ping

**Empirical estimation of the option premium for residential redevelopment**

*by*Clapp, John M. & Bardos, Katsiaryna Salavei & Wong, S.K.

**Efficient growth boundaries in the presence of population externalities and stochastic rents**

*by*Jou, Jyh-Bang

**The relevance of thinking-by-analogy for investors’ willingness-to-pay: An experimental study**

*by*Siddiqi, Hammad

**Pinning in the S&P 500 futures**

*by*Golez, Benjamin & Jackwerth, Jens Carsten

**Dynamic jump intensities and risk premiums: Evidence from S&P500 returns and options**

*by*Christoffersen, Peter & Jacobs, Kris & Ornthanalai, Chayawat

**The option to stock volume ratio and future returns**

*by*Johnson, Travis L. & So, Eric C.

**Limited arbitrage between equity and credit markets**

*by*Kapadia, Nikunj & Pu, Xiaoling

**What does futures market interest tell us about the macroeconomy and asset prices?**

*by*Hong, Harrison & Yogo, Motohiro

**U.S. stock market crash risk, 1926–2010**

*by*Bates, David S.

**Pricing of commercial real estate securities during the 2007–2009 financial crisis**

*by*Driessen, Joost & Van Hemert, Otto

**Arbitrage crashes and the speed of capital**

*by*Mitchell, Mark & Pulvino, Todd

**Time series momentum**

*by*Moskowitz, Tobias J. & Ooi, Yao Hua & Pedersen, Lasse Heje

**Endogenous liquidity in credit derivatives**

*by*Qiu, Jiaping & Yu, Fan

**Counterparty credit risk and the credit default swap market**

*by*Arora, Navneet & Gandhi, Priyank & Longstaff, Francis A.

**CAPM for estimating the cost of equity capital: Interpreting the empirical evidence**

*by*Da, Zhi & Guo, Re-Jin & Jagannathan, Ravi

**Rational asset pricing bubbles and portfolio constraints**

*by*Hugonnier, Julien

**Conservative traders, natural selection and market efficiency**

*by*Luo, Guo Ying

**Anchoring bias in the TARP warrant negotiations**

*by*Wilson, Linus

**Derivatives traders’ reaction to mispricing in the underlying equity**

*by*Hayunga, Darren K. & Holowczak, Richard D. & Lung, Peter P. & Nishikawa, Takeshi

**Real options and earnings-based bonus compensation**

*by*Huang, Hsing-Hua & Huang, Hongming & Shih, Pai-Ta

**Volatility spillovers and the effect of news announcements**

*by*Jiang, George J. & Konstantinidi, Eirini & Skiadopoulos, George

**Asset pricing with Second-Order Esscher Transforms**

*by*Monfort, Alain & Pegoraro, Fulvio

**Endogenizing exogenous default barrier models: The MM algorithm**

*by*Forte, Santiago & Lovreta, Lidija

**Keep on smiling? The pricing of Quanto options when all covariances are stochastic**

*by*Branger, Nicole & Muck, Matthias

**The term structure of illiquidity premia**

*by*Kempf, Alexander & Korn, Olaf & Uhrig-Homburg, Marliese

**When are path-dependent payoffs suboptimal?**

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**Exploring the role of the realized return distribution in the formation of the implied volatility smile**

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**Price discovery and volatility spillovers in the European Union emissions trading scheme: A high-frequency analysis**

*by*Rittler, Daniel

**A comparative study of the probability of default for global financial firms**

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**Option-implied volatility factors and the cross-section of market risk premia**

*by*Li, Junye

**Pricing American interest rate options under the jump-extended constant-elasticity-of-variance short rate models**

*by*Beliaeva, Natalia & Nawalkha, Sanjay

**Volatility dynamics for the S&P 500: Further evidence from non-affine, multi-factor jump diffusions**

*by*Kaeck, Andreas & Alexander, Carol

**Corporate taxes, strategic default, and the cost of debt**

*by*Nejadmalayeri, Ali & Singh, Manohar

**30-Day Interbank futures: Investigating the process of price discovery following RBA cash target rate announcements**

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

*by*Truong, Cameron & Corrado, Charles & Chen, Yangyang

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

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

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

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**An investor sentiment barometer — Greek Implied Volatility Index (GRIV)**

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**Escaping TARP**

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**Stock option contract adjustments: The case of special dividends**

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**Anatomy of a meltdown: The risk neutral density for the S&P 500 in the fall of 2008**

*by*Birru, Justin & Figlewski, Stephen

**The relationship between reciprocal currency futures prices**

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**Barrier option pricing for exchange rates under the Levy–HJM processes**

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**Option pricing and ARCH processes**

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**Discrete time hedging with liquidity risk**

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

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

*by*Xu, Weidong & Xu, Weijun & Li, Hongyi & Xiao, Weilin

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

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

*by*Tao, Juan & Green, Christopher J.

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

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

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**Market efficiency and risk premia in short-term forward prices**

*by*Haugom, Erik & Ullrich, Carl J.

**Clustering in crude oil prices and the target pricing zone hypothesis**

*by*Bharati, Rakesh & Crain, Susan J. & Kaminski, Vincent

**Integration of the global carbon markets**

*by*Mizrach, Bruce

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

*by*Conrad, Christian & Rittler, Daniel & Rotfuß, Waldemar

**Testing the Masters Hypothesis in commodity futures markets**

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

**Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies**

*by*Sadorsky, Perry

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

*by*Cartea, Álvaro & González-Pedraz, Carlos

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

*by*Gospodinov, Nikolay & Hirukawa, Masayuki

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

*by*Gospodinov, Nikolay & Jamali, Ibrahim

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

*by*de Frutos, María-Ángeles & Fabra, Natalia

**Gauging potential sovereign risk contagion in Europe**

*by*Fong, Tom Pak Wing & Wong, Alfred Y-T.

**Futures basis, inventory and commodity price volatility: An empirical analysis**

*by*Symeonidis, Lazaros & Prokopczuk, Marcel & Brooks, Chris & Lazar, Emese

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

*by*Yagi, Kyoko & Takashima, Ryuta

**Unilateral CVA for CDS in a contagion model with stochastic pre-intensity and interest**

*by*Bao, Qunfang & Chen, Si & Li, Shenghong

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

*by*Lin, Yueh-Neng & Chang, Chien-Hung

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

*by*Cheng, Jun & Ibraimi, Meriton & Leippold, Markus & Zhang, Jin E.

**Fair demographic risk sharing in defined contribution pension systems**

*by*Gabay, Daniel & Grasselli, Martino

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

*by*Hackbarth, Dirk & Miao, Jianjun

**Good timing: The economics of optimal stopping**

*by*Davis, Graham A. & Cairns, Robert D.

**Evaluating callable and putable bonds: An eigenfunction expansion approach**

*by*Lim, Dongjae & Li, Lingfei & Linetsky, Vadim

**Valuation of power options under Heston's stochastic volatility model**

*by*Kim, Jerim & Kim, Bara & Moon, Kyoung-Sook & Wee, In-Suk

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

*by*Barinov, Alexander

**How should firms selectively hedge? Resolving the selective hedging puzzle**

*by*Wojakowski, Rafał M.

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

*by*Saban Celik

**A Quantitative Mirror on the Euribor Market Using Implied Probability Density Functions**

*by*Josep Maria Puigvert-Gutiérrez & Rupert de Vincent-Humphreys

**La nouvelle régulation des swaps : une opportunité manquée**

*by*Annette L. Nazareth & Gabriel D. Rosenberg

**Les marchés de produits dérivés et la loi américaine sur les faillites**

*by*Mark J. Roe

**Commodity Investing**

*by*K. Geert Rouwenhorst & Ke Tang

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

*by*Mircea Gabriel Ciolpan & Jenica Popescu

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

*by*Richard Ebil Ottoo

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

*by*Yacine Aït-Sahalia & Jean Jacod

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

*by*Ana Fostel & John Geanakoplos

**Portfolio optimization using forward-looking information**

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

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

*by*Jianjun Miao & Dirk Hackbarth

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

*by*Chiara Coluzzi

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

*by*Escobar, Marcos & Friederich, Tim & Seco, Luis & Zagst, Rudi

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

*by*Fragniere, Emmanuel & Markov, Iliya

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

*by*Bianchetti, Marco & Carlicchi, Mattia

**Extreme Börsenbewegung und Intraday-Preisstellung von Open-End-Turbo-Zertifikaten auf den DAX: Der Fall Kerviel**

*by*Sebastian Lobe & Klaus Röder

**Pricing of temperature-based weather options for Turkey**

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

**Efficiency and hedging effectiveness in the NYMEX crude oil futures market**

*by*Tarkan ÇAVUŞOĞLU & Soner GÖKTEN

**The value of tradeability**

*by*Chesney, Marc & Kempf, Alexander

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

*by*Theissen, Erik

**Does modeling framework matter? A comparative study of structural and reduced-form models**

*by*Gündüz, Yalin & Uhrig-Homburg, Marliese

**Portfolio-Management für Privatanleger auf Basis des State Preference Ansatzes**

*by*Fäßler, Robert & Kraus, Christina & Weiler, Sebastian M. & Abukadyrova, Kamila

**Option pricing in subdiffusive Bachelier model**

*by*Marcin Magdziarz & Sebastian Orzel & Aleksander Weron

**Three-Benchmarked Risk Minimization for Jump Diffusion Markets**

*by*Ke Du & Eckhard Platen

**Do financial investors affect commodity prices? The case of Hard Red Winter Wheat**

*by*Daniele Girardi

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

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

**A General Equilibrium Model of Environmental Option Values**

*by*Iain Fraser & Katsuyuki Shibayama

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

*by*Isao Ishida & Michael McAleer & Kosuke Oya

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

*by*Gary S. Shea

**A Social Network for Trade and Inventories of Stock during the South Sea Bubble**

*by*Gary S. Shea

**East India Company and Bank of England Shareholders during the South Sea Bubble: Partitions, Components and Connectivity in a Dynamic Trading Network**

*by*Andrew Mays & Gary S. Shea

**Does Stock Return Predictability Affect ESO Fair Value?**

*by*CARMONA, JULIO & LEÓN, ANGEL & VAELLO-SEBASTIÁ, ANTONI

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

*by*Janis Back & Marcel Prokopczuk & Markus Rudolf

**Rationalization of Investment Preference Criteria**

*by*Jacques Pézier

**Does Information Content of Option Prices Add Value for Asset Allocation?**

*by*Vladimir Zdorovenin & Jacques Pézier

**A Market-based Approach to Sector Risk Determinants and Transmission in the Euro Area**

*by*Martín Saldías

**The Chinese Warrants Bubble**

*by*Wei Xiong & Jialin Yu

**Evaluating Asset Pricing Models in a Simulated Multifactor Approach**

*by*Carrasco-Gutierrez, Carlos Enrique & Piazza, Wagner

**Option Pricing in an Oligopolistic Setting**

*by*Villena, Marcelo & Villena, Mauricio

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

*by*Mitchell, David & Hunsader, Kenneth & Parker, Scott

**On the demand pressure hypothesis in option markets: the case of a redundant option**

*by*Bennour, Khaled

**Price Discovery and Volatility Spillovers in Indian Spot-Futures Commodity Market**

*by*P., Srinivasan

**HUMAN Capital Contracts in Chile : An excercise based on Income data on Chilean HE graduates**

*by*Lozano Rojas, Felipe Andres

**The Zeeman Effect in Finance: Libor Spectroscopy and Basis Risk Management**

*by*Marco, Bianchetti

**Hedging dynamics with gold futures**

*by*Singh, Saurabh & Saharawat, Swati

**International stock market comovements: what happened during the financial crisis?**

*by*Horvath, Roman & Poldauf, Petr

**Financial Management of Weather Risk with Energy Derivatives**

*by*Janda, Karel & Vylezik, Tomas

**Expansion formulae for local Lévy models**

*by*Stefano, Pagliarani & Pascucci, Andrea & Candia, Riga

**An efficient lattice algorithm for the libor market model**

*by*Tim, Xiao

**Thinking by analogy, systematic risk, and option prices**

*by*Siddiqi, Hammad

**One numerical procedure for two risk factors modeling**

*by*Cocozza, Rosa & De Simone, Antonio

**Hedging vs. speculative pressures on commodity futures returns**

*by*Cifarelli, Giulio & Paladino, Giovanna

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

*by*Gonçalo Faria & João Correia-da-Silva

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

*by*Gonçalo Faria & João Correia-da-Silva

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

*by*Michi Nishihara & Takashi Sshibata

**Real Options Valuation of Abandoned Farmland**

*by*Michi Nishihara

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

*by*Anton Korinek

**A Transparency Standard for Derivatives**

*by*Viral V. Acharya

**Global Asset Pricing**

*by*Karen K. Lewis

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

*by*Torben G. Andersen & Dobrislav Dobrev & Ernst Schaumburg

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

*by*Victor Stango & Jonathan Zinman

**Continuous Workout Mortgages**

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

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

*by*Andrew Ang & Francis A. Longstaff

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

*by*Hui Chen & Scott Joslin

**Simple Variance Swaps**

*by*Ian Martin

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

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

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

*by*Nicolae Gârleanu & Lasse Heje Pedersen

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

*by*Alexander David & Pietro Veronesi

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

*by*Harrison Hong & Motohiro Yogo

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

*by*Silvia Muzzioli

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

*by*Anna Naszódi

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

*by*Anna Naszódi

**Spot and future prices of agricultural commodities: fundamentals and speculation**

*by*Lucia BALDI & Massimo PERI & Daniela VANDONE

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

*by*Pascal François & Georges Hübner & Jean-Roch Sibille

**Currency Total Return Swaps: Valuation and Risk Factor Analysis**

*by*Romain Cuchet & Pascal François & Georges Hübner

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

*by*Isao Ishida & Michael McAleer & Kosuke Oya

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

*by*Olesia Verchenko

**The Puzzle of Index Option Returns**

*by*George M. Constantinides & Jens Carsten Jackwerth & Alexi Savov

**Relative Scarcity of Commodities with a Long-Term Economic Relationship and the Correlation of Futures Returns**

*by*Jaime Casassus & Peng Liu & Ke Tang

**Performance-sensitive government bonds - A new proposal for sustainable sovereign debt management**

*by*Matthias Bank & Alexander Kupfer & Rupert Sendlhofer

**Liquidity considerations in estimating implied volatility**

*by*Rohini Grover & Susan Thomas

**Pricing Nikkei 225 Options Using Realized Volatility**

*by*Masato Ubukata & Toshiaki Watanabe

**Calibration of selfdecomposable Lévy models**

*by*Mathias Trabs

**Pricing Chinese rain: a multi-site multi-period equilibrium pricing model for rainfall derivatives**

*by*Wolfgang HÃ¤rdle & Maria Osipenko

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

*by*Cho-Hoi Hui & Tom Fong

**Explaining Share Price Disparity with Parameter Uncertainty: Evidence from Chinese A- and H-Shares**

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

**Concocting Marketable Cocos**

*by*George M. von Furstenberg

**Effects of Liquidity on the Nondefault Component of Corporate Yield Spreads: Evidence from Intraday Transactions Data**

*by*Song Han & Hao Zhou

**Long-Dated Agricultural Futures Price Estimates Using the Seasonal Nelson-Siegel Model**

*by*Jason West

**Adaptive continuous time Markov chain approximation model to general jump-diffusions**

*by*Mario Cerrato & Chia Chun Lo & Konstantinos Skindilias

**Technical Analysis with a Long-Term Perspective: Trading Strategies and Market Timing Ability**

*by*Isakov, Dusan & Marti, Didier

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

*by*Andrea Klimešová & Tomáš Václavík

**Modelling Long-Term Electricity Contracts at EEX**

*by*Robert Flasza & Milan Rippel & Jan Šolc

**Modifying Gaussian term structure models when interest rates are near the zero lower bound**

*by*Leo Krippner

**Variance Bounds on the Permanent and Transitory Components of Stochastic Discount Factors**

*by*Bakshi, Gurdip & Chabi-Yo, Fousseni

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

*by*Andreas Fritz & Christoph Weber

**Valuation of Liabilities in Hybrid Pension Plans**

*by*Dirk Broeders & An Chen & David Rijsbergen

**Continuous Workout Mortgages**

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

**Good deals in markets with frictions**

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

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

*by*Lamia Bekkour & Thorsten Lehnert & Maria Chiara Amadori

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

*by*Lamia Bekkour & Thorsten Lehnert & Maria Chiara Amadari

**CDS Auctions**

*by*Chernov, Mikhail & Gorbenko, Alexander & Makarov, Igor

**Hedging and Vertical Integration in Electricity Markets**

*by*Aïd, René & Chemla, Gilles & Porchet, Arnaud & Touzi, Nizar

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

*by*Schürhoff, Norman & Ziegler, Alexandre

**The risk neutral valuation paradox**

*by*A. Fiori Maccioni

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

*by*Marc Gronwald & Janina Ketterer & Stefan Trück

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

*by*Julien Chevallier & Yannick Le Pen & Benoît Sévi

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

*by*Isao Ishida & Michael McAleer & Kosuke Oya

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

*by*Christian Hilpert & Jing Li & Alexander Szimayer

**Macro-prudential policy and the conduct of monetary policy**

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**Intraday Empirical Analysis and Modeling of Diversified World Stock Indices**

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**Idiosyncratic Risk, Systematic Risk and Stochastic Volatility: An Implementation of Merton's Credit Risk Valuation**

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**Pricing and Hedging Options in Incomplete Markets: Idiosyncratic Risk, Systematic Risk and Stochastic Volatility**

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**Private Information: Similarity as Compatibility**

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**Modelling the Risk and Return Relation Conditional on Market Volatility and Market Conditions**

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**Financial fragility under implicit insurance scheme: Evidence from the collapse of Thai financial institutions**

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**Deposit Insurance, Corporate Governance and Discretionary Behavior: Evidence from Thai Financial Institutions**

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**General Quadratic Term Structures of Bond, Futures and Forward Prices**

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**On the Pricing of Step-Up Bonds in the European Telecom Sector**

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**The Optimality of Multi-stage Venture Capital Financing: An Option-Theoretic Approach**

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**The Forecasting Performance of German Stock Option Densities**

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**European Option Pricing and Hedging with both Fixed and Proportional Transaction Costs**

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**Alternative Market Structures for Derivatives**

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**Efficient Path-Dependent Valuation Using Lattices: Fixed and Floating Strike Asian Options**

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**An Alternative Valuation Model for Contingent Claims**

*by*Gurdip S. Bakshi & Zhiwu Chen

**The Pricing of Foreign Currency Futures Options**

*by*Chang Mo Ahn

**Equilibrium Valuation of Foreign Exchange Claims**

*by*Gurdip S. Bakshi & Zhiwu Chen

**Randomization and the American Put**

*by*Peter Carr

**Option Valuation and the Price of Risk**

*by*John Chalupa

**Improving Value-At-Risk Estimates By Combining Kernel Estimation With Historical Simulation**

*by*J. S. Butler & Barry Schachter

**Bootstrap Results From the State Space From Representation of the Heath-Jarrow-Morton Model**

*by*Ram Bhar & Carl Chiarella

**A two-mean reverting-factor model of the term structure of interest rates**

*by*Manuel Moreno

**Optimal regulation of a fully insured deposit banking system**

*by*Xavier Freixas & Emmanuelle Gabillon

**Intraday Lead-Lag Relationships between the Futures-, Options and Stock Market**

*by*de Jong, F.C.J.M. & Donders, M.W.M.

**Markets with endogenous uncertainty: theory and policy**

*by*Chichilnisky, Graciela

**Noncommercial Trading in the Energy Futures Market**

*by*Dale, Charles & Zyren, John

**Implied Volatility Functions: Empirical Tests**

*by*Bernard Dumas & Jeff Fleming & Robert E. Whaley

**Towards a General Theory of Bond Markets**

*by*Björk, Tomas & di Masi, Giovanni & Kabanov, Yuri & Runggaldier, Wolfgang

**Stock Options as Barrier Contingent Claims**

*by*Ericsson, Jan & Reneby, Joel

**Diversified Portfolios in Continuous Time**

*by*Björk, Tomas & Näslund, Bertil

**Numerical analysis of strategic contingent claims models**

*by*Anderson, Ronald W. & Tu, Cheng

**Default risk in asset pricing**

*by*Mella-Baral, Pierre & Tychon, Pierre

**Implied Volatility Functions: Empirical Tests**

*by*Dumas, Bernard J & Fleming, Jeff & Whaley, Robert E

**American Options with Stochastic Dividends and Volatility: A Nonparametric Investigation**

*by*Mark Broadie & Jérôme B. Detemple & Eric Ghysels & Olivier Torrès

**Nonparametric Estimation of American Options Exercise Boundaries and Call Prices**

*by*Mark Broadie & Jérôme B. Detemple & Eric Ghysels & Olivier Torrès

**Arbitrage Based Pricing When Volatility Is Stochastic**

*by*Peter Bossaert & Eric Ghysels & Christian Gouriéroux

**Lognormality of Rates and Term Structure Models**

*by*Goldys, B. & M. Musiela & D. Sondermann

**The Term Structure of Defaultable Bond Prices**

*by*Schönbucher, Philipp J.

**Continuous-Time Term Structure Models**

*by*Musiela, Marek & Marek Rutkowski

**The Pricing and Hedging of Options in Finitely Elastic Markets**

*by*Frey, Rüdiger

**Pricing the American Put Option: A Detailed Convergence Analysis for Binomial Models**

*by*Leisen, Dietmar

**Derivatives Activity at Troubled Banks**

*by*Joe Peek & Eric S. Rosengren

**On a general class of one-factor models for the term structure of interest rates (*)**

*by*W.M. Schmidt

**Kamatparitás lebegő és csúszó leértékeléses árfolyamrendszerben**

*by*Barabás, Gyula

**Kamatkülönbség és árfolyam-várakozások az előre bejelentett kúszó árfolyamrendszerben**

*by*Darvas, Zsolt

**Imperfect Information, Money and Economic Growth**

*by*Ho, W.H.

**The Determination of Stock Market Volatility and Its International Transmission**

*by*Kearney, C.

**Do Managed Futures Make Good Investments?**

*by*Edwards, F.R. & Park, J.M.

**Mutual Funds and Financial Stability**

*by*Edwards, F.R.

**Derivatives and the Efficient Allocation of Price Risks in a General Equilibrium World**

*by*Heal, G.

**Separation and Hedging Results with State-Contingent Production**

*by*Chambers, R.G. & Quiggin, J.

**Altruism and Determinacy of Equilibria in Overlapping Generations Models with Externalities**

*by*Venditti, A.

**Discrete Time Option Pricing with Bid-Ask Spreads**

*by*Kast, R. & Lapied, A.

**Estimation of Continuous Time Models for Stock Returns and Interest Rates**

*by*Tauchen, George E. & Gallant, A. Ronald

**Specification Analysis of Continuous Time Models in Finance**

*by*Gallant, A. Ronald & Tauchen, George E.

**Approximation Pricing and the Variance-Optimal Martingale Measure**

*by*Schweizer, Martin

**Convergence of Option Values under Incompleteness**

*by*Runggaldier, Wolfgang J. & Martin Schweizer

**Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices**

*by*Yacine Ait-Sahalia & Andrew W. Lo

**Testing Option Pricing Models**

*by*David S. Bates

**Banks and Derivatives**

*by*Gary Gorton & Richard Rosen

**A Framework for Valuing Corporate Securities**

*by*Ericsson, Jan & Reneby, Joel

**Bond markets where prices are driven by a general marked point process**

*by*Björk, T. & Kabanov, Y. & Runggaldier, W.

**Uniqueness of the Fair Premium for Equity-Linked Life Insurance Contracts**

*by*Nielsen, J. Aase & Klaus Sandmann

**The Pricing of Asian Options under Stochastic Interest Rates**

*by*Nielsen, J. A. & K. Sandmann

**Market Volatility and Feedback Effects from Dynamic Hedging**

*by*Frey, Rüdiger & Alexander Stremme

**Binomial Models for Option Valuation - Examining and Improving Convergence**

*by*Leisen, D. P. J. & M. Reimer

**A Systematic Approach to Pricing and Hedging of International Derivatives with Interest-Rate Risk**

*by*Frey, Rüdiger & Daniel Sommer

**Equity-linked life insurance - a model with stochastic interest rates**

*by*Nielsen, J. Aase & Klaus Sandmann

**A Discrete Time Approach for European and American Barrier Options**

*by*K. Sandmann & Reimer, M.

**The Direct Approach to Debt Option Pricing**

*by*K. Sandmann & Sandmann, K.

**On Smile and Skewness**

*by*Platen, Eckhard & Martin Schweizer

**Closed form representations for the minimal hedging portfolios of American type contingent claims**

*by*A. N. Vishnyakov & Kramkov, D.O.

**On the Approximation of Random Variables by Stochastic Integrals with Respect to Semimartingales**

*by*Christopeit, Norbert

**Put-call parities and the value of early exercise for put options on a performance index**

*by*de Roon, F.A. & Veld, C.H.

**Contingent Claims Valued And Hedged By Pricing And Investing In A Basis**

*by*Frank Milne & Dilip Madan

**Implementing Option Pricing Models When Asset Returns Are Predictable**

*by*Andrew W. Lo & Jiang Wang

**A Nonparametric Approach to Pricing and Hedging Derivative Securities Via Learning Networks**

*by*James M. Hutchinson & Andrew W. Lo & Tomaso Poggio

**The Valuation of American Options on Multiple Assets**

*by*Mark Broadie & Jérôme B. Detemple

**American Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methods**

*by*Mark Broadie & Jérôme B. Detemple

**American Capped Call Options on Dividend Paying Assets**

*by*Mark Broadie & Jérôme B. Detemple

**Closed Form Solutions for Term Structure Derivatives with Log-Normal Interest Rates**

*by*Miltersen, K. & K. Sandmann & D. Sondermann

**Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets**

*by*Kramkov, D.O.

**On Short Rate Processes and Their Implications for Term Structure Movements**

*by*Schlögl, Erik & Daniel Sommer

**Closed Form Term Structure Derivatives in a Heath-Jarrow- Morton Model with Log-Normal Annually Compounded Interest Rates**

*by*D. Sondermann & K. Miltersen

**On the Stability of Log-Normal Interest Rate Models and the Pricing of Eurodollar Futures**

*by*D. Sondermann & Sandmann, K.

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

*by*Juan Luis Llorens

**Deuda pública de Euskadi**

*by*Agustín Garmendia Iribar

**Regulación y control de los nuevos riesgos**

*by*Arturo de la Lama López-Areal

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

*by*Lorenzo de Cristobal y de Nicolás

**Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in thePHLX Deutschemark Options**

*by*David S. Bates

**Realignment Risk and Currency Option Pricing in Target Zones**

*by*Bernard Dumas & L. Peter Jennergren & Bertil Naslund

**Measuring Asset Values for Cash Settlement in Derivative Markets: Hedonic Repeated Measures indices and Perpetual Futures**

*by*Robert J. Shiller

**Optimal Hedging under Forward-Looking Behavior**

*by*Sergio H. Lence & Dermot J. Hayes

**A Term Structure Model and the Pricing of Interest Rate Derivative**

*by*K. Sandmann & Sondermann, D.

**On the use of the Black & Scholes model in a stochastic interest rate economy**

*by*Krister Rindell

**Existence and optimality of equilibria in markets with tradeable derivative securities**

*by*Henrotte,Philippe

**Unit root behavior in energy futures prices**

*by*Serletis, Apostolos

**Option Introduction and Liquidity Changes in the OTC/NASDAQ Equity Market**

*by*Rich Fortin & Judy Maese

**The Information Content of Prices in Derivative Security Markets**

*by*Louis O. Scott

**On the behaviour of the Finnish stock index options markets**

*by*Vesa Puttonen

**Option Pricing With V. G. Martingale Components**

*by*Frank Milne & Dilip Madan

**Economics of Energy Futures Markets**

*by*Dale, Charles

**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

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

*by*Patrick Leoni & Stï¿½phane Luchini

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

*by*Patrick Leoni & Stï¿½phane Luchini

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

*by*Marco Realdon

**Valuation of Put Options on Leveraged Equity**

*by*Marco Realdon

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

*by*Marco Realdon

**Valuation of Exchangeable Convertible Bonds**

*by*Marco Realdon

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

*by*Peter D Spencer

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

*by*Aaron Tornell & Chunming Yuan

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

*by*Palani-Rajan Kadapakkam & Umesh Kumar

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

*by*Karan Bhanot & Antonio S. Mello

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

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

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

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

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

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

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

*by*Yiuman Tse & Michael Williams

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

*by*Yiuman Tse & Lin Zhao

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

*by*Jason West

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

*by*Nicolas Mougeot

**Linear-Rational Term Structure Models**

*by*Damir FILIPOVIC & Martin LARSSON & Anders TROLLE

**Portfolio Selection with Options and Transaction Costs**

*by*Semyon MALAMUD

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

*by*Jan Kallsen & Johannes Muhle-Karbe

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

*by*Markus Leippold & Jacob Stromberg

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

*by*Valentina Corradi & Walter Distaso & Antonio Mele

**Affine Variance Swap Curve Models**

*by*Damir FilipoviÄ‡

**Misvaluation and Return Anomalies in Distress Stocks**

*by*Assaf Eisdorfer & Amit Goyal & Alexei Zhdanov

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

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

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

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

**Collateral Smile**

*by*Markus LEIPPOLD & Lujing SU

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

*by*Marc CHESNEY & Remo CRAMERI & Loriano MANCINI

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

*by*Marc CHESNEY & Remo CRAMERI & Loriano MANCINI

**The Value of Tradeability**

*by*Marc CHESNEY & Alexander KEMPF

**Predictive Power of Information Market Prices**

*by*Maria PUTINTSEVA

**Weak Approximation of G-Expectations**

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

**Conditional Density Models for Asset Pricing**

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

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

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

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

*by*Patrick Gagliardini & Diego Ronchetti

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

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

**Liquidity Models in Continuous and Discrete Time**

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

**A Market Model for Stochastic Implied Volatility**

*by*Schönbucher, Philpp J.

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

*by*Leisen, Dietmar P.J.

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

*by*Bent Jesper Christensen & Morten Ø. Nielsen

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

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

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

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