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.

---

3005 Variance swap payoffs, risk premia and extreme market conditions
by Jeroen V.K. Rombouts & Lars Stentoft & Francesco Violante

2017 The effectiveness of seasonal investments in European Share Portfolios
by Heidorn, Thomas & Maier, F. & Winker, M.

2017 Illiquidity transmission from spot to futures markets
by Korn, Olaf & Krischak, Paolo & Theissen, Erik

2017 A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors
by Mesias Alfeus & Martino Grasselli & Erik Schlögl

2017 Investing for the Long Run
by Dietmar P.J. Leisen & Eckhard Platen

2017 GARCH option pricing models with Meixner innovations
by Fengler, Matthias & Melnikov, Alexander

2017 In the Nick of Time: A Heteroskedastic SVAR Model and Its Application to the Crude Oil Futures Market
by Sun, Hang & Bos, Jaap W.B. & Li, Zhuo

2017 A Stochastic Factor Model for Risk Management of Commodity Derivatives
by Zi-Yi Guo

2017 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

2017 Factor Pricing in Commodity Futures and the Role of Liquidity
by Chong, Terence Tai Leung & Tsui, Chun & Chan, Wing Hong

2017 Une perspective macroprudentielle pour la stabilité financière
by Pinshi Paula, Christian

2017 A Reconsideration of the Equity Premium Puzzle
by Cantillo, Miguel

2017 Une perspective macroprudentielle pour la stabilité financière
by Pinshi, Christian

2017 Dynamic bankruptcy procedure with asymmetric information between insiders and outsiders
by Michi Nishihara & Takashi Shibata

2017 Price Uncertainty and Price-Contingent Securities
by Geoffrey Heal

2017 Mispriced Index Option Portfolios
by George M. Constantinides & Michal Czerwonko & Stylianos Perrakis

2017 Taper Tantrums: QE, its Aftermath and Emerging Market Capital Flows
by Anusha Chari & Karlye Dilts Stedman & Christian Lundblad

2017 Sharing R&D Risk in Healthcare via FDA Hedges
by Adam Jørring & Andrew W. Lo & Tomas J. Philipson & Manita Singh & Richard T. Thakor

2017 Costs of capital under credit risk
by Peter Reichling & Anastasiia Zbandut

2017 Hedging spark spread risk with futures
by Beatriz Martínez Martínez & Hipolit Torro Enguix

2017 Information Aggregation in a Prediction Market for Climate Outcomes
by Elmira Aliakbari & Ross McKitrick

2017 Firm-Specific Risk-Neutral Distributions : The Role of CDS Spreads
by Sirio Aramonte & Mohammad Jahan-Parvar & Samuel Rosen & John W. Schindler

2017 Macro Risks and the Term Structure of Interest Rates
by Geert Bekaert & Eric Engstrom & Andrey Ermolov

2017 The TIPS Liquidity Premium
by Andreasen, Martin M. & Christensen, Jens H. E. & Riddell, Simon

2017 Is There an On-the-Run Premium in TIPS?
by Christensen, Jens H. E. & Lopez, Jose A. & Shultz, Patrick

2017 Estimating Loss Given Default from CDS under Weak Identification
by Liu, Lily Y.

2017 Continuous-time perpetuities and time reversal of diffusions
by Constantinos Kardaras & Scott Robertson

2017 A comment on Wu and Xia (2016) from a macroeconomic perspective
by Leo Krippner

2017 Identifying Speculative Demand Shocks in Commodity Futures Markets through Changes in Volatility
by Michael Hachula & Malte Rieth

2017 Examining the Common Dynamics of Commodity Futures Prices
by Christian Gross

2017 Corporate Debt Maturity Profiles
by Choi, Jaewon & Hackbarth, Dirk & Zechner, Josef

2017 Market Discipline Through Credit Ratings and Too-Big-To-Fail in Banking?
by Sascha KOLARIC & Florian KIESEL & Steven ONGENA

2017 Market Discipline Through Credit Ratings and Too-Big-To-Fail in Banking?
by Sascha KOLARIC & Florian KIESEL & Steven ONGENA

2017 Market Discipline Through Credit Ratings and Too-Big-To-Fail in Banking?
by Sascha KOLARIC & Florian KIESEL & Steven ONGENA

2017 Product Market Competition and Option Prices
by Erwan Morellec & Alexei Zhdanov

2017 Price Discovery in Some Primary Commodity Markets in India
by Raushan Kumar

2017 Is there accuracy of forward freight agreements in forecasting future freight rates? An empirical investigation
by Evangelia Kasimati & Nikolaos Veraros

2017 Borderline: judging the adequacy of return distribution estimation techniques in initial margin models
by Houllier, Melanie & Murphy, David

2017 An indicator of inflation expectations anchoring
by Filippo Natoli & Laura Sigalotti

2017 The eurozone (expected) inflation: an option’s eyes view
by Ricardo Gimeno & Alfredo Ibáñez

2017 On the equivalence of large individualized and distributionalized games
by Khan, Mohammed Ali & Rath, Kali P. & Yu, Haomiao & Zhang, Yongchao

2017 Hedging under generalized good-deal bounds and model uncertainty
by Dirk Becherer & Klebert Kentia

2017 General economic equilibrium with financial markets and retainability
by A. Jofré & R. T. Rockafellar & R. J-B. Wets

2017 The real miss-specification in the forward rate premium puzzle
by Amit K. Sinha & Philip A. Horvath & Robert C. Scott

2017 The role of measurability in game-theoretic probability
by Vladimir Vovk

2017 The space of outcomes of semi-static trading strategies need not be closed
by Beatrice Acciaio & Martin Larsson & Walter Schachermayer

2017 Change of numeraire in the two-marginals martingale transport problem
by Luciano Campi & Ismail Laachir & Claude Martini

2017 The scaling limit of superreplication prices with small transaction costs in the multivariate case
by Peter Bank & Yan Dolinsky & Ari-Pekka Perkkiö

2017 Watermark options
by Neofytos Rodosthenous & Mihail Zervos

2017 Arbitrage-free pricing of multi-person game claims in discrete time
by Ivan Guo & Marek Rutkowski

2017 Model uncertainty and the pricing of American options
by David Hobson & Anthony Neuberger

2017 Hedging with small uncertainty aversion
by Sebastian Herrmann & Johannes Muhle-Karbe & Frank Thomas Seifried

2017 Continuous-time perpetuities and time reversal of diffusions
by Constantinos Kardaras & Scott Robertson

2017 The evolving nature of intraday price discovery in the Chinese CSI 300 index futures market
by Qiang Liu & Gaoxiu Qiao

2017 Equilibrium approach of asset and option pricing under Lévy process and stochastic volatility
by Shuang Li & Yanli Zhou & Yonghong Wu & Xiangyu Ge

2017 Non-parametric American option valuation using Cressie–Read divergences
by Jamie Alcock & Godfrey Smith

2017 Borrowing in Excess of Natural Ability to Repay
by Filipe Martins da Rocha & Yiannis Vailakis

2017 The Multifactorial Pastor-Stambaugh Model: Explaining The Impact Of Liquidity On The Rate Of Return Based On The Example Of The Warsaw Stock Exchange
by Agata Gniadkowska-Szymanska

2017 An Asset Pricing Approach to Liquidity Effects in Corporate Bond Markets
by Dion Bongaerts & Frank de Jong & Joost Driessen

2017 What Is the Consumption-CAPM Missing? An Information-Theoretic Framework for the Analysis of Asset Pricing Models
by Anisha Ghosh & Christian Julliard & Alex P. Taylor

2017 The Anatomy of the CDS Market
by Martin Oehmke & Adam Zawadowski

2017 Commodity Markets, Long-Run Predictability, and Intertemporal Pricing
by Adrian Fernandez-Perez & Ana-Maria Fuertes & Joelle Miffre

2017 Jump and Volatility Dynamics for the S&P 500: Evidence for Infinite-Activity Jumps with Non-Affine Volatility Dynamics from Stock and Option Markets
by Hanxue Yang & Juho Kanniainen

2017 Reference-Dependent Preferences and the Empirical Pricing Kernel Puzzle
by Maria Grith & Wolfgang K. Härdle & Volker Krätschmer

2017 Forecasting Stock Returns Using Option-Implied State Prices
by Konstantinos Metaxoglou & Aaron Smith

2017 Rejoinder on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy
by Caio Almeida & Kym Ardison & René Garcia & Jose Vicente

2017 Nonparametric Tail Risk, Stock Returns, and the Macroeconomy
by Caio Almeida & Kym Ardison & René Garcia & Jose Vicente

2017 Mutual Funds Dynamics and Economic Predictors
by Gianni Amisano & Roberto Savona

2017 The Financialization of Food?
by Valentina G. Bruno & Bahattin Büyükşahin & Michel A. Robe

2017 On the Market-consistent Valuation of Fish Farms: Using the Real Option Approach and Salmon Futures
by Christian-Oliver Ewald & Ruolan Ouyang & Tak Kuen Siu

2017 Transmission of future prices of corn of the Chicago Board of Trade to the Mexican spot market
by Francisco Ortiz Arango & Alma Nelly Montiel Guzmán

2017 Transmisión de precios futuros de maíz del Chicago Board of Trade al mercado spot mexicano
by Francisco Ortiz Arango & Alma Nelly Montiel Guzmán

2017 Internal price stabilization tools in the Colombian sugar market: Do they work?
by Julio César Alonso Cifuentes & Andrés Mauricio Arcila Vásquez & Sebastián Montenegro Arana

2017 Volatility forecasting in the Chinese commodity futures market with intraday data
by Ying Jiang & Shamim Ahmed & Xiaoquan Liu

2017 The affine styled-facts price dynamics for the natural gas: evidence from daily returns and option prices
by Chih-Chen Hsu & An-Sing Chen & Shih-Kuei Lin & Ting-Fu Chen

2017 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

2017 Implied volatility and skewness surface
by Bruno Feunou & Jean-Sébastien Fontaine & Roméo Tédongap

2017 A four-factor stochastic volatility model of commodity prices
by Max F. Schöne & Stefan Spinler

2017 Rainbow trend options: valuation and applications
by Jr-Yan Wang & Hsiao-Chuan Wang & Yi-Chen Ko & Mao-Wei Hung

2017 A bias in the volatility smile
by Don M. Chance & Thomas A. Hanson & Weiping Li & Jayaram Muthuswamy

2017 On the multiplicity of option prices under CEV with positive elasticity of variance
by Dirk Veestraeten

2017 A Lattice Framework with Smooth Convergence for Pricing Real Estate Derivatives with Stochastic Interest Rate
by Dong Zou & Pu Gong

2017 Robust Monte Carlo Method for R&D Real Options Valuation
by Marta Biancardi & Giovanni Villani

2017 Investment, agency conflicts, debt maturity, and loan guarantees by negotiation
by Liu Gan & Zhaojun Yang

2017 Dynamic Stochastic Factors, Risk Management and the Energy Futures
by Zi-Yi Guo & Yangxiaoteng Luo

2017 Private Valuation of Compensation Stock Options
by Diego C. Cueto

2017 Un modelo de inversión óptima para fondos soberanos: caso fondo mexicano del petróleo para la estabilización y el desarrollo
by Sierra-Juárez, Guillermo & Méndez García, Daniela

2017 Economic information transmissions and liquidity between shipping markets: New evidence from freight derivatives
by Alexandridis, G. & Sahoo, S. & Visvikis, I.

2017 Accounting quality, information risk and the term structure of implied volatility around earnings announcements
by Anagnostopoulou, Seraina C. & Tsekrekos, Andrianos E.

2017 Liquidity, information, strategic trading in an electronic order book: New insights from the European carbon markets
by Rannou, Yves

2017 Time-varying risk aversion and return predictability
by Yoon, Sun-Joong

2017 Stochastic volatility vs. jump diffusions: Evidence from the Chinese convertible bond market
by Fan, Chenxi & Luo, Xingguo & Wu, Qingbiao

2017 Liquidity basis between credit default swaps and corporate bonds markets
by Kim, Kwanho

2017 Optimal capital structure with moral hazard
by Mu, Congming & Wang, Anxing & Yang, Jinqiang

2017 Pricing vulnerable options with stochastic volatility
by Wang, Guanying & Wang, Xingchun & Zhou, Ke

2017 Financial tail risks in conventional and Islamic stock markets: A comparative analysis
by Muteba Mwamba, John W. & Hammoudeh, Shawkat & Gupta, Rangan

2017 Valuation of a hypothetical mining project under commodity price and exchange rate uncertainties by using numerical methods
by Aminrostamkolaee, Behnam & Scroggs, Jeffrey S. & Borghei, Matin Sadat & Safdari-Vaighani, Ali & Mohammadi, Teymour & Hossein Pourkazemi, Mohammad

2017 Violations of uncovered interest rate parity and international exchange rate dependences
by Ames, Matthew & Bagnarosa, Guillaume & Peters, Gareth W.

2017 Explaining the negative returns to volatility claims: An equilibrium approach
by Eraker, Bjørn & Wu, Yue

2017 The term structure of credit spreads, firm fundamentals, and expected stock returns
by Han, Bing & Subrahmanyam, Avanidhar & Zhou, Yi

2017 The price of variance risk
by Dew-Becker, Ian & Giglio, Stefano & Le, Anh & Rodriguez, Marius

2017 Stochastic idiosyncratic cash flow risk and real options: Implications for stock returns
by Bhamra, Harjoat S. & Shim, Kyung Hwan

2017 Optimal delta hedging for options
by Hull, John & White, Alan

2017 Corporate liquidity and dividend policy under uncertainty
by Koussis, Nicos & Martzoukos, Spiros H. & Trigeorgis, Lenos

2017 Real options in finance
by Lambrecht, Bart M.

2017 Variance risk in commodity markets
by Prokopczuk, Marcel & Symeonidis, Lazaros & Wese Simen, Chardin

2017 Rewarding risk-taking or skill? The case of private equity fund managers
by Buchner, Axel & Wagner, Niklas F.

2017 Do oil futures prices predict stock returns?
by Chiang, I-Hsuan Ethan & Hughen, W. Keener

2017 Pricing and disentanglement of American puts in the hyper-exponential jump-diffusion model
by Leippold, Markus & Vasiljević, Nikola

2017 The composition of CMBS risk
by Christopoulos, Andreas D.

2017 Option pricing under time-varying risk-aversion with applications to risk forecasting
by Kiesel, Rüdiger & Rahe, Florentin

2017 Slow diffusion of information and price momentum in stocks: Evidence from options markets
by Chen, Zhuo & Lu, Andrea

2017 Corporate liquidity and dividend policy under uncertainty
by Koussis, Nicos & Martzoukos, Spiros H. & Trigeorgis, Lenos

2017 The joint cross-sectional variation of equity returns and volatilities
by González-Urteaga, Ana & Rubio, Gonzalo

2017 Semi-analytical valuation for discrete barrier options under time-dependent Lévy processes
by Lian, Guanghua & Zhu, Song-Ping & Elliott, Robert J. & Cui, Zhenyu

2017 Discrete-time option pricing with stochastic liquidity
by Leippold, Markus & Schärer, Steven

2017 An empirical comparison of transformed diffusion models for VIX and VIX futures
by Bu, Ruijun & Jawadi, Fredj & Li, Yuyi

2017 Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps
by Cui, Zhenyu & Kirkby, J. Lars & Nguyen, Duy

2017 Range-based and GARCH volatility estimation: Evidence from the French asset market
by Benlagha, Noureddine & Chargui, Sana

2017 Futures markets and real estate public equity: Connectivity of lumber futures and Timber REITs
by Clements, Sherwood & Tidwell, Alan & Jin, Changha

2017 Credit derivatives and stock return synchronicity
by Bai, Xuelian & Hu, Nan & Liu, Ling & Zhu, Lu

2017 An examination of investors’ reaction to the announcement of CoCo bonds issuance: A global outlook
by Liao, Qunfeng & Mehdian, Seyed & Rezvanian, Rasoul

2017 Cumulative Prospect Theory for piecewise continuous distributions
by Gürtler, Marc & Stolpe, Julia

2017 Laplacian risk management
by Madan, Dilip B. & Smith, Robert H. & Wang, King

2017 What determines bank CDS spreads? Evidence from European and US banks
by Drago, Danilo & Tommaso, Caterina Di & Thornton, John

2017 How fundamental is the one-period trinomial model to European option pricing bounds. A new methodological approach
by Braouezec, Yann

2017 Discontinuous payoff option pricing by Mellin transform: A probabilistic approach
by Gzyl, H. & Milev, M. & Tagliani, A.

2017 An equilibrium pricing model for wind power futures
by Gersema, Gerke & Wozabal, David

2017 Generating options-implied probability densities to understand oil market events
by Datta, Deepa Dhume & Londono, Juan M. & Ross, Landon J.

2017 Is hedging the crack spread no longer all it's cracked up to be?
by Liu, Pan & Vedenov, Dmitry & Power, Gabriel J.

2017 Joint price and volumetric risk in wind power trading: A copula approach
by Pircalabu, A. & Hvolby, T. & Jung, J. & Høg, E.

2017 Blending under uncertainty: Real options analysis of ethanol plants and biofuels mandates
by Ghoddusi, Hamed

2017 Inventory shocks and the oil–ethanol–grain price nexus
by Plante, Michael & Dhaliwal, Navi

2017 Linear–quadratic term structure models for negative euro area yields
by Realdon, Marco & Boonyanet, Wachira

2017 Volatility and expected option returns: A note
by Chaudhury, Mo

2017 Price disagreements and adjustments in index derivatives markets
by Ryu, Doojin & Yang, Heejin

2017 Learning and forecasts about option returns through the volatility risk premium
by Bernales, Alejandro & Chen, Louisa & Valenzuela, Marcela

2017 How should a local regime-switching model be calibrated?
by He, Xin-Jiang & Zhu, Song-Ping

2017 Risk-free Yields, Risk Aversion, and Volatility
by Samih Antoine Azar

2017 The Effect of Liberalization on Export-import in Indonesia
by Muhammad Sofjan

2017 Leverage Certificates - A Case of Innovative Financial Engineering
by Rodrigo Hernandez & Yingying Shao & Pu Liu

2017 Collateral Risk and Demographic Discrimination in Mortgage Market Equilibria
by David Nickerson & Robert Jones

2016 Time-Induced Stress Effect on Financial Decision Making in Real Markets: The Case of Traffic Congestion
by Gelman, Sergey & Kliger, Doron

2016 Bedingte Aktiengeschäfte
by Dilger, Alexander

2016 Commodities, financialization, and heterogeneous agents
by Branger, Nicole & Grüning, Patrick & Schlag, Christian

2016 Die Bewertung von Aktienanleihen mit Barriere: Eine Fallstudie für die Easy-Aktienanleihe der Deutschen Bank
by Hofmann, Maurice & Rottmann, Horst

2016 How do insiders trade?
by Augustin, Patrick & Brenner, Menachem & Grass, Gunnar & Subrahmanyam, Marti G.

2016 Why do investors buy sovereign default insurance?
by Augustin, Patrick & Sokolovski, Valeri & Subrahmanyam, Marti G.

2016 Stock Illiquidity, option prices, and option returns
by Kanne, Stefan & Korn, Olaf & Uhrig-Homburg, Marliese

2016 Carbon pricing, forward risk premiums and pass-through rates in Australian electricity futures markets
by Pawel Maryniak & Stefan Trueck & Rafal Weron

2016 Applying Exogenous Variables and Regime Switching To Multifactor Models on Equity Indices
by Paweł Sakowski & Robert Ślepaczuk & Mateusz Wywiał

2016 Can We Invest Based on Equity Risk Premia and Risk Factors from Multi-Factor Models?
by Paweł Sakowski & Robert Ślepaczuk & Mateusz Wywiał

2016 Do Multi-Factor Models Produce Robust Results? Econometric And Diagnostic Issues In Equity Risk Premia Study
by Paweł Sakowski & Robert Ślepaczuk & Mateusz Wywiał

2016 Loading Pricing of Catastrophe Bonds and Other Long-Dated, Insurance-Type Contracts
by Eckhard Platen & David Taylor

2016 Detecting Money Market Bubbles
by Jan Baldeaux & Katja Ignatieva & Eckhard Platen

2016 Empirical Hedging Performance on Long-dDted Crude Oil Derivatives
by Benjamin Cheng & Christina Nikitopoulos-Sklibosios & Erik Schlogl

2016 Hedging Futures Options with Stochastic Interest Rates
by Benjamin Cheng & Christina Nikitopoulos-Sklibosios & Erik Schlogl

2016 A Penny Saved is a Penny Earned: Less Expensive Zero Coupon Bonds
by Alessandro Gnoatto & Martino Grasselli & Eckhard Platen

2016 Empirical Pricing Performance in Long-Dated Crude Oil Derivatives: Do Models with Stochastic Interest Rates Matter?
by Benjamin Cheng & Christina Nikitopoulos-Sklibosios & Erik Schlogl

2016 Asset Pricing and Extreme Event Risk: Common Factors in ILS Fund Returns
by Ben Ammar, Semir & Braun, Alexander & Eling, Martin

2016 Pricing of Catastrophe Risk and the Implied Volatility Smile
by Ben Ammar, Semir

2016 Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn Spot and Futures Prices
by Chia-Lin Chang & Michael McAleer & Yu-Ann Wang

2016 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

2016 Volatility spillovers for spot, futures, and ETF prices in energy and agriculture
by Chia-Lin Chang & Michael McAleer & Chia-Ping Liu

2016 Testing co-volatility spillovers for natural gas spot, futures and ETF spot using dynamic conditional covariances
by Chia-Lin Chang & Michael McAleer & Yanghuiting Wang

2016 Modelling and testing volatility spillovers in oil and financial markets for USA, UK and China
by Chia-Lin Chang & Michael McAleer & Jiarong Tian

2016 Modelling volatility spillovers for bio-ethanol, sugarcane and corn
by Chia-Lin Chang & Michael McAleer & Yu-Ann Wang

2016 Endogenous Second Moments: A Unified Approach to Fluctuations in Risk, Dispersion, and Uncertainty
by Straub, Ludwig & Ulbricht, Robert

2016 Modelling and Testing Volatility Spillovers in Oil and Financial Markets for USA, UK and China
by Chia-Lin Chang & Michael McAleer & Jiarong Tian

2016 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

2016 Testing Co-Volatility Spillovers for Natural Gas Spot, Futures and ETF Spot using Dynamic Conditional Covariances
by Chia-Lin Chang & Michael McAleer & Yanghuiting Wang

2016 Volatility Spillovers for Spot, Futures, and ETF Prices in Energy and Agriculture
by Chia-Lin Chang & Chia-Ping Liu & Michael McAleer

2016 Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn Spot and Futures Prices
by Chia-Lin Chang & Michael McAleer & Yu-Ann Wang

2016 Coco Design, Risk Shifting and Financial Fragility
by Stephanie Chan & Sweder van Wijnbergen

2016 Asymmetric Volatility of Net Convenience Yield: Evidence from Indian Commodity Futures Markets
by BRAJESH KUMAR

2016 Information Processing in Freight and Freight Forward Markets: An Event Study on OPEC Announcements
by Lauenstein, Philipp & Küster Simic, André

2016 Contingent Claims Analysis of Sovereign Debt Sustainability in Asian Emerging Markets
by Brière, Marie & Ferrarini, Benno & Ramayandi, Arief

2016 Exploring Risk-Adjusted Fiscal Sustainability Analysis for Asian Economies
by Kopits, George & Ferrarini, Benno & Ramayandi, Arief

2016 Pricing of Idiosyncratic Equity and Variance Risks
by Elise Gourier

2016 Inferring Volatility Dynamics and Risk Premia from the S&P 500 and VIX markets
by Chris Bardgett & Elise Gourier & Markus Leippold

2016 A Comparison of Stated Preference Methods for the Valuation of Improvement in Road Safety
by Naghmeh Niroomand & Glenn P. Jenkins

2016 Evaluating Minimum-Traffic Guarantees for PPPs in Turkey by Real-Option Pricing
by Ilker Ersegun Kayhan & Glenn P. Jenkins

2016 Build-Operate-Transfer Projects in Turkey: Contingent Liabilities and Associated Risks
by Ilker Ersegun Kayhan & Glenn P. Jenkins

2016 Une perspective macroprudentielle pour la stabilité financière
by Pinshi, Christian

2016 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

2016 Expectations Over Durable Assets: How to Avoid the Formation of Value Bubbles
by Rosas-Martinez, Victor H.

2016 High Bids and Low Recovery: A Possible Case for Non-Performing Loan Auctions in India
by Pandey, Ashish

2016 A Binomial Tree to Price European and American Options
by Brogi, Athos

2016 Power Style Contracts Under Asymmetric Lévy Processes
by Fajardo, José

2016 A New Factor to Explain Implied Volatility Smirk
by fajardo, José

2016 The recursive nature of KVA: KVA mitigation from KVA
by García Muñoz, Luis Manuel & Palomar Burdeus, Juan Esteban & de Lope Contreras, Fernando

2016 Futures market approach to understanding equity premium puzzle
by Kim, Minseong

2016 Forecasting oil price realized volatility: A new approach
by Degiannakis, Stavros & Filis, George

2016 Commodity Price Forecasts, Futures Prices and Pricing Models
by Gonzalo Cortazar & Cristobal Millard & Hector Ortega & Eduardo S. Schwartz

2016 Fracking, Drilling, and Asset Pricing: Estimating the Economic Benefits of the Shale Revolution
by Erik Gilje & Robert Ready & Nikolai Roussanov

2016 Macro Risks and the Term Structure of Interest Rates
by Geert Bekaert & Eric Engstrom & Andrey Ermolov

2016 Commodities for the Long Run
by Ari Levine & Yao Hua Ooi & Matthew Richardson

2016 Do Rare Events Explain CDX Tranche Spreads?
by Sang Byung Seo & Jessica A. Wachter

2016 Term Structures of Asset Prices and Returns
by David Backus & Nina Boyarchenko & Mikhail Chernov

2016 Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities
by Mikhail Chernov & Brett R. Dunn & Francis A. Longstaff

2016 How Crashes Develop: Intradaily Volatility and Crash Evolution
by David S. Bates

2016 Options-Pricing Formula with Disaster Risk
by Robert J. Barro & Gordon Y. Liao

2016 Rational land and housing bubbles in infinite-horizon economies
by Stefano Bosi & Cuong Le Van & Ngoc-Sang Pham

2016 The risk asymmetry index
by Elyas Elyasani & Luca Gambarelli & Silvia Muzzioli

2016 Moment Risk Premia and the Cross-Section of Stock Returns
by Elyas Elyasiani & Luca Gambarelli & Silvia Muzzioli

2016 Fear or greed? What does a skewness index measure?
by Elyas Elyasiani & Luca Gambarelli & Silvia Muzzioli

2016 Forecasting and pricing powers of option-implied tree models: Tranquil and volatile market conditions
by Elyas Elyasiani & Silvia Muzzioli & Alessio Ruggieri

2016 Margin Trading: Hedonic Returns and Real Losses
by Daniel Ladley & Guanqing Liu & James Rockey

2016 The predictive power of the implied volatility of interest rates: Evidence from US Dollar, Euro, and Japanese Yen
by Takahiro Hattori

2016 Good deal bounds with convex constraints: --- examples and proofs ---
by Takuji Arai

2016 Functional Principal Component Analysis for Derivatives of Multivariate Curves
by Maria Grith & Wolfgang K. Härdle & Alois Kneip & Heiko Wagner

2016 Dynamic interactions between government bonds and exchange rate expectations in currency options
by Cho-Hoi Hui & Edward Tan

2016 Pricing Corporate Bonds With Interest Rates Following Double Square-root Process
by Chi-Fai Lo & Cho-Hoi Hui

2016 Exchange Rate Dynamics and US Dollar-denominated Sovereign Bond Prices in Emerging Markets
by Cho-Hoi Hui & Chi-Fai Lo & Po-Hon Chau

2016 Subprime Borrowers, Securitization and the Transmission of Business Cycles
by Grodecka, Anna

2016 Informed trading in oil-futures market
by Rousse, O. & Sévi, B.

2016 Global variance term premia and intermediary risk appetite
by Van Tassel, Peter & Vogt, Erik

2016 Term structures of asset prices and returns
by Backus, David K. & Boyarchenko, Nina & Chernov, Mikhail

2016 Option-Implied Libor Rate Expectations across Currencies
by Nick Gebbia

2016 Counterparty Risk and Counterparty Choice in the Credit Default Swap Market
by Wenxin Du & Salil Gadgil & Michael B. Gordy & Clara Vega

2016 Informed Trading in Oil-Futures Market
by Olivier Rousse & Benoît Sévi

2016 Anatomy of Risk Premium in UK Natural Gas Futures
by Beatriz Martínez & Hipòlit Torró

2016 Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn Spot and Futures Prices
by Chang, C-L. & McAleer, M.J. & Wang, Y-A.

2016 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.

2016 Modelling and Testing Volatility Spillovers in Oil and Financial Markets for USA, UK and China
by Chang, C-L. & McAleer, M.J. & Tian, J.

2016 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.

2016 Volatility Spillovers for Spot, Futures, and ETF Prices in Energy and Agriculture
by Chang, C-L. & Liu, C-P. & McAleer, M.J.

2016 Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn
by Chang, C-L. & McAleer, M.J. & Wang, Y-A.

2016 Change of numeraire in the two-marginals martingale transport problem
by Luciano Campi & Ismail Laachir & Claude Martini

2016 The joint distribution of Parisian and hitting times of the Brownian motion with application to Parisian option pricing
by Angelos Dassios & You You Zhang

2016 Bargaining Power, Business Cycle and Levered Equity Risk
by Chen, Zhiyao & Strebulaev, Ilya A.

2016 Systemic Default and Return Predictability in the Stock and Bond Markets
by Bao, Jack & Hou, Kewei & Zhang, Shaojun A.

2016 Hedging Interest Rate Risk Using a Structural Model of Credit Risk
by Huang, Jing-Zhi & Shi, Zhan

2016 Contingent convertible bonds with floating coupon payments: fixing the equilibrium problem
by Daniël Vullings

2016 Good deal measurement in asset pricing: Actuarial and financial implications
by Balbás, Alejandro & Okhrati, Ramin & Garrido, José

2016 Coherent Pricing
by Balbás, Alejandro & Balbás, Raquel & Balbás, Beatriz

2016 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

2016 A Macrofinance View of U.S. Sovereign CDS Premiums
by Chernov, Mikhail & Schmid, Lukas & Schneider, Andres

2016 A comedy of errors: misguided policy, mis-sold mortgages, and more
by Miller, Marcus & Rastapana, Songklod & Zhang, Lei

2016 Term structures of asset prices and returns
by Backus, David & Boyarchenko, Nina & Chernov, Mikhail

2016 CoCo Design, Risk Shifting and Financial Fragility
by Chan, Stephanie & van Wijnbergen, Sweder

2016 Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities
by Chernov, Mikhail & Dunn, Brett R. & Longstaff, Francis

2016 Asset Retirement with Infinitely Repeated Alternative Replacements: Harvest Age and Species Choice in Forestry
by Skander Ben Abdallah & Pierre Lasserre

2016 Nonparametric Tail Risk, Stock Returns and the Macroeconomy
by René Garcia & Caio Almeida & Kym Ardison & Jose Vicente

2016 Convex Duality with Transaction Costs
by Yan Dolinsky & Halil Mete Soner

2016 S&P 500 Index, an Option Implied Risk Analysis
by Giovanni Barone-Adesi & Chiara Legnazzi & Carlo Sala

2016 Dependent Defaults and Losses with Factor Copula Models
by Damien Ackerer & Thibault Vatter

2016 WTI Crude Oil Option-Implied VaR and CVaR: An Empirical Application
by Giovanni Barone-Adesi & Chiara Legnazzi & Carlo Sala

2016 On the American Swaption in the Linear-Rational Framework
by Damir Filipovic & Yerkin Kitapbayev

2016 Comments on: Nonparametric Tail Risk, Stock Returns and the Macroeconomy
by Lorenzo CAMPONOVO & Olivier SCAILLET & Fabio TROJANI

2016 The Jacobi Stochastic Volatility Model
by Damien Ackerer & Damir Filipović & Sergio Pulido

2016 Linear Credit Risk Models
by Damien Ackerer & Damir Filipović

2016 On the Relation between Linearity-Generating Processes and Linear-Rational Models
by Damir Filipović & Martin Larsson & Anders B. Trolle

2016 Discrete-Time Option Pricing with Stochastic Liquidity
by Markus Leippold & Steven Schaerer

2016 A Bayesian Estimate of the Pricing Kernel
by Giovanni Barone-Adesi & Chiara Legnazzi & Antonietta Mira

2016 Economically Consistent Valuations and Put-Call Parity
by Martin HERDEGEN & Martin SCHWEIZER

2016 State-controlled companies and political risk: Evidence from the 2014 Brazilian election
by Augusto Carvalho & Bernardo Guimaraes

2016 Disaster recovery and the term structure of dividend strips?
by Michael Hasler & Roberto Marfè

2016 Sovereign GDP-linked bonds
by Benford, James & Joy, Mark & Kruger, Mark

2016 The role of collateral in supporting liquidity
by Baranova, Yuliya & Liu, Zijun & Noss, Joseph

2016 Risk premia and seasonality in commodity futures
by Hevia, Constantino & Petrella, Ivan & Sola, Martin

2016 Exchange Rate Risk Premium: An Analysis of its Determinants for the Mexican Peso-USD
by Benavides Guillermo

2016 BTP futures and cash relationships: a high frequency data analysis
by Onofrio Panzarino & Francesco Potente & Alfonso Puorro

2016 The evolution of inflation expectations in euro area markets
by Ricardo Gimeno & Eva Ortega

2016 What Fed Funds Futures Tell Us About Monetary Policy Uncertainty
by Jean-Sébastien Fontaine

2016 Equity Option-Implied Probability of Default and Equity Recovery Rate
by Bo Young Chang & Greg Orosi

2016 Retrieving Risk-Neutral Densities Embedded in VIX Options: a Non-Structural Approach
by Andrea Barletta & Paolo Santucci de Magistris & Francesco Violante

2016 An Assessment of Wind Farm Construction Efficiency Using the Real Option Method
by Łukaszewski Tomasz & Głoćko Wojciech

2016 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

2016 Tests of investor learning models using earnings innovations and implied volatilities
by Thaddeus Neururer & George Papadakis & Edward J. Riedl

2016 Interest rate dynamics and volatility transmission in the European short term interest rate market
by Frances Shaw & Finbarr Murphy & Fergal O’Brien

2016 The regime-switching risk premium in the gold futures market
by Seth J. Kopchak

2016 No arbitrage of the first kind and local martingale numéraires
by Yuri Kabanov & Constantinos Kardaras & Shiqi Song

2016 Another look at the integral of exponential Brownian motion and the pricing of Asian options
by Andrew Lyasoff

2016 A BSDE approach to fair bilateral pricing under endogenous collateralization
by Tianyang Nie & Marek Rutkowski

2016 Polynomial diffusions and applications in finance
by Damir Filipović & Martin Larsson

2016 Consumption-investment problem with transaction costs for Lévy-driven price processes
by Dimitri Vallière & Yuri Kabanov & Emmanuel Lépinette

2016 The joint distribution of Parisian and hitting times of Brownian motion with application to Parisian option pricing
by Angelos Dassios & You You Zhang

2016 Additive subordination and its applications in finance
by Jing Li & Lingfei Li & Rafael Mendoza-Arriaga

2016 An explicit martingale version of the one-dimensional Brenier theorem
by Pierre Henry-Labordère & Nizar Touzi

2016 Almost-sure hedging with permanent price impact
by Bruno Bouchard & Grégoire Loeper & Yiyi Zou

2016 Robust pricing and hedging under trading restrictions and the emergence of local martingale models
by Alexander M. G. Cox & Zhaoxu Hou & Jan Obłój

2016 Asymptotic replication with modified volatility under small transaction costs
by Jiatu Cai & Masaaki Fukasawa

2016 Stability of utility maximization in nonequivalent markets
by Kim Weston

2016 Consistent price systems under model uncertainty
by Bruno Bouchard & Marcel Nutz

2016 Model-independent superhedging under portfolio constraints
by Arash Fahim & Yu-Jui Huang

2016 Universal arbitrage aggregator in discrete-time markets under uncertainty
by Matteo Burzoni & Marco Frittelli & Marco Maggis

2016 Superreplication when trading at market indifference prices
by Peter Bank & Selim Gökay

2016 Franchise ownership redirection: real options perspective
by Lukito Adi Nugroho

2016 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

2016 Domestic and international information linkages between NSE Nifty spot and futures markets: an empirical study for India
by Sanjay Sehgal & Mala Dutt

2016 Endogenous trading in credit default swaps
by Marc Chesney & Delia Coculescu & Selim Gökay

2016 Tail risk hedging for mutual funds using equity market state prices
by Michael J O’Neill & Zhangxin (Frank) Liu

2016 Cross-Sectional Returns With Volatility Regimes From A Diverse Portfolio Of Emerging And Developed Equity Indices
by Pawe³ Sakowski & Robert Œlepaczuk & Mateusz Wywia³

2016 Valorización de opciones reales: modelo Ornstein-Uhlenbeck
by Tresierra, Álvaro & Carrasco, Claudia

2016 Strategies Based on Momentum and Term Structure in Financialized Commodity Markets
by Zaremba, Adam

2016 Macroeconomic Variables, Government Effectiveness and Sovereign Credit Rating: A Case of Egypt
by Osama M. Badr & Ahmed F. El-khadrawi

2016 Financialisation of Commodity Market in India : A Closer Look at the Evidence
by Pratap Kumar Jena

2016 When Financial Derivatives can be Applied to the Real Economy – The Case of Exotic Options in Corporate Finance
by Jian Wu

2016 Expected Credit Loss vs. Credit Value Adjustment: A Comparative Analysis
by Vivien Brunel & Stéphane Crépey & Monique Jeanblanc

2016 Multi-Asset Seasonality and Trend-Following Strategies
by Nick Baltas

2016 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

2016 Short Sale and Index Futures Mispricing: Evidence from the Warsaw Stock Exchange
by Edyta Marcinkiewicz

2016 Gas Swing Options: Introduction and Pricing using Monte Carlo Methods
by Tomáš Václavík & Andrea Klimešová

2016 Pricing of average value options versus European options with stochastic interest rate
by Ambrosio Ortiz Ramírez & María Teresa Martínez Palacios

2016 Relation between ISE 30 index and ISE 30 index futures markets: Evidence from recursive and rolling cointegration
by Aysegul Ates

2016 Measuring sovereign credit risk using a structural model approach
by Han-Hsing Lee & Kuanyu Shih & Kehluh Wang

2016 The real option approach to adoption or discontinuation of a management accounting innovation: the case of activity-based costing
by Shu Feng & Chun-Yu Ho

2016 Alternative methods to derive option pricing models: review and comparison
by Cheng-Few Lee & Yibing Chen & John Lee

2016 On the prediction of financial distress in developed and emerging markets: Does the choice of accounting and market information matter? A comparison of UK and Indian Firms
by Evangelos C. Charalambakis & Ian Garrett

2016 Explaining the volatility smile: non-parametric versus parametric option models
by Hsuan-Chu Lin & Ren-Raw Chen & Oded Palmon

2016 The extent of informational efficiency in the credit default swap market: evidence from post-earnings announcement returns
by Nicole Thorne Jenkins & Michael D. Kimbrough & Juan Wang

2016 Pricing currency options under double exponential jump diffusion in a Markov-modulated HJM economy
by Mi-Hsiu Chiang & Chang-Yi Li & Son-Nan Chen

2016 The day the index rose 11 %: a clinical study on price discovery reversal
by Christoph Schmidhammer & Sebastian Lobe & Klaus Röder

2016 On exact pricing of FX options in multivariate time-changed Lévy models
by Roman V. Ivanov & Katsunori Ano

2016 Stochastic covariance and dimension reduction in the pricing of basket options
by Marcos Escobar & Daniel Krause & Rudi Zagst

2016 Is the information obtained from European options on equally weighted baskets enough to determine the prices of exotic derivatives such as worst-of options?
by Jacinto Marabel Romo

2016 Credit valuation adjustment of cap and floor with counterparty risk: a structural pricing model for vulnerable European options
by Lie-Jane Kao

2016 The Economics of Commercial Real Estate Preleasing
by Robert H. Edelstein & Peng Liu

2016 The Rent Term Premium for Cancellable Leases
by Jiro Yoshida & Miki Seko & Kazuto Sumita

2016 Determining Hurdle Rate and Capital Allocation in Credit Portfolio Management
by Peter Miu & Bogie Ozdemir & Evren Cubukgil & Michael Giesinger

2016 When do Firms Invest in Corporate Social Responsibility? A Real Option Framework
by Danny Cassimon & Peter-Jan Engelen & Luc Liedekerke

2016 Pricing Foreign Exchange Options Under Intervention by Absorption Modeling
by Taiga Saito

2016 Commodity Spread Option with Cointegration
by Katsushi Nakajima & Kazuhiko Ohashi

2016 Adapted hedging
by Dilip B. Madan

2016 Credit risk analysis with creditor’s option to extend maturities
by Ryoichi Ikeda & Yoske Igarashi

2016 Benchmarking in two price financial markets
by Dilip B. Madan

2016 Relative asset price bubbles
by Roseline Bilina Falafala & Robert A. Jarrow & Philip Protter

2016 Risk premia in option markets
by Dilip B. Madan

2016 Saddlepoint approximations to option price in a regime-switching model
by Mengzhe Zhang & Leunglung Chan

2016 Integrated Markets Of Latin American: A Cointegration Analysis, Mercado Integrado Latinoamericano: Un Analisis De Cointegracion
by Eduardo Sandoval & Macarena Soto

2016 Asset Price Volatility And Efficient Discrimination In Credit Market Equilibrium
by David Nickerson

2016 Option Pricing Based on Alternative Jump Size Distributions
by Jian Chen & Chenghu Ma

2016 Dynamic volatility spillovers across shipping freight markets
by Tsouknidis, Dimitris A.

2016 Growing pains: The evolution of new stock index futures in emerging markets
by Sila Alan, Nazli & Karagozoglu, Ahmet K. & Korkmaz, Sibel

2016 How much can lack of marketability affect private equity fund values?
by Buchner, Axel

2016 Option-implied probability distributions: How reliable? How jagged?
by Taboga, Marco

2016 Macroeconomic factors and the cross-section of commodity futures returns
by Shang, Hua & Yuan, Ping & Huang, Lin

2016 Swiss franc's one-sided target zone during 2011–2015
by Hui, Cho-Hoi & Lo, Chi-Fai & Fong, Tom Pak-Wing

2016 Is the refining margin stationary?
by Población, Javier & Serna, Gregorio

2016 Using VIX futures to hedge forward implied volatility risk
by Lin, Yueh-Neng & Lin, Anchor Y.

2016 Systematic risk and volatility skew
by Tzang, Shyh-Weir & Wang, Chou-Wen & Yu, Min-Teh

2016 The importance of stock liquidity on option pricing
by Feng, Shih-Ping & Hung, Mao-Wei & Wang, Yaw-Huei

2016 Do shareholders appreciate capital investment policies of corporations?
by Lu, Jin-Ray & Hwang, Chih-Chiang & Lin, Chien-Yi

2016 Do financial stress and policy uncertainty have an impact on the energy and metals markets? A quantile regression approach
by Reboredo, Juan C. & Uddin, Gazi Salah

2016 Derivative markets in emerging economies: A survey
by Atilgan, Yigit & Demirtas, K. Ozgur & Simsek, Koray D.

2016 The impact of investor sentiment on returns and conditional volatility in U.S. futures markets
by Bahloul, Walid & Bouri, Abdelfettah

2016 An equilibrium model for the OTC derivatives market with a collateral agreement
by Takino, Kazuhiro

2016 Commodities' common factor: An empirical assessment of the markets' drivers
by Lübbers, Johannes & Posch, Peter N.

2016 Momentum and mean-reversion in commodity spot and futures markets
by Chaves, Denis B. & Viswanathan, Vivek

2016 Roll strategy efficiency in commodity futures markets
by Taylor, Nick

2016 Sovereign-bank linkages: Quantifying directional intensity of risk transfers in EMU countries
by Singh, Manish K. & Gómez-Puig, Marta & Sosvilla-Rivero, Simón

2016 Gambling preference and individual equity option returns
by Byun, Suk-Joon & Kim, Da-Hea

2016 Disaster recovery and the term structure of dividend strips
by Hasler, Michael & Marfè, Roberto

2016 Early option exercise: Never say never
by Jensen, Mads Vestergaard & Pedersen, Lasse Heje

2016 The volatility of a firm's assets and the leverage effect
by Choi, Jaewon & Richardson, Matthew

2016 Does variance risk have two prices? Evidence from the equity and option markets
by Barras, Laurent & Malkhozov, Aytek

2016 Liquidity, resiliency and market quality around predictable trades: Theory and evidence
by Bessembinder, Hendrik & Carrion, Allen & Tuttle, Laura & Venkataraman, Kumar

2016 The value of creditor control in corporate bonds
by Feldhütter, Peter & Hotchkiss, Edith & Karakaş, Oğuzhan

2016 Why does the option to stock volume ratio predict stock returns?
by Ge, Li & Lin, Tse-Chun & Pearson, Neil D.

2016 Analyzing volatility risk and risk premium in option contracts: A new theory
by Carr, Peter & Wu, Liuren

2016 Does Dodd-Frank affect OTC transaction costs and liquidity? Evidence from real-time CDS trade reports
by Loon, Yee Cheng & Zhong, Zhaodong (Ken)

2016 Nominal price illusion
by Birru, Justin & Wang, Baolian

2016 The cross-sectional variation of volatility risk premia
by González-Urteaga, Ana & Rubio, Gonzalo

2016 Quadratic variance swap models
by Filipović, Damir & Gourier, Elise & Mancini, Loriano

2016 A test for risk-averse expected utility
by Chambers, Christopher P. & Liu, Ce & Martinez, Seung-Keun

2016 Robust option pricing: Hannan and Blackwell meet Black and Scholes
by DeMarzo, Peter M. & Kremer, Ilan & Mansour, Yishay

2016 Valuing restricted stock grants to non-executive employees
by Abudy, Menachem (Meni) & Benninga, Simon

2016 Revisiting calendar anomalies: Three decades of multicurrency evidence
by Kumar, Satish

2016 Futures markets, cognitive ability, and mispricing in experimental asset markets
by Noussair, Charles N. & Tucker, Steven & Xu, Yilong

2016 Credit derivatives as a commitment device: Evidence from the cost of corporate debt
by Kim, Gi H.

2016 Commodities momentum: A behavioral perspective
by Bianchi, Robert J. & Drew, Michael E. & Fan, John Hua

2016 Market makers’ optimal price-setting policy for exchange-traded certificates
by Baller, Stefanie & Entrop, Oliver & McKenzie, Michael & Wilkens, Marco

2016 The predictive performance of commodity futures risk factors
by Ahmed, Shamim & Tsvetanov, Daniel

2016 Do traders strategically time their pledges during real-world Walrasian auctions?
by Eaves, James & Williams, Jeffrey & Power, Gabriel J.

2016 Jump and variance risk premia in the S&P 500
by Neumann, Maximilian & Prokopczuk, Marcel & Wese Simen, Chardin

2016 Pricing effects when competitors arrive: The case of discount certificates in Germany
by Schertler, Andrea

2016 Pricing and hedging of derivatives in contagious markets
by Kokholm, Thomas

2016 The MAX effect: An exploration of risk and mispricing explanations
by Zhong, Angel & Gray, Philip

2016 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

2016 Forecasting realized volatility in a changing world: A dynamic model averaging approach
by Wang, Yudong & Ma, Feng & Wei, Yu & Wu, Chongfeng

2016 How does the market variance risk premium vary over time? Evidence from S&P 500 variance swap investment returns
by Konstantinidi, Eirini & Skiadopoulos, George

2016 Tests of non linear Gaussian term structure models
by Realdon, Marco

2016 The evolving dynamics of the Australian SPI 200 implied volatility surface
by Tanha, Hassan & Dempsey, Michael

2016 Optimal hedging in carbon emission markets using Markov regime switching models
by Philip, Dennis & Shi, Yukun

2016 Catastrophe equity put options with target variance
by Wang, Xingchun

2016 Lapse risk in life insurance: Correlation and contagion effects among policyholders’ behaviors
by Barsotti, Flavia & Milhaud, Xavier & Salhi, Yahia

2016 The role of the dependence between mortality and interest rates when pricing Guaranteed Annuity Options
by Deelstra, Griselda & Grasselli, Martino & Van Weverberg, Christopher

2016 Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality
by Ignatieva, Katja & Song, Andrew & Ziveyi, Jonathan

2016 Pricing and hedging basket options with exact moment matching
by Leccadito, Arturo & Paletta, Tommaso & Tunaru, Radu

2016 Valuing inflation-linked death benefits under a stochastic volatility framework
by Liang, Zongxia & Sheng, Wenlong

2016 Hedging pure endowments with mortality derivatives
by Wang, Ting & Young, Virginia R.

2016 A self-exciting threshold jump–diffusion model for option valuation
by Siu, Tak Kuen

2016 Omega diffusion risk model with surplus-dependent tax and capital injections
by Cui, Zhenyu & Nguyen, Duy

2016 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.

2016 National politics and bank default risk in the eurozone
by Eichler, Stefan & Sobański, Karol

2016 How much can illiquidity affect corporate debt yield spread?
by Abudy, Menachem Meni & Raviv, Alon

2016 Time series momentum and volatility scaling
by Kim, Abby Y. & Tse, Yiuman & Wald, John K.

2016 The value of the wildcard option in cash-settled American index options
by Lasser, Dennis J. & Spizman, Joshua D.

2016 Pricing power exchange options with correlated jump risk
by Wang, Xingchun

2016 Pricing discrete double barrier options under Lévy processes: An extension of the method by Milev and Tagliani
by Xiao, Shuang & Ma, Shihua

2016 Pricing vulnerable options with stochastic default barriers
by Wang, Xingchun

2016 Valuing resettable convertible bonds: Based on path decomposing
by Feng, Yun & Huang, Bing-hua & Huang, Yu

2016 Credit risk findings for commercial real estate loans using the reduced form
by Christopoulos, Andreas D. & Barratt, Joshua G.

2016 Integral representation of vega for American put options
by Liu, Yanchu & Cui, Zhenyu & Zhang, Ning

2016 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

2016 Closed form valuation of American chained knock-in options
by Han, Heejae & Jeon, Junkee & Kang, Myungjoo

2016 Nonrandom price movements
by Madan, Dilip B. & Wang, King

2016 The betting against beta anomaly: Fact or fiction?
by Buchner, Axel & Wagner, Niklas

2016 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

2016 Option pricing on foreign exchange in a Markov-modulated, incomplete-market economy
by Lian, Yu-Min & Chen, Jun-Home & Liao, Szu-Lang

2016 Asymmetries of the intraday return-volatility relation
by Badshah, Ihsan & Frijns, Bart & Knif, Johan & Tourani-Rad, Alireza

2016 On Economic Space notion
by Olkhov, Victor

2016 Is idiosyncratic volatility priced in commodity futures markets?
by Fernandez-Perez, Adrian & Fuertes, Ana-Maria & Miffre, Joëlle

2016 Oil market modelling: A comparative analysis of fundamental and latent factor approaches
by Cummins, Mark & Dowling, Michael & Kearney, Fearghal

2016 The modified dividend–price ratio
by Polimenis, Vassilis & Neokosmidis, Ioannis M.

2016 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

2016 Valuing an offshore oil exploration and production project through real options analysis
by Guedes, José & Santos, Pedro

2016 Parametric model risk and power plant valuation
by Bannör, Karl & Kiesel, Rüdiger & Nazarova, Anna & Scherer, Matthias

2016 Volatility in electricity derivative markets: The Samuelson effect revisited
by Jaeck, Edouard & Lautier, Delphine

2016 How is volatility in commodity markets linked to oil price shocks?
by Ahmadi, Maryam & Bashiri Behmiri, Niaz & Manera, Matteo

2016 Can market power in the electricity spot market translate into market power in the hedge market?
by Fiuza de Bragança, Gabriel Godofredo & Daglish, Toby

2016 Asymmetric impacts of fundamentals on the natural gas futures volatility: An augmented GARCH approach
by Ergen, Ibrahim & Rizvanoghlu, Islam

2016 On the dynamic dependence between equity markets, commodity futures and economic uncertainty indexes
by Berger, Theo & Uddin, Gazi Salah

2016 A re-examination of maturity effect of energy futures price from the perspective of stochastic volatility
by Liu, Wei-han

2016 Explaining credit default swap spreads by means of realized jumps and volatilities in the energy market
by Da Fonseca, José & Ignatieva, Katja & Ziveyi, Jonathan

2016 Investors’ reaction to the government credibility problem: A real option analysis of emission permit policy risk
by Kang, Sang Baum & Létourneau, Pascal

2016 On the predictability of energy commodity markets by an entropy-based computational method
by Benedetto, F. & Giunta, G. & Mastroeni, L.

2016 An examination of the flow characteristics of crude oil: Evidence from risk-neutral moments
by Chatrath, Arjun & Miao, Hong & Ramchander, Sanjay & Wang, Tianyang

2016 Carbon emission permit price volatility reduction through financial options
by Xu, Li & Deng, Shi-Jie & Thomas, Valerie M.

2016 Convenience yield in commodity price modeling: A regime switching approach
by Almansour, Abdullah

2016 Modelling futures price volatility in energy markets: Is there a role for financial speculation?
by Manera, Matteo & Nicolini, Marcella & Vignati, Ilaria

2016 Jumps and stochastic volatility in crude oil futures prices using conditional moments of integrated volatility
by Baum, Christopher F. & Zerilli, Paola

2016 The shine of precious metals around the global financial crisis
by Figuerola-Ferretti, Isabel & McCrorie, J. Roderick

2016 Smooth volatility shifts and spillovers in U.S. crude oil and corn futures markets
by Teterin, Pavel & Brooks, Robert & Enders, Walter

2016 Optimal conditional hedge ratio: A simple shrinkage estimation approach
by Kim, Myeong Jun & Park, Sung Y.

2016 Leverage changes and growth options in mergers and acquisitions
by Agliardi, Elettra & Amel-Zadeh, Amir & Koussis, Nicos

2016 Market uncertainty, expected volatility and the mispricing of S&P 500 index futures
by Tu, Anthony H. & Hsieh, Wen-Liang G. & Wu, Wei-Shao

2016 Using Merton model for default prediction: An empirical assessment of selected alternatives
by Afik, Zvika & Arad, Ohad & Galil, Koresh

2016 Double asymptotics for explosive continuous time models
by Wang, Xiaohu & Yu, Jun

2016 The effects of asymmetric volatility and jumps on the pricing of VIX derivatives
by Park, Yang-Ho

2016 A tale of two option markets: Pricing kernels and volatility risk
by Song, Zhaogang & Xiu, Dacheng

2016 Volatility can be detrimental to option values!
by Ghoddusi, Hamed & Fahim, Arash

2016 Corporate bond pricing model with stochastically volatile firm value process
by Jang, Woon Wook & Eom, Young Ho & Kang, Yong Joo

2016 Multi-purpose binomial model: Fitting all moments to the underlying geometric Brownian motion
by Kim, Y.S. & Stoyanov, S. & Rachev, S. & Fabozzi, F.

2016 Does speculation impact what factors determine oil futures prices?
by Gogolin, Fabian & Kearney, Fearghal

2016 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

2016 An analysis of government loan guarantees and direct investment through public-private partnerships
by Soumaré, Issouf & Lai, Van Son

2016 An analytical approximation formula for European option pricing under a new stochastic volatility model with regime-switching
by He, Xin-Jiang & Zhu, Song-Ping

2016 Asset retirement with infinitely repeated alternative replacements: Harvest age and species choice in forestry
by Ben Abdallah, Skander & Lasserre, Pierre

2016 Leveraged investments and agency conflicts when cash flows are mean reverting
by Glover, Kristoffer J. & Hambusch, Gerhard

2016 Calibration of stochastic volatility models: A Tikhonov regularization approach
by Dai, Min & Tang, Ling & Yue, Xingye

2016 Why do employees like to be paid with Options?: A multi-period prospect theory approach
by Sun, Lei & Widdicks, Martin

2016 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

2016 Examining the Relationship of Crude Oil Future Price Return and Agricultural Future Price Return in US
by Ching-Chun Wei & Shu-Min Chen

2016 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

2016 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

2016 A Box Spread Test of the SET50 Index Options Market Efficiency: Evidence from the Thailand Futures Exchange
by Woradee Jongadsayakul

2016 The Glosten-Jagannathan-Runkle-Generalized Autoregressive Conditional Heteroscedastic approach to investigating the foreign exchange forward premium volatility
by Nessrine Hamzaoui & Boutheina Regaieg

2016 Алтернативни Инвестиции В Зелена Енергия
by Иван Иванов

2016 Higher Order Adaptive Kalman Filter For Time Varying Alpha And Cross Market Beta Estimation In Indian Market
by Atanu DAS

2016 An Efficient Binomial Method for Pricing Asian Options
by Kyoung-Sook Moon & Yunju Jeong & Hongjoong Kim

2016 GARCH DIFFUSION MODEL, iVIX, AND VOLATILITY RISK PREMIUM
by Xinyu WU & Hailin ZHOU

2016 Pricing Cdss And Cds Options Under A Regime-Switching Cev Process With Jump To Default
by Ruxing Xu & Dan Wu & Ronghua Yi

2016 Herramientas de estabilización de los precios internos del azúcar en Colombia: ¿Funcionan?
by Alonso Cifuentes, Julio César & Arcila Vásquez, Andrés Mauricio & Montenegro Arana, Sebastián

2016 Valuacio?n de opciones simples y complejas contenidas en arrendamientos financieros
by Gasto?n Silverio Milanesi

2016 A Theory of Rational Demand for Index Insurance
by Daniel J. Clarke

2016 The Simple Economics of Commodity Price Speculation
by Christopher R. Knittel & Robert S. Pindyck

2016 The Response of Tail Risk Perceptions to Unconventional Monetary Policy
by Masazumi Hattori & Andreas Schrimpf & Vladyslav Sushko

2016 Too-Systemic-to-Fail: What Option Markets Imply about Sector-Wide Government Guarantees
by Bryan Kelly & Hanno Lustig & Stijn Van Nieuwerburgh

2016 Hedging of Time Discrete Auto-Regressive Stochastic Volatility Options
by Alexandru Badescu & Joan del Castillo & Juan-Pablo Ortega

2015 Modeling Persistence of Carbon Emission Allowance Prices
by Luis A. Gil-Alana & Fernando Perez de Gracia & Rangan Gupta

2015 Seasonality and Stochastic Volatility in Wheat Options
by Michael Osei & Zhiguang Wang

2015 Price Discovery in Thinly Traded Futures Markets: How Thin is Too Thin?
by Adaemmer, Philipp & Bohl, Martin T. & Christian, Groß

2015 Evidences of Efficient Investment Portfolio in Indian Capital Markets - An Analysis Based on BSE and NSE Indices
by Mehta, Deepshikha

2015 Die steueroptimale Anlegerstrategie bei Wertpapieren und die zugehörige Grenzpreisbestimmung
by Hoffmann, Steffen

2015 Convenience yields and risk premiums in the EU-ETS - Evidence from the Kyoto commitment period
by Stefan Trück & Rafal Weron

2015 Cross-Sectional Returns With Volatility Regimes From Diverse Portfolio of Emerging and Developed Equity Indices
by Paweł Sakowski & Robert Ślepaczuk & Mateusz Wywiał

2015 Probability weighting functions
by Martina Nardon & Paolo Pianca

2015 Pricing of Long-dated Commodity Derivatives with Stochastic Volatility and Stochastic Interest Rates
by Benjamin Cheng & Christina Nikitopoulos-Sklibosios & Erik Schlogl

2015 Recovering the Real-World Density and Liquidity Premia From Option Data
by Mathias Barkhagen & Jörgen Blomvall & Eckhard Platen

2015 Electricity Market Coupling and the Pricing of Transmission Rights: An Option-based Approach
by Mahringer, Steffen & Fuess, Roland & Prokopczuk, Marcel

2015 Returns to Investing in Sovereign Debt: a Response to Alvarez Nogal and Chamley
by Drelichman, Mauricio & Hans-Joachim, Voth

2015 Duplication without Constraints: Alvarez Nogal and Chamley’s Analysis of Debt Policy under Philip II
by Drelichman, Mauricio & Voth, Hans-Joachim

2015 Asset Pricing in Incomplete Markets: Valuing Gas Storage Capacity
by Lin Zhao & Sweder van Wijnbergen

2015 Option Prices and Model-free Measurement of Implied Herd Behavior in Stock Markets
by Daniël Linders & Jan Dhaene & Wim Schoutens

2015 Do Long Memory and Asymmetries Matter When Assessing Downside Return Risk?
by Nico Katzke & Chris Garbers

2015 Variance Premium and Implied Volatility in a Low-Liquidity Option Market
by Eduardo Astorino & Fernando Chague, Bruno Cara Giovannetti, Marcos Eugênio da Silva

2015 Price Discovery and Foreign Participation in the Republic of Korea’s Government Bond Cash and Futures Markets
by Park, Cyn-Young & Mercado, Rogelio & Choi, Jaehun & Lim, Hosung

2015 A New Predictor of Real Economic Activity: The S&P 500 Option Implied Risk Aversion
by Sylvia Sarantopoulou-Chiourea & George Skiadopoulos

2015 A Nonparametric Option Pricing Model Using Higher Moments
by Cayton, Peter Julian & Ho, Kin-Yip

2015 Anchoring and Adjustment Heuristic in Option Pricing
by Siddiqi, Hammad

2015 The key characteristics of the EURO 2012 arenas and the sources of their financing
by Bornah, Mathew

2015 A Note on Credit Spread Forwards
by Hertrich, Markus

2015 Inflation forecasts: Are market-based and survey-based measures informative?
by Grothe, Magdalena & Meyler, Aidan

2015 Evidences of efficient investment portfolio in Indian capital markets-An analysis based on BSE and NSE indices
by Mehta, Deepshikha

2015 Brent nefti opsiyonlarından neytral riskli ehtimal paylanmasının əldə olunması
by Ahmadov, Vugar & Huseynov, Salman & Mammadov, Fuad & Karimli, Tural

2015 Index Option Returns from an Anchoring Perspective
by Hammad, Siddiqi

2015 A Nonparametric Option Pricing Model Using Higher Moments
by Cayton, Peter Julian

2015 Explaining the Smile in Currency Options: Is it Anchoring?
by Siddiqi, Hammad

2015 Anchoring Heuristic in Option Pricing
by Siddiqi, Hammad

2015 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

2015 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

2015 Relative Risk Perception and the Puzzle of Covered Call writing
by Siddiqi, Hammad

2015 Analogy Based Valuation of Currency Options
by Siddiqi, Hammad

2015 Pricing Derivatives in the New Framework: OIS Discounting, CVA, DVA & FVA
by García Muñoz, Luis Manuel & de Lope Contreras, Fernando & Palomar Burdeus, Juan Esteban

2015 Analogy based Valuation of Commodity Options
by Siddiqi, Hammad

2015 The Pricing of Short-Term market Risk: Evidence from Weekly Options
by Torben G. Andersen & Nicola Fusari & Viktor Todorov

2015 The Supply and Demand of S&P 500 Put Options
by George M. Constantinides & Lei Lian

2015 Optimum Forest Rotations of Alternative Tree Species
by Skander BEN ABDALLAH & Pierre LASSERRE

2015 The Financial Econometrics of Price Discovery and Predictability
by Seema Narayan & Russell Smyth

2015 Financial connectedness among European volatility risk premia
by Andrea Cipollini & Iolanda Lo Cascio & Silvia Muzzioli

2015 Towards a skewness index for the Italian stock market
by Elyas Elyasiani & Luca Gambarelli & Silvia Muzzioli

2015 Nonparametric Estimates of Option Prices Using Superhedging
by Gianluca Cassese

2015 Valuing American options using fast recursive projections
by Antonio Cosma & Stefano Galluccio & Paola Pederzoli & Olivier Scaillet

2015 Marx's Theory of Money and 21st-century Macrodynamics
by Tai Young-Taft

2015 Risk Premiums in the Cross-Section of Commodity Convenience Yields
by Thomas Bollinger & Axel Kind

2015 The informational role of algorithmic traders in the option market
by Rohini Grover

2015 Limits to arbitrage: The case of single stock futures and spot prices
by Nidhi Aggarwal

2015 Variation of Wrong-Way Risk Management and Its Impact on Security Price Changes
by Tetsuya Adachi & Yoshihiko Uchida

2015 Measuring Contagion-Induced Funding Liquidity Risk in Sovereign Debt Markets
by Cho-Hoi Hui & Chi-Fai Lo & Xiao-Fen Zheng & Tom Fong

2015 A Quasi-Bounded Model for Swiss Franc's One-Sided Target Zone During 2011-2015
by C. H. Hui & C. F. Lo & T. Fong

2015 Probable Oil and Gas Reserves and Shareholder Returns: The Impact of Shale Gas
by Misund, Bård & Osmundsen, Petter

2015 The Spot-Forward Relationship in the Atlantic Salmon Market
by Asche, Frank & Misund, Bard & Oglend, Atle

2015 Production Risk and the Futures Price Risk Premium?
by Asche, Frank & Misund, Bard & Oglend, Atle

2015 Hedging Efficiency of Atlantic Salmon Futures
by Asche, Frank & Misund, Bard

2015 Supply and Demand Determinants of Natural Gas Price Volatility in the U.K.: A Vector Autoregression Approach
by Misund, Bård & Oglend, Atle

2015 No 2015:3 Closed Form Valuation of Three-Asset Spread Options With a view towards Clean Dark Spreads
by Green, Rikard

2015 A Power Market Forward Curve with Hydrology Dependence An Approach based on Artificial Neural Networks
by Green, Rikard

2015 Microscopic momentum in commodity futures
by Robert J Bianchi & Michael E Drew & John Hua Fan

2015 The term structure of the price of variance risk
by Andries, Marianne & Eisenbach, Thomas M. & Schmalz, Martin C. & Wang, Yichuan

2015 The Effects of Asymmetric Volatility and Jumps on the Pricing of VIX Derivatives
by Park, Yang-Ho

2015 The Role of Outliers and Oil Price Shocks on Volatility of Metal Prices
by Niaz Bashiri Behmiri & Matteo Manera

2015 Super-exponential growth expectations and the global financial crisis
by Matthias Leiss & Heinrich H. Nax & Didier Sornette

2015 A comment on Wu and Xia (2015), and the case for two-factor Shadow Short Rates
by Leo Krippner

2015 Food Price Bubbles and Government Intervention: Is China Different?
by Li, Jian & Li, Chongguang & Chavas, Jean-Paul

2015 Prices and Volatilities in the Corporate Bond Market
by Bao, Jack & Chen, Jia & Hou, Kewei & Lu, Lei

2015 Quanto Implied Correlation in a Multi-Lévy Framework
by Laura Ballota & Griselda Deelstra & Grégory Rayée

2015 Pricing Model Management: Evidence from Employee Stock Option (Un)Fair Valuation
by Larmande , Francois & Belze , Loïc & Schneider , Lorenz

2015 Convertible bonds and bank risk-taking
by Natalya Martynova & Enrico Perotti

2015 Price Discovery in European Agricultural Markets: When Do Futures Contracts Matter?
by Philipp Adämmer & Martin T. Bohl

2015 Price Discovery in Thinly Traded Futures Markets: How Thin is Too Thin?
by Philipp Adämmer & Martin T. Bohl & Christian Gross

2015 Early Option Exercise: Never Say Never
by Pedersen, Lasse Heje & Vestergaard Jensen, Mads

2015 Volatility-related exchange traded assets: an econometric investigation
by Mencía, Javier & Sentana, Enrique

2015 The [phi]-Martingale
by Vrins, F. & Jeanblanc, M.

2015 ¿Estabiliza el FEPA los precios locales del azúcar?
by Julio C. Alonso & Andrés M. Arcila & Sebastián Montenegro

2015 Volatility-Related Exchange Traded Assets: An Econometric Investigation
by Javier Mencía & Enrique Sentana

2015 Model Uncertainty, Recalibration, and the Emergence of Delta-Vega Hedging
by Sebastian Herrmann & Johannes Muhle-Karbe

2015 The Price of the Smile and Variance Risk Premia
by Peter H. GRUBER & Claudio TEBALDI & Fabio TROJANI

2015 Noisy Arrow-Debreu Equilibria
by Semyon MALAMUD

2015 Pricing and Disentanglement of American Puts in the Hyper-Exponential Jump-Diffusion Model
by Markus LEIPPOLD & Nikola VASILJEVIC

2015 Forward Premia in Electricity Markets: Two Caveats
by Silvester Van Koten

2015 Pricing multivariate barrier reverse convertibles with factor-based subordinators
by Marina Marena & Andrea Romeo & Patrizia Semeraro

2015 Corporate Fraction and the Equilibrium Term-Structure of Equity Risk
by Roberto Marfè

2015 On the Credibility of the Euro/Swiss Franc Floor: A Financial Market Perspective
by Markus Hertrich & Heinz Zimmermann

2015 Roll Strategy Efficiency in Commodity Futures Markets
by Nick Taylor

2015 Stabilising house prices: the role of housing futures trading
by Uluc, Arzu

2015 Volatility contagion: new evidence from market pricing of volatility risk
by Raczko, Marek

2015 A joint affine model of commodity futures and US Treasury yields
by Chin, Michael & Liu, Zhuoshi

2015 Using Merton model: an empirical assessment of alternatives
by Zvika Afik & Ohad Arad & Koresh Galil

2015 Tail comovement in option-implied inflation expectations as an indicator of anchoring
by Sara Cecchetti & Filippo Natoli & Laura Sigalotti

2015 Risk-adjusted expectations of inflation
by Marco Casiraghi & Marcello Miccoli

2015 Default near-the-default-point: the value of and the distance to default
by Alfredo Ibáñez

2015 Sovereigns and banks in the euro area: A tale of two crises
by Marta Gómez-Puig & Simón Sosvilla-Rivero & Manish K. Singh

2015 Maximum Entropy Evaluation of Asymptotic Hedging Error under a Generalised Jump-Diffusion Model
by Farzad Alavi Fard & Firmin Doko Tchatoka & Sivagowry Sriananthakumar

2015 Option-Based Estimation of the Price of Co-Skewness and Co-Kurtosis Risk
by Peter Christoffersen & Mathieu Fournier & Kris Jacobs & Mehdi Karoui

2015 Which pricing approach for options under GARCH with non-normal innovations?
by Jean-Guy Simonato & Lars Stentoft

2015 Dynamic Factor Models for the Volatility Surface
by Michel van der Wel & Sait R. Ozturk & Dick van Dijk

2015 The Ethics of Financial Speculation in Futures Markets
by Ingo Pies & Matthias Georg Will & Thomas Glauben & Sören Prehn

2015 Nominal GDP Futures Contract Targeting
by W. William Woolsey & Scott Sumner

2015 How to Lose Money in Derivatives: Examples from Hedge Funds and Bank Trading Departments
by Sebastien Lleo & William T. Ziemba

2015 Returns from Investing in S&P500 Futures Options, 1985–2010
by Alexandre Ziegler & William T. Ziemba

2015 The European Sovereign Debt Crisis and the Role of Credit Swaps
by Eleftherios I. Thalassinos & Theodoros Stamatopoulos & Pantelis E. Thalassinos

2015 Climate Futures Markets
by Rita l. D'Ecclesia

2015 Electricity Futures
by Paolo Falbo & Daniele Felletti & Silvana Stefani

2015 Modeling the Dynamics of Temperature with a View to Weather Derivatives
by Eirini Konstantinidi & Gkaren Papazian & George Skiadopoulos

2015 Freight Futures Markets
by Fotis Giannakoulis & Nikos Gavriilidis & Nikolas Arachovas

2015 Housing Futures Markets
by Jin Wook Choi & Jin Man Lee

2015 Volatility as an Asset Class
by Tom Nohel & Steven K. Todd

2015 Energy Futures Markets
by Betty Simkins & Yuecheng Jia

2015 Currency Futures
by Tim Weithers

2015 Interest Rate Futures: Elements of a Successful Financial Innovation
by Bluford H. Putnam

2015 World Metal Markets
by Raj Aggarwal & Brian Lucey & Fergal O'Connor

2015 Agricultural Futures Markets
by Paul E. Peterson & Jin Wook Choi

2015 The Fast Track to the Futures: Technological Innovation, Market Microstructure, Market Participants, and the Regulation of High-Frequency Trading
by Barbara J. Mack

2015 Central Counterparty Clearing and Systemic Risk Regulation
by Robert S. Steigerwald

2015 The Strategic and Tactical Value of Commodity Futures
by Claude B. Erb & Campbell R. Harvey

2015 Volume and Volatility in Foreign Currency Futures Markets
by Ramaprasad Bhar & A. G. Malliaris

2015 Commodity Futures Prices: Some Evidence on Forecast Power, Premiums, and the Theory of Storage
by Eugene F. Fama & Kenneth R. French

2015 The Variation of Certain Speculative Prices
by Benoit Mandelbrot

2015 Proof that Properly Anticipated Prices Fluctuate Randomly
by Paul A. Samuelson

2015 Hedging strategies of derivatives instruments for commodity trading entities
by Piotr Giruæ

2015 Financial Derivatives:Futures, Forwards, Swaps, Options, Corporate Securities, and Credit Default Swaps
by George M Constantinides

2015 The World Scientific Handbook of Futures Markets
by

2015 A Cautionary Note on the Put-Call Parity under an Asset Pricing Model with a Lower Reflecting Barrier
by Markus Hertrich

2015 An Empirical Test of Efficiency of Exchange-Traded Currency Options in India
by Bhat, Aparna & Arekar, Kirti

2015 Intraday Lead-Lag Relationship between Stock Index and Stock Index Futures Markets: Evidence from Turkey
by Ersoy, Ersan & Çıtak, Levent

2015 Inflation, Business Cycles, and Commodity Investing in Financialized Markets
by Zaremba, Adam

2015 Information System Reengineering Effects Through The Establishment Of The Special Department For Business Intelligence In Business Entities
by Branimir Dukic & Sanja Coric & Danijel Bara

2015 Management Of Ict-Based Enterprises - Approach Through Frameworks For Business Architecture, It Governance And It Management
by Morana Mesaric & Luka Burilovic

2015 Skewed Generalized Error Distribution of Financial Assets and Option Pricing
by Panayiotis Theodossiou

2015 Valuing guaranteed bank debt: Role of strength and size of the bank and the guarantor
by Sebastian Schich & Arturo Estrella

2015 Una estrategia de inversión y cobertura mediante la combinación de notas estructuradas
by Aguilar-Juárez, Isabel Patricia. & Venegas-Martínez, Francisco.

2015 Three-Point Volatility Smile Classification: Evidence From The Warsow Stock Exchange During Volatile Summer 2011 / Clasificación De Las Sonrisas De Volatilidad Según Tres Puntos De Monetización: Evidencia Empírica Para La Bolsa De Varsovia Durante El Volátil Verano De 2011
by García-Machado, Juan J. & Rybczynski, Jaroslaw

2015 Small Vs Large Caps. Evidence From Developed And Emerging Stock Markets During Periods With And Without Financial Crisis, Small Vs Large Caps. Evidencia De Mercados Accionarios Desarrollados Y Emergentes En Periodos Con Vs Sin Crisis Financiera
by Eduardo Sandoval

2015 Determinants Of Silver Futures Price Volatility: Evidence From The Thailand Futures Exchange
by Woradee Jongadsayakul

2015 Hedging Strategy Comparisons Of Volatility Index Options Using Diffusion Models
by Jun-Biao Lin

2015 A Sharpe-ratio-based measure for currencies
by Javier Prado-Dominguez & Carlos Fernández-Herráiz

2015 Oil commodity returns and macroeconomic factors: A time-varying approach
by Schalck, Christophe & Chenavaz, Régis

2015 From pit to electronic trading: Impact on price volatility of U.S. Treasury futures
by Orlowski, Lucjan T.

2015 Modeling fund and portfolio risk: A bi-modal approach to analyzing risk in turbulent markets
by Karagiannidis, Iordanis & Sykes Wilford, D.

2015 The time-varying causality between spot and futures crude oil prices: A regime switching approach
by Balcilar, Mehmet & Gungor, Hasan & Hammoudeh, Shawkat

2015 Price cointegration between sovereign CDS and currency option markets in the financial crises of 2007–2013
by Hui, Cho-Hoi & Fong, Tom Pak-Wing

2015 Model-free volatility indexes in the financial literature: A review
by Gonzalez-Perez, Maria T.

2015 Strategic capacity expansion under a potential entry threat
by Kamoto, Shinsuke

2015 Asymmetry in return and volatility spillover between China's interbank and exchange T-bond markets
by Jin, Xiaoye

2015 A quasi-bounded target zone model — Theory and application to Hong Kong dollar
by Lo, C.F. & Hui, C.H. & Fong, T. & Chu, S.W.

2015 Measuring sovereign risk contagion in the Eurozone
by Suh, Sangwon

2015 Cash-futures basis and the impact of market maturity, informed trading, and expiration effects
by Chang, Charles & Lin, Emily

2015 Sentiment-prone investors and volatility dynamics between spot and futures markets
by Corredor, Pilar & Ferrer, Elena & Santamaria, Rafael

2015 Reserve option mechanism as a stabilizing policy tool: Evidence from exchange rate expectations
by Değerli, Ahmet & Fendoğlu, Salih

2015 The linkage between aggregate investor sentiment and metal futures returns: A nonlinear approach
by Zheng, Yao

2015 Usefulness of earnings in credit markets: Korean evidence
by Baik, Bok & Kim, Young Jun & Kim, Jungbae & Lee, Su Jeong

2015 Common deviation and regime-dependent dynamics in the index derivatives markets
by Lee, Jaeram & Kang, Jangkoo & Ryu, Doojin

2015 A study of linkages between frontier markets and the U.S. equity markets using multivariate GARCH and transfer entropy
by Daugherty, Mary Schmid & Jithendranathan, Thadavillil

2015 M&A operations: Further evidence of informed trading in the CDS market
by Pereira da Silva, Paulo & Vieira, Isabel & Vieira, Carlos

2015 On the compensation for illiquidity in sovereign credit markets
by Lafuente, Juan Angel & Serrano, Pedro

2015 Geographical diversification with a World Volatility Index
by Aboura, Sofiane & Chevallier, Julien

2015 Behavioral influences in non-ferrous metals prices
by Cummins, Mark & Dowling, Michael & Lucey, Brian M.

2015 Dynamic relationships between spot and futures prices. The case of energy and gold commodities
by Nicolau, Mihaela & Palomba, Giulio

2015 The impact of speculation on precious metals futures markets
by Bosch, David & Pradkhan, Elina

2015 Bank risk behavior and connectedness in EMU countries
by Singh, Manish K. & Gómez-Puig, Marta & Sosvilla-Rivero, Simón

2015 Relaxing competition through speculation: Committing to a negative supply slope
by Holmberg, Pär & Willems, Bert

2015 On the nonemptiness of the α-core of discontinuous games: Transferable and nontransferable utilities
by Uyanık, Metin

2015 Put–Call Parity and market frictions
by Cerreia-Vioglio, S. & Maccheroni, F. & Marinacci, M.

2015 The optimal corridor for implied volatility: From periods of calm to turmoil
by Muzzioli, Silvia

2015 Rationally financing an acquisition
by Sebehela, Tumellano

2015 Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data
by Audrino, Francesco & Fengler, Matthias R.

2015 A utility- and CPT-based comparison of life insurance contracts with guarantees
by Chen, An & Hentschel, Felix & Klein, Jakob K.

2015 Short-term options: Clienteles, market segmentation, and event trading
by Chatrath, Arjun & Christie-David, Rohan A. & Miao, Hong & Ramchander, Sanjay

2015 Financialization in commodity markets: A passing trend or the new normal?
by Adams, Zeno & Glück, Thorsten

2015 Portfolio optimisation with jumps: Illustration with a pension accumulation scheme
by Le Courtois, Olivier & Menoncin, Francesco

2015 Riding the swaption curve
by Duyvesteyn, Johan & de Zwart, Gerben

2015 Combining momentum with reversal in commodity futures
by Bianchi, Robert J. & Drew, Michael E. & Fan, John Hua

2015 The role of the variance premium in Jump-GARCH option pricing models
by Byun, Suk Joon & Jeon, Byoung Hyun & Min, Byungsun & Yoon, Sun-Joong

2015 Performance and determinants of the Merton structural model: Evidence from hedging coefficients
by Barsotti, Flavia & Viva, Luca Del

2015 Trading strategies with implied forward credit default swap spreads
by Leccadito, Arturo & Tunaru, Radu S. & Urga, Giovanni

2015 Pricing and static hedging of American-style knock-in options on defaultable stocks
by Vidal Nunes, João Pedro & Ruas, João Pedro & Dias, José Carlos

2015 Collateral smile
by Leippold, Markus & Su, Lujing

2015 A structural model with Explicit Distress
by Correia, Ricardo & Población, Javier

2015 The timing of mergers along the production chain, capital structure, and risk dynamics
by Tarsalewska, Monika

2015 Limits to arbitrage and the term structure of bond illiquidity premiums
by Schuster, Philipp & Uhrig-Homburg, Marliese

2015 Credit spreads and state-dependent volatility: Theory and empirical evidence
by Perrakis, Stylianos & Zhong, Rui

2015 Pricing currency derivatives under the benchmark approach
by Baldeaux, Jan & Grasselli, Martino & Platen, Eckhard

2015 Counterparty risk for CDS: Default clustering effects
by Bo, Lijun & Capponi, Agostino

2015 Rate fears gauges and the dynamics of fixed income and equity volatilities
by Mele, Antonio & Obayashi, Yoshiki & Shalen, Catherine

2015 Combining accounting data and a structural model for predicting credit ratings: Empirical evidence from European listed firms
by Doumpos, Michael & Niklis, Dimitrios & Zopounidis, Constantin & Andriosopoulos, Kostas

2015 Liquidity, credit quality, and the relation between volatility and trading activity: Evidence from the corporate bond market
by Wang, Junbo & Wu, Chunchi

2015 On guidance and volatility
by Billings, Mary Brooke & Jennings, Robert & Lev, Baruch

2015 Pricing credit default swaps with a random recovery rate by a double inverse Fourier transform
by Hao, Xuemiao & Li, Xuan

2015 Geometric stopping of a random walk and its applications to valuing equity-linked death benefits
by Gerber, Hans U. & Shiu, Elias S.W. & Yang, Hailiang

2015 Modelling longevity bonds: Analysing the Swiss Re Kortis bond
by Hunt, Andrew & Blake, David

2015 Pricing annuity guarantees under a double regime-switching model
by Fan, Kun & Shen, Yang & Siu, Tak Kuen & Wang, Rongming

2015 Analytical pricing of vulnerable options under a generalized jump–diffusion model
by Fard, Farzad Alavi

2015 The determinants of CDS open interest dynamics
by Silva, Paulo Pereira da & Vieira, Carlos & Vieira, Isabel

2015 Volatility-of-volatility and tail risk hedging returns
by Park, Yang-Ho

2015 Information and accuracy in pricing: Evidence from the NCAA men׳s basketball betting market
by Berkowitz, Jason P. & Depken, Craig A. & Gandar, John M.

2015 A dynamic model of hedging and speculation in the commodity futures markets
by Cifarelli, Giulio & Paladino, Giovanna

2015 Predicting volatility of the Shanghai silver futures market: What is the role of the U.S. options market?
by Luo, Xingguo & Ye, Zinan

2015 How integrated is the European carbon derivatives market?
by Mazza, Paolo & Petitjean, Mikael

2015 Equilibrium option pricing: A Monte Carlo approach
by Buchner, Axel

2015 Quadratic hedging strategies for volatility swaps
by Wang, Xingchun & Fu, Jianping & Wang, Guanying & Wang, Yongjin

2015 A note on minimum riskiness hedge ratio
by Ehsani, Sina & Lien, Donald

2015 Pricing American options under the constant elasticity of variance model: An extension of the method by Barone-Adesi and Whaley
by Ballestra, Luca Vincenzo & Cecere, Liliana

2015 A comparison of the convenience yield and interest-adjusted basis
by Fouquau, Julien & Six, Pierre

2015 Asymptotic expansion of European options with mean-reverting stochastic volatility dynamics
by Hu, Jun & Kanniainen, Juho

2015 Modelling default risk with occupation times
by Makarov, R. & Metzler, A. & Ni, Z.

2015 The intrinsic bounds on the risk premium of Markovian pricing kernels
by Han, Jihun & Park, Hyungbin

2015 Long memory and the relation between options and stock prices
by Huang, Teng-Ching & Tu, Yu-Chen & Chou, Heng-Chih

2015 Weakening the Gain–Loss-Ratio measure to make it stronger
by Voelzke, Jan

2015 Does economic policy uncertainty drive CDS spreads?
by Wisniewski, Tomasz Piotr & Lambe, Brendan John

2015 The financial econometrics of price discovery and predictability
by Narayan, Seema & Smyth, Russell

2015 Valuation and analysis of contingent convertible securities with jump risk
by Yang, Zhaojun & Zhao, Zhiming

2015 Volatility risk premium in the interest rate market: Evidence from delta-hedged gains on USD interest rate swaps
by Byun, Suk Joon & Chang, Ki Cheon

2015 Impact of allowance submissions in European carbon emission markets
by Philip, Dennis & Shi, Yukun

2015 The impact of liquidity on senior credit index spreads during the subprime crisis
by Marra, Miriam

2015 Speculative and hedging activities in the European carbon market
by Lucia, Julio J. & Mansanet-Bataller, Maria & Pardo, Ángel

2015 Pricing of forwards and other derivatives in cointegrated commodity markets
by Benth, Fred Espen & Koekebakker, Steen

2015 Emission permits and the announcement of realized emissions: Price impact, trading volume, and volatilities
by Hitzemann, Steffen & Uhrig-Homburg, Marliese & Ehrhart, Karl-Martin

2015 An empirical model comparison for valuing crack spread options
by Mahringer, Steffen & Prokopczuk, Marcel

2015 A multi-factor model with time-varying and seasonal risk premiums for the natural gas market
by Shao, Chengwu & Bhar, Ramaprasad & Colwell, David B.

2015 Expected commodity returns and pricing models
by Cortazar, Gonzalo & Kovacevic, Ivo & Schwartz, Eduardo S.

2015 The overnight risk premium in electricity forward contracts
by Fleten, Stein-Erik & Hagen, Liv Aune & Nygård, Maria Tandberg & Smith-Sivertsen, Ragnhild & Sollie, Johan M.

2015 Inventory announcements, jump dynamics, volatility and trading volume in U.S. energy futures markets
by Bjursell, Johan & Gentle, James E. & Wang, George H.K.

2015 A comparison of implied and realized volatility in the Nordic power forward market
by Birkelund, Ole Henrik & Haugom, Erik & Molnár, Peter & Opdal, Martin & Westgaard, Sjur

2015 The impact of fundamental and financial traders on the term structure of oil
by Heidorn, Thomas & Mokinski, Frieder & Rühl, Christoph & Schmaltz, Christian

2015 Volatility co-movements: A time-scale decomposition analysis
by Cipollini, Andrea & Cascio, Iolanda Lo & Muzzioli, Silvia

2015 Risk-adjusted implied volatility and its performance in forecasting realized volatility in corn futures prices
by Wu, Feng & Myers, Robert J. & Guan, Zhengfei & Wang, Zhiguang

2015 Market sentiment in commodity futures returns
by Gao, Lin & Süss, Stephan

2015 Euro at risk: The impact of member countries' credit risk on the stability of the common currency
by Bekkour, Lamia & Jin, Xisong & Lehnert, Thorsten & Rasmouki, Fanou & Wolff, Christian

2015 Detecting abnormal trading activities in option markets
by Chesney, Marc & Crameri, Remo & Mancini, Loriano

2015 Time-variations in commodity price jumps
by Diewald, Laszlo & Prokopczuk, Marcel & Wese Simen, Chardin

2015 Explaining the default risk anomaly by the two-beta model
by Yeh, Chung-Ying & Hsu, Junming & Wang, Kai-Li & Lin, Che-Hui

2015 The effects of fiscal opacity on sovereign credit spreads
by Peat, Maurice & Svec, Jiri & Wang, Jue

2015 Divided governments and futures prices
by Sojli, Elvira & Tham, Wing Wah

2015 Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets
by Cavaliere, Giuseppe & Nielsen, Morten Ørregaard & Taylor, A.M. Robert

2015 A non-linear dynamic model of the variance risk premium
by Eraker, Bjørn & Wang, Jiakou

2015 What is beneath the surface? Option pricing with multifrequency latent states
by Calvet, Laurent E. & Fearnley, Marcus & Fisher, Adlai J. & Leippold, Markus

2015 Option pricing with non-Gaussian scaling and infinite-state switching volatility
by Baldovin, Fulvio & Caporin, Massimiliano & Caraglio, Michele & Stella, Attilio L. & Zamparo, Marco

2015 Stock return and cash flow predictability: The role of volatility risk
by Bollerslev, Tim & Xu, Lai & Zhou, Hao

2015 Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing
by Asai, Manabu & McAleer, Michael

2015 Explicit form of approximate transition probability density functions of diffusion processes
by Choi, Seungmoon

2015 Learning, confidence, and option prices
by Shaliastovich, Ivan

2015 Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints
by Fengler, Matthias R. & Hin, Lin-Yee

2015 Explicit approximate analytic formulas for timer option pricing with stochastic interest rates
by Ma, Jingtang & Deng, Dongya & Lai, Yongzeng

2015 State-dependent jump risks for American gold futures option pricing
by Lian, Yu-Min & Liao, Szu-Lang & Chen, Jun-Home

2015 Pricing American options: RNMs-constrained entropic least-squares approach
by Yu, Xisheng & Xie, Xiaoke

2015 Implied volatility and the risk-free rate of return in options markets
by Bianconi, Marcelo & MacLachlan, Scott & Sammon, Marco

2015 On increasing risk, inequality and poverty measures: Peacocks, lyrebirds and exotic options
by Ewald, Christian-Oliver & Yor, Marc

2015 Electricity derivatives pricing with forward-looking information
by Füss, Roland & Mahringer, Steffen & Prokopczuk, Marcel

2015 Superhedging under ratio constraint
by Chen, Yingshan & Dai, Min & Xu, Jing & Xu, Mingyu

2015 Non-transferable non-hedgeable executive stock option pricing
by Colwell, David B. & Feldman, David & Hu, Wei

2015 Pricing external barrier options in a regime-switching model
by Kim, Jerim & Kim, Jeongsim & Joo Yoo, Hyun & Kim, Bara

2015 Computation of Greeks using binomial trees in a jump-diffusion model
by Suda, Shintaro & Muroi, Yoshifumi

2015 Write-Down Bonds and Capital and Debt Structures
by Attaoui, Sami & Poncet, Patrice

2015 Misrepresentation and capital structure: Quantifying the impact on corporate debt value
by Zhou, Xinghua & Reesor, R. Mark

2015 Valuing convertible bonds and the option to exchange bonds for stock
by Finnerty, John D.

2015 Volatility Transmission in Oil Futures Markets and Carbon Emissions Futures
by Tanattrin Bunnag

2015 Hedging Petroleum Futures with Multivariate GARCH Models
by Tanattrin Bunnag

2015 A Generalized Autoregressive Conditional Heteroskedasticity Examination of the Relationship between Trading Volume and Conditional Volatility in the Tunisian Stock Market: Evidence for the Information Flow Paradigm
by Fethi Belhaj & Ezzeddine Abaoub

2015 The Effect of Macro News on Volatility and Jumps
by Dimitrios I. Vortelinos

2015 Why does Colombia lack agricultural commodity futures?
by Pablo Moreno-Alemay & Catherine Pereira-Villa

2015 Calculo y comparacion de la prima de un reaseguro de salud usando el modelo de opciones de Black-Scholes y el modelo actuarial
by Luis Eduardo Giron & Ferney Herrera Cruz

2015 ¿Estabiliza el FEPA los precios locales del azúcar?
by Julio C. Alonso & Andrés M. Arcila & Sebastián Montenegro

2015 Opciones reales aplicadas en redes integradas de servicios de salud empleando diferentes me?todos de estimacio?n de la volatilidad
by Andre?s Mora-Valencia & Germa?n Gonza?lez-Echeverri & Juan Gregorio Solano

2015 Opciones reales aplicadas en redes integradas de servicios de salud empleando diferentes métodos de estimación de la volatilidad
by Andrés Mora-Valencia & Germán González-Echeverri & Juan Gregorio Solano

2015 Valoración de derivados europeos con mixtura de distribuciones Weibull
by Andrés Mauricio Molina & José Alfredo Jiménez

2015 Disaster Risk and Its Implications for Asset Pricing
by Jerry Tsai & Jessica A. Wachter

2015 Asset Price Bubbles
by Robert A. Jarrow

2014 Financial Tail Risks and the Shapes of the Extreme Value Distribution: A Comparison between Conventional and Sharia-Compliant Stock Indexes
by John W. Muteba Mwamba & Shawkat Hammoudeh & Rangan Gupta

2014 Spread Risk Premia in Corporate Credit Default Swap Markets
by Oliver Entrop & Richard Schiemert & Marco Wilkens

2014 Performance-Sensitive Government Bonds
by Matthias Bank & Alexander Kupfer & Rupert Sendlhofer

2014 Individual investors and suboptimal early exercises in the fixed-income market
by Eickholt, Mathias & Entrop, Oliver & Wilkens, Marco

2014 The role of a changing market environment for credit default swap pricing
by Leppin, Julian S. & Reitz, Stefan

2014 The impact of long-only index funds on price discovery and market performance in agricultural futures markets
by Prehn, Sören & Glauben, Thomas & Loy, Jens-Peter & Pies, Ingo & Will, Matthias Georg

2014 The role of a changing market: Environment for credit default swap pricing
by Leppin, Julian S. & Reitz, Stefan

2014 The impact of fundamental and financial traders on the term structure of oil
by Heidorn, Thomas & Mokinski, Frieder & Rühl, Christoph & Schmaltz, Christian

2014 The Role of a Changing Market Environment for Credit Default Swap Pricing
by Leppin, Julia S. & Reitz, Stefan

2014 Dividend taxation and DAX futures prices
by Fink, Christopher & Theissen, Erik

2014 Risk-adjusted option-implied moments
by Brinkmann, Felix & Korn, Olaf

2014 Forward-looking measures of higher-order dependencies with an application to portfolio selection
by Brinkmann, Felix & Kempf, Alexander & Korn, Olaf

2014 Portfolio optimization using forward-looking information
by Kempf, Alexander & Korn, Olaf & Saßning, Sven

2014 Inflation, deflation, and uncertainty: What drives euro area option-implied inflation expectations and are they still anchored in the sovereign debt crisis?
by Scharnagl, Michael & Stapf, Jelena

2014 The Nelson-Siegel Model of the Term Structure of Option Implied Volatility and Volatility Components
by Qian Han & Bin Zhao

2014 The Relationship Between Stock Returns and Investor Sentiment: Evidence from Social Media
by Zachary McGurk & Adam Nowak

2014 Simple heuristics for pricing VIX options
by Juliusz Jabłecki & Ryszard Kokoszczyński & Paweł Sakowski & Robert Ślepaczuk & Piotr Wójcik

2014 A Futures Market Reduces Bubbles but Allows Greater Profit for More Sophisticated Traders
by Charles Noussair & Steven J.Tucker & Yilong Xu

2014 European option pricing with constant relative sensitivity probability weighting function
by Martina Nardon & Paolo Pianca

2014 A Bayesian Beta Markov Random Field calibration of the term structure of implied risk neutral densities
by Roberto Casarin & Fabrizio Leisen & German Molina & Enrique Ter Horst

2014 A Monte Carlo Method using PDE Expansions for a Diversifed Equity Index Model
by David Heath & Eckhard Platen

2014 A Consistent Framework for Modelling Basis Spreads in Tenor Swaps
by Yang Chang & Erik Schlogl

2014 Explaining the time-varying relation between agricultural prices and stock market dynamics
by Daniele Girardi

2014 Financialization in Commodity Markets: A Passing Trend or the New Normal?
by Adams, Zeno & Glueck, Thorsten

2014 An Empirical Analysis of the Ross Recovery Theorem
by Audrino, Francesco & Huitema, Robert & Ludwig, Markus

2014 A closed-form option pricing approximation formula for a fractional Heston model
by Elisa Alòs & Yan Yang

2014 Implied Volatility and the Risk-Free Rate of Return in Options Markets
by Marcelo Bianconi & Scott MacLachlan & Marco Sammon

2014 The Collateral Costs of Clearing
by Cyril Monnet & Thomas Nellen

2014 Test of Log-Normal Process with Importance Sampling for Options Pricing
by Semih Yon & Cafer Erhan Bozdag

2014 Timing a Hedge Decision: The Development of a Composite Technical Indicator for White Maize
by Susari Geldenhuys, Frans Dreyer and Chris van Heerden

2014 Liquidity Risk Premia in the International Shipping Derivatives Market
by Amir Alizadeh & Konstantina Kappou & Dimitris Tsouknidis & Ilias Visvikis

2014 Commodity Risk Factors and the Cross-Section of Equity Returns
by Chris Brooks & Adrian Fernandez-Perez & Joëlle Miffre & Ogonna Nneji

2014 An Analytic Approximation of the Implied Risk-Neutral Density of American Multi-Asset Options
by Juan C. Arismendi & Marcel Prokopczuk

2014 The impact of information flow and trading activity on gold and oil futures volatility
by Adam Clements & Neda Todorova

2014 How Does the Market Variance Risk Premium Vary over Time? Evidence from S&P 500 Variance Swap Investment Returns
by Eirini Konstantinidi & George Skiadopoulos

2014 Capital Structure and Financial Flexibility: Expectations of Future Shocks
by Costas Lambrinoudakis & Michael Neumann & George Skiadopoulos

2014 Jumps in Option Prices and Their Determinants: Real-time Evidence from the E-mini S&P 500 Option Market
by George Kapetanios & Michael Neumann & George Skiadopoulos

2014 A fractionally cointegrated VAR analysis of price discovery in commodity futures markets
by Sepideh Dolatabadi & Morten Ørregaard Nielsen & Ke Xu

2014 Anchoring Heuristic in Option Prices
by Siddiqi, Hammad

2014 Does a Speculative Trade in Food Commodities Influence Food Price Inflation in India?
by Soundararajan, Pushparaj & Suresh, Vidya

2014 Futures Commodities Prices and Media Coverage
by Almanzar, Miguel & Torero, Maximo & von Grebmer, Klaus

2014 Analogy Making and the Structure of Implied Volatility Skew
by Siddiqi, Hammad

2014 Testing for weak-form efficiency of Crude Palm Oil Spot and Futures Markets: New Evidence from a GARCH Unit Root Test with Multiple Structural Breaks
by Lean, Hooi Hooi & Smyth, Russell

2014 Is the Central and Eastern European banking systems stable? Evidence from the recent financial crisis
by Karkowska, Renata

2014 Entendiendo los mercados de swaps: Un enfoque de equilibrio general
by Venegas-Martínez, Francisco

2014 Analytic Approximation of Finite-Maturity Timer Option Prices
by Li, Minqiang

2014 Derivatives Pricing on Integrated Diffusion Processes: A General Perturbation Approach
by Li, Minqiang

2014 Option-Based Credit Spreads
by Christopher L. Culp & Yoshio Nozawa & Pietro Veronesi

2014 On the Fundamental Relation Between Equity Returns and Interest Rates
by Jaewon Choi & Matthew P. Richardson & Robert F. Whitelaw

2014 Risk, Ambiguity, and the Exercise of Employee Stock Options
by Yehuda Izhakian & David Yermack

2014 Effects of Index-Fund Investing on Commodity Futures Prices
by James D. Hamilton & Jing Cynthia Wu

2014 Estimating the risk of joint defaults: an application to central bank collateralized lending operations
by Dariusz Gatarek & Juliusz Jabłecki

2014 Volatility risk premia and financial connectedness
by Andrea Cipollini & Iolanda Lo Cascio & Silvia Muzzioli

2014 Volatility risk premia and financial connectedness
by Andrea Cipollini & Iolanda Lo Cascio & Silvia Muzzioli

2014 Why prediction markets work : the role of information acquisition and endogenous weighting
by Siemroth, Christoph

2014 On the liquidity of CAC 40 index options Market
by Alain François-Heude & Ouidad Yous

2014 On Path-Dependent Structured Funds: Complexity Does Not Always Pay (Asian versus Average Performance Funds)
by Philippe Bertrand & Jean-luc Prigent

2014 Maximal Gaussian Affine Models for Multiple Commodities: A Note
by Jaime Casassus & Peng Liu & Ke Tang

2014 When do firms invest in corporate social responsibility? A real option framework
by Cassimon, Danny & Engelen, Peter-Jan & Van Liedekerke, Luc

2014 The imprecision of volatility indexes
by Rohini Grover & Ajay Shah

2014 Do futures markets help in price discovery and risk management for commodities in India?
by Nidhi Aggarwal & Sargam Jain & Susan Thomas

2014 Behavioral Influences in Non-Ferrous Metals Prices
by Mark Cummins & Brian M. Lucey & Michael M. Dowling

2014 Credit Risk Calibration based on CDS Spreads
by Shih-Kang Chao & Wolfgang Karl Härdle & Hien Pham-Thu &

2014 Futures Market Volatility, Exchange Rate Uncertainty and Cereals Exports: Empirical Evidence from France
by Raphaël Chiappini & Yves Jégourel

2014 Simple and reliable way to compute option-based risk-neutral distributions
by Malz, Allan M.

2014 Understanding mortgage spreads
by Boyarchenko, Nina & Fuster, Andreas & Lucca, David O.

2014 Generating Options-Implied Probability Densities to Understand Oil Market Events
by Datta, Deepa Dhume & Londono, Juan M. & Ross, Landon J

2014 A Tale of Two Option Markets: Pricing Kernels and Volatility Risk
by Song, Zhaogang & Xiu, Dacheng

2014 QE Auctions of Treasury Bonds
by Song, Zhaogang & Zhu, Haoxiang

2014 Hedging and Pricing in Imperfect Markets under Non-Convexity
by Assa, Hirbod & Gospodinov, Nikolay

2014 Interest Rate Swap Credit Valuation Adjustment
by Jakub Cerny & Jiri Witzany

2014 Support Schemes for Renewable Electricity in the European Union: Producer Strategies and Competition
by Luisa Dressler

2014 On the compensation for illiquidity in sovereign credit markets
by Serrano, Pedro & Lafuente, Juan Ángel & Groba, Jonatan

2014 Real Option Theory and Application to the Fishery Industry: A survey of the literature
by Matteo Ferraris & Elena Pagliarino

2014 Weakening the Gain-Loss-Ratio measure to make it stronger
by Jan Voelzke

2014 Option-Based Credit Spreads
by Culp, Christopher L. & Nozawa, Yoshio & Veronesi, Pietro

2014 Dynamic programming for stochastic target problems, Viscosity solutions and hedging in markets with Portfolio constraints and large investors
by Rafael Serrano

2014 A class of multivariate marked Poisson processes to model asset returns
by Petar Jevtic & Patrizia Semeraro

2014 On corporate financial distress prediction: what can we learn from private firms in a small open economy?
by Evangelos C. Charalambakis

2014 The determinants of global bank credit-default-swap spreads
by Hasan, Iftekhar & Liu, Liuling & Zhang, Gaiyan

2014 Jumps and stochastic volatility in crude oil futures prices using conditional moments of integrated volatility
by Christopher F Baum & Paola Zerilli

2014 On a new class of barrier options
by Hernández del Valle Gerardo

2014 Peso-Dollar Forward Market Analysis: Explaining Arbitrage Opportunities during the Financial Crisis
by Juan R. Hernández

2014 What Does the Convenience Yield Curve Tell Us about the Crude Oil Market?
by Ron Alquist & Gregory Bauer & Antonio Diez de los Rios

2014 Oil Volatility Risk and Expected Stock Returns
by Peter Christoffersen & Xuhui (Nick) Pan

2014 Factor Structure in Commodity Futures Return and Volatility
by Peter Christoffersen & Asger Lunde & Kasper V. Olesen

2014 A fractionally cointegrated VAR analysis of price discovery in commodity futures markets
by Sepideh Dolatabadi & Morten Ørregaard Nielsen & Ke Xu

2014 Bootstrap Score Tests for Fractional Integration in Heteroskedastic ARFIMA Models, with an Application to Price Dynamics in Commodity Spot and Futures Markets
by Giuseppe Cavaliere & Morten Ørregaard Nielsen & A.M. Robert Taylor

2014 Some contributions to financial market modelling with transaction costs
by Tran, Quoc Tuan

2014 Tail dependence of financial stocks and CDS markets: Evidence using copula methods and simulation-based inference
by da Silva, Paulo Pereira & Rebelo, Paulo Tomaz & Afonso, Cristina

2014 Futures and Forwards Contracts from Perspective of Islamic Law
by Injadat, Ehab M. M.

2014 La ecuación de segundo grado en la estimación de parámetros de la martingala y la valuación de opciones americanas a través de la programación dinámica estocástica. / The quadratic equation in the parameter estimation of the riskless probability and the american options pricing through stochastic dynamic programming
by Climent Hernández, José Antonio

2014 Explaining the bid-ask spread in the foreign exchange market: A test of alternate models
by Sirimon Treepongkaruna & Tim Brailsford & Stephen Gray

2014 Hedging Effectiveness of Applying Constant and Time-Varying Hedge Ratios: Evidence from Taiwan Stock Index Spot and Futures
by Dar-Hsin Chen & Leo Bin & Chun-Yi Tseng

2014 An Analysis of the Covered Warrants listed on the Athens Exchange
by Costas Siriopoulos & Athanasios P. Fassas

2014 Measuring Systemic Risk using Contingent Claims Analysis (CCA)
by Moisa Altar & Adam-Nelu Altar-Samuel & Ioana Marcu

2014 The Optimal Hedging Ratio for Non-Ferrous Metals
by Dinica, Mihai Cristian & Armeanu, Daniel

2014 A Partial Equilibrium Model of the Convenience Yield Risk Premium of Storable Commodities
by Vincent Lacoste & Pierre Six

2014 Decisiones de consumo y portafolio con un nivel de confianza sobre la riqueza final en un horizonte finito de planeacion: Evidencia empirica
by Francisco Venegas Martinez & Francisco Lopez Herrera & Ambrosio Ortiz Ramirez

2014 CRR/CRD IV: the trees and the forest
by Rainer Masera

2014 CRR/CRD IV: the trees and the forest
by Rainer Masera

2014 Empirická analýza obchodování s opcemi na akcie Škodových závodů 1928-1938
by Jan Vlachý

2014 Mitigating Vulnerability to Oil Price Risk— Applicability of Risk Models to Pakistan’s Energy Problem
by Jamshed Y. Uppal & Syeda Rabab Mudakkar

2014 Real Options and Merchant Operations of Energy and Other Commodities
by Secomandi, Nicola & Seppi, Duane J.

2014 Valuación con opciones reales de proyectos con flujos correlacionados con fundamentales económicos y con saltos extremos Viabilidad del caso COMERCI UCB
by Mendoza Sandoval Sergio & Cruz Ake Salvador & Venegas Martínez Francisco

2014 Information Arrival, Jumps and Cojumps in European Financial Markets: Evidence Using Tick by Tick Data
by Frédéric Délèze & Syed Mujahid Hussain

2014 Analysis of the Behavior of Volatility in Crude Oil Price
by Fernando Antonio Lucena Aiube & Tara Keshar Nanda Baidya

2014 Addition Of The Fuzzy Logic Model To Black-Scholes, For Pricing Mexican Currency Options, La Incorporacion De La Logica Difusa Al Modelo Black-Scholes, Para La Determinacion Del Precio De La Opcion Cambiaria Mexicana
by Manuel Munoz Palma & Ezequiel Aviles Ochoa

2014 Zero-Cost Collar Strategy For Chilean Exporters: Black-Scholes Valuation Vs Monte Carlo Simulations, Estrategia Collar Costo Cero Para Exportadores Chilenos. Valuacion De Black-Scholes Vs Simulaciones De Montecarlo
by Eduardo Sandoval & Paula Urrutia

2014 Return Volatility Movements in Spot and Futures Markets: Evidence from Intraday Behavior of the S&P 500 Index
by Jeng-Hong Chen

2014 Un modelo macroeconómico con agentes de vida finita y estocástica: cobertura de riesgo de mercado con derivados americanos
by Ma. Teresa V. Martínez-Palacios. & Francisco Venegas-Martínez.

2014 Valuación de opciones europeas sobre AMX-L, WALMEX-V y GMEXICO-B. Calibración de parámetros de volatilidad estocástica con funciones cuadráticas de pérdida
by Ortiz-Ramírez, Ambrosio. & Venegas-Martínez, Francisco. & Durán-Bustamante, Mario.

2014 IMKB’de Islem Goren Araci Kurulus Varantlari icin Etkin Fiyatlama Modelinin Belirlenmesi
by Rifat KARAKUS & Israfil ZOR

2014 On the characteristics of dynamic correlations between asset pairs
by Jacobs, Michael & Karagozoglu, Ahmet K.

2014 The predictability of aggregate returns on commodity futures
by Lutzenberger, Fabian T.

2014 Internet, noise trading and commodity futures prices
by Peri, Massimo & Vandone, Daniela & Baldi, Lucia

2014 Non-parametric analysis of equity arbitrage
by Vortelinos, Dimitrios I.

2014 Herding of institutional investors and margin traders on extreme market movements
by Lin, Anchor Y. & Lin, Yueh-Neng

2014 Bank equity risk under bailout programs of loan guarantee and/or equity capital injection
by Lin, Jyh-Horng & Tsai, Jeng-Yan & Hung, Wei-Ming

2014 Forward trading in exhaustible-resource oligopoly
by Liski, Matti & Montero, Juan-Pablo

2014 An empirical examination of the lead–lag relationship between spot and futures markets: Evidence from Thailand
by Judge, Amrit & Reancharoen, Tipprapa

2014 Spillover effects of subprime mortgage originations: The effects of single-family mortgage credit expansion on the multifamily rental market
by Ambrose, Brent W. & Diop, Moussa

2014 Chinese steel market in the post-futures period
by Arık, Evren & Mutlu, Elif

2014 Modelling volatility persistence and asymmetry: A Study on selected Indian non-ferrous metals markets
by Gil-Alana, Luis A. & Tripathy, Trilochan

2014 Cross-hedging strategies between CDS spreads and option volatility during crises
by Da Fonseca, José & Gottschalk, Katrin

2014 Speculators, commodities and cross-market linkages
by Büyükşahin, Bahattin & Robe, Michel A.

2014 Bubbles in food commodity markets: Four decades of evidence
by Etienne, Xiaoli L. & Irwin, Scott H. & Garcia, Philip

2014 Currency jumps, cojumps and the role of macro news
by Chatrath, Arjun & Miao, Hong & Ramchander, Sanjay & Villupuram, Sriram

2014 Advancing the universality of quadrature methods to any underlying process for option pricing
by Chen, Ding & Härkönen, Hannu J. & Newton, David P.

2014 The impact of central clearing on counterparty risk, liquidity, and trading: Evidence from the credit default swap market
by Loon, Yee Cheng & Zhong, Zhaodong Ken

2014 Does option trading convey stock price information?
by Hu, Jianfeng

2014 Trading in derivatives when the underlying is scarce
by Banerjee, Snehal & Graveline, Jeremy J.

2014 Time-changed Lévy LIBOR market model: Pricing and joint estimation of the cap surface and swaption cube
by Leippold, Markus & Strømberg, Jacob

2014 The role of surprise: Understanding overreaction and underreaction to unanticipated events using in-play soccer betting market
by Choi, Darwin & Hui, Sam K.

2014 Credit spread changes within switching regimes
by Maalaoui Chun, Olfa & Dionne, Georges & François, Pascal

2014 Options resilience during extreme volatility: Evidence from the market events of May 2010
by Cakici, Nusret & Goswami, Gautam & Tan, Sinan

2014 Exploiting commodity momentum along the futures curves
by de Groot, Wilma & Karstanje, Dennis & Zhou, Weili

2014 Rehypothecation dilemma: Impact of collateral rehypothecation on derivative prices under bilateral counterparty credit risk
by Sakurai, Yuji & Uchida, Yoshihiko

2014 Interest rate forecasts, state price densities and risk premium from Euribor options
by Ivanova, Vesela & Puigvert Gutiérrez, Josep Maria

2014 Out-of-sample density forecasts with affine jump diffusion models
by Yun, Jaeho

2014 Modeling and monitoring risk acceptability in markets: The case of the credit default swap market
by Madan, Dilip B.

2014 Forecasting volatility of the U.S. oil market
by Haugom, Erik & Langeland, Henrik & Molnár, Peter & Westgaard, Sjur

2014 Can we forecast the implied volatility surface dynamics of equity options? Predictability and economic value tests
by Bernales, Alejandro & Guidolin, Massimo

2014 Measuring systemic risk-adjusted liquidity (SRL)—A model approach
by Jobst, Andreas A.

2014 Analytical pricing of discrete arithmetic Asian options with mean reversion and jumps
by Chung, Shing Fung & Wong, Hoi Ying

2014 Close form pricing formulas for Coupon Cancellable CoCos
by Corcuera, José Manuel & De Spiegeleer, Jan & Fajardo, José & Jönsson, Henrik & Schoutens, Wim & Valdivia, Arturo

2014 The impact of derivatives hedging on the stock market: Evidence from Taiwan’s covered warrants market
by Chung, San-Lin & Liu, Wen-Rang & Tsai, Wei-Che

2014 Catalysts for price discovery in the European Union Emissions Trading System
by Schultz, Emma & Swieringa, John

2014 The determinants of CDS spreads
by Galil, Koresh & Shapir, Offer Moshe & Amiram, Dan & Ben-Zion, Uri

2014 Are there common factors in individual commodity futures returns?
by Daskalaki, Charoula & Kostakis, Alexandros & Skiadopoulos, George

2014 The importance of the volatility risk premium for volatility forecasting
by Prokopczuk, Marcel & Wese Simen, Chardin

2014 Is recovery risk priced?
by Schläfer, Timo & Uhrig-Homburg, Marliese

2014 The market microstructure of the European climate exchange
by Mizrach, Bruce & Otsubo, Yoichi

2014 Volatility spreads and earnings announcement returns
by Atilgan, Yigit

2014 Unbiasedness and risk premiums in the Indian currency futures market
by Kumar, Satish & Trück, Stefan

2014 Pricing and hedging of variable annuities with state-dependent fees
by Delong, Łukasz

2014 Pricing range notes within Wishart affine models
by Chiarella, Carl & Da Fonseca, José & Grasselli, Martino

2014 Analytic solution for ratchet guaranteed minimum death benefit options under a variety of mortality laws
by Ulm, Eric R.

2014 Systematic mortality risk: An analysis of guaranteed lifetime withdrawal benefits in variable annuities
by Fung, Man Chung & Ignatieva, Katja & Sherris, Michael

2014 A risk-based premium: What does it mean for DB plan sponsors?
by Chen, An & Uzelac, Filip

2014 Global contagion of market sentiment during the US subprime crisis
by Lee, Yen-Hsien & Tucker, Alan L. & Wang, David K. & Pao, Hsin-Ting

2014 High short interest effect and aggregate volatility risk
by Barinov, Alexander & Wu, Juan (Julie)

2014 Macroeconomic uncertainty and the cross-section of option returns
by Aramonte, Sirio

2014 Commodity index trading and hedging costs
by Brunetti, Celso & Reiffen, David

2014 Option pricing with stochastic liquidity risk: Theory and evidence
by Feng, Shih-Ping & Hung, Mao-Wei & Wang, Yaw-Huei

2014 Impact of macroeconomic announcements on implied volatility slope of SPX options and VIX
by Onan, Mustafa & Salih, Aslihan & Yasar, Burze

2014 A sequential pricing framework for corporate securities: The case of rating-trigger step-up/-down bonds
by Bank, Matthias & Kupfer, Alexander

2014 Hedging house price risk with futures contracts after the bubble burst
by Schorno, Patrick J. & Swidler, Steve M. & Wittry, Michael D.

2014 A new strategy using term-structure dynamics of commodity futures
by Kim, Soo-Hyun & Kang, Hyoung-Goo

2014 Bankruptcy risk induced by career concerns of regulators
by Cole, John A. & Cadogan, Godfrey

2014 Improved method for static replication under the CEV model
by Tsai, Wei-Che

2014 Computing present values: Capital budgeting done correctly
by Jarrow, Robert

2014 Valuation of quanto options in a Markovian regime-switching market: A Markov-modulated Gaussian HJM model
by Chen, Son-Nan & Chiang, Mi-Hsiu & Hsu, Pao-Peng & Li, Chang-Yi

2014 The Mills Ratio and the behavior of redeemable bond prices in the Gaussian structural model of corporate default
by Spencer, Peter

2014 On the investment–uncertainty relationship: A game theoretic real option approach
by Lukas, Elmar & Welling, Andreas

2014 A microstructure analysis of the carbon finance market
by Bredin, Don & Hyde, Stuart & Muckley, Cal

2014 Forward–futures price differences in the UK commercial property market: Arbitrage and marking-to-model explanations
by Stanescu, Silvia & Tunaru, Radu & Candradewi, Made Reina

2014 Option pricing under stochastic volatility and tempered stable Lévy jumps
by Zaevski, Tsvetelin S. & Kim, Young Shin & Fabozzi, Frank J.

2014 Trend following, risk parity and momentum in commodity futures
by Clare, Andrew & Seaton, James & Smith, Peter N. & Thomas, Stephen

2014 Energy futures prices and commodity index investment: New evidence from firm-level position data
by Sanders, Dwight R. & Irwin, Scott H.

2014 Effect of inventory announcements on crude oil price volatility
by Bu, Hui

2014 The forecasting accuracy of implied volatility from ECX carbon options
by Viteva, Svetlana & Veld-Merkoulova, Yulia V. & Campbell, Kevin

2014 Futures pricing in electricity markets based on stable CARMA spot models
by Benth, Fred Espen & Klüppelberg, Claudia & Müller, Gernot & Vos, Linda

2014 Crude oil moments and PNG stock returns
by Chatrath, Arjun & Miao, Hong & Ramchander, Sanjay

2014 Revisiting the relationship between spot and futures prices in the Nord Pool electricity market
by Weron, Rafał & Zator, Michał

2014 The switching relationship between natural gas and crude oil prices
by Brigida, Matthew

2014 Tail events: A new approach to understanding extreme energy commodity prices
by Koch, Nicolas

2014 Bidirectional causality in oil and gas markets
by Halova Wolfe, Marketa & Rosenman, Robert

2014 Using real option analysis to quantify ethanol policy impact on the firm's entry into and optimal operation of corn ethanol facilities
by Maxwell, Christian & Davison, Matt

2014 Banking sector contingent liabilities and sovereign risk
by Arslanalp, Serkan & Liao, Yin

2014 Are regime-shift sources of risk priced in the market?
by Chourdakis, Kyriakos & Dendramis, Yiannis & Tzavalis, Elias

2014 Variance trading and market price of variance risk
by Bondarenko, Oleg

2014 Banking sector fragility linkages in the euro area: Evidence for crisis years 2007–2010
by Ludwig, Alexander & Sobański, Karol

2014 Reporting bias in incomplete information model
by Peat, Maurice & Svec, Jiri & Wang, Jue

2014 Probability of multiple crossings and pricing of double barrier options
by Choe, Geon Ho & Koo, Ki Hwan

2014 Variance-constrained canonical least-squares Monte Carlo: An accurate method for pricing American options
by Liu, Qiang & Guo, Shuxin

2014 Covariance estimation using high-frequency data: Sensitivities of estimation methods
by Haugom, Erik & Lien, Gudbrand & Veka, Steinar & Westgaard, Sjur

2014 Optimal stopping time with stochastic volatility
by Zhang, Ran & Xu, Shuang

2014 Relationship between the trading behavior of three institutional investors and Taiwan Stock Index futures returns
by Lai, Hung-Cheng & Wang, Kuan-Min

2014 Bilateral counterparty risk valuation for credit default swap in a contagion model using Markov chain
by Dong, Yinghui & Wang, Guojing

2014 Regime-dependent adjustment in energy spot and futures markets
by Beckmann, Joscha & Belke, Ansgar & Czudaj, Robert

2014 Pricing foreign equity options with regime-switching
by Fan, Kun & Shen, Yang & Siu, Tak Kuen & Wang, Rongming

2014 Calendar anomalies in cash and stock index futures: International evidence
by Floros, Christos & Salvador, Enrique

2014 Extreme value statistics and recurrence intervals of NYMEX energy futures volatility
by Xie, Wen-Jie & Jiang, Zhi-Qiang & Zhou, Wei-Xing

2014 Volatility transmission in agricultural futures markets
by Beckmann, Joscha & Czudaj, Robert

2014 Analyses of retirement benefits with options
by Lin, Chung-Gee & Yang, Wei-Ning & Chen, Shu-Chuan

2014 Corporate credit risk prediction under stochastic volatility and jumps
by Bu, Di & Liao, Yin

2014 Volatility swaps and volatility options on discretely sampled realized variance
by Lian, Guanghua & Chiarella, Carl & Kalev, Petko S.

2014 Quadratic hedging schemes for non-Gaussian GARCH models
by Badescu, Alexandru & Elliott, Robert J. & Ortega, Juan-Pablo

2014 Cross-hedging minimum return guarantees: Basis and liquidity risks
by Ankirchner, Stefan & Schneider, Judith C. & Schweizer, Nikolaus

2014 Valuation of stock loans with jump risk
by Cai, Ning & Sun, Lihua

2014 Dynamic capital structure with callable debt and debt renegotiations
by Christensen, Peter Ove & Flor, Christian Riis & Lando, David & Miltersen, Kristian R.

2014 Bank stability and market discipline: The effect of contingent capital on risk taking and default probability
by Hilscher, Jens & Raviv, Alon

2014 Inside debt renegotiation: Optimal debt reduction, timing, and the number of rounds
by Moraux, Franck & Silaghi, Florina

2014 The effect of interest rate volatility and equity volatility on corporate bond yield spreads: A comparison of noncallables and callables
by Kim, Dong H. & Stock, Duane

2014 Determinants of corporate call policy for convertible bonds
by King, Tao-Hsien Dolly & Mauer, David C.

2014 London Metal Exchange: Causality Relationship between the Price Series of Non-Ferrous Metal Contracts
by Mustafa Serdar Basoglu & Turhan Korkmaz & Emrah Ismail Cevik

2014 Option Pricing under Sign RCA-GARCH Models
by Joanna Górka

2014 Análisis de la heurística en la contratación empresarial a través de una cartera de derivados reales
by Silvia Bou Ysàs & Magda Cayón Costa & Albert Hernández

2014 Momentos estocásticos de orden superior y la estimación de lavolatilidad implícita: aplicación de la expansión de Edgeworth en elmodelo Black-Scholes
by Gastón Silverio Milanesi

2014 Estrategia de cobertura con productos derivados para el mercado energético colombiano
by Jhon Alexis Díaz Contreras & Gloria Inés Macías Villalba & Edgar Luna González

2014 Eficiencia semifuerte del mercado internacional del azúcar entre los años 2001 y 2011
by Julio C. Alonso & Andrés M. Arcila

2014 Actif sous-jacent et produits dérivés financiers de la Compagnie des Mers du Sud. La rationalité de la bulle reconsidérée
by Nesrine Bentemessek Kahia

2014 Optimal Exercise for Derivative Securities
by Jérôme Detemple

2014 Counterparty Risk: A Review
by Stuart M. Turnbull

2014 The Growing Importance Of Capital Market Derivatives In Romania And Their Impact In The European Economy
by Lect. Raducu Stefan BRATU, PhD & Assist.Lect. Sorin Marius TUDOR, PhD

2014 Determinants of the Gold Futures Price Volatility: The Case of Thailand Futures Exchange
by Woradee Jongadsayakul

2014 Credit Market Speculation and the Cost of Capital
by Yeon-Koo Che & Rajiv Sethi

2014 The Effect of Uncertainty on Investment: Evidence from Texas Oil Drilling
by Ryan Kellogg

2013 Forward-looking measures of higher-order dependencies with an application to portfolio selection
by Brinkmann, Felix & Kempf, Alexander & Korn, Olaf

2013 Liability Investment with Downside Risk
by Andrew Ang & Bingxu Chen & Suresh Sundaresan

2013 The synchronized and long-lasting structural change on commodity markets: Evidence from high frequency data
by Bicchetti, David & Maystre, Nicolas Maystre

2013 A Stochastic Model for Natural Gas Consumption: An Application for Turkey
by Ahmet GÖNCÜ & Mehmet Oğuz KARAHAN & Tolga Umut KUZUBAŞ

2013 Nonlinearity in cap-and-trade systems: The EUA price and its fundamentals
by Lutz, Benjamin Johannes & Pigorsch, Uta & Rotfuß, Waldemar

2013 Nonlinearity in cap-and-trade systems: The EUA price and its fundamentals
by Lutz, Benjamin Johannes & Pigorsch, Uta & Rotfuß, Waldemar

2013 Coherent Price Systems and Uncertainty-Neutral Valuation
by Beißner, Patrick

2013 Sovereign Asset Values and Implications for the Credit Market
by Posch, Peter N & Kalteier, Eva-Maria

2013 Financialization in Commodity Markets: Disentangling the Crisis from the Style Effect
by Adams, Zeno & Glück, Thorsten

2013 Option-implied information and predictability of extreme returns
by Vilkovz, Grigory & Xiaox, Yan

2013 Reporting policies of ISPs: Do general terms and conditions (GTCs) match with the reality?
by Grove, Nico & Agic, Damir & Sedlmeir, Joachim

2013 Tail dependence of financial stocks and CDS markets: Evidence using copula methods and simulation-based inference
by da Silva, Paulo Pereira & Rebelo, Paulo Tomaz & Afonso, Cristina

2013 Der Einfluss von Long-only-Indexfonds auf die Preisfindung und das Marktergebnis an landwirtschaftlichen Warenterminmärkten
by Prehn, Sören & Glauben, Thomas & Loy, Jens-Peter & Pies, Ingo & Will, Matthias Georg

2013 Granularity of corporate debt
by Choi, Jaewon & Hackbarth, Dirk & Zechner, Josef

2013 Which beta is best? On the information content of option-implied betas
by Baule, Rainer & Korn, Olaf & Saßning, Sven

2013 The behavior of the hazard rate in the Gaussian structural default model under asymmetric information
by Peter Spencer

2013 Bayesian Estimation of Wishart Autoregressive Stochastic Volatility Model
by Ming Lin & Changjiang Liu & Linlin Niu

2013 The Number of State Variables for CDS Pricing
by Biao Guo & Qian Han & Doojin Ryu

2013 A Robust Equilibrium Relationship between Market Prices of Risks and Risk Aversion in Dynamically Complete Stochastic
by Qian Han & Calum G. Turvey

2013 Non-parametric Tests for the Martingale Restriction: A New Approach
by Biao Guo & Qian Han & Doojin Ryu

2013 Revisiting the relationship between spot and futures prices in the Nord Pool electricity market
by Rafal Weron & Michal Zator

2013 Relationship between spot and futures prices in electricity markets: Pitfalls of regression analysis
by Michal Zator

2013 Real World Pricing of Long Term Cash-Linked Annuities and Equity-Linked Annuities with Cash-Linked Guarantees
by Kevin Fergusson & Eckhard Platen

2013 The Return-Volatility Relation in Commodity Futures Markets
by Carl Chiarella & Boda Kang & Christina Sklibosios Nikitopoulos & Thuy-Duong To

2013 The Trade-off Theory Revisited: On the Effect of Operating Leverage
by Kristoffer Glover & Gerhard Hambusch

2013 Electricity Spot and Derivatives Pricing when Markets are Interconnected
by Füss, Roland & Mahringer, Steffen & Prokopczuk, Marcel

2013 Electricity Derivatives Pricing with Forward-Looking Information
by Füss, Roland & Mahringer, Steffen & Prokopczuk, Marcel

2013 Variance Risk Premiums in Foreign Exchange Markets
by Ammann, Manuel & Buesser, Ralf

2013 Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data
by Audrino, Francesco & Fengler, Matthias

2013 On the closed-form approximation of short-time random strike options
by Elisa Alòs & Jorge A. León

2013 Credit spread modeling effects on counterparty risk valuation adjustments: a spanish case study
by Alberto Fernández Muñoz de Morales

2013 Volatility Smirk as an Externality of Agency Conict and Growing Debt
by Marcin Jaskowski & Michael McAleer

2013 A Fractionally Integrated Wishart Stochastic Volatility Model
by Manabu Asai & Michael McAleer

2013 Recent Developments in Financial Economics and Econometrics: An Overview
by Chia-Lin Chang & David Allen & Michael McAleer

2013 Leverage and Feedback E ects on Multifactor Wishart Stochastic Volatility for Option Pricing
by Manabu Asai & Michael McAleer

2013 Volatility Smirk as an Externality of Agency Conflict and Growing Debt
by Marcin Jaskowski & Michael McAleer

2013 A Fractionally Integrated Wishart Stochastic Volatility Model
by Manabu Asai & Michael McAleer

2013 Recent Developments in Financial Economics and Econometrics: An Overview
by Chia-Lin Chang & David Allen & Michael McAleer

2013 Estimating Implied Recovery Rates from the Term Structure of CDS Spreads
by Marcin Jaskowski & Michael McAleer

2013 Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing
by Manabu Asai & Michael McAleer

2013 Gecelik Kur Takasi Faizleri ve BIST Gecelik Repo Faizleri
by Doruk Kucuksarac & Ozgur Ozel

2013 Systemic Risk Contribution of Individual Banks
by Huseyin Cagri Akkoyun & Ramazan Karasahin & Gursu Keles

2013 Price Non-Convergence in Commodities: A Case Study of the Wheat Conundrum
by Sophie van Huellen

2013 The structure of competitive equilibrium with unsecured debt
by Gaetano Bloise

2013 Default dependence structure effects on the valuation of government guarantees
by Carlo Domenico Mottura & Luca Passalacqua

2013 Did Long-Short Investors Destabilize Commodity Markets?
by Joëlle Miffre & Chris Brooks

2013 Bootstrap Score Tests for Fractional Integration in Heteroskedastic ARFIMA Models, with an Application to Price Dynamics in Commodity Spot and Futures Markets
by Giuseppe Cavaliere & Morten Ørregaard Nielsen & A.M. Robert Taylor

2013 Poverty : A Corporate Creation and Ratio Controls for Eradication
by Subramaniam, Viswanatha

2013 Collateral Optimization : Liquidity & Funding Value Adjustments, - Best Practices -
by Genest, Benoit & Rego, David & Freon, Helene

2013 Price Drivers and Investment Strategies of Gold
by Arayssi, Mahmoud

2013 Discounting Cashflows from Illiquid Assets on Bank Balance Sheets
by Nauta, Bert-Jan

2013 An extended model of currency options applicable as policy tool for central banks with inflation targeting and dollarized economies
by Arizmendi, Luis-Felipe

2013 Are Real Options “Real”? Isolating Uncertainty from Risk in Real Options Analysis
by So, Leh-chyan

2013 Enemies or Allies: Pricing counterparty credit risk for synthetic CDO tranches
by Lee, Y. & So, Leh-chyan

2013 The Spot Forward Exchange Rate Relation in Indian Foreign Exchange Market - An Analysis
by Nath, Golaka

2013 Mental Accounting: A Closed-Form Alternative to the Black Scholes Model
by Siddiqi, Hammad

2013 Interest rate modeling under multiple discounting curves
by García Muñoz, Luis Manuel

2013 International Linkages of Agri-Processed and Energy commodities traded in India
by Sinha, Pankaj & Mathur, Kritika

2013 Specifying An Efficient Renewable Energy Feed-in Tariff
by Farrell, Niall & Devine, Mel & Lee, William & Gleeson, James & Lyons, Seán

2013 Cross-Hedging of Inflation Derivatives on Commodities: The Informational Content of Futures Markets
by Fulli-Lemaire, Nicolas & Palidda, Ernesto

2013 Analogy Making, Option Prices, and Implied Volatility
by Siddiqi, Hammad

2013 On the liquidity of CAC 40 index options Market
by François-Heude, Alain & Yousfi, Ouidad

2013 A Generalization of Gray and Whaley's Option
by François-Heude, Alain & Yousfi, Ouidad

2013 Is the Jump-Diffusion Model a Good Solution for Credit Risk Modeling? The Case of Convertible Bonds
by Xiao, Tim

2013 Funding Cost and a New Capital Model
by Hannah, Lincoln

2013 Rwanda’s involvement in Eastern DRC: A criminal real options approach
by Cassimon, Danny & Engelen, Peter-Jan & Reyntjens, Filip

2013 Mean-Reverting Logarithmic Modeling of VIX
by Bao, Qunfang

2013 On option pricing in illiquid markets with random jumps
by El-khatib, Youssef & Hatemi-J, Abdulnasser

2013 A Note on Discounting and Funding Value Adjustments for Derivatives
by Han, Meng & He, Yeqi & Zhang, Hu

2013 CVA, FVA (and DVA?) with stochastic spreads. A feasible replication approach under realistic assumptions
by García Muñoz, Luis Manuel

2013 On multi-particle Brownian survivals and the spherical Laplacian
by B S, Balakrishna

2013 Modeling and Estimating Volatility of Options on Standard & Poor’s 500 Index
by Boleslaw Borkowski & Monika Krawiec & Yochanan Shachmurove

2013 Futures price volatility in commodities markets: The role of short term vs long term speculation
by Matteo Manera & Marcella Nicolini & Ilaria Vignati

2013 Model-free Implied Volatility Index of Japanese Stock Market
by Nattapol TAKKABUTR

2013 A tractable framework for zero lower bound Gaussian term structure models
by Leo Krippner

2013 Modelling volatility persistence and asymmetry: a study on selected Indian non-ferrous metals markets
by Luis Alberiko Gil-Alaña & Trilochan Tripathy

2013 Option Prices in a Model with Stochastic Disaster Risk
by Sang Byung Seo & Jessica A. Wachter

2013 The Joint Cross Section of Stocks and Options
by Byeong-Je An & Andrew Ang & Turan G. Bali & Nusret Cakici

2013 Tail Risk and Asset Prices
by Bryan Kelly & Hao Jiang

2013 Deflation Risk
by Matthias Fleckenstein & Francis A. Longstaff & Hanno Lustig

2013 Commodity and Asset Pricing Models: An Integration
by Gonzalo Cortazar & Ivo Kovacevic & Eduardo S. Schwartz

2013 Wall Street vs. Main Street: An Evaluation of Probabilities
by Robin L. Lumsdaine & Rogier J.D. Potter van Loon

2013 Bubbles, Food Prices, and Speculation: Evidence from the CFTC's Daily Large Trader Data Files
by Nicole M. Aulerich & Scott H. Irwin & Philip Garcia

2013 Risk Premia in Crude Oil Futures Prices
by James D. Hamilton & Jing Cynthia Wu

2013 The Simple Economics of Commodity Price Speculation
by Christopher R. Knittel & Robert S. Pindyck

2013 A model for dependent defaults and pricing contingent claims with counterparty risk
by Dariusz Gatarek & Juliusz Jabłecki

2013 Volatility co-movements: a time scale decomposition analysis
by Andrea Cipollini & Iolanda Lo Cascio & Silvia Muzzioli

2013 Efficiency and unbiasedness of corn futures markets: New evidence across the financial crisis
by Chiara Pederzoli & Costanza Torricelli

2013 A liquidity risk index as a regulatory tool for systemically important banks? An empirical assessment across two financial crises
by Gianfranco Gianfelice & Giuseppe Marotta & Costanza Torricelli

2013 The Optimal Corridor for Implied Volatility: from Calm to Turmoil Periods
by Silvia Muzzioli

2013 Option Implied Trees and Implied Moments
by silvia Muzzioli & Alessio Ruggieri

2013 Linkages between spot and futures prices: Tests of the Fama-French-Samuelson hypotheses
by John T. Cuddington & Arturo L. Va'squez Cordano

2013 Futures price volatility in commodities markets: The role of short term vs long term speculation
by Matteo Manera & Marcella Nicolini & Ilaria Vignati

2013 Default and Liquidity Regimes in the Bond Market during the 2002-2012 Period
by Georges Dionne & Olfa Maalaoui Chun

2013 A Fractionally Integrated Wishart Stochastic Volatility Model
by Manabu Asai & Michael McAleer

2013 Recent Developments in Financial Economics and Econometrics:An Overview
by Chia-Lin Chang & David E Allen & Michael McAleer

2013 Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing
by Manabu Asai & Michael McAleer

2013 Adjusted Money's Worth Ratios in Life Annuities
by Jaime Casassus & Eduardo Walker

2013 Revenues from storage in a competitive electricity market: Empirical evidence from Great Britain
by Monica Giulietti & Luigi Grossi

2013 State Price Densities implied from weather derivatives
by Wolfgang Karl Härdle & Brenda López-Cabrera & Huei-Wen Teng &

2013 Reference Dependent Preferences and the EPK Puzzle
by Maria Grith & Wolfgang Karl Härdle & Volker Krätschmer &

2013 Comparative statics for real options on oil: What stylized facts to use?
by Lund, Diderik & Nymoen, Ragnar

2013 No Good Deals - No Bad Models
by Nina Boyarchenko & Mario Cerrato & John Crosby & Stewart Hodges

2013 Textbook Estimators of Multiperiod Optimal Hedging Ratios: Methodological Aspects and Application to the European Wheat Market
by Gianluca Stefani & Marco Tiberti

2013 Arbitrage-free models of stocks and bonds
by Durham, J. Benson

2013 Time-varying inflation risk and the cross section of stock returns
by Boons, Martijn & Duarte, Fernando M. & de Roon, Frans & Szymanowska , Marta

2013 Monetary policy surprises, positions of traders, and changes in commodity futures prices
by Gospodinov, Nikolay & Jamali, Ibrahim

2013 Futures Price Volatility in Commodities Markets: The Role of Short Term vs Long Term Speculation
by Matteo Manera & Marcella Nicolini

2013 Recent Developments in Financial Economics and Econometrics: An Overview
by Chang, C-L. & Allen, D.E. & McAleer, M.J.

2013 Faster solutions for Black zero lower bound term structure models
by Leo Krippner

2013 A tractable framework for zero-lower-bound Gaussian term structure models
by Leo Krippner

2013 Contingent Liabilities and Sovereign Risk: Evidence from Banking Sectors
by Serkan Arslanalp & Yin Liao

2013 Rollover Risk and Corporate Bond Spreads
by Valenzuela, Patricio

2013 Comovement of Corporate Bonds and Equities
by Bao, Jack & Hou, Kewei

2013 What's Beneath the Surface? Option Pricing with Multifrequency Latent States
by Calvet , Laurent E. & Fearnley, Marcus & Adlai J. , Fisher & Markus, Leippold

2013 What drives pension indexation in turbulent times? An empirical examination of Dutch pension funds
by Dirk Broeders & Paul Hilbers & David Rijsbergen

2013 On the inefficiency of Brownian motions and heavier tailed price processes
by Balbás, Raquel & Balbás, Beatriz & Balbás, Alejandro

2013 Carry
by Koijen, Ralph & Moskowitz, Tobias J & Pedersen, Lasse Heje & Vrugt, Evert B.

2013 Volatility Risk Premia and Exchange Rate Predictability
by Della Corte, Pasquale & Ramadorai, Tarun & Sarno, Lucio

2013 A General Closed Form Option Pricing Formula
by Ciprian Necula & Gabriel G. Drimus & Walter Farkas

2013 Dependence Calibration and Portfolio Fit with FactorBased Time Changes
by Elisa Luciano & Marina Marena & Patrizia Semeraro

2013 Recent Developments in Financial Economics and Econometrics: An Overview
by Chia-Lin Chang & David Allen & Michael McAleer

2013 Subprime borrowers, securitization and the transmission of business cycles
by Anna Grodecka

2013 On the prediction of corporate financial distress in the light of the financial crisis: empirical evidence from Greek listed firms
by Evangelos C. Charalambakis

2013 The Determinants Of Cds Spreads
by Koresh Galil & Offer Moshe Shapir & Dan Amiram & Uri Ben-Zion

2013 CoMargin
by Selma Chaker & Nour Meddahi

2013 The Financialization of Food?
by Valentina G. Bruno & Bahattin Buyuksahin & Michel A. Robe

2013 Are Futures Prices Influenced by Spot;Prices or Vice-versa? An Analysis of Crude;Oil, Natural Gas and Gold Markets
by Mihaela NICOLAU & Giulio PALOMBA & Ilaria TRAINI

2013 The Factor Structure in Equity Options
by Peter Christoffersen & Mathieu Fournier & Kris Jacobs

2013 Rare Disasters and Credit Market Puzzles
by Peter Christoffersen & Du Du & Redouane Elkamhi

2013 Risk premia in energy markets
by Almut E. D. Veraart & Luitgard A. M. Veraart

2013 The Effects of Derivatives on Underlying Financial Markets: Equity Options, Commodity Derivatives and Credit Default Swaps
by William Arrata & Alejandro Bernales & Virginie Coudert

2013 International Finance and Risk Management
by

2013 Determining the Fair Price of Weather hedging
by Miroslava Mahlebashieva

2013 Financial/Technical Analysis About Italian "Iv Conto Energia" For Photovoltaic Energy: A Case Study
by Luca GRILLI & Angelo SFRECOLA

2013 A Study On Efficiency Of Steel Futures Market In India
by SURESH CHANDRA BIHARI & JAYASHREE KOTAGI

2013 Valuation And Investment Profession
by Dedi, Lidija & Giraudon, Philippe

2013 Fragility of Competitive Equilibrium with Risk of Default
by Gaetano Bloise & Pietro Reichlin & Mario Tirelli

2013 Significance of Volatility in Option Pricing
by Pochea Maria-Miruna & Filip Angela-Maria

2013 Structural Change in the Crude Oil Price Dynamic: Theoretical Study and Practical Implications
by Francisco Giron¨¦s & Fernando Guerra & Jorge Hern¨¢ndez & Javier Poblaci¨®n

2013 Does Equity Derivatives Trading Affect the Systematic Risk of the Underlying Stocks in an Emerging Market: Evidence from Pakistan’s Futures Market
by Safi Ullah Khan & Zaheer Abbas

2013 Sovereign Risk and Asset and Liability Management—Conceptual Issues
by Udaibir S. Das & Yinqiu Lu & Michael G. Papaioannou & Iva Petrova

2013 A villamos erőművek szén-dioxid-kibocsátásának modellezése reálopciók segítségével
by Nagy, Tamás

2013 Price Discovery and Volatility Spillover: Evidence from Indian Commodity Markets
by Sanjay Sehgal & Namita Rajput & Florent Deisting

2013 The Efficiency Of Emerging Stock Markets: Evidence From Asia And Africa
by Abdelmoneim Youssef & Giuseppe Galloppo

2013 Option-Implied Risk Aversion Anomalies: Evidence From Japanese Market
by TAKKABUTR, NATTAPOL

2013 Sovereign asset values and implications for the credit market
by Kalteier, Eva-Maria & Posch, Peter N.

2013 Bank capital regulation in a cap option framework
by Tsai, Jeng-Yan & Hung, Wei-Ming

2013 Futures mispricing, order imbalance, and short-selling constraints
by Lin, Emily & Lee, Cheng-Few & Wang, Kehluh

2013 Commodity futures prices: More evidence on forecast power, risk premia and the theory of storage
by Brooks, Chris & Prokopczuk, Marcel & Wu, Yingying

2013 Volatility arbitrage around earnings announcements: Evidence from the Korean equity linked warrants market
by Baik, Bok & Kang, Hyoung-Goo & Kim, Young Jun

2013 An empirical study of credit spreads in an emerging market: The case of Korea
by Park, Keehwan & Ahn, Chang Mo & Kim, Dohyeon & Kim, Saekwon

2013 An uncertainty based multi-criteria ranking system for open pit mining cut-off grade strategy selection
by Azimi, Yousuf & Osanloo, Morteza & Esfahanipour, Akbar

2013 What drives corporate default risk premia? Evidence from the CDS market
by Díaz, Antonio & Groba, Jonatan & Serrano, Pedro

2013 What determines Euro area bank CDS spreads?
by Annaert, Jan & De Ceuster, Marc & Van Roy, Patrick & Vespro, Cristina

2013 Liquidity risk of corporate bond returns: conditional approach
by Acharya, Viral V. & Amihud, Yakov & Bharath, Sreedhar T.

2013 Investment shocks and the commodity basis spread
by Yang, Fan

2013 Predictability of currency carry trades and asset pricing implications
by Bakshi, Gurdip & Panayotov, George

2013 Limits to arbitrage and hedging: Evidence from commodity markets
by Acharya, Viral V. & Lochstoer, Lars A. & Ramadorai, Tarun

2013 Valuation of VIX derivatives
by Mencía, Javier & Sentana, Enrique

2013 Systemic risk and the refinancing ratchet effect
by Khandani, Amir E. & Lo, Andrew W. & Merton, Robert C.

2013 Cross section of option returns and idiosyncratic stock volatility
by Cao, Jie & Han, Bing

2013 Realizing smiles: Options pricing with realized volatility
by Corsi, Fulvio & Fusari, Nicola & La Vecchia, Davide

2013 Is there price discovery in equity options?
by Muravyev, Dmitriy & Pearson, Neil D. & Paul Broussard, John

2013 Diagnosing affine models of options pricing: Evidence from VIX
by Li, Gang & Zhang, Chu

2013 Large games with a bio-social typology
by Khan, M. Ali & Rath, Kali P. & Sun, Yeneng & Yu, Haomiao

2013 Consumption and bubbles
by Loewenstein, Mark & Willard, Gregory A.

2013 Mitigating financial fragility with Continuous Workout Mortgages
by Shiller, Robert J. & Wojakowski, Rafał M. & Ebrahim, M. Shahid & Shackleton, Mark B.

2013 Option-implied correlation between iTraxx Europe Financials and Non-Financials Indexes: A measure of spillover effect in European debt crisis
by Hui, Cho-Hoi & Lo, Chi-Fai & Lau, Chun-Sing

2013 Overconfident individual day traders: Evidence from the Taiwan futures market
by Kuo, Wei-Yu & Lin, Tse-Chun

2013 The cross-sectional relation between conditional heteroskedasticity, the implied volatility smile, and the variance risk premium
by Ederington, Louis H. & Guan, Wei

2013 Valuing catastrophe derivatives under limited diversification: A stochastic dominance approach
by Perrakis, Stylianos & Boloorforoosh, Ali

2013 Dynamics of credit spread moments of European corporate bond indexes
by Alizadeh, Amir H. & Gabrielsen, Alexandros

2013 Sarbanes-Oxley Act and corporate credit spreads
by Nejadmalayeri, Ali & Nishikawa, Takeshi & Rao, Ramesh P.

2013 Pricing discrete path-dependent options under a double exponential jump–diffusion model
by Fuh, Cheng-Der & Luo, Sheng-Feng & Yen, Ju-Fang

2013 Capturing the risk premium of commodity futures: The role of hedging pressure
by Basu, Devraj & Miffre, Joëlle

2013 Do sovereign credit default swaps represent a clean measure of sovereign default risk? A factor model approach
by Badaoui, Saad & Cathcart, Lara & El-Jahel, Lina

2013 Hedging structured credit products during the credit crisis: A horse race of 10 models
by Ascheberg, Marius & Bick, Björn & Kraft, Holger

2013 The effects of external financing costs on investment timing and sizing decisions
by Nishihara, Michi & Shibata, Takashi

2013 Can position limits restrain ‘rogue’ trading?
by ap Gwilym, Rhys & Ebrahim, M. Shahid

2013 US presidential elections and implied volatility: The role of political uncertainty
by Goodell, John W. & Vähämaa, Sami

2013 Explaining share price disparity with parameter uncertainty: Evidence from Chinese A- and H-shares
by Chung, Tsz-Kin & Hui, Cho-Hoi & Li, Ka-Fai

2013 Pricing securities with multiple risks: A case of exchangeable debt
by Mateti, Ravi S. & Hegde, Shantaram P. & Puri, Tribhuvan

2013 Ironing out the kinks in executive compensation: Linking incentive pay to average stock prices
by Tian, Yisong S.

2013 Product market competition and credit risk
by Huang, Hsing-Hua & Lee, Han-Hsing

2013 Seasonality and the valuation of commodity options
by Back, Janis & Prokopczuk, Marcel & Rudolf, Markus

2013 Asset financing with credit risk
by Golbeck, Steven & Linetsky, Vadim

2013 Static hedging and pricing American knock-in put options
by Chung, San-Lin & Shih, Pai-Ta & Tsai, Wei-Che

2013 Multi-stage product development with exploration, value-enhancing, preemptive and innovation options
by Koussis, Nicos & Martzoukos, Spiros H. & Trigeorgis, Lenos

2013 Liquidity commonality in commodities
by Marshall, Ben R. & Nguyen, Nhut H. & Visaltanachoti, Nuttawat

2013 The information content of Eonia swap rates before and during the financial crisis
by Hernandis, Lucía & Torró, Hipòlit

2013 A general closed-form spread option pricing formula
by Caldana, Ruggero & Fusai, Gianluca

2013 A market-based approach to sector risk determinants and transmission in the euro area
by Saldías, Martín

2013 VIX option pricing and CBOE VIX Term Structure: A new methodology for volatility derivatives valuation
by Lin, Yueh-Neng

2013 Returns and option activity over the option-expiration week for S&P 100 stocks
by Stivers, Chris & Sun, Licheng

2013 Sovereign credit spreads
by Uhrig-Homburg, Marliese

2013 Pricing and static hedging of American-style options under the jump to default extended CEV model
by Ruas, João Pedro & Dias, José Carlos & Vidal Nunes, João Pedro

2013 Smiles all around: FX joint calibration in a multi-Heston model
by De Col, Alvise & Gnoatto, Alessandro & Grasselli, Martino

2013 Credit default swap spreads and variance risk premia
by Wang, Hao & Zhou, Hao & Zhou, Yi

2013 A momentum threshold model of stock prices and country risk ratings: Evidence from BRICS countries
by Liu, Tengdong & Hammoudeh, Shawkat & Thompson, Mark A.

2013 Stochastic modeling and fair valuation of drawdown insurance
by Zhang, Hongzhong & Leung, Tim & Hadjiliadis, Olympia

2013 Pricing participating products with Markov-modulated jump–diffusion process: An efficient numerical PIDE approach
by Fard, Farzad Alavi & Siu, Tak Kuen

2013 Valuing equity-linked death benefits in jump diffusion models
by Gerber, Hans U. & Shiu, Elias S.W. & Yang, Hailiang

2013 The value of interest rate guarantees in participating life insurance contracts: Status quo and alternative product design
by Eling, Martin & Holder, Stefan

2013 Finite-time survival probability and credit default swaps pricing under geometric Lévy markets
by Hao, Xuemiao & Li, Xuan & Shimizu, Yasutaka

2013 Control variates and conditional Monte Carlo for basket and Asian options
by Dingeç, Kemal Dinçer & Hörmann, Wolfgang

2013 Optimal decision on dynamic insurance price and investment portfolio of an insurer
by Mao, Hong & Carson, James M. & Ostaszewski, Krzysztof M. & Wen, Zhongkai

2013 Pricing European options on deferred annuities
by Ziveyi, Jonathan & Blackburn, Craig & Sherris, Michael

2013 Pricing inflation products with stochastic volatility and stochastic interest rates
by Singor, Stefan N. & Grzelak, Lech A. & van Bragt, David D.B. & Oosterlee, Cornelis W.

2013 Analysis of DJIA, S&P 500, S&P 400, NASDAQ 100 and Russell 2000 ETFs and their influence on price discovery
by Ivanov, Stoyu I. & Jones, Frank J. & Zaima, Janis K.

2013 Impact of volatility estimation method on theoretical option values
by Borkowski, Bolesław & Krawiec, Monika & Shachmurove, Yochanan

2013 Systemic risk analysis using forward-looking Distance-to-Default series
by Saldías, Martín

2013 Executive compensation, risk taking and the state of the economy
by Raviv, Alon & Sisli-Ciamarra, Elif

2013 Is warrant really a derivative? Evidence from the Chinese warrant market
by Chang, Eric C. & Luo, Xingguo & Shi, Lei & Zhang, Jin E.

2013 Simulated testing of nonparametric measure changes for hedging European options
by Smith, Godfrey

2013 A generalised arbitrage-free Nelson–Siegel model: The impact of unspanned stochastic volatility
by Chen, Rui & Du, Ke

2013 Do long-short speculators destabilize commodity futures markets?
by Miffre, Joëlle & Brooks, Chris

2013 Predicting the limit-hit frequency in futures contracts
by Levy, Tamir & Qadan, Mahmod & Yagil, Joseph

2013 Pricing of derivatives on commodity indices
by Rauch, Johannes & Krayzler, Mikhail & Brunner, Bernhard & Zagst, Rudi

2013 Continuous-time VIX dynamics: On the role of stochastic volatility of volatility
by Kaeck, Andreas & Alexander, Carol

2013 Credit risk, valuation and fundamental analysis
by Realdon, Marco

2013 A leader of the world commodity futures markets in the making? The case of China's commodity futures
by Fung, Hung-Gay & Tse, Yiuman & Yau, Jot & Zhao, Lin

2013 Humps in the volatility structure of the crude oil futures market: New evidence
by Chiarella, Carl & Kang, Boda & Nikitopoulos, Christina Sklibosios & Tô, Thuy-Duong

2013 A model for hedging load and price risk in the Texas electricity market
by Coulon, Michael & Powell, Warren B. & Sircar, Ronnie

2013 Quantitative analysis of feasibility of hydrous ethanol futures contracts in Brazil
by Quintino, Derick David & David, Sergio Adriani

2013 Selective hedging in hydro-based electricity companies
by Sanda, Gaute Egeland & Olsen, Eirik Tandberg & Fleten, Stein-Erik

2013 On the speed towards the mean for continuous time autoregressive moving average processes with applications to energy markets
by Benth, Fred Espen & Taib, Che Mohd Imran Che

2013 Nonlinearity in cap-and-trade systems: The EUA price and its fundamentals
by Lutz, Benjamin Johannes & Pigorsch, Uta & Rotfuß, Waldemar

2013 The stochastic seasonal behavior of energy commodity convenience yields
by Mirantes, Andrés García & Población, Javier & Serna, Gregorio

2013 An empirical study of the information premium on electricity markets
by Benth, Fred Espen & Biegler-König, Richard & Kiesel, Rüdiger

2013 Analyzing the impact of futures trading on spot price volatility: Evidence from the spot electricity market in France and Germany
by Kalantzis, Fotis G. & Milonas, Nikolaos T.

2013 Valuation of collateralized debt obligations with hierarchical Archimedean copulae
by Choroś-Tomczyk, Barbara & Härdle, Wolfgang Karl & Okhrin, Ostap

2013 An examination of the continuous-time dynamics of international volatility indices amid the recent market turmoil
by Li, Minqiang

2013 No-arbitrage implied volatility functions: Empirical evidence from KOSPI 200 index options
by Kim, Namhyoung & Lee, Jaewook

2013 Semi-parametric estimation of American option prices
by Gagliardini, Patrick & Ronchetti, Diego

2013 Large distributional games with traits
by Khan, M. Ali & Rath, Kali P. & Yu, Haomiao & Zhang, Yongchao

2013 Measuring the stance of monetary policy in zero lower bound environments
by Krippner, Leo

2013 High quantiles estimation with Quasi-PORT and DPOT: An application to value-at-risk for financial variables
by Araújo Santos, Paulo & Fraga Alves, Isabel & Hammoudeh, Shawkat

2013 Pricing options on stocks denominated in different currencies: Theory and illustrations
by Ng, Andrew C.Y. & Li, Johnny Siu-Hang & Chan, Wai-Sum

2013 Day-of-the-week effect on the VIX. A parsimonious representation
by Gonzalez-Perez, Maria T. & Guerrero, David E.

2013 Determinants of credit spreads: The role of ambiguity and information uncertainty
by Guo, Liang

2013 Price and volatility dynamics between securitized real estate spot and futures markets
by Shi, Jing & Xu, Tracy

2013 Executive bonus compensation when abnormal earnings and the state of the economy are correlated
by Kim, Hwa-Sung

2013 Asymmetry in the jump-size distribution of the S&P 500: Evidence from equity and option markets
by Kaeck, Andreas

2013 Practical policy iteration: Generic methods for obtaining rapid and tight bounds for Bermudan exotic derivatives using Monte Carlo simulation
by Beveridge, Christopher & Joshi, Mark & Tang, Robert

2013 Asian and Australian options: A common perspective
by Ewald, Christian-Oliver & Menkens, Olaf & Hung Marten Ting, Sai

2013 Pricing Parisian and Parasian options analytically
by Zhu, Song-Ping & Chen, Wen-Ting

2013 A flexible matrix Libor model with smiles
by Da Fonseca, José & Gnoatto, Alessandro & Grasselli, Martino

2013 Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order
by Schlögl, Erik

2013 An inverse finite element method for pricing American options
by Zhu, Song-Ping & Chen, Wen-Ting

2013 Option pricing with discrete time jump processes
by Guégan, Dominique & Ielpo, Florian & Lalaharison, Hanjarivo

2013 Macro-hedging for commodity exporters
by Borensztein, Eduardo & Jeanne, Olivier & Sandri, Damiano

2013 Production and hedging implications of executive compensation schemes
by Akron, Sagi & Benninga, Simon

2013 Empirical Testing of Modified Black-Scholes Option Pricing Model Formula on NSE Derivative Market in India
by Matloob Ullah Khan & Ambrish Gupta & Sadaf Siraj

2013 Asimetría y curtosis en el modelo binomial para valorar opciones reales: caso de aplicación para empresas de base tecnológica
by Gastón Silverio Milanesi

2013 Modelos de valoración de opciones sobre títulos de renta fija: aplicación al mercado colombiano
by Luis Guillermo Herrera Cardona & Darwin Cárdenas Giraldo

2013 Provocări Implicate De Evaluarea Companiilor
by Ludmila D. SOBOL

2013 Default and liquidity regimes in the bond market during the 2002-2012 period
by Georges Dionne & Olfa Maalaoui Chun

2013 The Overnight Currency Swap Rates and ISE Overnight Repo Rates
by Doruk KUCUKSARAC & Ozgur OZEL

2013 Law and Finance: The Case of Constructive Sales
by Thomas J. Brennan

2012 Leverage and Financial Instability
by A. Smirnov.

2012 Vorschlag eines Bewertungskonzepts von Zertifikaten
by Armin Varmaz & Christian Fieberg

2012 The forward premium puzzle and latent factors day by day
by Bernoth, Kerstin & von Hagen, Jürgen & de Vries, Casper

2012 Pricing Synthetic CDOs Using a Three Regime Random-Factor-Loading Model
by Messow, Philip

2012 The term structure of bond market liquidity conditional on the economic environment: An analysis of government guaranteed bonds
by Schuster, Philipp & Uhrig-Homburg, Marliese

2012 Network neutrality and consumer discrimination: Comparing ISP's GTCs and DPI application
by Grove, Nico & Agic, Damir & Sedlmeir, Joachim

2012 A parsimonious model for intraday European option pricing
by Scalas, Enrico & Politi, Mauro

2012 Volatility spillover in the foreign exchange market: The Indian experience
by Ghosh, Saurabh

2012 Fixed income strategies for trading and for asset management
by Tinschert, Jonas & Cremers, Heinz

2012 Das Geschäft mit Derivaten und strukturierten Produkten: Welche Rolle spielt die Bank?
by Schmidt, Wolfgang M.

2012 A partially linear approach to modelling the dynamics of spot and futures prices
by Gaul, Jürgen & Theissen, Erik

2012 Portfolioallokation: Einbezug verschiedener Assetklassen
by Herz, Christian & Neunert, Daniela & Will, Sebastian & Wolf, Niko J. & Zwick, Tobias

2012 Anomalous dynamics of Black–Scholes model time-changed by inverse subordinators
by Marcin Magdziarz & Janusz Gajda

2012 The relationship between spot and futures CO2 emission allowance prices in the EU-ETS
by Stefan Trück & Wolfgang Härdle & Rafal Weron

2012 Extracting information on implied volatilities and discrete dividends from American options prices
by Martina Nardon & Paolo Pianca

2012 Prospect theory: An application to European option pricing
by Martina Nardon & Paolo Pianca

2012 Leveraged Investments and Agency Conflicts When Prices Are Mean Reverting
by Kristoffer Glover & Gerhard Hambusch

2012 Consistent Modeling of VIX and Equity Derivatives Using a 3/2 Plus Jumps Model
by Jan Baldeaux & Alexander Badran

2012 Alternative Term Structure Models for Reviewing Expectations Puzzles
by Christina Nikitopoulos-Sklibosios & Eckhard Platen

2012 Modelling Default Correlations in a Two-Firm Model with Dynamic Leverage Ratios
by Carl Chiarella & Chi-Fai Lo & Ming Xi Huang

2012 The Value of Interest Rate Guarantees in Participating Life insurance Contracts: Status Quo and Alternative Product Design
by Eling, Martin & Holder, Stefan

2012 Calibration of stochastic volatility models via second order approximation: the Heston model case
by Elisa Alòs & Rafael De Santiago & Josep Vives

2012 Estimating Implied Recovery Rates from the Term Structure of CDS Spreads
by Marcin Jaskowski & Michael McAleer

2012 Relaxing Competition through Speculation : Committing to a Negative Supply Slope
by Holmberg, P. & Willems, Bert

2012 Relaxing Competition through Speculation : Committing to a Negative Supply Slope
by Holmberg, P. & Willems, Bert

2012 Convertible Bonds and Bank Risk-Taking
by Natalya Martynova & Enrico Perotti

2012 Double Asymptotics for Explosive Continuous Time Models
by Xiaohu Wang & Jun Yu

2012 Large Distributional Games with Traits
by M. Ali Khan & Kali P. Rath & Haomiao Yu & Yongchao Zhang

2012 Large Games with a Bio-Social Typology
by M. Ali Khan & Kali P. Rath & Yeneng Sun & Haomiao Yu

2012 Pricing Decisions and Insider Trading in Horse Betting Markets
by A. SCHNYTZER & V. MAKROPOULOU & M. LAMERS

2012 Hedging through a Limit Order Book with Varying Liquidity
by Rossella Agliardi & Ramazan Gençay

2012 The Informational Role of Spot Prices and Inventories
by Smith, James L. & Thompson, Rex

2012 Average Portfolio Insurance Strategies
by Jacques Pézier & Johanna Scheller

2012 A General Approach to Real Option Valuation with Applications to Real Estate Investments
by Carol Alexander & Xi Chen

2012 Interrelación entre los mercados de derivados y el mercado de bonos soberanos del Perú y su impacto en las tasas de interés
by Choy, Marylin & Cerna, Jorge

2012 Quel impact des nouveaux spéculateurs sur les prix agricoles ? Une analyse empirique des fonds d’investissement
by Jean Cordier & Alexandre Gohin

2012 Volatility Impact of Stock Index Futures Trading - A Revised Analysis
by Wagner, Helmut & Matanovic, Eva

2012 Currency Carry Trades, Position-Unwinding Risk, and Sovereign Credit Premia
by Huang, Huichou & MacDonald, Ronald

2012 Why African Stock Markets Should Formally Harmonise and Integrate their Operations
by Ntim, Collins G

2012 Markets Evolution After the Credit Crunch
by Bianchetti, Marco & Carlicchi, Mattia

2012 Linepack storage valuation under price uncertainty
by Arvesen, Øystein & Medbø, Vegard & Fleten, Stein-Erik & Tomasgard, Asgeir & Westgaard, Sjur

2012 Why Do Financial Intermediaries Buy Put Options from Companies?
by Gyoshev, Stanley & Kaplan, Todd R. & Szewczyk, Samuel & Tsetsekos, George

2012 Swapping Headline for Core Inflation: An Asset Liability Management Approach
by Fulli-Lemaire, Nicolas & Palidda, Ernesto

2012 Collateral choice and the fundamental theorem of asset pricing
by Luis Manuel, García Muñoz

2012 Interest Rates After The Credit Crunch: Multiple-Curve Vanilla Derivatives and SABR
by Marco, Bianchetti & Mattia, Carlicchi

2012 Arbitrarily Fast CRR Schemes
by Leduc, Guillaume

2012 European Option General First Order Error Formula
by Leduc, Guillaume

2012 Sovereign default Risk in the Euro-Periphery and the Euro-Candidate Countries
by Gabrisch, Hubert & Orlowski, Lucjan T. & Pusch, Toralf

2012 Do financial investors affect the price of wheat?
by Girardi, Daniele

2012 Futures basis, inventory and commodity price volatility: An empirical analysis
by Symeonidis, Lazaros & Prokopczuk, Marcel & Brooks, Chris & Lazar, Emese

2012 The synchronized and long-lasting structural change on commodity markets: evidence from high frequency data
by Bicchetti, David & Maystre, Nicolas

2012 Mathematical analysis and numerical methods for pricing pension plans allowing early retirement
by Calvo-Garrido, Maria del Carmen & Pascucci, Andrea & Vázquez Cendón, Carlos

2012 Returns in commodities futures markets and financial speculation: a multivariate GARCH approach
by Matteo Manera & Marcella Nicolini & Ilaria Vignati

2012 Long memory and Periodicity in Intraday Volatility
by Eduardo Rossi & Dean Fantazzini

2012 The Determinants of Extreme Commodity Prices
by Karlygash Kuralbayeva & Samuel Malone

2012 The effects of external financing costs on investment timing and sizing decisions
by Michi NISHIHARA & Takashi SHIBATA

2012 Measuring the stance of monetary policy in zero lower bound environments
by Leo Krippner

2012 Modifying Gaussian term structure models when interest rates are near the zero lower bound
by Leo Krippner

2012 Embedded Leverage
by Andrea Frazzini & Lasse H. Pedersen

2012 Tail Risk in Momentum Strategy Returns
by Kent Daniel & Ravi Jagannathan & Soohun Kim

2012 Parametric Inference and Dynamic State Recovery from Option Panels
by Torben G. Andersen & Nicola Fusari & Viktor Todorov

2012 Internet, noise trading and commodity prices
by Massimo PERI & Daniela VANDONE & Lucia BALDI

2012 On the Investment-Uncertainty Relationship: A Game Theoretic Real Option Approach
by Elmar Lukas & Andreas Welling

2012 Model Implied Credit Spreads
by Gunnar Grass

2012 Equity options, credit default swaps e leverage: un semplice modello a volatilita' stocastica per i derivati azionari e creditizi
by Gaia Barone

2012 Estimating implied recovery rates from the term structure of CDS spreads
by Marcin Jaskowski & Michael McAleer

2012 The Puzzle of Index Option Returns
by George M. Constantinides & Jens Carsten Jackwerth & Alexi Savov

2012 Recovering Delisting Returns of Hedge Funds
by James E. Hodder & Jens Carsten Jackwerth & Olga Kolokolova

2012 Market efficiency of commodity futures in India
by Inoue, Takeshi & Hamori, Shigeyuki

2012 Efficient Pricing of European-Style Options Under Heston's Stochastic Volatility Model
by Zhylyevskyy, Oleksandr

2012 Regulations and price discovery: oil spot and futures markets
by Ashima Goyal & Shruti Tripathi

2012 Credit Risk Contagion and the Global Financial Crisis
by Azusa Takeyama & Nick Constantinou & Dmitri Vinogradov

2012 A Framework for Extracting the Probability of Default from Stock Option Prices
by Azusa Takeyama & Nick Constantinou & Dmitri Vinogradov

2012 Effectiveness of Weather Derivatives as a Cross-Hedging Instrument against Climate Change: The Cases of Reservoir Water Allocation Management in Guanajuato, Mexico and Lambayeque, Peru
by Miriam Juarez-Torres & Leonardo Sanchez-Aragon

2012 Effectiveness of Weather Derivatives as a Cross-Hedging Instrument against Climate Change: The Cases of Reservoir Water Allocation Management in Guanajuato, Mexico and Lambayeque, Peru
by Miriam Juarez-Torres & Leonardo Sanchez-Aragon

2012 Implied Basket Correlation Dynamics
by Wolfgang Karl Härdle & Elena Silyakova & &

2012 Option calibration of exponential Lévy models: Implementation and empirical results
by Jacob Söhl & Mathias Trabs

2012 Confidence sets in nonparametric calibration of exponential Lévy models
by Jakob Söhl

2012 A Quasi-Bounded Target Zone Model - Theory and Application to Hong Kong Dollar
by C. F. Lo & C. H. Hui & S. W. Chu & T. Fong

2012 What Makes the VIX Tick?
by Warren Bailey & Lin Zheng & Yinggang Zhou

2012 Relaxing Competition through Speculation: Committing to a Negative Supply Slope
by Holmberg, Pär & Willems, Bert

2012 A Markov Copula Model of Portfolio Credit Risk with Stochastic Intensities and Random Recoveries
by Bielecki, T.R. & Cousin, A. & Crépey, S. & Herbertsson, Alexander

2012 The Relative Contemporaneous Information Response. A New Cointegration-Based Measure of Price Discovery
by Helder Sebastião

2012 Microstructure effect on firm’s volatility risk
by Flavia Barsotti & Simona Sanfelici

2012 Optimal Capital Structure with Endogenous Default and Volatility Risk
by Flavia Barsotti

2012 Returns in Commodities Futures Markets and Financial Speculation: A Multivariate GARCH Approach
by Matteo Manera & Marcella Nicolini & Ilaria Vignati

2012 Uncertainty and leveraged Lucas Trees: the cross section of equilibrium volatility risk premia
by Andrea Vedolin

2012 Measuring the stance of monetary policy in zero lower bound environments
by Leo Krippner

2012 Modifying Gaussian term structure models when interest rates are near the zero lower bound (this is a revised version of CAMA working paper 36/2011)
by Leo Krippner

2012 Political risk and corporate investment decisions
by Población, Javier & Correia, Ricardo & Restrepo, Diana

2012 The Market Microstructure of the European Climate Exchange
by Yoichi Otsubo & Bruce Mizrach

2012 Measuring the Bid-Ask Spreads: Application to the European Union Allowances Futures Market
by Yoichi Otsubo

2012 Euro at Risk: The Impact of Member Countries Credit Risk on the Stability of the Common Currency
by Thorsten Lehnert & Lamia Bekkour & Xisong Jin & Fanou Rasmouki & Christian Wolff

2012 Too-Systemic-To-Fail: What Option Markets Imply About Sector-wide Government Guarantees
by Kelly, Bryan & Lustig, Hanno & van Nieuwerburgh, Stijn

2012 The asymmetric commodity inventory effect on the optimal hedge ratio
by CARPANTIER, Jean-François & SAMKHARADZE, Besik

2012 Optimal Static Hedging of Energy Price and Volume Risk: Closed-Form Results
by Javier Orlando Pantoja Robayo & Andrea Roncoroni

2012 Implied probabilities of default from Colombian money market spreads: The Merton Model under equity market informational constraints
by Carlos León

2012 Volatility Transmission across Currency, Commodity and Equity Markets under Multi-Chain Regime Switching: Implications for Hedging and Portfolio Allocation
by A. Khalifa & S. Hammoudeh & E. Otranto & S. Ramchander

2012 Macroeconomic Factors as Drivers of LGD Prediction: Empirical Evidence from the Czech Republic
by Konstantin Belyaev & Aelita Belyaeva & Tomas Konecny & Jakub Seidler & Martin Vojtek

2012 Risk Management and Financial Derivatives: An Overview
by Shawkat Hammoudeh & Michael McAleer

2012 Sovereign default and macroeconomic tipping points
by Joy, Mark

2012 Relaxing competition through speculation: Committing to a negative supply slope
by Holmberg, P. & Willems, B.

2012 Bank stability and market discipline: The effect of contingent capital on risk taking and default probability
by Jens Hilscher & Alon Raviv

2012 Inflation Derivatives Under Inflation Target Regimes
by Mordecai Avriel & Jens Hilscher & Alon Raviv

2012 Ambiguity Aversion and Variance Premium
by Jianjun Miao & Bin Wei & Hao Zhou

2012 Estimating probability distributions of future asset prices: empirical transformations from option-implied risk-neutral to real-world density functions
by de Vincent-Humphreys, Rupert & Noss, Joseph

2012 Using Merton model: an empirical assessment of alternatives
by Zvika Afik & Ohad Arad & Koresh Galil

2012 Asset Pricing with Second-Order Esscher Transforms
by Monfort, A. & Pegoraro, F.

2012 Macro-Prudential Policy and the Conduct of Monetary Policy
by Beau, D. & Clerc, L. & Mojon, B.

2012 Price as a choice under nonstochastic randomness in finance
by Y, Ivanenko. & B, Munier.

2012 The role of financial investments in agricultural commodity derivatives markets
by Alessandro Borin & Virginia Di Nino

2012 Valuation of vix derivatives
by Javier Mencía & Enrique Sentana

2012 Estimating the Policy Rule from Money Market Rates when Target Rate Changes Are Lumpy
by Jean-Sébastien Fontaine

2012 The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation
by Peter Christoffersen & Bruno Feunou & Kris Jacobs & Nour Meddahi

2012 Risk Premium, Variance Premium and the Maturity Structure of Uncertainty
by Bruno Feunou & Jean-Sébastien Fontaine & Abderrahim Taamouti & Roméo Tedongap

2012 Pricing European Options on Deferred Insurance
by Jonathan Ziveyi & Craig Blackburn & Michael Sherris

2012 Stock Return and Cash Flow Predictability: The Role of Volatility Risk
by Tim Bollerslev & Lai Xu & Hao Zhou

2012 GARCH Option Valuation: Theory and Evidence
by Peter Christoffersen & Kris Jacobs & Chayawat Ornthanalai

2012 Commodity derivatives pricing with inventory effects
by Christian Bach & Matt P. Dziubinski

2012 ItÔ's Calculus: Derivation of the Black–Scholes Option Pricing Model
by Cheng Few Lee & Joseph Finnerty & John Lee & Alice C Lee & Donald Wort

2012 Simultaneous Equation Models for Security Valuation
by Cheng Few Lee & Joseph Finnerty & John Lee & Alice C Lee & Donald Wort

2012 Capturing Equity Risk Premia
by Cheng Few Lee & Joseph Finnerty & John Lee & Alice C Lee & Donald Wort

2012 Portfolio Insurance and Synthetic Options
by Cheng Few Lee & Joseph Finnerty & John Lee & Alice C Lee & Donald Wort

2012 Bond Portfolios: Management and Strategy
by Cheng Few Lee & Joseph Finnerty & John Lee & Alice C Lee & Donald Wort

2012 International Diversification and Asset Pricing
by Cheng Few Lee & Joseph Finnerty & John Lee & Alice C Lee & Donald Wort

2012 Security Analysis and Mutual Fund Performance
by Cheng Few Lee & Joseph Finnerty & John Lee & Alice C Lee & Donald Wort

2012 Comparative Static Analysis of the Option Pricing Models
by Cheng Few Lee & Joseph Finnerty & John Lee & Alice C Lee & Donald Wort

2012 Normal, Log-Normal Distribution, and Option Pricing Model
by Cheng Few Lee & Joseph Finnerty & John Lee & Alice C Lee & Donald Wort

2012 Decision Tree and Microsoft Excel Approach for Option Pricing Model
by Cheng Few Lee & Joseph Finnerty & John Lee & Alice C Lee & Donald Wort

2012 Option Pricing Theory and Firm Valuation
by Cheng Few Lee & Joseph Finnerty & John Lee & Alice C Lee & Donald Wort

2012 Options and Option Strategies
by Cheng Few Lee & Joseph Finnerty & John Lee & Alice C Lee & Donald Wort

2012 Commodity Futures, Financial Futures, and Stock-Index Futures
by Cheng Few Lee & Joseph Finnerty & John Lee & Alice C Lee & Donald Wort

2012 Futures Valuation and Hedging
by Cheng Few Lee & Joseph Finnerty & John Lee & Alice C Lee & Donald Wort

2012 Arbitrage Pricing Theory and Intertemporal Capital Asset Pricing Model
by Cheng Few Lee & Joseph Finnerty & John Lee & Alice C Lee & Donald Wort

2012 The Efficient-Market Hypothesis and Security Valuation
by Cheng Few Lee & Joseph Finnerty & John Lee & Alice C Lee & Donald Wort

2012 Performance-Measure Approaches for Selecting Optimum Portfolios
by Cheng Few Lee & Joseph Finnerty & John Lee & Alice C Lee & Donald Wort

2012 Index Models for Portfolio Selection
by Cheng Few Lee & Joseph Finnerty & John Lee & Alice C Lee & Donald Wort

2012 Capital Asset Pricing Model and Beta Forecasting
by Cheng Few Lee & Joseph Finnerty & John Lee & Alice C Lee & Donald Wort

2012 Risk-Aversion, Capital Asset Allocation, and Markowitz Portfolio-Selection Model
by Cheng Few Lee & Joseph Finnerty & John Lee & Alice C Lee & Donald Wort

2012 Sources of Risks and Their Determination
by Cheng Few Lee & Joseph Finnerty & John Lee & Alice C Lee & Donald Wort

2012 The Uses and Calculation of Market Indexes
by Cheng Few Lee & Joseph Finnerty & John Lee & Alice C Lee & Donald Wort

2012 Bond Valuation and Analysis
by Cheng Few Lee & Joseph Finnerty & John Lee & Alice C Lee & Donald Wort

2012 Introduction to Valuation Theories
by Cheng Few Lee & Joseph Finnerty & John Lee & Alice C Lee & Donald Wort

2012 Common Stock: Return, Growth, and Risk
by Cheng Few Lee & Joseph Finnerty & John Lee & Alice C Lee & Donald Wort

2012 Accounting Information and Regression Analysis
by Cheng Few Lee & Joseph Finnerty & John Lee & Alice C Lee & Donald Wort

2012 Modeling and Pricing in Financial Markets for Weather Derivatives
by Fred Espen Benth & Jūratė Šaltytė Benth

2012 An Introduction to Wavelet Theory in Finance:A Wavelet Multiscale Approach
by Francis In & Sangbae Kim

2012 Security Analysis, Portfolio Management, and Financial Derivatives
by Cheng-Few Lee & Joseph Finnerty & John Lee & Alice C Lee & Donald Wort

2012 A contribution in stochastic control applied to finance and insurance
by Moreau, Ludovic

2012 Price Discovery and Asymmetric Volatility Spillovers in Indian Spot-Futures Gold Markets
by P. Srinivasan & P. Ibrahim

2012 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

2012 Breaking Through Risk Management, a Derivative for the Leasing Industry
by Prado, Sylvain Michael & Ananth, Ram

2012 Volatility Regimes For The Vix Index
by JACINTO MARABEL ROMO

2012 Do financial investors affect the price of wheat?
by Daniele Girardi

2012 Testing for Sibex Market’s Long-Term Memory
by Pochea Maria-Miruna

2012 Valuación financiera de proyectos de inversión en nuevas tecnologías con opciones reales
by Álvarez Echeverría Francisco & López Sarabia Pablo & Venegas Martínez Francisco

2012 On the Origins of Conditional Heteroscedasticity in Time Series
by Richard Ashley

2012 Extracting Deflation Probability Forecasts from Treasury Yields
by Jens H.E. Christensen & Jose A. Lopez & Glenn D. Rudebusch

2012 Pricing Of Payment Deferred Vulnerable Options And Its Application To Vulnerable Range Accrual Notes
by Po-Cheng Wu & Chih-Wei Lee & Cheng-Kun Kuo

2012 A Comparison Of Delta Hedging Under Two Price Distribution Assumptions By Likelihood Ratio
by Lingyan Cao & Zheng-Feng Guo

2012 Option Portfolio Value At Risk Using Monte Carlo Simulation Under A Risk Neutral Stochastic Implied Volatility Model
by Peng He

2012 A Comparison Of Gradient Estimation Techniques For European Call Options
by Lingyan Cao & Zheng-Feng Guo

2012 Does It Matter Who Trades Energy Derivatives?
by Bahattin Büyüksahin & Michel A. Robe

2012 Speculation, Returns, Volume and Volatility in Commodities Futures Markets
by Andrea Bastianin & Matteo Manera & Marcella Nicolini & Ilaria Vignati

2012 Market Application of the Fuzzy-Stochastic Approach in the Heston Option Pricing Model
by Gianna Figa-Talamanca & Maria Letizia Guerra

2012 Portfolio Diversification in Extreme Environments: Are There Benefits from Adding Commodity Future Indices?
by Bala Batavia & Nandakumar Parameswar & Cheick Wagué

2012 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

2012 Real option valuation of abandoned farmland
by Nishihara, Michi

2012 Implementing option pricing models when asset returns follow an autoregressive moving average process
by Wang, Chou-Wen & Wu, Chin-Wen & Tzang, Shyh-Weir

2012 Volatility risk premium decomposition of LIFFE equity options
by Lin, Bing-Huei & Lin, Yueh-Neng & Chen, Yin-Jung

2012 Production and futures hedging with state-dependent background risk
by Wong, Kit Pong

2012 Debt reorganization strategies with complete verification under information asymmetry
by Shibata, Takashi & Tian, Yuan

2012 Call-pricing equity returns and default risks of entry mode with brand perception in retail banking
by Tsai, Jeng-Yan & Chang, Chuen-Ping

2012 Empirical estimation of the option premium for residential redevelopment
by Clapp, John M. & Bardos, Katsiaryna Salavei & Wong, S.K.

2012 Efficient growth boundaries in the presence of population externalities and stochastic rents
by Jou, Jyh-Bang

2012 The relevance of thinking-by-analogy for investors’ willingness-to-pay: An experimental study
by Siddiqi, Hammad

2012 Pinning in the S&P 500 futures
by Golez, Benjamin & Jackwerth, Jens Carsten

2012 Dynamic jump intensities and risk premiums: Evidence from S&P500 returns and options
by Christoffersen, Peter & Jacobs, Kris & Ornthanalai, Chayawat

2012 The option to stock volume ratio and future returns
by Johnson, Travis L. & So, Eric C.

2012 Limited arbitrage between equity and credit markets
by Kapadia, Nikunj & Pu, Xiaoling

2012 What does futures market interest tell us about the macroeconomy and asset prices?
by Hong, Harrison & Yogo, Motohiro

2012 U.S. stock market crash risk, 1926–2010
by Bates, David S.

2012 Pricing of commercial real estate securities during the 2007–2009 financial crisis
by Driessen, Joost & Van Hemert, Otto

2012 Arbitrage crashes and the speed of capital
by Mitchell, Mark & Pulvino, Todd

2012 Time series momentum
by Moskowitz, Tobias J. & Ooi, Yao Hua & Pedersen, Lasse Heje

2012 Endogenous liquidity in credit derivatives
by Qiu, Jiaping & Yu, Fan

2012 Counterparty credit risk and the credit default swap market
by Arora, Navneet & Gandhi, Priyank & Longstaff, Francis A.

2012 CAPM for estimating the cost of equity capital: Interpreting the empirical evidence
by Da, Zhi & Guo, Re-Jin & Jagannathan, Ravi

2012 Rational asset pricing bubbles and portfolio constraints
by Hugonnier, Julien

2012 Conservative traders, natural selection and market efficiency
by Luo, Guo Ying

2012 Anchoring bias in the TARP warrant negotiations
by Wilson, Linus

2012 Derivatives traders’ reaction to mispricing in the underlying equity
by Hayunga, Darren K. & Holowczak, Richard D. & Lung, Peter P. & Nishikawa, Takeshi

2012 Real options and earnings-based bonus compensation
by Huang, Hsing-Hua & Huang, Hongming & Shih, Pai-Ta

2012 Volatility spillovers and the effect of news announcements
by Jiang, George J. & Konstantinidi, Eirini & Skiadopoulos, George

2012 Asset pricing with Second-Order Esscher Transforms
by Monfort, Alain & Pegoraro, Fulvio

2012 Endogenizing exogenous default barrier models: The MM algorithm
by Forte, Santiago & Lovreta, Lidija

2012 Keep on smiling? The pricing of Quanto options when all covariances are stochastic
by Branger, Nicole & Muck, Matthias

2012 The term structure of illiquidity premia
by Kempf, Alexander & Korn, Olaf & Uhrig-Homburg, Marliese

2012 When are path-dependent payoffs suboptimal?
by Kassberger, Stefan & Liebmann, Thomas

2012 Exploring the role of the realized return distribution in the formation of the implied volatility smile
by Chalamandaris, Georgios & Rompolis, Leonidas S.

2012 Price discovery and volatility spillovers in the European Union emissions trading scheme: A high-frequency analysis
by Rittler, Daniel

2012 A comparative study of the probability of default for global financial firms
by Câmara, António & Popova, Ivilina & Simkins, Betty

2012 Option-implied volatility factors and the cross-section of market risk premia
by Li, Junye

2012 Pricing American interest rate options under the jump-extended constant-elasticity-of-variance short rate models
by Beliaeva, Natalia & Nawalkha, Sanjay

2012 Volatility dynamics for the S&P 500: Further evidence from non-affine, multi-factor jump diffusions
by Kaeck, Andreas & Alexander, Carol

2012 Corporate taxes, strategic default, and the cost of debt
by Nejadmalayeri, Ali & Singh, Manohar

2012 30-Day Interbank futures: Investigating the process of price discovery following RBA cash target rate announcements
by Smales, Lee A.

2012 The options market response to accounting earnings announcements
by Truong, Cameron & Corrado, Charles & Chen, Yangyang

2012 Valuing equity-linked death benefits and other contingent options: A discounted density approach
by Gerber, Hans U. & Shiu, Elias S.W. & Yang, Hailiang

2012 Dynamic hedging of conditional value-at-risk
by Melnikov, Alexander & Smirnov, Ivan

2012 An investor sentiment barometer — Greek Implied Volatility Index (GRIV)
by Siriopoulos, Costas & Fassas, Athanasios

2012 Escaping TARP
by Wilson, Linus & Wu, Yan Wendy

2012 Stock option contract adjustments: The case of special dividends
by Barraclough, Kathryn & Stoll, Hans R. & Whaley, Robert E.

2012 Anatomy of a meltdown: The risk neutral density for the S&P 500 in the fall of 2008
by Birru, Justin & Figlewski, Stephen

2012 The relationship between reciprocal currency futures prices
by Bick, Avi

2012 Barrier option pricing for exchange rates under the Levy–HJM processes
by Hsu, Pao-Peng & Chen, Ying-Hsiu

2012 Option pricing and ARCH processes
by Zumbach, Gilles

2012 Discrete time hedging with liquidity risk
by Ku, Hyejin & Lee, Kiseop & Zhu, Huaiping

2012 Discrete versus continuous time models: Local martingales and singular processes in asset pricing theory
by Jarrow, Robert & Protter, Philip

2012 A jump-diffusion approach to modelling vulnerable option pricing
by Xu, Weidong & Xu, Weijun & Li, Hongyi & Xiao, Weilin

2012 Negotiating M&As under uncertainty: The influence of managerial flexibility on the first-mover advantage
by Lukas, Elmar & Welling, Andreas

2012 Asymmetries, causality and correlation between FTSE100 spot and futures: A DCC-TGARCH-M analysis
by Tao, Juan & Green, Christopher J.

2012 Short-sale constraints and efficiency of the spot–futures dynamics
by McMillan, David G. & Philip, Dennis

2012 A contingent claim analysis of sunflower management under board monitoring and capital regulation
by Tsai, Jeng-Yan & Lin, Jyh-Horng

2012 Market efficiency and risk premia in short-term forward prices
by Haugom, Erik & Ullrich, Carl J.

2012 Clustering in crude oil prices and the target pricing zone hypothesis
by Bharati, Rakesh & Crain, Susan J. & Kaminski, Vincent

2012 Integration of the global carbon markets
by Mizrach, Bruce

2012 Modeling and explaining the dynamics of European Union Allowance prices at high-frequency
by Conrad, Christian & Rittler, Daniel & Rotfuß, Waldemar

2012 Testing the Masters Hypothesis in commodity futures markets
by Irwin, Scott H. & Sanders, Dwight R.

2012 Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies
by Sadorsky, Perry

2012 How much should we pay for interconnecting electricity markets? A real options approach
by Cartea, Álvaro & González-Pedraz, Carlos

2012 Nonparametric estimation of scalar diffusion models of interest rates using asymmetric kernels
by Gospodinov, Nikolay & Hirukawa, Masayuki

2012 The effects of Federal funds rate surprises on S&P 500 volatility and volatility risk premium
by Gospodinov, Nikolay & Jamali, Ibrahim

2012 How to allocate forward contracts: The case of electricity markets
by de Frutos, María-Ángeles & Fabra, Natalia

2012 Gauging potential sovereign risk contagion in Europe
by Fong, Tom Pak Wing & Wong, Alfred Y-T.

2012 Futures basis, inventory and commodity price volatility: An empirical analysis
by Symeonidis, Lazaros & Prokopczuk, Marcel & Brooks, Chris & Lazar, Emese

2012 The impact of convertible debt financing on investment timing
by Yagi, Kyoko & Takashima, Ryuta

2012 Unilateral CVA for CDS in a contagion model with stochastic pre-intensity and interest
by Bao, Qunfang & Chen, Si & Li, Shenghong

2012 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

2012 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.

2012 Fair demographic risk sharing in defined contribution pension systems
by Gabay, Daniel & Grasselli, Martino

2012 The dynamics of mergers and acquisitions in oligopolistic industries
by Hackbarth, Dirk & Miao, Jianjun

2012 Good timing: The economics of optimal stopping
by Davis, Graham A. & Cairns, Robert D.

2012 Evaluating callable and putable bonds: An eigenfunction expansion approach
by Lim, Dongjae & Li, Lingfei & Linetsky, Vadim

2012 Valuation of power options under Heston's stochastic volatility model
by Kim, Jerim & Kim, Bara & Moon, Kyoung-Sook & Wee, In-Suk

2012 Aggregate volatility risk: Explaining the small growth anomaly and the new issues puzzle
by Barinov, Alexander

2012 How should firms selectively hedge? Resolving the selective hedging puzzle
by Wojakowski, Rafał M.

2012 Theoretical and Empirical Review of Asset Pricing Models:A Structural Synthesis
by Saban Celik

2012 La nouvelle régulation des swaps : une opportunité manquée
by Annette L. Nazareth & Gabriel D. Rosenberg

2012 Les marchés de produits dérivés et la loi américaine sur les faillites
by Mark J. Roe

2012 Commodity Investing
by K. Geert Rouwenhorst & Ke Tang

2012 Econometric Analysis Regarding The Dependence Of The Futures Price, The Underlying Asset And The Robor
by Mircea Gabriel Ciolpan & Jenica Popescu

2012 Valuation of a Hydro-Electric Power Project in Emerging Markets: An Application of Real Options
by Richard Ebil Ottoo

2012 Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data
by Yacine Aït-Sahalia & Jean Jacod

2012 Tranching, CDS, and Asset Prices: How Financial Innovation Can Cause Bubbles and Crashes
by Ana Fostel & John Geanakoplos

2011 Portfolio optimization using forward-looking information
by Kempf, Alexander & Korn, Olaf & Saßning, Sven

2011 The dynamics of mergers and acquisitions in oligopolistic industries
by Jianjun Miao & Dirk Hackbarth

2011 The Pricing of the Option Implicitly Granted by the Italian Treasury to the Specialists in the Reserved Auction Reopening
by Chiara Coluzzi

2011 A General Structural Approach For Credit Modeling Under Stochastic Volatility
by Escobar, Marcos & Friederich, Tim & Seco, Luis & Zagst, Rudi

2011 A Stochastic Programming Model to Minimize Volume Liquidity Risk in Commodity Trading
by Fragniere, Emmanuel & Markov, Iliya

2011 Interest Rates After the Credit Crunch: Markets and Models Evolution
by Bianchetti, Marco & Carlicchi, Mattia

2011 Extreme Börsenbewegung und Intraday-Preisstellung von Open-End-Turbo-Zertifikaten auf den DAX: Der Fall Kerviel
by Sebastian Lobe & Klaus Röder

2011 Pricing of temperature-based weather options for Turkey
by Ahmet GÖNCÜ & Mehmet Oguz KARAHAN & Tolga Umut KUZUBAŞ

2011 Efficiency and hedging effectiveness in the NYMEX crude oil futures market
by Tarkan ÇAVUŞOĞLU & Soner GÖKTEN

2011 The value of tradeability
by Chesney, Marc & Kempf, Alexander

2011 Price discovery in spot and futures markets: A reconsideration
by Theissen, Erik

2011 Does modeling framework matter? A comparative study of structural and reduced-form models
by Gündüz, Yalin & Uhrig-Homburg, Marliese

2011 Portfolio-Management für Privatanleger auf Basis des State Preference Ansatzes
by Fäßler, Robert & Kraus, Christina & Weiler, Sebastian M. & Abukadyrova, Kamila

2011 Option pricing in subdiffusive Bachelier model
by Marcin Magdziarz & Sebastian Orzel & Aleksander Weron

2011 Three-Benchmarked Risk Minimization for Jump Diffusion Markets
by Ke Du & Eckhard Platen

2011 Do financial investors affect commodity prices? The case of Hard Red Winter Wheat
by Daniele Girardi

2011 Semi-nonparametric estimation of the call price surface under strike and time-to-expiry no-arbitrage constraints
by Fengler, Matthias & Hin, Lin-Yee

2011 A General Equilibrium Model of Environmental Option Values
by Iain Fraser & Katsuyuki Shibayama

2011 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

2011 (Re)financing the Slave Trade with the Royal African Company in the Boom Markets of 1720
by Gary S. Shea

2011 A Social Network for Trade and Inventories of Stock during the South Sea Bubble
by Gary S. Shea

2011 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

2011 Does Stock Return Predictability Affect ESO Fair Value?
by CARMONA, JULIO & LEÓN, ANGEL & VAELLO-SEBASTIÁ, ANTONI

2011 Seasonal Stochastic Volatility: Implications for the Pricing of Commodity Options
by Janis Back & Marcel Prokopczuk & Markus Rudolf

2011 Rationalization of Investment Preference Criteria
by Jacques Pézier

2011 Does Information Content of Option Prices Add Value for Asset Allocation?
by Vladimir Zdorovenin & Jacques Pézier

2011 A Market-based Approach to Sector Risk Determinants and Transmission in the Euro Area
by Martín Saldías

2011 The Chinese Warrants Bubble
by Wei Xiong & Jialin Yu

2011 Evaluating Asset Pricing Models in a Simulated Multifactor Approach
by Carrasco-Gutierrez, Carlos Enrique & Piazza, Wagner

2011 Option Pricing in an Oligopolistic Setting
by Villena, Marcelo & Villena, Mauricio

2011 A Futures Trading Experiment: An Active Classroom Approach to Learning
by Mitchell, David & Hunsader, Kenneth & Parker, Scott

2011 On the demand pressure hypothesis in option markets: the case of a redundant option
by Bennour, Khaled

2011 Price Discovery and Volatility Spillovers in Indian Spot-Futures Commodity Market
by P., Srinivasan

2011 HUMAN Capital Contracts in Chile : An excercise based on Income data on Chilean HE graduates
by Lozano Rojas, Felipe Andres

2011 The Zeeman Effect in Finance: Libor Spectroscopy and Basis Risk Management
by Marco, Bianchetti

2011 Hedging dynamics with gold futures
by Singh, Saurabh & Saharawat, Swati

2011 International stock market comovements: what happened during the financial crisis?
by Horvath, Roman & Poldauf, Petr

2011 Financial Management of Weather Risk with Energy Derivatives
by Janda, Karel & Vylezik, Tomas

2011 Expansion formulae for local Lévy models
by Stefano, Pagliarani & Pascucci, Andrea & Candia, Riga

2011 An efficient lattice algorithm for the libor market model
by Tim, Xiao

2011 Thinking by analogy, systematic risk, and option prices
by Siddiqi, Hammad

2011 One numerical procedure for two risk factors modeling
by Cocozza, Rosa & De Simone, Antonio

2011 Hedging vs. speculative pressures on commodity futures returns
by Cifarelli, Giulio & Paladino, Giovanna

2011 A Closed-Form Solution for Options with Ambiguity about Stochastic Volatility
by Gonçalo Faria & João Correia-da-Silva

2011 The Price of Risk and Ambiguity in an Intertemporal General Equilibrium Model of Asset Prices
by Gonçalo Faria & João Correia-da-Silva

2011 Investment timing with fixed and proportional costs of external financing
by Michi Nishihara & Takashi Sshibata

2011 Real Options Valuation of Abandoned Farmland
by Michi Nishihara

2011 Systemic Risk-Taking: Amplification Effects, Externalities, and Regulatory Responses
by Anton Korinek

2011 A Transparency Standard for Derivatives
by Viral V. Acharya

2011 Global Asset Pricing
by Karen K. Lewis

2011 A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation
by Torben G. Andersen & Dobrislav Dobrev & Ernst Schaumburg

2011 Limited and Varying Consumer Attention: Evidence from Shocks to the Salience of Bank Overdraft Fees
by Victor Stango & Jonathan Zinman

2011 Continuous Workout Mortgages
by Robert J. Shiller & Rafal M. Wojakowski & M. Shahid Ebrahim & Mark B. Shackleton

2011 Systemic Sovereign Credit Risk: Lessons from the U.S. and Europe
by Andrew Ang & Francis A. Longstaff

2011 Generalized Transform Analysis of Affine Processes and Applications in Finance
by Hui Chen & Scott Joslin

2011 Simple Variance Swaps
by Ian Martin

2011 Limits to Arbitrage and Hedging: Evidence from Commodity Markets
by Viral V. Acharya & Lars A. Lochstoer & Tarun Ramadorai

2011 Margin-Based Asset Pricing and Deviations from the Law of One Price
by Nicolae Gârleanu & Lasse Heje Pedersen

2011 Investors' and Central Bank's Uncertainty Embedded in Index Options
by Alexander David & Pietro Veronesi

2011 What Does Futures Market Interest Tell Us about the Macroeconomy and Asset Prices?
by Harrison Hong & Motohiro Yogo

2011 Corridor implied volatility and the variance risk premium in the Italian market
by Silvia Muzzioli

2011 Beating the Random Walk in Central and Eastern Europe by Survey Forecasts
by Anna Naszódi

2011 Testing the asset pricing model of exchange rates with survey data
by Anna Naszódi

2011 Spot and future prices of agricultural commodities: fundamentals and speculation
by Lucia BALDI & Massimo PERI & Daniela VANDONE

2011 A Structural Balance Sheet Model of Sovereign Credit Risk
by Pascal François & Georges Hübner & Jean-Roch Sibille

2011 Currency Total Return Swaps: Valuation and Risk Factor Analysis
by Romain Cuchet & Pascal François & Georges Hübner

2011 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

2011 Testing option pricing models: complete and incomplete markets
by Olesia Verchenko

2011 The Puzzle of Index Option Returns
by George M. Constantinides & Jens Carsten Jackwerth & Alexi Savov

2011 Relative Scarcity of Commodities with a Long-Term Economic Relationship and the Correlation of Futures Returns
by Jaime Casassus & Peng Liu & Ke Tang

2011 Performance-sensitive government bonds - A new proposal for sustainable sovereign debt management
by Matthias Bank & Alexander Kupfer & Rupert Sendlhofer

2011 Liquidity considerations in estimating implied volatility
by Rohini Grover & Susan Thomas

2011 Pricing Nikkei 225 Options Using Realized Volatility
by Masato Ubukata & Toshiaki Watanabe

2011 Calibration of selfdecomposable Lévy models
by Mathias Trabs

2011 Pricing Chinese rain: a multi-site multi-period equilibrium pricing model for rainfall derivatives
by Wolfgang Härdle & Maria Osipenko

2011 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

2011 Explaining Share Price Disparity with Parameter Uncertainty: Evidence from Chinese A- and H-Shares
by Tsz-Kin Chung & Ka-Fai Li & Cho-Hoi Hui

2011 Concocting Marketable Cocos
by George M. von Furstenberg

2011 Effects of Liquidity on the Nondefault Component of Corporate Yield Spreads: Evidence from Intraday Transactions Data
by Song Han & Hao Zhou

2011 Long-Dated Agricultural Futures Price Estimates Using the Seasonal Nelson-Siegel Model
by Jason West

2011 Adaptive continuous time Markov chain approximation model to general jump-diffusions
by Mario Cerrato & Chia Chun Lo & Konstantinos Skindilias

2011 Technical Analysis with a Long-Term Perspective: Trading Strategies and Market Timing Ability
by Isakov, Dusan & Marti, Didier

2011 Pricing of Gas Swing Options using Monte Carlo Methods
by Andrea Klimešová & Tomáš Václavík

2011 Modelling Long-Term Electricity Contracts at EEX
by Robert Flasza & Milan Rippel & Jan Šolc

2011 Modifying Gaussian term structure models when interest rates are near the zero lower bound
by Leo Krippner

2011 Variance Bounds on the Permanent and Transitory Components of Stochastic Discount Factors
by Bakshi, Gurdip & Chabi-Yo, Fousseni

2011 Informational Efficiency in Futures Markets for Crude Oil
by Andreas Fritz & Christoph Weber

2011 Valuation of Liabilities in Hybrid Pension Plans
by Dirk Broeders & An Chen & David Rijsbergen

2011 Continuous Workout Mortgages
by Robert J. Shiller & Rafal M. Wojakowski & M. Shahid Ebrahim & Mark B. Shackleton

2011 Good deals in markets with frictions
by Balbás, Raquel & Balbás, Beatriz & Balbás, Alejandro

2011 The Relative Informational Efficiency of Stocks, Options and Credit Default Swaps
by Lamia Bekkour & Thorsten Lehnert & Maria Chiara Amadori

2011 The Relative Informational Efficiency of Stocks, Options and Credit Default Swaps
by Lamia Bekkour & Thorsten Lehnert & Maria Chiara Amadari

2011 CDS Auctions
by Chernov, Mikhail & Gorbenko, Alexander & Makarov, Igor

2011 Hedging and Vertical Integration in Electricity Markets
by Aïd, René & Chemla, Gilles & Porchet, Arnaud & Touzi, Nizar

2011 Variance risk, financial intermediation, and the cross-section of expected option returns
by Schürhoff, Norman & Ziegler, Alexandre

2011 The risk neutral valuation paradox
by A. Fiori Maccioni

2011 The Dependence Structure between Carbon Emission Allowances and Financial Markets - A Copula Analysis
by Marc Gronwald & Janina Ketterer & Stefan Trück

2011 Options introduction and volatility in the EU ETS
by Julien Chevallier & Yannick Le Pen & Benoît Sévi

2011 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

2011 The Effect of Secondary Markets on Equity-Linked Life Insurance with Surrender Guarantees
by Christian Hilpert & Jing Li & Alexander Szimayer

2011 Macro-prudential policy and the conduct of monetary policy
by Beau, D. & Clerc, L. & Mojon, B.

2011 Macroeconomic determinants of carry trade activity
by Alessio Anzuini & Fabio Fornari

2011 Where is the value in high frequency trading?
by Álvaro Cartea & José Penalva

2011 Volatility in EMU sovereign bond yields: Permanent and transitory components
by Simón Sosvilla-Rivero & Amalia Morales-Zumaquero

2011 What we can learn from pricing 139,879 Individual Stock Options
by Lars Stentoft

2011 Risk and Return: Long-Run Relationships, Fractional Cointegration, and Return Predictability
by Tim Bollerslev & Daniela Osterrieder & Natalia Sizova & George Tauchen

2011 Coherent Model-Free Implied Volatility: A Corridor Fix for High-Frequency VIX
by Torben G. Andersen & Oleg Bondarenko & Maria T. Gonzalez-Perez

2011 Forecasting with Option Implied Information
by Peter Christoffersen & Kris Jacobs & Bo Young Chang

2011 American Option Pricing with Discrete and Continuous Time Models: An Empirical Comparison
by Lars Stentoft

2011 Efficient and accurate log-Lévi approximations to Lévi driven LIBOR models
by Antonis Papapantoleon & John Schoenmakers & David Skovmand

2011 Latent Integrated Stochastic Volatility, Realized Volatility, and Implied Volatility: A State Space Approach
by Christian Bach & Bent Jesper Christensen

2011 Hedge Ratio And Hedging Efficiency: Evidence From Indian Derivative Market
by Tripathy NALINIPRAVA

2011 Asset Pricing With Incomplete Information In A Discrete-Time Pure Exchange Economy
by Prasad V. BIDARKOTA & Brice V. DUPOYET

2011 Sentimental Preferences and the Organizational Regime of Betting Markets
by Egon Franck & Erwin Verbeek & Stephan Nüesch

2011 Patent Valuation and Real Options
by Alper, Deger

2011 Firm Decisions: Determinants of Investments
by Ionescu Alexandra

2011 Financial Innovations
by Piciu Gabriela Cornelia & Chiþiga Georgiana

2011 Development of Exchange-Traded Derivatives Markets in Selective Central and Eastern European Countries
by Anton Sorin Gabriel & Diaconasu Delia-Elena

2011 Practical and theoretical aspects of market-consistent valuation and hedging of insurance liabilities
by Łukasz Delong

2011 Decisiones óptimas de consumo y portafolio. Un enfoque de precios de estado de Arrow-Debreu
by Gavira Durón Nora & Venegas Martínez Francisco

2011 Safer Margins for Option Trading: How Accuracy Promotes Efficiency
by Rafi Eldor & Shmuel Hauser & Uzi Yaari

2011 Heterogeneous Basket Options Pricing Using Analytical Approximations
by Georges Dionne & Genevieve Gauthier & Nadia Ouertani & Nabil Tahani

2011 The Predictability of Non-Overlapping Forecasts: Evidence from a New Market
by Manolis G. Kavussanos & Ilias D. Visvikis

2011 Las emisiones primarias de energía en el mercado español: valoración de opciones teórica y de mercado/Primary Energy Emissions in the Spanish Market: Theoretical and Market-Based Option Pricing
by PEÑA, JUAN IGNACIO

2011 Az arbitrázs preferenciákkal történő karakterizációjáról
by Badics, Tamás

2011 Commentary: Some Methodological Suggestions
by Fumio Hayashi

2011 The Relationship between Volatility and Expected Returns: Some Evidence for Australia
by Ali F. Darrat & Bin Li & Omar Benkato

2011 Multi-Factor Approach For Pricing Basket Credit Linked Notes Under Issuer Default Risk
by Po-Cheng Wu

2011 Application Of A High-Order Asymptotic Expansion Scheme To Long-Term Currency Options
by Kohta Takehara & Masashi Toda & Akihiko Takahashi

2011 The Valuation Of Reset Options When Underlying Assets Are Autocorrelated
by Yu-Hong Liu & I-Ming Jiang & Shih-Cheng Lee & Yu-Ting Chen

2011 The Liquidity Effect In Option Pricing: An Empirical Analysis
by Shih-Ping Feng

2011 Implied Index And Option Pricing Errors: Evidence From The Taiwan Option Market
by Ching-Ping Wang & Hung-Hsi Huang & Chien-Chia Hung

2011 Transaction Cost Discovery By Decomposition Of The Error Term: A Bootstrapping Approach
by Ariful Hoque

2011 Herding the Mutual Fund Managers in the Athens Stock Exchange
by Nikolaos Theriou & George Mlekanis & Dimitrios Maditinos

2011 Impacto de los productos derivados los objetivos de política monetaria: un modelo de equilibrio general
by L. Arturo Bernal Ponce & Francisco Venegas Martínez

2011 Caracterización y modelado de redes: el caso de la Bolsa Mexicana de Valores
by Linda Margarita Medina Herrera & José Benito Díaz Hernández

2011 Options introduction and volatility in the EU ETS
by Chevallier, Julien & Le Pen, Yannick & Sévi, Benoît

2011 Asymmetric convergence in US financial credit default swap sector index markets
by Chen, Li-Hsueh & Hammoudeh, Shawkat & Yuan, Yuan

2011 Adding and subtracting Black-Scholes: A new approach to approximating derivative prices in continuous-time models
by Kristensen, Dennis & Mele, Antonio

2011 A joint valuation of premium payment and surrender options in participating life insurance contracts
by Schmeiser, H. & Wagner, J.

2011 Equity-linked pension schemes with guarantees
by Nielsen, J. Aase & Sandmann, Klaus & Schlögl, Erik

2011 Pricing catastrophe swaps: A contingent claims approach
by Braun, Alexander

2011 The uncertain mortality intensity framework: Pricing and hedging unit-linked life insurance contracts
by Li, Jing & Szimayer, Alexander

2011 A risk-based model for the valuation of pension insurance
by Chen, An

2011 Computing American option prices in the lognormal jump–diffusion framework with a Markov chain
by Simonato, Jean-Guy

2011 CAPM option pricing
by Husmann, Sven & Todorova, Neda

2011 American option pricing with discrete and continuous time models: An empirical comparison
by Stentoft, Lars

2011 Analysing interconnectivity among economies
by Wong, Alfred Y-T. & Fong, Tom Pak Wing

2011 Large traders and illiquid options: Hedging vs. manipulation
by Kraft, Holger & Kühn, Christoph

2011 Minimum return guarantees with fund switching rights—An optimal stopping problem
by Mahayni, Antje & Schoenmakers, John G.M.

2011 Neural Networks as Semiparametric Option Pricing Tool
by Michaela Barunikova & Jozef Barunik

2011 Aproximación De Reclamos Contingentes Para La Predicción De Riesgo De Crédito En Sus Medidas De Determinación De La Distancia De Default Y Su Probabil
by JUAN SERGIO CRUZ MERCHÁN & JAIME VARGAS VIVES

2011 Hedge Effectiveness in the Brazilian US Dollar Futures Market
by Marcelo Cabus Klotzle & Antonio Carlos Figueiredo Pinto & Mario Domingues Simões & Leonardo Lima Gomes

2011 Recovering Risk-Neutral Densities from Brazilian Interest Rate Options
by José Renato Haas Ornelas & Marcelo Yoshio Takami

2011 Commodity Booms and Busts
by Colin A. Carter & Gordon C. Rausser & Aaron Smith

2011 Global Asset Pricing
by Karen K. Lewis

2011 The Economics of Credit Default Swaps
by Robert A. Jarrow

2010 The value of tradeability
by Chesney, Marc & Kempf, Alexander

2010 Approximating the Numeraire Portfolio by Naive Diversification
by Eckhard Platen & Renata Rendek

2010 Pricing and Hedging in the Freight Futures Market
by Marcel Prokopczuk

2010 Interest rate risk hedging demand under a Gaussian framework
by Attaoui, Sami & Six, Pierre

2010 Recovering risk-neutral densities from exchange rate options: Evidence from Lira-Dollar options
by Halil İbrahim AYDIN & Ahmet DEĞERLİ & Pınar ÖZLÜ

2010 Who is Doing What; to Prices?
by Fatih Yilmaz

2010 Modeling and explaining the dynamics of European Union allowance prices at high-frequency
by Conrad, Christian & Rittler, Daniel & Rotfuß, Waldemar

2010 Explaining time-varying risk of electricity forwards: trading activity and news announcements
by Schulz, Frowin C.

2010 A call on Art investments
by Kraeussl, Roman & Wiehenkamp, Christian

2010 Optimal bidding strategies on the power market based on the stochastic models
by Magdalena Weglarz & Agnieszka Wylomanska

2010 FX Smile in the Heston Model
by Agnieszka Janek & Tino Kluge & Rafal Weron & Uwe Wystup

2010 Extracting Implied Dividends from Options Prices: some Applications to the Italian Derivatives Market
by Martina Nardon & Paolo Pianca

2010 Monte Carlo derivative pricing with partial information in a class of doubly stochastic Poisson processes with marks
by Silvia Centanni & Marco Minozzo

2010 Option Valuation in Multivariate SABR Models
by Jörg Kienitz & Manuel Wittke

2010 Equity-Linked Pension Schemes with Guarantees
by J. Aase Nielsen & Klaus Sandmann & Erik Schlogl

2010 A dynamic copula approach to recovering the index implied volatility skew
by Matthias Fengler & Helmut Herwartz & Christian Werner

2010 Option data and modeling BSM implied volatility
by Matthias Fengler

2010 The Variance Gamma Scaled Self-Decomposable Process in Actuarial Modelling
by Conall O'Sullivan & Michael Moloney

2010 Is Power Production Flexibility a Substitute for Storability? Evidence from Electricity Futures Prices
by Mehtap Kilic & Ronald Huisman

2010 Do Firms sell forward for Strategic Reasons? An Application to the Wholesale Market for Natural Gas
by Remco van Eijkel & Jose Luis Moraga

2010 Recovering Risk-Neutral Densities from Exchange Rate Options: Evidence in Turkey (Kur Opsiyonlarindan Riske Duyarsiz Yogunluk Fonksiyonu Cikarimi: Turkiye Ornegi)
by Halil Ibrahim Aydin & Ahmet Degerli & Pinar Ozlu

2010 Diagnóstico, Evaluación y Propuesta de Desarrollo del Mercado de Derivados en Chile
by Carlos Budnevich & Salvador Zurita

2010 Upper and lower bounds on dynamic risk indifference prices in incomplete markets
by Xavier De Scheemaekere

2010 Insecticide Use and Crop Selection: A South Dakota Case Study
by McDonald, Tia Michelle & Scott W. Fausti & Keating, Ariel Ruth & Li, Jing & Lundgren, Jonathan & Catangui, Mike

2010 Variance Risk Premiums and Predictive Power of Alternative Forward Variances in the Corn Market
by Zhiguang Wang & Scott W. Fausti & Bashir A. Qasmi

2010 The Market Microstructure of the European Climate Exchange
by Bruce Mizrach & Yoichi Otsubo

2010 Tail Return Analysis of Bear Stearns Credit Default Swaps
by Liuling Li & Bruce Mizrach

2010 A systematic approach for valuing American-style installment options with continuous payment plan
by Pierangelo Ciurlia

2010 A systematic approach for valuing European-style installment options with continuous payment plan
by Pierangelo Ciurlia

2010 On the evaluation of European continuous-istallment options
by Pierangelo Ciurlia

2010 Government Revenue Volatility in Alberta
by Smith, Constance & Landon, Stuart

2010 VIX Dynamics with Stochastic Volatility of Volatility
by Andreas Kaeck & Carol Alexander

2010 Regime-Dependent Smile-Adjusted Delta Hedging
by Carol Alexander & Alexander Rubinov & Markus Kalepky & Stamatis Leontsinis

2010 Seasonality and the Valuation of Commodity Options
by Janis Back & Marcel Prokopczuk & Markus Rudolf

2010 Does model fit matter for hedging? Evidence from FTSE 100 options
by Carol Alexander & Andreas Kaeck

2010 American Option Valuation: Implied Calibration of GARCH Pricing-Models
by Michael Weber & Marcel Prokopczuk

2010 An Empirical Model Comparison for Valuing Crack Spread Options
by Steffen Mahringer & Marcel Prokopczuk

2010 Downturn LGD: A Spot Recovery Approach
by Li, Hui

2010 Selective Hedging in Hydro-Based Electricity Companies
by Olsen, Eirik Tandberg & Sanda, Gaute Egeland & Fleten, Stein-Erik

2010 The puzzle of privately-imposed price limits: are the limits imposed by financial exchanges effective?
by Reiffen, David & Buyuksahin, Bahattin

2010 Multiple risky securities valuation II
by Ilya, Gikhman

2010 Power Spot Price Models with negative Prices
by Schneider, Stefan & Schneider, Stefan

2010 Unilateral CVA for CDS in Contagion model: With volatilities and correlation of spread and interest
by Bao, Qunfang & Chen, Si & Liu, Guimei & Li, Shenghong

2010 Survival Measures and Interacting Intensity Model: with Applications in Guaranteed Debt Pricing
by Bao, Qunfang & Li, Shenghong & Liu, Guimei

2010 Borrowing Constraint and the Effect of Option Introduction
by Amira, Khaled & Bennour, Khaled

2010 Strategic asset allocation and intertemporal demands: with commodities as an asset class
by Su, Yongyang & Lau, Marco Chi Keung

2010 Unilateral CVA for CDS in Contagion Model_with Volatilities and Correlation of Spread and Interest
by Bao, Qunfang & Chen, Si & Liu, Guimei & Li, Shenghong

2010 Levy Subordinator Model: A Two Parameter Model of Default Dependency
by Balakrishna, B S

2010 Model based Monte Carlo pricing of energy and temperature quanto options
by Caporin, Massimiliano & Pres, Juliusz & Torro, Hipolit

2010 FX Smile in the Heston Model
by Janek, Agnieszka & Kluge, Tino & Weron, Rafal & Wystup, Uwe

2010 An Analysis of the relationship between WTI term structure and oil market fundamentals in 2002-2009
by Cavalcante, Mileno

2010 The relevance of coarse thinking for investors' willingness to pay: An experimental study
by Siddiqi, Hammad

2010 Risky funding: a unified framework for counterparty and liquidity risk
by Morini, Massimo & Prampolini, Andrea

2010 Canonical Representation Of Option Prices and Greeks with Implications for Market Timing
by Cadogan, Godfrey

2010 Coarse thinking, implied volatility, and the valuation of call and put options
by Siddiqi, Hammad

2010 Discounting Revisited. Valuations under Funding Costs, Counterparty Risk and Collateralization
by Fries, Christian P.

2010 On cross-currency models with stochastic volatility and correlated interest rates
by Grzelak, Lech & Oosterlee, Kees

2010 Evaluation of hydropower upgrade projects - a real options approach
by Elverhøi, Morten & Fleten, Stein-Erik & Fuss, Sabine & Heggedal, Ane Marte & Szolgayova, Jana & Troland, Ole Christian

2010 Onshore and offshore market for Indian Rupee: recent evidence on volatility and shock spillover
by Behera, Harendra

2010 Leveraging the British Railway Mania: Derivatives for the Individual Investor
by Campbell, Gareth

2010 Credit Derivatives
by Giandomenico, Rossano

2010 Levy Subordinator Model of Default Dependency
by Balakrishna, B S

2010 Higher-order volatility: time series
by Carey, Alexander

2010 An Equity-Interest Rate Hybrid Model With Stochastic Volatility and the Interest Rate Smile
by Grzelak, Lech & Oosterlee, Kees

2010 Downturn LGD: A Spot Recovery Approach
by Li, Hui

2010 Alpha-root Processes for Derivatives pricing
by Balakrishna, BS

2010 Time-varying spot and futures oil price dynamics
by Guglielmo Caporale & Davide Ciferri & Alessandro Girardi

2010 Modelling and forecasting wind speed intensity for weather risk management
by Massimiliano Caporin & Juliusz Pres

2010 The effects of costly exploration on optimal investment timing
by Michi NISHIHARA & Takashi SHIBATA

2010 Evaluating the occurrence and disappearance of real options
by Michi Nishihara

2010 A model for determining whether a firm should exercise multiple real options individually or simultaneously
by Michi Nishihara

2010 An Empirical Analysis of the Swaption Cube
by Anders B. Trolle & Eduardo S. Schwartz

2010 Liquidity Risk of Corporate Bond Returns: A Conditional Approach
by Viral V. Acharya & Yakov Amihud & Sreedhar T. Bharath

2010 Index Investment and Financialization of Commodities
by Ke Tang & Wei Xiong

2010 Are Options on Index Futures Profitable for Risk Averse Investors? Empirical Evidence
by George M. Constantinides & Michal Czerwonko & Jens Carsten Jackwerth & Stylianos Perrakis

2010 Macroeconomic Conditions and the Puzzles of Credit Spreads and Capital Structure
by Hui Chen

2010 Explaining the Favorite-Longshot Bias: Is it Risk-Love or Misperceptions?
by Erik Snowberg & Justin Wolfers

2010 The Predictive Content of Commodity Futures
by Menzie D. Chinn & Olivier Coibion

2010 Sources of Variation in Holding Returns for Fed Funds Futures Contracts
by James D. Hamilton & Tatsuyoshi Okimoto

2010 On the Relative Pricing of long Maturity S&P 500 Index Options and CDX Tranches
by Pierre Collin-Dufresne & Robert S. Goldstein & Fan Yang

2010 Is Credit Event Risk Priced? Modeling Contagion via the Updating of Beliefs
by Pierre Collin-Dufresne & Robert S. Goldstein & Jean Helwege

2010 Likelihood-Related Estimation Methods and Non-Gaussian GARCH Processes
by Christophe Chorro & Dominique Guegan & Florian Ielpo

2010 Option pricing for GARCH-type models with generalized hyperbolic innovations
by Christophe Chorro & Dominique Guegan & Florian Ielpo

2010 Towards a volatility index for the Italian stock market
by Silvia Muzzioli

2010 Trade in Financial ServicesÑHas the IMF Been Involved Constructively?
by Robert M. Stern

2010 A Reduced Form Model of Default Spreads with Markov-Switching Macroeconomic Factors
by Georges Dionne & Geneviève Gauthier & Khemais Hammami & Mathieu Maurice & Jean-Guy Simonato

2010 Multivariate Option Pricing with Time Varying Volatility and Correlations
by Jeroen V.K. Rombouts & Lars Stentoft

2010 Heterogeneous Beliefs in a Continuous-Time Model
by Chiaki Hara

2010 Options on Multiple Assets in a Mean-Reverting Model
by Masahiko Egami & Tadao Oryu

2010 Pinning in the S&P 500 Futures
by Benjamin Golez & Jens Carsten Jackwerth

2010 Correlation Structure between Inflation and Oil Futures Returns: An Equilibrium Approach
by Jaime Casassus & Diego Ceballos

2010 An Empirical Analysis of Equity Market Expectations in the Recent Financial Turmoil Using Implied Moments and Jump Diffusion Processes
by Yoshihiko Sugihara & Nobuyuki Oda

2010 Pricing Options on Commodity Futures: The Role of Weather and Storage
by Marin Bozic

2010 FX Smile in the Heston Model
by Agnieszka Janek & Tino Kluge & Rafał Weron & Uwe Wystup

2010 Parametric estimation of risk neutral density functions
by Maria Grith & Volker Krätschmer

2010 Meteorological forecasts and the pricing of weather derivatives
by Matthias Ritter & Oliver Mußhoff & Martin Odening

2010 Estimation of the characteristics of a Lévy process observed at arbitrary frequency
by Johanna Kappus & Markus Reiß

2010 Illiquidity and Derivative Valuation
by Ulrich Horst & Felix Naujokat

2010 Volatility Investing with Variance Swaps
by Wolfgang Karl Härdle & Elena Silyakova

2010 The Risk of Sudden Depreciation of the Euro in the Sovereign Debt Crisis of 2009-2010
by Cho-Hoi Hui & Tsz-Kin Chung

2010 Using Interest Rate Derivative Prices to Estimate LIBOR-OIS Spread Dynamics and Systemic Funding Liquidity Shock Probabilities
by Cho-Hoi Hui & Tsz-Kin Chung & Chi-Fai Lo

2010 Analysing Interconnectivity among Economies
by Alfred Wong & Tom Fong

2010 Commodity Futures Returns: A Non Linear Markov Regime Switching Model of Hedging and Speculative Pressures
by Giulio Cifarelli & Giovanna Paladino

2010 The Price and Risk Effects of Option Introductions on the Nordic Markets
by Staffan Linden

2010 Default Risk in Stochastic Volatility Models
by Hans Gersbach & Nicolae Surulescu

2010 A comparison of reduced-form permit price models and their empirical performances
by Georg Grüll & Luca Taschini

2010 Environmental economics and modeling marketable permits
by Luca Taschini

2010 Option hedging for small investors under liquidity costs
by H. Mete Soner & Umut Cetin & Nizar Touzi

2010 Market Efficiency Test in the VIX Futures Market
by Jian Zhang & Lee W. Sanning & Sherrill Shaffer

2010 Government Revenue Volatility: The Case of Alberta, an Energy Dependent Economy
by Stuart Landon & Constance Smith

2010 Time-Varying Jump Intensities and Fat Tail Dynamics: Evidence from S&P500 Returns and Options
by Christoffersen, Peter & Jacobs, Kris & Ornthanalai, Chayawat

2010 Do firms sell forward for strategic reasons? An application to the wholesale market for natural gas
by van Eijkel, Remco & Moraga-González, Jose L.

2010 Volatility in Equilibrium: Asymmetries and Dynamic Dependencies
by Tim Bollerslev & Natalia Sizova & George Tauchen

2010 Volatility Jumps
by Viktor Todorov & George Tauchen

2010 Implied Risk-Neutral probability Density functions from options prices : A comparison of estimation methods
by Rihab Bedoui & Haykel Hamdi

2010 The Forward Premium Puzzle and Latent Factors Day by Day
by Kerstin Bernoth & Juergen von Hagen & Casper de Vries

2010 The Forward Premium Puzzle and Latent Factors Day by Day
by Kerstin Bernoth & Jürgen von Hagen & Casper G. de Vries

2010 Time-Varying Spot and Futures Oil Price Dynamics
by Guglielmo Maria Caporale & Davide Ciferri & Allessandro Girardi

2010 The Predictive Content of Commodity Futures
by Menzie D. Chinn & Olivier Coibion

2010 Outliers in Garch models and the estimation of risk measures
by Veiga, Helena & Grané, Aurea

2010 How much should we pay for interconnecting electricity markets? A real options approach
by González-Pedraz, Carlos & Cartea, Álvaro

2010 Derivatives pricing with marked point processes using Tick-by-tick data
by Cartea, Álvaro

2010 A Direct Test of Rational Bubbles
by Friedrich Geiecke & Mark Trede

2010 An exact pricing formula for European call options on zero-coupon bonds in the run-up to a currency union
by Gerrit Reher & Bernd Wilfling

2010 The Forward Premium Puzzle and Latent Factors Day by Day
by Bernoth, Kerstin & de Vries, Casper G & von Hagen, Jürgen

2010 Improving Portfolio Selection Using Option-Implied Volatility and Skewness
by DeMiguel, Victor & Plyakha, Yuliya & Uppal, Raman & Vilkov, Grigory

2010 Performance Maximization of Actively Managed Funds
by Guasoni, Paolo & Huberman, Gur & Wang, Zhenyu

2010 Valuation of VIX Derivatives
by Mencía, Javier & Sentana, Enrique

2010 Option pricing with asymmetric heteroskedastic normal mixture models
by ROMBOUTS, Jeroen V. K. & STENTOFT, Lars

2010 Commodities inventory effect
by CARPANTIER, Jean - François

2010 Multivariate option pricing with time varying volatility and correlations
by ROMBOUTS, Jeroen J. K & STENTOFT, Lars

2010 Liquidity risks on power exchanges
by DE MAERE D’AERTRYCKE, Gauthier & SMEERS, Yves

2010 Estimating the Appropriate Risk Profile for the Tax Savings: A Contingent Claim Approach
by Gonzalo Diaz Hoyos & Ignacio Velez Pareja

2010 Dependencia de largo plazo y la regla de la raíz del tiempo para escalar la volatilidad en el mercado colombiano
by Carlos León & Francisco Vivas

2010 Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models
by Jeroen Rombouts & Lars Peter Stentoft

2010 Multivariate Option Pricing With Time Varying Volatility and Correlations
by Jeroen Rombouts & Lars Peter Stentoft

2010 Is the Price Kernel Monotone?
by Giovanni BARONE-ADESI & Hakim DALL'O

2010 Do Firms Sell Forward for Strategic Reasons? An Application to the Wholesale Market for Natural Gas
by Remco van Eijkel & José Luis Moraga Gonzalez

2010 Time-Varying Spot and Futures Oil Price Dynamics
by Guglielmo Maria Caporale & Davide Ciferri & Alessandro Girardi

2010 Bilateral Trade, Openness and Asset Holdings
by Jing Li & Alexander Szimayer

2010 The Uncertain Mortality Intensity Framework: Pricing and Hedging Unit-Linked Life Insurance Contracts
by Jing Li & Alexander Szimayer

2010 The valuation of N-phased investment projects under jump-diffusion processes
by R. Andergassen & L. Sereno

2010 Credit ratings in structured finance and the role of systemic risk
by Roberto Violi

2010 An analysis of the determinants of credit default swap spread changes before and during the subprime financial turmoil
by Antonio Di Cesare & Giovanni Guazzarotti

2010 Market Expectations and Option Prices: Evidence for the Can$/US$ Exchange Rate
by Alejandro Garcia & Andrei Prokopiw

2010 Los Deribados Financieros como Herramienta para Evaluar la Reforma Laboral: Una Aproximación Binomial
by Sílvia Bou & Albert Hernández Colom & Carlota Linares Peréz

2010 Level Shifts in Volatility and the Implied-Realized Volatility Relation
by Bent Jesper Christensen & Paolo Santucci de Magistris

2010 The Risk-Return Tradeoff and Leverage Effect in a Stochastic Volatility-in-Mean Model
by Bent Jesper Christensen & Petra Posedel

2010 Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models
by Jeroen V.K. Rombouts & Lars Stentoft

2010 Picard Approximation of Stochastic Differential Equations and Application to Libor Models
by Antonis Papapantoleon & David Skovmand

2010 The Forecast Performance of Competing Implied Volatility Measures: The Case of Individual Stocks
by Leonidas Tsiaras

2010 Multivariate Option Pricing with Time Varying Volatility and Correlations
by Jeroen V.K. Rombouts & Lars Stentoft

2010 Spot price and future price for Brent and WTI markers: Behavior and determinants (1998-2008)
by Giuseppe Pulitano & Emmanuel Borgucci

2010 Inverse Vertical Ratio Put Spread Strategy and its Application in Hedging Against a Price Drop
by Vincent Šoltés & Omer Faraj S. Amaitiek

2010 Crisis of financial system and evolution of commodities market
by Varshavsky, Leonid

2010 Assessing and Negotiating Commercial Contracts
by Jan Vlachý

2010 An option on the average European futures prices for an efficient hog producer risk management
by Martial Phélippé-Guinvarc’H & Jean Cordier

2010 Productos derivados sobre bienes de consumo
by Francisco Venegas Martinez & Salvador Cruz Ake

2010 „Black-Scholes Model Used To Evaluate Stocks Options”
by Turcan Radu Olimpiu Calin

2010 Investor Valuation of the Abandonment Option: Empirical Evidence from UK Divestitures 1985-1991
by Ephraim Clark & Patrick Rousseau & Magid Gadad

2010 Asymmetric Information and Irreversible Investments: an Auction Model
by Joril Maeland

2010 Valuación financiera de proyectos de energía nuclear en Argentina mediante opciones reales
by Álvarez-Echeverría, Francisco. & Venegas-Martínez, Francisco. & López-Sarabia, Pablo.

2010 Criterios Difusos En La Seleccion De Carteras
by Christian Camilo Vargas R

2010 Limit Orders, Trading Activity, and Transactions Costs in Equity Futures in an Electronic Trading Environment
by Lorne N. Switzer & Haibo Fan

2010 Planes no creíbles de estabilización de precios, riesgo cambiario y opciones reales para posponer consumo. Un análisis con volatilidad estocástica
by Venegas-Martínez, Francisco

2010 Volatilidad estocástica y la ecuación de Fokker-Planck: parámetros dependientes del tiempo y filtro de Kalman
by Claudia Estrella Castillo Ramírez

2010 Relación entre inflación y volatilidad de derivados financieros: el caso de México
by L. Arturo Bernal Ponce & Humberto Valencia Herrera

2010 Financial Markets Interactions between Economic Theory and Practice
by Mihaela NICOLAU

2010 The Role of Market-Implied Severity Modeling for Credit VaR
by J. Samuel Baixauli & Susana Alvarez

2010 The Difficulty to Stabilize Energy Markets
by Òscar Mascarilla, Yuri Yegorov & Yuri Yegorov & Montse Crespi-Vallbona

2010 Caracterización y pronóstico del precio spot de la energía eléctrica en Colombia
by Sandra Patricia Bello-Rodríguez & Robert Baudilio Beltrán-Ahumada

2010 Black Gold and Fool’s Gold: Speculation in the Oil Futures Market
by John Parsons

2010 estimación de una superficie de volatilidades para las opciones de tasa de cambio USD/COP
by Andrés Gómez

2010 Variance Swaps in BM&F: Pricing and Viability of Hedge
by Richard John Brostowicz Junior & Márcio Poletti Laurini

2010 Pricing Asian Interest Rate Options with a Three-Factor HJM Model
by Claudio Henrique Barbedo & Octávio Bessada Lion & Jose Valentim Machado Vicente

2010 Constructing Binomial Trees Via Random Maps for Analysis of Financial Assets
by Antonio Airton Carneiro de Freitas & José Roberto Securato

2010 Policy responses to dislocations in the FX swap market: the experience of Korea
by Naohiko Baba & Ilhyock Shim

2010 Risk Management
by Philippe Jorion

2010 The Orientation Towards The Private Pension System – A Consequence Of The Public Pension System’S Unsustanability
by Lect. Ph.D Mangra Madalina Giorgiana & Assoc. Prof. Ph.D Stanciu Marieta & Lect. Ph.D Sperdea Natalita Maria

2010 Options evaluation - Black-Scholes model vs. binomial options pricing model
by Ioan TRENCA & Maria Miruna POCHEA & Angela Maria FILIP

2010 Credit Default Swaps and the Credit Crisis
by Rene M. Stulz

2010 The Failure Mechanics of Dealer Banks
by Darrell Duffie

2009 Price discovery in spot and futures markets: A reconsideration
by Theissen, Erik

2009 Modeling and pricing of credit derivatives using macroeconomic information
by Schmid, Bernd & Zagst, Rudi & Antes, Stefan & El Moufatich, Fayssal

2009 What executives should know about structural credit risk models and their limitations: a primer with examples
by Malone, Samuel & Rodriguez, Abel & ter Horst, Enrique

2009 The European Commission and EUA prices: a high-frequency analysis of the EC's decisions on second NAPs
by Rotfuß, Waldemar & Conrad, Christian & Rittler, Daniel

2009 Intraday price formation and volatility in the European Union emissions trading scheme: an introductory analysis
by Rotfuß, Waldemar

2009 Valuing options in Heston's stochastic volatility model: Another analytical approach
by Frontczak, Robert

2009 On modified Mellin transforms, Gauss-Laguerre quadrature, and the valuation of American call options
by Frontczak, Robert & Schöbel, Rainer

2009 Strategic pricing of financial options
by Bieta, Volker & Broll, Udo & Milde, Hellmuth & Siebel, Wilfried

2009 Accuracy of premium calculation models for CAT bonds: An empirical analysis
by Galeotti, Marcello & Gürtler, Marc & Winkelvos, Christine

2009 Credit gap risk in a first passage time model with jumps
by Packham, Natalie & Schlögl, Lutz & Schmidt, Wolfgang M.

2009 Credit dynamics in a first passage time model with jumps
by Packham, Natalie & Schlögl, Lutz & Schmidt, Wolfgang M.

2009 Price discovery in spot and futures markets: A reconsideration
by Theissen, Erik

2009 Trading the bond-CDS basis: The role of credit risk and liquidity
by Trapp, Monika

2009 The term structure of illiquidity premia
by Kempf, Alexander & Korn, Olaf & Uhrig-Homburg, Marliese

2009 The information content of implied volatilities and model-free volatility expectations: Evidence from options written on individual stocks
by Taylor, Stephen J. & Yadav, Pradeep K. & Zhang, Yuanyuan

2009 Risk premia in electricity wholesale spot markets: empirical evidence from Germany
by Pietz, Matthäus

2009 Risk premia in the German electricity futures market
by Pietz, Matthäus

2009 (Real-)options, uncertainty and comparative statics: Are Black and Scholes mistaken?
by Berg, Tobias & Mölls, Sascha H. & Willershausen, Timo

2009 Calibration of the subdiffusive Black–Scholes model
by Sebastian Orzel & Aleksander Weron

2009 Implied volatilities of American options with cash dividends: an application to Italian Derivatives Market (IDEM)
by Martina Nardon & Paolo Pianca

2009 Modelling the Evolution of Credit Spreads Using the Cox Process Within the HJM Framework A CDS Option Pricing Model
by Carl Chiarella & Viviana Fanelli & Silvana Musti

2009 A Benchmark Approach to Investing and Pricing
by Eckhard Platen

2009 Asset Markets and Monetary Policy
by Eckhard Platen & Willi Semmler

2009 Alternative Defaultable Term Structure Models
by Nicola Bruti-Liberati & Christina Nikitopoulos-Sklibosios & Eckhard Platen & Erik Schlogl

2009 Pricing caps with HJM models: the benefits of humped volatility
by Jury Falini

2009 Option trading strategies based on semi-parametric implied volatility surface prediction
by Francesco Audrino & Dominik Colangelo

2009 A decomposition formula for option prices in the Heston model and applications to option pricing approximation
by Elisa Alòs

2009 How to Manage Food Price Instability in Developing Countries ?
by Galtier, F.

2009 Comment gérer l'instabilité des prix alimentaires dans les pays en développement ?
by Galtier, F.

2009 Valuation of R&D Investment Opportunities with the Threat of Competitors Entry in Real Option Analysis
by Giovanni Villani

2009 Automated Likelihood Based Inference for Stochastic Volatility Models
by Hans J. Skaug & Jun Yu

2009 Integration of the Global Emissions Trading Markets
by Bruce Mizrach

2009 Indeterminacy of competitive equilibrium with risk of default
by Gaetano Bloise & Pietro Reichlin & Mario Tirelli

2009 A New Look at Copper Markets: A Regime-Switching Jump Model
by Chan, Wing Hong & Young, Denise

2009 Option Pricing Under Lévy Processes: A Unifying Formula
by Rossella Agliardi

2009 Commodity Derivatives Valuation with Autoregression and Moving Average in the Price Dynamics
by Raphael Paschke & Marcel Prokopczuk

2009 Trends in U.S. Cotton Basis Since 2001
by MacDonald, Stephen & Meyer, Leslie

2009 Is there a Distress Risk Anomaly? Pricing of Systematic Default Risk in the Cross Section of Equity Returns
by Anginer, Deniz & Yildizhan, Celim

2009 New insights into India’s single stock futures markets
by HUNG, MAO-WEI & SO, LEH-CHYAN

2009 Modelos estocásticos para el precio spot y del futuro de commodities con alta volatilidad y reversión a la media
by García de la Vega, Victor Manuel & Ruiz-Porras, Antonio

2009 On The Heston Model with Stochastic Interest Rates
by Grzelak, Lech & Oosterlee, Kees

2009 A Spot Stochastic Recovery Extension of the Gaussian Copula
by Bennani, Norddine & Maetz, Jerome

2009 Double Impact on CVA for CDS: Wrong-Way Risk with Stochastic Recovery
by Li, Hui

2009 Assessing the influence of spot price predictability on electricity futures hedging
by Torro, Hipolit

2009 Extension of Spot Recovery Model for Gaussian Copula
by Li, Hui

2009 Effects of market sentiment in index option pricing: a study of CNX NIFTY index option
by Nagarajan, Thirukumaran & Malipeddi, Koteswararao

2009 A Quasi-analytical Interpolation Method for Pricing American Options under General Multi-dimensional Diffusion Processes
by Li, Minqiang

2009 Alternative Tilts for Nonparametric Option Pricing
by Walker, Todd B & Haley, M. Ryan

2009 How Duration Between Trades of Underlying Securities Affects Option Prices
by Cartea, Álvaro & Meyer-Brandis, Thilo

2009 On Models of Stochastic Recovery for Base Correlation
by Li, Hui

2009 Term Structure Equations Under Benchmark Framework
by El Qalli, Yassine

2009 A fundamental power price model with oligopolistic competition representation
by Vazquez, Miguel & Barquín, Julián

2009 Analytical Approximations for the Critical Stock Prices of American Options: A Performance Comparison
by Minqiang Li, Li

2009 Modeling long-term electricity forward prices
by Povh, Martin & Fleten, Stein-Erik

2009 New renewable electricity capacity under uncertainty: The potential in Norway
by Fleten, Stein-Erik & Ringen, Geir

2009 Hybrid or Electric Vehicles? A Real Options Perspective
by Michi NISHIHARA

2009 Did the ETF enhance arbitrage between cash and futures of the Nikkei225?
by Youki Kohsaka

2009 Preemptive Investment Game with Alternative Projects
by Michi Nishihara

2009 Are Banks Different? Evidence from the CDS Market
by Burkhard Raunig & Martin Scheicher

2009 Macro-Hedging for Commodity Exporters
by Eduardo Borensztein & Olivier Jeanne & Damiano Sandri

2009 Credit Default Swaps and the Credit Crisis
by René M. Stulz

2009 Systemic Risk and the Refinancing Ratchet Effect
by Amir E. Khandani & Andrew W. Lo & Robert C. Merton

2009 Asset Return Dynamics under Bad Environment Good Environment Fundamentals
by Geert Bekaert & Eric Engstrom

2009 U.S. Stock Market Crash Risk, 1926-2006
by David S. Bates

2009 Valuing Toxic Assets: An Analysis of CDO Equity
by Francis A. Longstaff & Brett Myers

2009 The Term Structures of Equity and Interest Rates
by Martin Lettau & Jessica A. Wachter

2009 Information, Liquidity, and the (Ongoing) Panic of 2007
by Gary B. Gorton

2009 Credit Risk Transfer and Bank Competition
by Hendrik Hakenes & Isabel Schnabel

2009 The skew pattern of implied volatility in the DAX index options market
by Silvia Muzzioli

2009 The skew pattern of implied volatility in the DAX index options market
by Silvia Muzzioli

2009 Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models
by Jeroen V.K. Rombouts & Lars Stentoft

2009 Basket Options on Heterogeneous Underlying Assets
by Georges Dionne & Geneviève Gauthier & Nadia Ouertani

2009 Credit Spread Changes within Switching Regimes
by Olfa Maalaoui & Georges Dionne & Pascal François

2009 Liquidität, Risikoeinstellung des Kapitalmarktes und Konjunkturerwartung als Preisdeterminanten von Collateralized Debt Obligations (CDOs) - Eine simulationsgestützte Analyse
by Gann, Philipp

2009 Heterogeneous Impatience in a Continuous-Time Model
by Chiaki Hara

2009 The Superiority of Time-Varying Hedge Ratios in Turkish Futures
by Onur Olgun & Ý. Hakan Yetkiner

2009 Pricing executive stock options under employment shocks
by Ángel León Valle & Antonio Vaello & Julio Carmona

2009 Speculation and Volatility Spillover in the Crude Oil and Agricultural Commodity Markets: A Bayesian Analysis
by Xiaodong Du & Cindy L. Yu & Dermot J. Hayes

2009 Speculation and Volatility Spillover in the Crude Oil and Agricultural Commodity Markets: A Bayesian Analysis
by Xiaodong Du & Cindy L. Yu & Dermot J. Hayes

2009 Polar sets of anisotropic Gaussian random fields
by Jakob Söhl

2009 Representations for optimal stopping under dynamic monetary utility functionals
by Volker Krätschmer & John Schoenmakers

2009 CDO and HAC
by Barbara Choroś & Wolfgang Härdle & Ostap Okhrin

2009 CDO Pricing with Copulae
by Barbara Choros & Wolfgang Härdle & Ostap Okhrin

2009 A Microeconomic Explanation of the EPK Paradox
by Wolfgang Härdle & Volker Krätschmer & Rouslan Moro

2009 Credit Spreads on Corporate Bonds and the Macroeconomy in Japan
by Kiyotaka Nakashima & Makoto Saito

2009 Option Pricing Using Realized Volatility and ARCH Type Models
by Toshiaki Watanabe & Masato Ubukata

2009 Discriminatory Power and Predictions of Defaults of Structural Credit Risk Models
by T. C. Wong & C. H. Hui & C. F. Lo

2009 A Liquidity Risk Stress-Testing Framework with Interaction between Market and Credit Risks
by Eric Wong & Cho-Hoi Hui

2009 Heterogeneous Impatience in a Continuous-Time Model
by Hara, Chiaki

2009 A Model of Deferred Callability in Defaultable Debt
by Mjøs, Aksel & Persson, Svein-Arne

2009 Pricing basket default swaps in a tractable shot-noise model
by Herbertsson, Alexander & Jang, Jiwook & Schmidt, Thorsten

2009 Systemic Risk and the Refinancing Ratchet Effect
by Amir E. Khandani & Andrew W. Lo & Robert C. Merton

2009 What is the Impact of Stock Market Contagion on an Investor's Portfolio Choice?
by Nicole Branger & Holger Kraft & Christoph Meinerding

2009 Option Pricing: The empirical tests of the Black-Scholes pricing formula and the feed-forward networks
by Michaela Vlasáková Baruníková

2009 Did Speculation Affect World Rice Prices?
by C. Peter Timmer

2009 Term Structure Equations Under Benchmark Framework
by El Qalli Yassine

2009 Expected Returns and Volatility of Fama-French Factors
by Chabi-Yo, Fousseni

2009 Volatility in Equilibrium: Asymmetries and Dynamic Dependencies
by Tim Bollerslev & Natalia Sizova & George Tauchen

2009 Hedging residual value risk using derivatives
by Sylvain Prado

2009 Compatibility between pricing rules and risk measures: the CCVaR
by Balbás, Raquel & Balbás, Alejandro

2009 Macro-Hedging for Commodity Exporters
by Borensztein, Eduardo & Jeanne, Olivier & Sandri, Damiano

2009 Indeterminacy of Competitive Equilibrium with Risk of Default
by Bloise, Gaetano & Reichlin, Pietro & Tirelli, Mario

2009 Limits to Arbitrage and Hedging: Evidence from Commodity Markets
by Acharya, Viral V & Lochstoer, Lars & Ramadorai, Tarun

2009 The valuation of power futures based on optimal dispatch
by DE MAERE D’AERTRYCKE, Gauthier & SMEERS, Yves

2009 Bayesian option pricing using mixed normal heteroskedasticity models
by ROMBOUTS, Jeroen V.K. & STENTOFT, Lars

2009 Implementing Binomial Trees
by Manfred Gilli & Enrico Schumann

2009 Una aproximación teórica a la superficie de volatilidad en el mercado colombiano a través del modelo de difusión con saltos
by Carlos León

2009 The Merton Approach to Estimating Loss Given Default: Application to the Czech Republic
by Jakub Seidler & Petr Jakubik

2009 Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models
by Jeroen Rombouts & Lars Peter Stentoft

2009 Realizing Smiles: Pricing Options with Realized Volatility
by Fulvio CORSI & Nicola FUSARI & Davide LA VECCHIA

2009 Dynamic Investment and Financing under Asymmetric Information
by Erwan MORELLEC & Norman SCHURHOFF

2009 A Strategic R&D Investment with Flexible Development Time in Real Option Game Analysis
by Giovanni Villani

2009 Admissible strategies in semimartingale portfolio selection
by Sara Biagini & Ales Cerny

2009 Macroeconomic Uncertainty and Credit Default Swap Spreads
by Christopher F Baum & Chi Wan

2009 An Alternative Formula to Price American Options
by Rocío Elizondo & Pablo Padilla & Mogens Bladt

2009 Structural The Equity Premium and the Volatility Spread: The Role of Risk-Neutral Skewness
by Bruno Feunou & Jean-Sébastien Fontaine & Roméo Tedongap

2009 Measures of Aggregate Credit Conditions and Their Potential Use by Central Banks
by Alejandro García & Andrei Prokopiw

2009 A No Arbitrage Fractional Cointegration Analysis Of The Range Based Volatility
by Eduardo Rossi & Paolo Santucci de Magistris

2009 Adding and Subtracting Black-Scholes: A New Approach to Approximating Derivative Prices in Continuous Time Models
by Dennis Kristensen & Antonio Mele

2009 Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models
by Jeroen V.K. Rombouts & Lars Stentoft

2009 Volatility in Equilibrium: Asymmetries and Dynamic Dependencies
by Tim Bollerslev & Natalia Sizova & George Tauchen

2009 Characteristics Of Japan'S Commodities Index And Its Correlation With Stock Index
by Yamori NOBUYOSHI

2009 Modeling Dynamics of Oil Prices under Different Regimes of Oil Market Development
by Varshavsky , Leonid

2009 Model Uncertainty and Liquidity
by Bryan Routledge & Stanley Zin

2009 Valuation of Convexity Related Interest Rate Derivatives
by Jiří Witzany

2009 Algorithm For Generalized Garman Equation In Option Pricing Of A Financial Derivatives With Stochastic Volatility Models
by Socaciu Tiberiu & Danubianu Mirela & Maxim Ioan & Naaji Antoanela

2009 Modeling Volatility in Foreign Currency Option Pricing
by Ariful Hoque & Felix Chan & Meher Manzur

2009 European Put-Call Parity and the Early Exercise Premium for American Currency Options
by Geoffrey Poitras & Chris Veld & Yuriy Zabolotnyuk

2009 Pervasive Gaming: Testing Future Context Aware Applications
by Paul PISJAK & Stefan FELDER & Ernst-Olav RUHLE & Martin LUNDBORG & Matthias EHRLER

2009 Cash Flow Statements
by Jadranka Kapic

2009 The Hazards Of Propping Up: Bubbles And Chaos
by Philip Maymin

2009 Information Spillovers In The Spot And Etf Indices In Taiwan
by Chien-Cheng Wang & Yung-Shi Liau & Jack J.W. Yang

2009 Computational Efficiency and Accuracy in the Valuation of Basket Options
by Pengguo Wang

2009 Implied Market Loss Given Default in the Czech Republic: Structural-Model Approach
by Jakub Seidler & Petr Jakubík

2009 Model Selection and Estimation of Long-Memory Time-Series Models
by Katelijne A.E. Carbonez

2009 International Portfolio Diversification: Evidence from European Emerging Markets
by Nikolaos L. Hourvouliades

2009 Una contribución a la valuación de los Synthetic CDO
by Francisco García Castillo

2009 Price volatility forecasts for agricultural commodities: an application of volatility models, option implieds and composite approaches forfutures prices of corn and wheat
by Guillermo Benavides Perales

2009 Modelos Estocásticos para el Precio Spot y del Futuro de Commodities con Alta Volatilidad y Reversión a la Media
by Víctor Manuel García de la Vega & Antonio Ruiz Porras

2009 Pricing Foreign Equity Options with Stochastic Correlation and Volatility
by Jun Ma

2009 Valuation of Discrete Barrier American Options
by Giuliano Carroza Uzêda Iorio de Souza & Carlos Patrício Samanez

2009 Is It Possible to Replicate the Exchange Rate Volatility Behavior Using Dynamic Strategies?
by Ronny Kim Woo & José Valentim Machado Vicente & Claudio Henrique Barbedo

2009 Evaluating cash benefits as real options for a commodity producer in an emerging market
by Fernando Antonio Lucena Aiube & Edison Americo Huarsaya Tito

2009 The Development of New Catastrophe Risk Markets
by Howard C. Kunreuther & Erwann O. Michel-Kerjan

2009 The Term Structure of Interest Rates
by Robert A. Jarrow

2009 Credit Risk Models
by Robert A. Jarrow

2009 Estimating and Testing Continuous-Time Models in Finance: The Role of Transition Densities
by Yacine Aït-Sahalia

2009 Volatility Derivatives
by Peter Carr & Roger Lee

2009 New financial derivatives on Romanian market - contracts for difference
by Mircea CIOLPAN

2009 World Oil: Market or Mayhem?
by James L. Smith

2008 THE HIDDEN HISTORY OF 9-11, 2nd edition, paperback
by

2008 Entry Strategies of Partnerships versus Conventional Firms
by Michele Moretto & Gianpaolo Rossini

2008 On the lognormality of forward credit default swap spreads
by Jabbour, George & El Masri, Fatena & Young, Stephen

2008 Türkiye’de Döviz ve Endeks Futures Sözleşmelerinin Stokastik Modellenmesi
by Alper ÖZÜN & Mehmet TÜRK

2008 Pricing American options with Mellin transforms
by Frontczak, Robert & Schöbel, Rainer

2008 Was kostet eine Garantie? Ein statistischer Vergleich der Rendite von langfristigen Anlagen
by Becker, Christoph & Wystup, Uwe

2008 Forward-start options in the Barndorff-Nielsen-Shephard Model
by Keller-Ressel, Martin & Kilin, Fiodar

2008 On the valuation of fader and discrete barrier options in Heston's Stochastic Volatility Model
by Griebsch, Susanne & Wystup, Uwe

2008 Pro-rata matching and one-tick futures markets
by Field, Jonathan & Large, Jeremy

2008 A partially linear approach to modelling the dynamics of spot and futures prices
by Gaul, Jürgen & Theissen, Erik

2008 A value at risk analysis of credit default swaps
by Scheicher, Martin & Raunig, Burkhard

2008 The pricing of correlated default risk: evidence from the credit derivatives market
by Zhu, Haibin & Tarashev, Nikola A.

2008 Market conditions, default risk and credit spreads
by Tang, Dragon Yongjun & Yan, Hong

2008 Modelling energy forward prices
by Joanna Janczura & Aleksander Weron

2008 An efficient binomial approach to the pricing of options on stocks with cash dividends
by Martina Nardon & Paolo Pianca

2008 Real World Pricing for a Modified Constant Elasticity of Variance Model
by Shane M Miller & Eckhard Platen

2008 Exchange Options Under Jump-Diffusion Dynamics
by Gerald H. L. Cheang & Carl Chiarella

2008 Modelling the Evolution of Credit Spreads using the Cox Process within the HUM Framework: A CDS Option Pricing Model
by Carl Chiarella & Viviana Fanelli & Silvana Musti

2008 On Honest Times in Financial Modeling
by Ashkan Nikeghbali & Eckhard Platen

2008 Distributional Deviations in Random Number Generation in Finance
by Sergio Chavez & Eckhard Platen

2008 A Unifying Approach to Asset Pricing
by Eckhard Platen

2008 Hedge Portfolios in Markets with Price Discontinuities
by Gerald H.L. Cheang & Carl Chiarella

2008 Analytic Pricing of Contingent Claims Under the Real-World Measure
by Shane Miller & Eckhard Platen

2008 The Law of Minimal Price
by Eckhard Platen

2008 Hedging for the Long Run
by Eckhard Platen & Hardy Hulley

2008 Betting on Hitler: The value of political connections in Nazi Germany
by Joachim Voth & Thomas Ferguson

2008 A Hull and White formula for a general stochastic volatility jump-diffusion model with applications to the study of the short-time behavior of the implied volatility
by Elisa Alòs & Jorge A. León & Monique Pontier & Josep Vives

2008 R&D Cooperation in Real Option Game Analysis
by Giovanni Villani

2008 Predicting the Fed
by Kenneth B. Petersen & Vladimir Pozdnyakov

2008 Volatility Exposure for Strategic Asset Allocation
by Marie Briere & Alexandre Burgues & Ombretta Signori

2008 Jump and Cojump Risk in Subprime Home Equity Derivatives
by Bruce Mizrach

2008 Asset prices, debt constraints and inefficiency
by Gaetano Bloise & Pietro Reichlin

2008 Incomplete Financial Markets and Contingent Claim Pricing in a dual expected utility theory framework
by Massimiliano Corradini & Andrea Gheno

2008 Interview with Nobel Prize Laureate Myron S. Scholes
by Scholes, Myron S.

2008 An analytically tractable time-changed jump-diffusion default intensity model
by Naoufel El-Bachir & Damiano Brigo

2008 Markov Switching GARCH Diffusion
by Carol Alexander & Emese Lazar

2008 A model for pricing real estate derivatives with stochastic interest rates
by Ciurlia, Pierangelo & Gheno, Andrea

2008 The Economics of Financial Derivative Instruments
by NWAOBI, GODWIN C

2008 A Novel Pricing Method For European Options Based On Fourier-Cosine Series Expansions
by Fang, Fang & Oosterlee, Kees

2008 Pricing Early-Exercise and Discrete Barrier Options by Fourier-Cosine Series Expansions
by Fang, Fang & Oosterlee, Kees

2008 Investment Model Uncertainty and Fair Pricing
by Los, Cornelis A. & Tungsong, Satjaporn

2008 Dynamic Conditioning and Credit Correlation Baskets
by Albanese, Claudio & Vidler, Alicia

2008 Multi-asset Spread Option Pricing and Hedging
by Li, Minqiang & Deng, Shijie & Zhou, Jieyun

2008 A Novel Pricing Method For European Options Based On Fourier-Cosine Series Expansions
by Fang, Fang & Oosterlee, Kees

2008 Numeraire Invariance and application to Option Pricing and Hedging
by Jamshidian, Farshid

2008 Risky Swaps
by Gikhman, Ilya

2008 Risky Swaps
by Gikhman, Ilya

2008 Closed-Form Approximations for Spread Option Prices and Greeks
by Li, Minqiang

2008 Risky Swaps
by Gikhman, Ilya

2008 An Adaptive Succesive Over-relaxation Method for Computing the Black-Scholes Implied Volatility
by Li, Minqiang

2008 Natural volatility and option pricing
by Carey, Alexander

2008 Liquidity-Induced Dynamics in Futures Markets
by Fagan, Stephen & Gencay, Ramazan

2008 Approximating correlated defaults
by Rosenthal, Dale W.R.

2008 Multiple risky securities valuation I
by Ilya, Gikhman

2008 Implied Volatility with Time-Varying Regime Probabilities
by Lanne, Markku & Ahoniemi, Katja

2008 Two Curves, One Price :Pricing & Hedging Interest Rate Derivatives Decoupling Forwarding and Discounting Yield Curves
by Bianchetti, Marco

2008 Valuing Coupon Bond Linked to Variable Interest Rate
by Giandomenico, Rossano

2008 Asset Liability Management for Banks
by Giandomenico, Rossano

2008 Pricing of Double Barrier Options by Spectral Theory
by Dell'Era Mario, M.D.

2008 Pricing of the European Options by Spectral Theory
by Dell'Era Mario, M.D.

2008 Levy Density Based Intensity Modeling of the Correlation Smile
by Balakrishna, B S

2008 'Noise trader risk' and Bayesian market making in FX derivatives: rolling loaded dice?
by Ulibarri, Carlos A. & Anselmo, Peter & Hovsepian, Karen & Florescu, Ionut & Tolk, Jacob

2008 Real Option Games with R&D and Learning Spillovers
by Martzoukos, Spiros H & Zacharias, Eleftherios

2008 Price Deviations of S&P 500 Index Options from the Black-Scholes Formula Follow a Simple Pattern
by Li, Minqiang

2008 A Damped Diffusion Framework for Financial Modeling and Closed-form Maximum Likelihood Estimation
by Li, Minqiang

2008 Cash Flow-Wise ABCDS pricing
by Penasse, Julien

2008 A semiparametric factor model for electricity forward curve dynamics
by Borak, Szymon & Weron, Rafal

2008 Hedging error in Lévy models with a Fast Fourier Transform approach
by Flavio Angelini & Marco Nicolosi

2008 Forecasting temperature indices with timevarying long-memory models
by Massimiliano Caporin & Juliusz Pres

2008 Are Workers Enterprises Entry Policies Conventional?
by Michele Moretto & Gianpaolo Rossini

2008 Mispricing of S&P 500 Index Options
by George M. Constantinides & Jens Carsten Jackwerth & Stylianos Perrakis

2008 The True Cost of Social Security
by Alexander W. Blocker & Laurence J. Kotlikoff & Stephen A. Ross

2008 Fooling Some of the People All of the Time: The Inefficient Performance and Persistence of Commodity Trading Advisors
by Geetesh Bhardwaj & Gary B. Gorton & K. Geert Rouwenhorst

2008 Derivatives Markets for Home Prices
by Robert J. Shiller

2008 Consumption and Portfolio Choice with Option-Implied State Prices
by Yacine Aït-Sahalia & Michael W. Brandt

2008 Arbitrage-free Limit Order Books and the Pricing of Order Flow Risk
by Bruce Lehmann

2008 Option pricing under GARCH models with generalized hyperbolic innovations (II) : data and results
by Christophe Chorro & Dominique Guegan & Florian Ielpo

2008 Option pricing under GARCH models with generalized hyperbolic innovations (I) : methodology
by Christophe Chorro & Dominique Guegan & Florian Ielpo

2008 Pricing bivariate option under GARCH processes with time-varying copula
by Jing Zhang & Dominique Guegan

2008 Option based forecasts of volatility: An empirical study in the DAX index options market
by Silvia Muzzioli

2008 Density forecast evaluation and the effect of risk-neutral central moments on the currency risk premium: tests based on EUR/HUF option-implied densities
by Csaba Csávás

2008 Are the exchange rates of EMU candidate countries anchored by their expected euro locking rates?
by Anna Naszódi

2008 Effects of Background Risks on Cautiousness with an Application to a Portfolio Choice Problem
by Chiaki Hara & James Huang & Christoph Kuzmics

2008 Short-term electricity futures prices: Evidence on the time-varying risk premium
by Hipòlit Torró & Julio Lucia

2008 Do Futures Benefit Farmers?
by Lence, Sergio H.

2008 Forward Trading in Exhaustible-Resource Oligopoly
by Juan-Pablo Montero & Matti Liski

2008 A semiparametric factor model for electricity forward curve dynamics
by Szymon Borak & Rafał Weron

2008 Numerics of Implied Binomial Trees
by Wolfgang Härdle & Alena Mysickova

2008 Assessing Credit Risk of Companies with Mean-Reverting Leverage Ratios
by C. F. Lo & T. C. Wong & C. H. Hui & M. X. Huang

2008 A Note on Estimating Realignment Probabilities -- A First-Passage-Time Approach
by Cho-Hoi Hui & Chi-Fai Lo

2008 Market Expectation of Appreciation of the Renminbi
by Cho-Hoi Hui & Chi-Fai Lo & Tsz-Kin Chung

2008 Heterogeneous Impatience in a Continuous-Time Model
by Hara, Chiaki

2008 Effects of Background Risks on Cautiousness with an Application to a Portfolio Choice Problem
by Hara, Chiaki & Huang, James & Kuzmics, Christoph

2008 Continuous Monitoring: Look before You Leap
by Lindset, Snorre & Persson, Svein-Arne

2008 Level dependent annuities: Defaults of multiple degrees
by Mjøs, Aksel & Persson, Svein-Arne

2008 Game-theoretical, Strategic forward Contracting in the Electricity Market
by Holmberg, Pär

2008 The partial adjustment factors of FTSE 100 stock index and stock index futures: The informational impact of electronic trading systems
by Helder Sebastião

2008 Valuing American Derivatives by Least Squares Methods
by Mario Cerrato

2008 Can Tests Based on Option Hedging Errors Correctly Identify Volatility Risk Premia?
by Nicole Branger & Christian Schlag

2008 Uma análise empírica de eficiência relativa nos mercados futuro e à vista de açúcar
by Roseli da Silva & Rodrigo Takeuchi

2008 Implied Market Loss Given Default: structural-model approach
by Jakub Seidler

2008 Valuation of Convexity Related Derivatives
by Jiří Witzany

2008 Derivatives Markets for Home Prices
by Shiller, Robert J.

2008 Measuring idiosyncratic risks in leveraged buyout transactions
by Gottschalg, Oliver & Groh, Alexander Peter & Baule, Rainer

2008 Impact Of Proposed Commodity Transaction Tax On Futures Trading In India
by Pravakar Sahoo & Rajiv Kumar

2008 Multivariate Feller conditions in term structure models: Why do(n't) we care?
by Peter Spreij & Enno Veerman & Peter Vlaar

2008 Theory of Storage: An Empirical Assessment of the European Natural Gas Market
by Marcus Stronzik & Margarethe Rammerstorfer & Anne Neumann

2008 Derivatives Markets for Home Prices
by Robert J. Shiller

2008 The Virtues and Vices of Equilibrium and the Future of Financial Economics
by J. Doyne Farmer & John Geanakoplos

2008 Capital requirements: Are they the best solution?
by Balbás, Alejandro

2008 Modelling and Measuring Price Discovery in Commodity Markets
by Gonzalo, Jesús & Figuerola-Ferretti, Isabel

2008 Nonparametric Estimation of Scalar Diffusion Processes of Interest Rates Using Asymmetric Kernels
by Nikolay Gospodinov & Masayuki Hirukawa

2008 Asset Prices, Debt Constraints and Inefficiency
by Bloise, Gaetano & Reichlin, Pietro

2008 On the Impact of Forward Contract Obligations in Multi-Unit Auctions
by de Frutos, Maria-Angeles & Fabra, Natalia

2008 La subvencion financiera del coste de la deuda: la importancia de la pregunta en la investigacion financiera
by Mariano Gonzalez Sanchez & Ignacio Velez-Pareja & Ana Isabel Mateos Ansotegui

2008 The Endogenous Price Dynamics of the Emission Allowances: An Application to CO2 Option Pricing
by Marc Chesney & Luca Taschini

2008 Barrier Options and a Reflection Principle of the Fractional Brownian Motion
by Cipian Necula

2008 Pricing European and Barrier Options in the Fractional Black-Scholes Market
by Ciprian Necula

2008 Option Pricing in a Fractional Brownian Motion Environment
by Cipian Necula

2008 A Framework for Derivative Pricing in the Fractional Black-Scholes Market
by Ciprian Necula

2008 Summary statistics of option-implied probability density functions and their properties
by Lynch, Damien & Panigirtzoglou, Nikolaos

2008 La prévision des taux d’intérêt à partir de contrats futures : l’apport de variables économiques et financières
by Coffinet, J.

2008 Futures Markets, Oil Prices and the Intertemporal Approach to the Current Account
by Elif C. Arbatli

2008 Default Dependence: The Equity Default Relationship
by Stuart M. Turnbull & Jun Yang

2008 Expected Stock Returns and Variance Risk Premia
by Tim Bollerslev & Tzuo Hao & George Tauchen

2008 American Option Pricing using GARCH models and the Normal Inverse Gaussian distribution
by Lars Stentoft

2008 Option Pricing using Realized Volatility
by Lars Stentoft

2008 Volatility Components, Affine Restrictions and Non-Normal Innovations
by Peter Christoffersen & Kris Dorion & Yintian Wang

2008 Méthodes numériques pour la valorisation d'options swings et autres problèmes sur les matières premières
by Kourouvakalis, Stylianos

2008 Arbitrages and Arrow-Debreu Prices
by Gaia Barone

2008 Financial instruments to hedge commodity price risk for developing countries
by Lu, Yinqiu & Neftci, Salih

2008 Posouzení vybraných možností zefektivnění simulace Monte Carlo při opčním oceňování
by Tomáš Tichý

2008 K daňové uznatelnosti nákladů z úvěrů: Analýza pomocí opčního modelu
by Jan Vlachý

2008 Dilution and Dividend Effects on the Portuguese Equity Warrants Market
by José Eduardo Correia & João Duque

2008 Algunas aplicaciones de la Teoría de Lie a la Economía y las Finanzas = Some Applications of Lie Theory to Economics and Finance
by Hernández Fernández, Isabel & Mateos Contreras, Consuelo & Núñez Valdés, Juan & Tenorio Villalón, Ángel F.

2008 Specification and Calibration Errors in Measures of Portfolio Credit Risk: The Case of the ASRF Model
by Nikola Tarashev & Haibin Zhu

2008 The Effects Of Congressional Elections On Future Equity Market Returns
by Vincent Louis Ovlia & David Enke & Michael C. Davis

2008 An Arbitrage Approach to the Pricing of Catastrophe Options Involving the Cox Process
by Fujita, Takahiko & Ishimura, Naoyuki & Tanaka, Daichi

2008 First Passage and Excursion Time Models for Valuing Defautltable Bonds: a Review with Some Insights
by Martina Nardon

2008 Price linkages between Chinese and world copper futures markets
by LI Xindan & ZHANG Bing

2008 Measuring the Financial Markets’ Perception of EMU Enlargement: The Role of Ambiguity Aversion
by Martin Cincibuch & Matrina Horníková

2008 Rendimientos del mercado accionario y depreciaciones cambiarias en México: 1988-2007
by Domingo Rodríguez Benavides & Arturo Morales Castro

2008 The Performance of the A0( ) Diffusion Model to Hedge a Forward Commitment in the Corn Market
by C. de Ville de Goyet

2008 The Performance of the A0( ) Diffusion Model to Hedge a Forward Commitment in the Corn Market
by C. de Ville de Goyet

2008 Parametric vs. non-parametric methods for estimating option implied risk-neutral densities: the case of the exchange rate Mexican peso – US dollar
by Guillermo Benavides Perales & Israel Felipe Mora Cuevas

2008 Sobre la convergencia del modelo GARCH(1,1)-M al movimiento geométrico browniano con reversión a la media
by Francisco Venegas Martínez & Francisco J. Sánchez Torres

2008 El modelo de Vasicek y la integral de trayectoria de Feynman
by Francisco Ortiz Arango & Francisco Venegas-Martínez

2008 Clarifying the dynamics of the relationship between option and stock markets using the threshold vector error correction model
by Li, Ming-Yuan Leon

2008 SWARCH and the implicit volatility of the Real/USD exchange rate
by Rafael Machado Santana & Rodrigo De Losso da Silveira Bueno

2008 The ABX: how do the markets price subprime mortgage risk?
by Ingo Fender & Martin Scheicher

2008 Credit derivatives an structured creit: the nascant markets of Asia and the Pacific
by Eli M Remolona & Ilhyock Shim

2008 Financial Stability of the Turkish Banking Sector
by Münür Yayla & Alper Hekimoglu & Mahmut Kutlukaya

2007 The institutional aspects of the Dojima rice exchange market in Tokugawa era: The role of governance mechanism
by Yasuo Takatsuki

2007 Default Contagion in Large Homogeneous Portfolios
by Herbertsson, Alexander

2007 The Dynamics of Mergers and Acquisitions in Oligopolistic Industries
by Dirk Hackbarth & Jianjun Maio

2007 Optionsbewertung unter Lévy-Prozessen – Eine Analyse für den deutschen Aktienindex
by Andreas Rathgeber

2007 Default swaps and hedging credit baskets
by Schmidt, Wolfgang M.

2007 Accelerating the calibration of stochastic volatility models
by Kilin, Fiodar

2007 Extended-Gaussian Term Structure Models and Credit Risk Applications
by Marco Realdon

2007 An Extended Structural Credit Risk Model (forthcoming in the Icfai Journal of Financial Risk Management; all copyrights rest with the Icfai University Press)
by Marco Realdon

2007 A Two Factor Black-Karasinski Credit Default Swap Pricing Model (forthcoming in the Icfai Journal of Derivatives Markets, Vol IV, No 4, October 2007; all copyrights rest with the Icfai University Press)
by Marco Realdon

2007 Option Pricing and Spikes in Volatility: Theoretical and Empirical Analysis
by Paola Zerilli

2007 Pricing under the Real-World Probability Measure for Jump-Diffusion Term Structure Models
by Nicola Bruti-Liberati & Christina Nikitopoulos-Sklibosios & Eckhard Platen

2007 Time Delay and Noise Explaining Cyclical Fluctuations in Prices of Commodities
by Uwe Küchler & Eckhard Platen

2007 Empirical Evidence on Student-t Log-Returns of Diversified World Stock Indices
by Eckhard Platen & Renata Rendek

2007 A Benchmark Approach to Portfolio Optimization under Partial Information
by Eckhard Platen & Wolfgang Runggaldier

2007 Forecasting Implied Volatility Surfaces
by Francesco Audrino & Dominik Colagelo

2007 Ambiguity Aversion and the Term Structure of Interest Rates
by Patrick Gagliardini & Paolo Porchia & Fabio Trojani

2007 Interval LU-fuzzy arithmetic in the Black and Scholes option pricing
by Maria Letizia Guerra & Laerte Sorini & Luciano Stefanini

2007 Modelling Credit Spreads evolution using the Cox Process within the HJM framework
by Viviana Fanelli & Silvana Musti

2007 Pricing of CDS Options with the HJM approach: a Numerical Implementation
by Viviana Fanelli & Silvana Musti

2007 Valuation of the surrender option in unit-linked life insurance policies in a non-rational behaviour framework
by Luca Anzilli & Luigi De Cesare

2007 Strategic Technology Adoption and Market Dynamics as Option Games
by Flavia Cortelezzi & Giovanni Villani

2007 A Monte Carlo approach to value exchange options using a single stochastic factor
by Giovanni Villani

2007 Option Pricing and Momentum
by Rodriguez, J.C.

2007 A Preference-Free Formula to Value Commodity Derivatives
by Rodriguez, J.C.

2007 The Forward Premium Puzzle only emerges gradually
by Kerstin Bernoth & Jürgen von Hagen & Casper G. de Vries

2007 Automated Likelihood Based Inference for Stochastic Volatility Models
by Hans J. Skaug & Jun Yu

2007 Automated Likelihood Based Inference for Stochastic Volatility Models
by Jun Yu

2007 Arbitrage and Simple Financial Market Efficiency during the South Sea Bubble: A Comparative Study of the Royal African and South Sea Companies Subscription Share Issues
by Gary S. Shea

2007 Contingent Claim Pricing In A Dual Expected Utility Theory Framework
by Massimiliano Corradini & Andrea Gheno

2007 An exact formula for default swaptions’ pricing in the SSRJD stochastic intensity model
by Damiano Brigo & Naoufel El-Bachir

2007 A new Model for Stock Price Movements
by Venier, Guido

2007 Decomposing and valuing callable convertible bonds: a new method based on exotic options
by Zhou, Qi-Yuan & Wu, Chong-Feng & Feng, Yun

2007 The Impact of Return Nonnormality on Exchange Options
by Li, Minqiang

2007 Empirical Study of the effect of including Skewness and Kurtosis in Black Scholes option pricing formula on S&P CNX Nifty index Options
by Saurabha, Rritu & Tiwari, Manvendra

2007 An Hilbert space approach for a class of arbitrage free implied volatilities models
by Brace, Alan & Fabbri, Giorgio & Goldys, Benjamin

2007 Joint Modeling of Call and Put Implied Volatility
by Ahoniemi, Katja & Lanne, Markku

2007 Some mathematical properties of the futures market platform
by Laib, Fodil & Laib, M.S.

2007 Integrating Multiple Commodities in a Model of Stochastic Price Dynamics
by Paschke, Raphael & Prokopczuk, Marcel

2007 Moment Methods for Exotic Volatility Derivatives
by Albanese, Claudio & Osseiran, Adel

2007 Callable Swaps, Snowballs And Videogames
by Albanese, Claudio

2007 A STRUCTURAL MODEL FOR CREDIT-EQUITY DERIVATIVES AND BESPOKE CDOs
by Albanese, Claudio & Vidler, Alicia

2007 Tradable measure of risk
by Pospisil, Libor & Vecer, Jan & Xu, Mingxin

2007 Free boundary and optimal stopping problems for American Asian options
by Andrea, Pascucci

2007 Exchange Options
by Jamshidian, Farshid

2007 Long run credit risk diversification: empirical decomposition of corporate bond spreads
by Sun, David & Lin, William T. & Nieh, Chien-Chung

2007 Hedging Effectiveness under Conditions of Asymmetry
by Cotter, John & Hanly, James

2007 Malliavin differentiability of the Heston volatility and applications to option pricing
by Alos, Elisa & Ewald, Christian-Oliver

2007 CMS swaps in separable one-factor Gaussian LLM and HJM model
by Henrard, Marc

2007 The irony in the derivatives discounting
by Henrard, Marc

2007 A fast and accurate FFT-based method for pricing early-exercise options under Lévy processes
by Lord, Roger & Fang, Fang & Bervoets, Frank & Oosterlee, Kees

2007 Stressing rating criteria allowing for default clustering: the CPDO case
by Torresetti, Roberto & Pallavicini, Andrea

2007 Skewed Libor Market Model and Gaussian HJM explicit approaches to rolled deposit options
by Henrard, Marc

2007 Delayed Default Dependency and Default Contagion
by Balakrishna, B S

2007 Corporate debt pricing I
by Ilya, Gikhman

2007 Techniques alternatives d’estimation et tests en présence d’erreurs de mesure sur les variables explicatives
by Francois-Éric Racicot

2007 Programmes de volatilité stochastique et de volatilité implicite : applications Visual Basic (Excel) et Matlab
by Francois-Éric Racicot & Raymond Théoret

2007 Explicit formulas for the minimal variance hedging strategy in a martingale case
by Flavio Angelini & Stefano Herzel

2007 Measuring the error of dynamic hedging: a Laplace transform approach
by Flavio Angelini & Stefano Herzel

2007 Partnerships vs. Firms Entry Strategies
by Michele Moretto & Gianpaolo Rossini

2007 Utility Indifference Pricing in an Incomplete Market Model with Incomplete Information
by Kazuhiro Takino

2007 The institutional aspects of the Dojima rice exchange market in Tokugawa era: The role of governance mechanism
by Yasuo Takatsuki

2007 Optimal Portfolio Choice and Investment in Education
by Egil Matsen & Snorre Lindset

2007 Construction and Interpretation of Model-Free Implied Volatility
by Torben G. Andersen & Oleg Bondarenko

2007 Linearity-Generating Processes: A Modelling Tool Yielding Closed Forms for Asset Prices
by Xavier Gabaix

2007 Real Options With Uncertain Maturity and Competition
by Kristian R. Miltersen & Eduardo S. Schwartz

2007 The relation between implied and realised volatility: are call options more informative than put options? Evidence from the DAX index options market
by Silvia Muzzioli

2007 Testing Market Efficiency and Price Discovery in European Carbon Markets
by George Milunovich & Roselyne Joyeux

2007 A Reduced Form Model of Default Spreads with Markov Switching Macroeconomic Factors
by Georges Dionne & Geneviève Gauthier & Khemais Hammami & Mathieu Maurice & Jean-Guy Simonato

2007 On Debt Service and Renegotiation when Debt-holders Are More Strategic
by Jean-Marc Bourgeon & Georges Dionne

2007 Sensitivities for Bermudan Options by Regression Methods
by Denis Belomestny & Grigori Milstein & John Schoenmakers

2007 Statistics of Risk Aversion
by Enzo Giacomini & Wolfgang Härdle

2007 Empirical Pricing Kernels and Investor Preferences
by Kai Detlefsen & Wolfgang Härdle & Rouslan Moro

2007 Bookmaker and pari-mutuel betting: Is a (reverse) favourite-longshot bias built-in?
by Alexander K. Koch & Hui-Fai Shing

2007 Is the Hong Kong Dollar Exchange Rate "Bounded" in the Convertibility Zone?
by Cho-Hoi Hui & Tom Fong

2007 Ratings Versus Market-Based Measures of Default Risk of East Asian Banks
by Eric Wong & Cho-Hoi Hui & Chi-fai Lo

2007 Valuing Foreign Currency Options with a Mean-Reverting Process: A Study of Hong Kong Dollar
by Cho-hoi Hui & Vincent Yeung & Laurence Fung & Chi-Fai Lo

2007 Measuring Market Sentiment in Hong Kong's Stock Market
by Ip-wing Yu & Chi-sang Tam

2007 Representative Consumer's Risk Aversion and Efficient Risk-Sharing Rules
by Hara, Chiaki & Huang, James & Kuzmics, Christoph

2007 Risk Exchange as a Market or Production Game
by Borglin, Anders & Flåm, Sjur

2007 Rationalizing Constrained Contingent Claims
by Borglin, Anders & Flåm, Sjur

2007 Modelling Default Contagion Using Multivariate Phase-Type Distributions
by Herbertsson, Alexander

2007 Pricing Synthetic CDO Tranches in a Model with Default Contagion Using the Matrix-Analytic Approach
by Herbertsson, Alexander

2007 Pricing k-th-to-default Swaps under Default Contagion: The Matrix-Analytic Approach
by Herbertsson, Alexander & Rootzén, Holger

2007 Accounting Transparency and the Term Structure of Credit Default Swap Spreads
by Bajlum, Claus & Tind Larsen, Peter

2007 Risk exchange as a market or production game
by Borglin, Anders & Flåm, Sjur Didrik

2007 Tests d’arbitrage sur options: une analyse empirique des cotations de market-makers
by Ardia, David

2007 Forecasting Weekly Electricity Prices at Nord Pool
by Hipòlit Torró

2007 Are Workers. Enterprises Entry Policies Conventional
by Michele Moretto & Gianpaolo Rossini

2007 Hedging Exposure to Electricity Price Risk in a Value at Risk Framework
by Huisman, R. & Mahieu, R.J. & Schlichter, F.

2007 Measuring idiosyncratic risks in leveraged buyout transactions
by Groh, Alexander P. & Baule, Rainer & Gottschalg, Oliver

2007 Term Structure Modeling for Pension Funds:What to do in Practice?
by Peter Vlaar

2007 Regulatory Change and Micro Structure Effects in SPI Futures
by Gerard Gannon & Chi-Ying Chang

2007 The effect of realised volatility on stock returns risk estimates
by Veiga, Helena & Grané, Aurea

2007 Modelling and measuring price discovery in commodity markets
by Gonzalo, Jesús & Figuerola-Ferretti, Isabel

2007 Liquidity Risk and Correlation Risk: A Clinical Study of the General Motors and Ford Downgrade of May 2005
by Acharya, Viral V & Schaefer, Stephen M & Zhang, Yili

2007 What Do We Learn from the Price of Crude Oil Futures?
by Alquist, Ron & Kilian, Lutz

2007 Unlocking Value: Equity Carve outs as Strategic Real Options
by Perotti, Enrico C & Rossetto, Silvia

2007 Understanding Index Option Returns
by Broadie, Mark & Chernov, Mikhail & Johannes, Michael

2007 Measuring the Financial Markets' Perception of EMU Enlargement: The Role of Ambiguity Aversion
by Martin Cincibuch & Martina Hornikova

2007 Stochastic Volatility: Risk Minimization and Model Risk
by Christian-Olivier Ewald & Rolf Poulsen & Klaus Reiner Schenk-Hoppe

2007 Extending Time-Changed Lévy Asset Models Through Multivariate Subordinators
by Elisa Luciano & Patrizia Semeraro

2007 Estimating the Cost of Executive Stock Options: Evidence from Switzerland
by Wolfgang Drobetz & Pascal Pensa & Markus M. Schmid

2007 The tail wags the dog: time-varying information shares in the Bund market
by Christian Upper & Thomas Werner

2007 Parametric properties of semi-nonparametric distributions, with applications to option valuation
by Ángel León & Javier Mencía & Enrique Sentana

2007 Price Discovery in Canadian and U.S. 10-Year Government Bond Markets
by Bryan Campbell & Scott Hendry

2007 Price Discovery in Canadian Government Bond Futures and Spot Markets
by Christopher Chung & Bryan Campbell & Scott Hendry

2007 Market Power in Power Markets: Evidence from Forward Prices of Electricity
by Bent Jesper Christensen & Thomas Elgaard Jensen & Rune Mølgaard

2007 Construction and Interpretation of Model-Free Implied Volatility
by Torben G. Andersen & Oleg Bondarenko

2007 Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities
by Tim Bollerslev & Michael Gibson & Hao Zhou

2007 Racionalidad economica implicita en teoria financiera
by Francisco Venegas-Martinez

2007 Matemática Financiera con MATLAB© = Mathematical Finance with MATLAB©
by Merino, María & Vadillo, Fernando

2007 Party Influence in Congress and the Economy
by Snowberg, Erik & Wolfers, Justin & Zitzewitz, Eric

2007 Timing Decisions in a Multinational Context: Implementing the Amin/Bodurtha Framework
by Manfred Fruhwirth & Paul Schneider & Markus S. Schwaiger

2007 Mispricing Persistence and the Effectiveness of Arbitrage Trading
by Pascal Alphonse

2007 Una introducción a los procesos de Lévy y su aplicación a la valuación de opciones
by Venegas-Martínez, Francisco

2007 Desarrollo del mercado de derivados cambiarios en Chile
by Luís Antonio Ahumada & Jorge Selaive C.

2007 An Alternative Formulation for the Pricing of Stock Index Futures: Theoretical and Empirical Perspectives
by Chou-Wen Wang & Ting-Yi Wu

2007 General Equilibrium Stock Index Futures Pricing Allowing for Event Risk
by Simon H. Yen & Jai Jen Wang

2007 Call an Put Implied Volatilities and the Derivation of Option Implied Trees
by V. Moriggia, S. Muzzioli, C. Torricelli

2007 Mercados de notas estructuradas. Un análisis descriptivo y métodos de evaluación
by Venegas-Martínez, Francisco

2007 Modelo de opciones reales y aplicación al mercado petrolero
by Hernández del Valle, Adrián & Martínez García, Claudia Icela

2007 Valoración de la garantía de los planes de pensiones en España
by José Manuel Chamorro Gómez

2007 The Valuation of Mortgage Backed Securities with Stochastic Probabilities of Default and Prepayment
by Francisco Venegas Martínez & J. Víctor Reynoso Vendrell

2007 The Closed-form Solution for Pricing American Put Options
by Wang Xiaodong

2007 A Polynomial Term Structure Model with Macroeconomic Variables
by Felipe Pinheiro & Caio Ibsen Rodrigues de Almeida & José Valentim Vicente

2007 Measuring portfolio credit risk: modelling versus calibration errors
by Nikola Tarashev & Haibin Zhu

2007 Economic derivatives
by Blaise Gadanecz & Richhild Moessner & Christian Upper

2006 Pricing the CBT T-Bonds Futures
by Ramzi Ben Abdallah & Hatem Ben Ameur & Michèle Breton

2006 A closed form approach to valuing and hedging basket options
by Svetlana Borovkova & Ferry Permana

2006 Pricing American Options under Stochastic Volatility and Jump Diffusion Dynamics
by Carl Chiarella & Andrew Ziogas

2006 Non-constant volatility models a comparison
by Paolo Foschi

2006 Threshold Autoregressive Models of the Commodities Futures Basis
by Alfonso Gutierrez & Jerry Coakley & Neil Kellard

2006 Capture Basin Algorithm for Evaluating and Managing Complex Financial Instruments
by Dominique Pujal & Patrick Saint-Pierre

2006 Numerical Methods for American Spread Options under Jump Diffusion Processes
by Finance, University of Technology, Sydney,; Gunter Meyer, School of Mathematics, Georgia Institute of Technology,; Andrew Ziogas, School of Economics & Gerald H. L. Cheang & Carl Chiarella & Gunter Meyer & Andrew Ziogas

2006 Allocation of Individual Risks in a Market Economy
by Pamela Labadie

2006 Initiation of the 9-11 Operation, with Evidence of Insider Trading Beforehand
by Paul Zarembka

2006 The Hidden History Of 9-11-2001
by

2006 Correlation and the Pension Protection Fund
by Paul Sweeting

2006 An overreaction implementation of the coherent market hypothesis and option pricing
by Schöbel, Rainer & Veith, Jochen

2006 Risk preference based option pricing in a fractional Brownian market
by Rostek, Stefan & Schöbel, Rainer

2006 Interest rate convexity and the volatility smile
by Boenkost, Wolfram & Schmidt, Wolfgang M.

2006 Strategic trading and manipulation with spot market power
by Muermann, Alexander & Shore, Stephen H.

2006 Stochastic modeling of private equity: an equilibrium based approach to fund valuation
by Buchner, Axel & Kaserer, Christoph & Wagner, Niklas

2006 Forecasting the price of crude oil via convenience yield predictions
by Knetsch, Thomas A.

2006 Valuation of the Firm's Liabilities when Equity Holders are also Creditors
by Marco Realdon

2006 The Target Rate and Term Structure of Interest Rates
by Marco Realdon

2006 Equity Valuation Under Stochastic Interest Rates
by Marco Realdon

2006 Book Values and Market Values of Equity and Debt
by Marco Realdon

2006 Quadratic Term Structure Models in Discrete Time
by Marco Realdon

2006 Financial engineering methods in insurance
by Jan Iwanik

2006 On the efficient application of the repeated Richardson extrapolation technique to option pricing
by Luca Barzanti & Corrado Corradi & Martina Nardon

2006 On the Pricing and Hedging of Long Dated Zero Coupon Bonds
by Eckhard Platen

2006 Approximating the Growth Optimal Portfolio with a Diversified World Stock Index
by Truc Le & Eckhard Platen

2006 Approximating the Growth Optimal Portfolio with a Diversified World Stock Index
by Truc Le & Eckhard Platen

2006 On Weak Predictor-Corrector Schemes for Jump-Diffusion Processes in Finance
by Nicola Bruti-Liberati & Eckhard Platen

2006 Approximation of Jump Diffusions in Finance and Economics
by Nicola Bruti-Liberati & Eckhard Platen

2006 On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility
by Elisa Alòs & Jorge A. León & Josep Vives

2006 Optimal Fourier Inversion in Semi-analytical Option Pricing
by Roger Lord & Christian Kahl

2006 Why the Rotation Count Algorithm works
by Roger Lord & Christian Kahl

2006 A Comparison of Biased Simulation Schemes for Stochastic Volatility Models
by Roger Lord & Remmert Koekkoek & Dick van Dijk

2006 The epistemology of modern finance
by Xavier De Scheemaekere

2006 Market Reactions to Central Bank Communication Policies :Reading Interest Rate Options Smiles
by Marie Briere

2006 Stratégies d'investissement en actions et fonds à capital garanti
by Roland Gillet & Isabelle Nagot & Ariane Szafarz

2006 A new proposition on the martingale representation theorem and on the approximate hedging of contingent claim in mean-variance criterion
by André Farber & Van Huu Nguyen & Quan-Hoang Vuong

2006 Realized Bond-Stock Correlation: Macroeconomic Announcement Effects
by Charlotte Christiansen & Angelo Ranaldo

2006 Pricing problems of perpetual Bermudan options
by Yoshifumi Muroi & Takashi Yamada

2006 Artificial Neural Network Enhanced Parametric Option Pricing
by Panayiotis C. Andreou & Chris Charalambous & Spiros H. Martzoukos

2006 Sir George Caswall vs. the Duke of Portland: Financial Contracts and Litigation in the wake of the South Sea Bubble
by Gary S. Shea

2006 Do Birds of a Feather Flock Together? Speculator Herding in the World Oil Market
by Robert Weiner

2006 The Returns to Currency Speculation
by Craig Burnside & Martin Eichenbaum & Isaac Kleshchelski & Sergio Rebelo

2006 Debt Dilution and Maturity Structure of Sovereign Bonds
by Ran Bi

2006 Credit Derivatives Pricing with a Smile-Extended Jump Stochastic Intensity Model
by Damiano Brigo & Naoufel El-Bachir

2006 Optimal Hedging with Higher Moments
by Chris Brooks & A.Cerny & J. Miffre

2006 Hedging Options with Scale-Invariant Models
by Carol Alexander & Leonardo M. Nogueira

2006 Modélisation d'actifs à volatilité stochastique et pricing d'options européennes
by Rose, Martin & Zitouni, Loubna

2006 Copulas and dependence models in credit risk: diffusions versus jumps
by Luciano, Elisa

2006 Operator Methods, Abelian Processes And Dynamic Conditioning
by Albanese, Claudio

2006 A Numerical Method for Pricing Electricity Derivatives for Jump-Diffusion Processes Based on Continuous Time Lattices
by Albanese, Claudio & Lo, Harry & Stathis, Tompaidis

2006 Spectral Methods For Volatility Derivatives
by Albanese, Claudio & Mijatovic, Aleksandar

2006 Higher-order volatility: dynamics and sensitivities
by Carey, Alexander

2006 Path-conditional forward volatility
by Carey, Alexander

2006 Diversification with idiosyncratic credit spreads: a pooled estimation on heterogeneous panels
by Lin, William & Sun, David

2006 Accelerating the calibration of stochastic volatility models
by Kilin, Fiodar

2006 Investment timing and optimal capacity choice for small hydropower projects
by Bøckman, Thor & Fleten, Stein-Erik & Juliussen, Erik & Langhammer, Håvard & Revdal, Ingemar

2006 Bonds futures: Delta? No gamma!
by Henrard, Marc

2006 Martingale Model
by Giandomenico, Rossano

2006 Forecasting and testing a non-constant volatility
by Abramov, Vyacheslav & Klebaner, Fima

2006 Valuing an American Put Option
by Giandomenico, Rossano

2006 Bonds futures and their options: more than the cheapest-to-deliver; quality option and marginning
by Henrard, Marc

2006 Pricing of the Policy Life in Absence of Default Risk and Asset Liability Management
by Giandomenico, Rossano

2006 Asset Liability Management in Insurance Company
by Giandomenico, Rossano

2006 A Semi-Analytical Parametric Model for Dependent Defaults
by Balakrishna, B S

2006 Some critical comments on credit risk modeling
by ilya, gikhman

2006 TIPS Options in the Jarrow-Yildirim model
by Henrard, Marc

2006 Simulations de la couverture delta et de la couverture delta-gamma d’un portefeuille dans le cadre du modèle de Black et Scholes
by Francois-Éric Racicot & Raymond Théoret

2006 La simulation de Monte Carlo: forces et faiblesses (avec applications Visual Basic et Matlab et présentation d’une nouvelle méthode QMC)
by Francois-Éric Racicot & Raymond Théoret

2006 Les modèles HJM et LMM revisités
by Francois-Éric Racicot & Raymond Théoret

2006 La Value-at-Risk: Modèles de la VaR, simulations en Visual Basic (Excel) et autres mesures récentes du risque de marché
by Francois-Éric Racicot & Raymond Théoret

2006 Are Volatility Expectations Characterized By Regime Shifts? Evidence From Implied Volatility Indices
by Kazuhiko Nishina & Nabil Maghrebi & Mark J. Holmes

2006 Party Influence in Congress and the Economy
by Erik Snowberg & Justin Wolfers & Eric Zitzewitz

2006 Unspanned Stochastic Volatility and the Pricing of Commodity Derivatives
by Anders B. Trolle & Eduardo S. Schwartz

2006 Bankruptcy and Collateral in Debt Constrained Markets
by Timothy J. Kehoe & David K. Levine

2006 A General Stochastic Volatility Model for the Pricing and Forecasting of Interest Rate Derivatives
by Anders B. Trolle & Eduardo S. Schwartz

2006 Interpreting Prediction Market Prices as Probabilities
by Justin Wolfers & Eric Zitzewitz

2006 Partisan Impacts on the Economy: Evidence from Prediction Markets and Close Elections
by Erik Snowberg & Justin Wolfers & Eric Zitzewitz

2006 Strategic Urban Development under Uncertainty
by Flavia Cortelezzi & Pierpaolo Giannoccolo

2006 Hedgers, Investors and Futures Return Volatility: the Case of NYMEX Crude Oil
by George Milunovich & Ronald D. Ripple

2006 Heterogeneous Basket Options Pricing Using Analytical Approximations
by Georges Dionne & Geneviève Gauthier & Nadia Ouertani & Nabil Tahani

2006 Efficient Risk-Sharing Rules with Heterogeneous Risk Attitudes and Background Risks
by Chiaki Hara & James Huang & Christoph Kuzmics

2006 Representative Consumer's Risk Aversion and Efficient Risk-Sharing Rules
by Chiaki Hara & James Huang & Christoph Kuzmics

2006 Bankruptcy, Counterparty Risk, and Contagion
by Holger Kraft & Mogens Steffensen

2006 Interpreting Prediction Market Prices as Probabilities
by Wolfers, Justin & Zitzewitz, Eric

2006 Interpreting Prediction Market Prices as Probabilities
by Justin Wolfers & Eric Zitzewitz

2006 Partisan Impacts on the Economy: Evidence from Prediction Markets and Close Elections
by Snowberg, Erik & Wolfers, Justin & Zitzewitz, Eric

2006 Partisan Impacts on the Economy: Evidence from Prediction Markets and Close Elections
by Erik Snowberg & Justin Wolfers & Eric Zitzewitz

2006 Underdeveloped spot markets and futures trading: The Soya Oil exchange in India
by Bharat Ramaswami & Jatinder Bir Singh

2006 Convenience Yields for CO2 Emission Allowance Futures Contracts
by Szymon Borak & Wolfgang Härdle & Stefan Trück & Rafal Weron

2006 Multiple Disorder Problems for Wiener and Compound Poisson Processes With Exponential Jumps
by Pavel Gapeev

2006 Constrained General Regression in Pseudo-Sobolev Spaces with Application to Option Pricing
by Zdenek Hlavka & Michal Pesta

2006 Integral Options in Models with Jumps
by Pavel V. Gapeev

2006 On Maximal Inequalities for some Jump Processes
by Pavel V. Gapeev

2006 Discounted Optimal Stopping for Maxima of some Jump-Diffusion Processes
by Pavel V. Gapeev

2006 Perpetual Barrier Options in Jump-Diffusion Models
by Pavel V. Gapeev

2006 Discounted Optimal Stopping for Maxima in Diffusion Models with Finite Horizon
by Pavel V. Gapeev

2006 Spectral calibration of exponential Lévy Models [2]
by Denis Belomestny & Markus Reiß

2006 Spectral calibration of exponential Lévy Models [1]
by Denis Belomestny & Markus Reiß

2006 Tail Conditional Expectation for vector-valued Risks
by Imen Bentahar

2006 Barrier Option Hedging under Constraints: A Viscosity Approach
by Imen Bentahar & Bruno Bouchard

2006 Calibration Design of Implied Volatility Surfaces
by Kai Detlefsen & Wolfgang Härdle

2006 Closed form spread option valuation
by Bjerksund, Petter & Stensland, Gunnar

2006 Optimal Pension Insurance Design
by Døskeland, Trond M. & Nordahl, Helge A.

2006 Intergenerational Effects of Guaranteed Pension Contracts
by Døskeland, Trond M. & Nordahl, Helge A.

2006 Monetary Policy Shocks and Stock Returns: Evidence from the British Market
by A Gregoriou & A Kontonikas & R MacDonald & A Montagnoli

2006 Tractable Hedging - An Implementation of Robust Hedging Strategies
by Nicole Branger & Antje Mahayni

2006 Pricing and Hedging Illiquid Energy Derivatives:an Application to the JCC Index
by Matteo Manera & Elisa Scarpa

2006 Are there Monday effects in stock returns: a stochastic dominance approach
by Young-Hyun Cho & Oliver Linton & Yoon-Jae Whang

2006 A Two-Stage Realized Volatility Approach to Estimation of Diffusion Processes with Discrete
by Peter C. B. Phillips & Jun Yu

2006 Evolution et sensibilité des stock-options : cas du marché français
by Abdelaziz Elmarzougui

2006 Time-Varying Hedge Ratios: An Application to the Indian Stock Futures Market
by Prasad Bhattacharaya & Harminder Singh & Gerard Gannon

2006 Estimating Forward Pricing Function: How Efficient is Indian Stock Index Futures Market?
by Prasad Bhattacharaya & Harminder Singh

2006 The Effect of Introducing a Non-redundant Derivative on the Volatility of Stock-Market Returns
by Bhamra, Harjoat Singh & Uppal, Raman

2006 Interpreting Prediction Market Prices as Probabilities
by Wolfers, Justin & Zitzewitz, Eric

2006 Partisan Impacts on the Economy: Evidence from Prediction Markets and Close Elections
by Snowberg, Erik & Wolfers, Justin & Zitzewitz, Eric

2006 Pricing Interest Rate-SensitiveCredit Portfolio Derivatives
by Philippe Ehlers & Philipp J. Schonbucher

2006 Closed-Form Solutions For European And Digital Calls In The Hull And White Stochastic Volatility Model And Their Relation To Locally R-Minimizing And Delta Hedges
by Christian-Olivier Ewald & Klaus Reiner Schenk-Hoppe & Zhaojun Yang

2006 Background Filtrations andCanonical Loss Processes for Top-Down Models of Portfolio Credit Risk
by Philippe Ehlers & Philipp J. Schoenbucher

2006 Financing and Takeovers
by Erwan Morellec & Alexei Zhdanov

2006 Stock Returns in Mergers and Acquisitions
by Dirk Hackbarth & Erwan Morellec

2006 Inefficiencies and Market Power in Financial Arbitrage: A Study of California?s Electricity Markets
by Christopher Knittel & Catherine Wolfram & James Bushnell & Severin Borenstein

2006 Default Risk, Bankruptcy Procedures and the Market Value of Life Insurance Liabilities
by An Chen & Michael Suchanecki

2006 Hedging Basket Options by Using a Subset of Underlying Assets
by Xia Su

2006 Survival Analysis of Hedge Funds
by Naohiko Baba & Hiromichi Goko

2006 Banks’ optimal implementation strategies for a risk sensitive regulatory capital rule: a real options and signalling approach
by Kjell Bjørn Nordal

2006 The pricing of portfolio credit risk
by Nikola A. Tarashev & Haibin Zhu

2006 Macro factors in the term structure of credit spreads
by Maurizio Luisi & Jeffery D. Amato

2006 Risk-Adjusted Forecasts of Oil Prices
by Patrizio Pagano & Massimiliano Pisani

2006 Implied default barrier in credit default swap premia
by Francisco Alonso & Santiago Forte & José M. Marqués

2006 Conditioning Information and Variance Bounds on Pricing Kernels with Higher-Order Moments: Theory and Evidence
by Fousseni Chabi-Yo

2006 Un modelo de riesgo de credito basado en opciones compuestas con barrera. Aplicacion al mercado continuo espanol
by Maria Carmen Badia Batlle & M. Mercedes Galisteo Rodriguez & M. Teresa Preixens Benedicto

2006 Exchange Rate Risk Measurement and Management: Issues and Approaches for Firms
by Michael G. Papaioannou

2006 The Valuation of Options on Bonds with Default Risk
by Riadh Belhaj

2006 Economic Capital Management For Insurance Companies Using Conditional Value At Risk And A Copula Approach
by Rossella Bisignani & Giovanni Masala & Marco Micocci

2006 Interpreting Recent Changes in the Credit Spreads of Japanese Banks
by Jun Pan & Kenneth J. Singleton

2006 The Arbitrage Efficiency of the Nikkei 225 Options Market: A Put-Call Parity Analysis
by Steven Li

2006 Measuring Investors' Risk Appetite
by Prasanna Gai & Nicholas Vause

2006 Option Put-Call Parity Relations When the Underlying Security Pays Dividends
by Weiyu Guo & Tie Su

2006 Option Pricing with Long-Short Spreads
by Pengguo wang

2006 Model Dependency of the Digital Option Replication – Replication under an Incomplete Model (in English)
by Tomáš Tichý

2006 A Non-Parametric Test of the Conditional CAPM for the Mexican Economy
by Jorge H. del Castillo-Spíndola

2006 Standard & Poor’S Depositary Receipts And The Market Quality Of S&P 500 Index Futures
by Quentin C. Chu & Mustafa Mesut Kayali

2006 Rating, Credit Spread, and Pricing Risky Debt: Empirical Study on Taiwan's Security Market
by Ken Hung & Chang-Wen Duan & Chin W. Yang

2006 Modelos de valoración de opciones europeas en tiempo continuo
by Jaime Villamil

2006 Pricing Volatility Referenced Assets
by Alan De Genaro Dario

2006 Risk premia across asset markets: information from option prices
by Nikola Tarashev & Kostas Tsatsaronis

2005 Scope for Credit Risk Diversification
by Samuel Hanson & M. Hashem Pesaran & Til Schuermann

2005 U.S. Real Exchange Rate Fluctuations and Relative Price Fluctuations
by Caroline M. Betts & Timothy J. Kehoe

2005 The Valuation of Multiple Asset American Options under Jump Diffusion Processes
by A. Ziogas & G. Cheang & C. Chiarella

2005 The Valuation Of American Exchange Options Under
by GERALD H. L. CHEANG & CARL CHIARELLA & ANDREW ZIOGAS

2005 Neural Networks for Extracting the Asset Price Dynamics Implicit in Market Prices of Stock Index Options
by Ing-Chyuan Wu

2005 Alternative Characterizations of the European Continuous-Installment Option Valuation Problem
by Ilir Roko & Pierangelo Ciurlia

2005 Using Copulas to Construct Bivariate Foreign Exchange Distributions with an Application to the Sterling Exchange Rate Index
by Christoph Schleicher & Matthew Hurd & Mark Salmon

2005 Wavelet based Multi-grid analysis, Wavelet Galerkin method and their Applications to American option: A Survey
by Ken-ichi Mitsui & Yoshio Tabata

2005 Mergers and acquisitions as a response to economic change
by Lambrecht, Bart

2005 Efficient pricing of default risk: Different approaches for a single goal
by Brigo, Damiano & Morini, Massimo

2005 The Pension Protection Fund
by David McCarthy & Anthony Neuberger

2005 Price Discovery in the Black Pepper Market in Kerala, India
by Aviral Chopra and David A. Bessler

2005 Absicherung von Strompreisrisiken mit Futures: Theorie und Empirie
by Rodt, Marc & Schäfer, Klaus

2005 A note on the correlation smile
by Hager, Svenja & Schöbel, Rainer

2005 Time series properties of a rating system based on financial ratios
by Krüger, Ulrich & Stötzel, Martin & Trück, Stefan

2005 The Wishart Autoregressive Process of Multivariate Stochastic Volatility
by Joan Jasiak & R. Sufana & C. Gourieroux

2005 Calibration of the multifactor HJM model for energy market
by Ewa Broszkiewicz-Suwaj & Aleksander Weron

2005 The Magnitude of Menu Costs: Direct Evidence from Large U.S. Supermarket Chains
by Daniel Levy & Mark Bergen & Shantanu Dutta & Robert Venable

2005 Price Adjustment at Multiproduct Retailers
by Daniel Levy & Shantanu Dutta & Mark Bergen & Robert Venable

2005 Hedge ratio estimation and hedging effectiveness: the case of the S&P 500 stock index futures contract
by Dimitris Kenourgios & Aristeidis Samitas & Panagiotis Drosos

2005 Testing Efficiency And The Unbiasedness Hypothesis Of The Emerging Greek Futures Market
by Dimitris Kenourgios

2005 Price Discovery In The Athens Derivatives Exchange: Evidence For The Ftse/Ase-20 Futures Market
by Dimitris Kenourgios

2005 Libor Market Model and Gaussian HJM explicit approaches to option on composition
by Marc Henrard

2005 Valuing defaultable bonds: an excursion time approach
by Martina Nardon

2005 Simple Formulas to Option Pricing and Hedging in the Black- Scholes Model
by paolo pianca

2005 The Foresight Bias in Monte-Carlo Pricing of Options with Early
by Christian Fries

2005 Implied Calibration of Stochastic Volatility Jump Diffusion Models
by Stefano Galluccio & Yann Le Cam

2005 Convexity adjustment and delivery option in Australian dollar 90 Day Bills Futures
by Marc Henrard

2005 Dynamic State Tameness
by Jaime Londoño

2005 Persistence Characteristics of the Chinese Stock Markets
by Cornelis A. Los & Bing Yu

2005 The Degree of Stability of Price Diffusion
by Cornelis A. Los

2005 Simulation-Based Pricing of Convertible Bonds
by Manuel Ammann & Axel Kind & Christian Wilde

2005 Bermudan swaptions in Hull-White one-factor model: analytical and numerical approaches
by Marc Henrard

2005 An empirical analysis of structural models of corporate debt pricing
by Joao C. A. Teixeira

2005 From Default Probabilities To Credit Spreads: Credit Risk Models Do Explain Market Prices
by Stefan Denzler & Michel M. Dacorogna & Ulrich A. Mueller & Alexander McNeil

2005 Proxy simulation schemes using likelihood ratio weighted Monte Carlo for generic robust Monte-Carlo sensitivities and high accuracy drift approximation (with applications to the LIBOR Market Model)
by Christian P. Fries & Joerg Kampen

2005 Eurodollar futures and options: convexity adjustment in HJM one- factor model
by Henrard Marc

2005 Generic Market Models
by Raoul Pietersz & Marcel van Regenmortel

2005 A Comparison of Single Factor Markov-functional and Multi Factor Market Models
by Raoul Pietersz & Antoon Pelsser

2005 Efficient Rank Reduction of Correlation Matrices
by Igor Grubisic & Raoul Pietersz

2005 Rank Reduction of Correlation Matrices by Majorization
by Raoul Pietersz & Patrick J. F. Groenen

2005 Fast drift approximated pricing in the BGM model
by Raoul Pietersz & Antoon Pelsser & Marcel van Regenmortel

2005 Risk Managing Bermudan Swaptions in the Libor BGM Model
by Raoul Pietersz & Antoon Pelsser

2005 Market price of risk implied by Asian-style electricity options
by Rafal Weron

2005 A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton with Jumps
by Carl Chiarella & Christina Nikitopoulos-Sklibosios & Erik Schlogl

2005 On the Strong Approximation of Pure Jump Processes
by Nicola Bruti-Liberati & Eckhard Platen

2005 Investments for the Short and Long Run
by Eckhard Platen

2005 On the Strong Approximation of Jump-Diffusion Processes
by Nicola Bruti-Liberati & Eckhard Platen

2005 A Hardware Generator of Multi-point Distributed Random Numbers for Monte Carlo Simulation
by Nicola Bruti-Liberati & Filippo Martini & Massimo Piccardi & Eckhard Platen

2005 Benchmarking and Fair Pricing Applied to Two Market Models
by Hardy Hulley & Shane Miller & Eckhard Platen

2005 Currency Derivatives under a Minimal Market Model with Random Scaling
by David Heath & Eckhard Platen

2005 On the Distributional Characterization of Log-returns of a World Stock Index
by Kevin Fergusson & Eckhard Platen

2005 On the Role of the Growth Optimal Portfolio in Finance
by Eckhard Platen

2005 The Value of Fighting Irreversible Demise by Softening the Irreversible Cost
by Magis, P. & Sbuelz, A.

2005 The Impact of Overnight Periods on Option Pricing
by Boes, M.J. & Drost, F.C. & Werker, B.J.M.

2005 Estimation of the Stylized Facts of a Stochastic Cascade Model
by Céline Azizieh & Wolfgang Breymann

2005 Option Pricing and the Implied Tail Index with the Generalized Extreme Value (GEV) Distribution
by Sheri Markose & Amadeo Alentorn

2005 Extracting expectations from currency option prices: a comparison of methods
by Marian Micu

2005 Option-Pricing in Incomplete Markets: The Hedging Portfolio plus a Risk Premium-Based Recursive Approach
by Alfredo Ibáñez

2005 Pricing American-style Derivatives under the Heston Model Dynamics: A Fast Fourier Transformation in the Geske–Johnson Scheme
by Oleksandr Zhylyevskyy

2005 Understanding financial derivatives during the South Sea Bubble: the case of the South Sea subscription shares
by Gary S. Shea

2005 Financial Market Analysis Can Go Mad (in the search for irrational behaviour during the South Sea Bubble)
by Gary S. Shea

2005 Corporate valuations and the merton model
by Andrea Gheno

2005 O Mercado interbancário de câmbio no Brasil,Creation-Date: 2005-07
by Marcio Gomes Pinto Garcia & Fábio Urban

2005 Asymmetries and Volatility Regimes in the European Equity Markets
by Carol Alexandra & Emese Lazar

2005 On The Continuous Limit of GARCH
by Carol Alexandra & Emese Lazar

2005 Advance Contracts for the Sale of Wool in Medieval England; An Undeveloped and Inefficient Market?
by Adrian Bell & Chris Brooks & Paul Dryburgh

2005 The Continuous Limit of GARCH Processess
by Carol Alexandra & Emese Lazar

2005 Hedging with Foreign-listed Single Stock Futures
by Hung, Mao-wei & Lee, Cheng-few & So, Leh-chyan

2005 Higher-order volatility
by Carey, Alexander

2005 Optimal investment strategies in decentralized renewable power generation under uncertainty
by Fleten, Stein-Erik & Maribu, Karl Magnus & Wangensteen, Ivar

2005 Options valuation
by ilya, gikhman

2005 L'assurance de portefeuille: Simulations en Visual Basic de portefeuilles visant à reproduire les flux monétaires de stratégies d'options
by Francois-Éric Racicot & Raymond Théoret

2005 De l'évaluation du risque de crédit
by Francois-Éric Racicot & Raymond Théoret

2005 Modelling Dynamic Storage Function in Commodity Markets:Theory and Evidence
by Luca Pieroni & Matteo Ricciarelli

2005 Pricing a Bermudan Swaption with a Short Rate Lattice Method
by Yasuhiro Tamba

2005 La flexibilidad como creadora de valor. El caso de una explotaci¢n forestal en Portugal
by Alonso Bonis, Susana & Vallelado Gonz lez, Eleuterio & Henriques Xavier, Jos‚ Manuel

2005 Equilibrium Commodity Prices with Irreversible Investment and Non-Linear Technology
by Jaime Casassus & Pierre Collin-Dufresne & Bryan R. Routledge

2005 Demand-Based Option Pricing
by Nicolae Garleanu & Lasse Heje Pedersen & Allen M. Poteshman

2005 Notes for a Contingent Claims Theory of Limit Order Markets
by Bruce N. Lehmann

2005 Futures Prices in a Production Economy with Investment Constraints
by Leonid Kogan & Dmitry Livdan & Amir Yaron

2005 The Tactical and Strategic Value of Commodity Futures
by Claude B. Erb & Campbell R. Harvey

2005 A Theory of Takeovers and Disinvestment
by Bart Lambrecht & Stewart C. Myers

2005 The Predictive Content of Energy Futures: An Update on Petroleum, Natural Gas, Heating Oil and Gasoline
by Menzie D. Chinn & Michael LeBlanc & Olivier Coibion

2005 Realized Volatility and Correlation in Grain Futures Markets: Testing for Spill-Over Effects
by Jae H. Kim & Hristos Doucouliagos

2005 The no arbitrage condition in option implied trees: evidence from the Italian index options market
by V. Moriggia & S. Muzzioli & C. Torricelli

2005 Implied volatility of foreign exchange options: is it worth tracking?
by Áron Gereben & Klára Pintér

2005 Default Risk in Corporate Yield Spreads
by Georges Dionne & Geneviève Gauthier & Khemais Hammami & Mathieu Maurice & Jean-Guy Simonato

2005 Heterogeneous Risk Attitudes in a Continuous-Time Model
by Chiaki Hara

2005 A Diffusion Approximation to the Markov Chains Model of the Financial Market and the Expected Riskless Profit Under Selling of Call and Put Options
by Nagaev, Alexander V. & Nagaev, Sergei A. & Kunst, Robert M.

2005 A Diffusion Approximation for the Riskless Profit Under Selling of Discrete Time Call Options. Non-identically Distributed Jumps
by Nagaev, Alexander V. & Nagaev, Sergei A. & Kunst, Robert M.

2005 Demanda de Derivativos de Câmbio no Brasil: Hedge ou Especulação
by Walter Novaes & Fernando N. de Oliveira

2005 Duality and Derivative Pricing with Time-Changed Lévy Processes
by José Fajardo & Ernesto Mordecki

2005 Equivalent Martingale Measures and Lévy Processes
by José Fajardo

2005 Duality and Derivative Pricing with Lévy Processes
by José Fajardo & Ernesto Mordecki

2005 Explicit characterization of the super-replication strategy in financial markets with partial transaction costs
by Imen Bentahar & Bruno Bouchard

2005 US Monetary Policy Announcements and the Term Structure of Interest Rate Differentials: Evidence from Hong Kong and Singapore
by Giorgio Valente

2005 Callable Risky Perpetual Debt: Options, Pricing And Bankruptcy Implications
by Mjøs, Aksel & Persson, Svein-Arne

2005 On finite dimensional realizations for the term structure of futures prices
by Björk, Tomas & Blix, Magnus & Landen, Camilla

2005 On the Timing Option in a Futures Contract
by Björk, Tomas & Biagini, Francesca

2005 Quadratic Portfolio Credit Risk models with Shot-noise Effects
by Gaspar, Raquel M. & Schmidt, Thorsten

2005 Correlation Between Intensity and Recovery in Credit Risk Models
by Gaspar, Raquel M. & Slinko, Irina

2005 Start-up Entry Strategies: Employer vs. Nonemployer firms
by Michele Moretto & Gianpaolo Rossini

2005 Do Major Financial Crises Provide Information on Sovereign Risk to the Rest of the World? A Look at Credit Default Swap Markets
by Didier Cossin & Gero Jung

2005 Are European Corporate Bond and Default Swap Markets Segmented?
by Didier Cossin & Hongze Lu

2005 Theory and Calibration of Swap Market Models
by S.Galluccio & Z. Huang & J.-M. Ly & O. Scaillet

2005 A Portrait of Hedge Fund Investors: Flows, Performance and Smart Money
by Baquero, G. & Verbeek, M.J.C.M.

2005 Efficient Rank Reduction of Correlation Matrices
by Grubisic, I. & Pietersz, R.

2005 A Comparison of Single Factor Markov-Functional and Multi Factor Market Models
by Pietersz, R. & Pelsser, A.A.J.

2005 Generic Market Models
by Pietersz, R. & van Regenmortel, M.

2005 Structural Change in Japanese Business Fluctuations and Nikkei 225 Stock Index Futures Transactions
by Toshiaki Watanabe & Hirokuni Uchiyama

2005 Measuring Financial Stability: Applying the MfRisk Model to the Netherlands
by Jan Willem van den End & Mostafa Tabbae

2005 The Impact of Serial Correlation on Option Prices in a Non- Frictionless Environment: An Alternative Explanation for Volatility Skew
by John S. Ying & Joel S. Sternberg

2005 Temporary Stabilization and the Real Option of Waiting when Consumption can be Delayed: an Extreme Value Approach
by Francisco Venegas-Martínez

2005 A Two-Stage Realized Volatility Approach to the Estimation for Diffusion Processes from Discrete Observations
by Peter C.B. Phillips & Jun Yu

2005 Modelling the Surrender Conditions in Equity-Linked Life Insurance
by Anna Rita Bacinello

2005 Parametric Properties of Semi-Nonparametric Distributions, With Applications to Option Valuation
by León, Ángel & Mencía, Javier & Sentana, Enrique

2005 Demand-Based Option Pricing
by Garleanu, Nicolae Bogdan & Pedersen, Lasse Heje & Poteshman, Allen M

2005 Insider Trading in Credit Derivatives
by Acharya, Viral V & Johnson, Tim

2005 A Model of Corporate Liquidity
by Anderson, Ronald W. & Carverhill, Andrew

2005 Scope for Credit Risk Diversification
by Hanson, S. & Pesaran, M.H. & Schuermann, T.

2005 Produktdesign und Semi-Statische Absicherung von Turbo-Zertifikaten
by Antje Mahayni & Michael Suchanecki

2005 Loss Analysis of a Life Insurance Company Applying Discrete-time Risk-minimizing Hedging Strategies
by An Chen

2005 Explaining the level of credit spreads: option-implied jump risk premia in a firm value model
by Martijn Cremers & Joost Driessen & Pascal Maenhout & David Weinbaum

2005 The pricing of unexpected credit losses
by Jeffery D. Amato & Eli M Remolona

2005 Explaining credit default swap spreads with equity volatility and jump risks of individual firms
by Haibin Zhu & Benjamin Yibin Zhang & Hao Zhou

2005 Can option smiles forecast changes in interest rates? An application to the US, the UK and the euro area
by Marcello Pericoli

2005 State Dependence in Fundamentals and Preferences Explains Risk-Aversion Puzzle
by Fousseni Chabi-Yo & René Garcia & Eric Renault

2005 Option Valuation As an Expectation in The Complex Domain: The Black-Scholes Case
by Hortensia Fontanals Albiol & Ramon Lacayo

2005 Valoracion de credit default swaps: Una aplicacion del modelo de Hull-White al mercado espanol
by Maria Carmen Badia Batlle & Merche Galisteo & M. Teresa Preixens Benedicto

2005 Indexált alaptermék árú opciók
by Radnai, Márton

2005 The application of contingent valuation method to community-led financing schemes: evidence from rural cameroon
by William M. Fonta & H. Eme Ichoku

2005 Valuation of Standard Options under the Constant Elasticity of Variance Model
by Richard Lu & Yi-Hwa Hsu

2005 An empirical comparison of the performance of alternative option pricing models
by Eva Ferreira & Mónica Gago & Angel León & Gonzalo Rubio

2005 Valuación actuarial de bonos catastróficos para desastres naturales en México
by Fernández-Durán, Juan José & Gregorio-Domínguez, M. Mercedes

2005 A Real Option Model with Uncertain, Sequential Investment and with Time to Build
by Guilherme B. Martins & Marcos Eugênio da Silva

2005 Risk aversion and risk premia in the CDS market
by Jeffery D Amato

2005 The rise and fall of US dollar interest rate volatility: evidence from swaptions
by Fabio Fornari

2005 Contractual terms and CDS pricing
by Franck Packer & Haibin Zhu

2005 CDS index tranches and the pricing of credit risk correlations
by Jeffery D Amato & Jacob Gyntelberg

2004 Do hedging instruments stabilize markets?
by Florian Wagener & William Brock & Cars Hommes

2004 Asymmetric Jump Processes: Option Pricing Implications
by Brice Dupoyet

2004 Pricing a Path-dependent American Option by Monte Carlo Simulation
by Masaaki Kijima & Hajime Fujiwara

2004 Speculative option valuation: A supercomputing approach
by Enrico Scalas & Alessandro Vivoli & Paride Dagna & Guido Germano

2004 On the Intradaily Relationship between Information Revelation and Trade Duration: The Evidence of MSCI Taiwan Futures
by Chiang & Min-Hsien;Fan

2004 A Bayesian semiparametric approach to pricing the S&P 500 index options
by Marcin Kacperczyk; Paul Damien; Stephen Walker

2004 Prognoses for a Non-Predictable Discounted Commodity Price Process
by Wright, Brian D. & Bobenrieth & Eugenio S. A.

2004 Pricing LME Commodity Futures Contracts
by Richard Heaney

2004 Márgenes con spread intraclase para el mercado mexicano de derivados
by Díaz-Tinoco, Jaime & Venegas-Martínez, Francisco

2004 Role of Commodity Futures Market in Spot Price Stabilization, Production and Inventory Decisions with Reference to India
by Basab Dasgupta

2004 Cross currency swap valuation
by Boenkost, Wolfram & Schmidt, Wolfgang M.

2004 Pure risk premiums under deductibles. A quantitative management in actuarial practice
by Krzysztof Burnecki & Joanna Nowicka-Zagrajek & Aleksander Weron

2004 Principal Components Analysis in implied volatility modeling (Analiza skladowych glownych w modelowaniu implikowanej zmiennosci)
by Rafal Weron & Slawomir Wojcik

2004 Finding the optimal exercise time for American warrants on WIG20 futures (Wyznaczanie optymalnego momentu wykonania warrantów amerykańskich na kontrakty futures na indeks WIG20)
by Bartosz Stawiarski

2004 Heterogeneity in Price Rigidity: Evidence from a Case Study Using Micro-Level Data
by Daniel Levy & Shantanu Dutta & Mark Bergen

2004 Price Flexibility in Channels of Distribution: Evidence from Scanner Data
by Shantanu Dutta & Mark Bergen & Daniel Levy

2004 System Identification in Noisy Data Environments: An Application to Six Asian Stock Markets
by Cornelis A Los

2004 Why VAR Fails: Long Memory and Extreme Events in Financial Markets
by Cornelis A. Los

2004 A Generalized Earnings-Based Stock Valuation Model
by Ming Dong & David Hirshleifer

2004 Stock Valuation and Investment Strategies
by Zhiwu Chen & Ming Dong

2004 When to Put All Your Eggs in One Basket.....When Diversification Increases Portfolio Risk!
by Cornelis A. Los

2004 The Effects of Option Expiration on NSE volume and prices
by Akash Gupta & Samik Metia & Prashant Trivedi

2004 Accounting for Employee Stock Options: An Economics Perspective
by Junning Cai

2004 Multi-Fractal Spectral Analysis of the 1987 Stock Market Crash
by CORNELIS A. LOS & ROSSITSA M. YALAMOVA

2004 Optimal Multi-Currency Investment Strategies with Exact Attribution in Three Asian Countries
by CORNELIS A. LOS

2004 The Changing Concept of Financial Risk
by CORNELIS A. LOS

2004 What Constitutes a Good Model? An Analysis of Models for Mortgage Backed Securities
by Massoud Heidari & Liuren Wu

2004 Static Hedging of Standard Options
by Peter Carr & Liuren Wu

2004 Variance Risk Premia
by Peter Carr & Liuren Wu

2004 Taking Positive Interest Rates Seriously
by Enlin Pan & Liuren Wu

2004 Estimating the Volatility Structure of an Arbitrage-Free Interest Rate Model Via the Futures Markets
by Ram Bhar & Carl Chiarella & Thuy-Duong To

2004 Bank Stability and Market Discipline: Debt-for-Equity Swap versus Subordinated Notes
by Alon Raviv

2004 Swaptions: 1 price, 10 deltas, and ... 6 1/2 gammas
by Marc Henrard

2004 Numeraire-invariant option pricing and american, bermudan, trigger stream rollover (v1.6)
by Farshid Jamshidian

2004 A survey on risk-return analysis
by Don U.A. Galagedera

2004 GARCH Option Pricing Under Skew
by Sofiane ABOURA

2004 Idiosyncratic Risk, Systematic Risk and Stochastic Volatility: An Implementation of Merton’s Credit Risk Valuation
by Gatfaoui Hayette

2004 How Does Systematic Risk Impact Stocks? A Study On the French Financial Market
by Gatfaoui Hayette

2004 Pricing and Hedging Options in Incomplete Markets: Idiosyncratic Risk, Systematic Risk and Stochastic Volatility
by Gatfaoui Hayette & Chauveau Thierry

2004 Overnight Indexed Swaps and Floored Compounded Instrument in HJM One-Factor Model
by Marc Henrard

2004 A Note on the Bias of using Futures Rates as a Proxy for the Instantaneous Forward Rate
by Thuy-Duong To

2004 Capital Asset Pricing for Markets with Intensity Based Jumps
by Eckhard Platen

2004 An Intraday Empirical Analysis of Electricity Price Behaviour
by Eckhard Platen & Jason West & Wolfgang Breymann

2004 A Benchmark Approach to Finance
by Eckhard Platen

2004 A Markovian Defaultable Term Structure Model with State Dependent Volatilities
by Carl Chiarella & Erik Schlögl & Christina Nikitopoulos-Sklibosios

2004 Two-Factor Model for Low Interest Rate Regimes
by Shane Miller & Eckhard Platen

2004 Diversified Portfolios with Jumps in a Benchmark Framework
by Eckhard Platen

2004 Understanding the Implied Volatility Surface for Options on a Diversified Index
by David Heath & Eckhard Platen

2004 Intraday Empirical Analysis and Modeling of Diversified World Stock Indices
by Wolfgang Breymann & Leah Kelly & Eckhard Platen

2004 Local Volatility Function Models under a Benchmark Approach
by David Heath & Eckhard Platen

2004 Idiosyncratic Risk, Systematic Risk and Stochastic Volatility: An Implementation of Merton's Credit Risk Valuation
by Hayette Gatfaoui

2004 Pricing and Hedging Options in Incomplete Markets: Idiosyncratic Risk, Systematic Risk and Stochastic Volatility
by Thierry Chauveau & Hayette Gatfaoui

2004 A generalization of Hull and White formula and applications to option pricing approximation
by Elisa Alòs

2004 Does futures exhibit maturity effect? New evidence from an extensive set of US and foreign futures contracts
by Daal, Elton & Farhat, Joseph Basheer & Wei, Peihwang P.

2004 Approximating equity volatility
by Ahmed Loulit

2004 Mixed Lognormal Distributions for Derivatives Pricing and Risk-Management
by Dietmar Leisen

2004 The Manufacturing Flexibility to Switch Products: Valuation and Optimal Strategy
by Sorin Tuluca & Piotr Stalinski

2004 The Risk-Neutral Measure and Option Pricing under Log-Stable Uncertainty using Romberg Fourier Inversion
by J. Huston McCulloch

2004 Capital market equilibrium with moral hazard and flexible technology
by John Quiggin & Robert G. Chambers

2004 Interview with Nobel Prize Laureate Robert C. Merton
by Merton, Robert C.

2004 Stochastic Local Volatility
by Carol Alexander & Leonardo Nogueira

2004 The Equity Index Skew, Market Crashes and Asymmetric Normal Mixture GARCH
by Carol Alexandra & Emese Lazar

2004 An Uncertain Volatility Explanation for Delayed Calls of Convertible Bonds
by Ali Bora Yigibasioglu & Carol Alexandra

2004 Efeito da flexibilidade na decisão de investimento: Uma aplicação à exploração do cobre
by Gomes Santana Félix, Elisabete & Esperança, José Paulo

2004 Methodological problems in solvency assessment of an insurance company
by Cocozza, R & Di Lorenzo, E & Sibillo, M

2004 Optimal hedging strategies for multi-period guarantees in the presence of transaction costs: A stochastic programming approach
by Fleten, Stein-Erik & Lindset, Snorre

2004 Option Pricing Under the Variance Gamma Process
by Fiorani, Filo

2004 Introducing contemporaneous open-outcry and e-trading at the Chicago Board of Trade
by Ulibarri, Carlos A.

2004 Private Information: Similarity as Compatibility
by João Correia-da-Silva & Carlos Hervés-Beloso

2004 Various Features of the Chooser Flexible Cap
by Masamitsu Ohnishi & Yasuhiro Tamba

2004 Pricing of a Chooser Flexible Cap and its Calibration
by Daisuke Ito & Masamitsu Ohnishi & Yasuhiro TAMBA

2004 The Cross-Section of Volatility and Expected Returns
by Andrew Ang & Robert J. Hodrick & Yuhang Xing & Xiaoyan Zhang

2004 Facts and Fantasies about Commodity Futures
by Gary Gorton & K. Geert Rouwenhorst

2004 Should We Fear Derivatives?
by Rene M. Stulz

2004 Modelling the Risk and Return Relation Conditional on Market Volatility and Market Conditions
by Don U.A. Galagedera & Robert Faff

2004 The internal efficiency of Index Option Markets:Tests on the Italian Market
by Costanza Torricelli & Marianna Brunetti

2004 Why is the index smile so steep?
by Christian Schlag & Nicole Branger

2004 The Timing of Bets and the Favorite-Longshot Bias
by Marco Ottaviani & Peter Norman Sørensen

2004 Autoregressive Conditional Volatility, Skewness And Kurtosis
by Ángel León & Gonzalo Rubio & Gregorio Serna

2004 Forward Contracting and Collusion in Oligopoly
by Juan-Pablo Montero

2004 The Consumption-Based Determinants of the Term Structure of Discount Rates
by Gollier, Christian

2004 Financial fragility under implicit insurance scheme: Evidence from the collapse of Thai financial institutions
by Anuchitworawong, Chaiyasit

2004 Deposit Insurance, Corporate Governance and Discretionary Behavior: Evidence from Thai Financial Institutions
by Anuchitworawong, Chaiyasit

2004 Towards a General Theory of Good Deal Bounds
by Björk, Tomas & Slinko, Irina

2004 On Finite Dimensional Realizations of Forward Price Term Structure Models
by Gaspar, Raquel M.

2004 General Quadratic Term Structures of Bond, Futures and Forward Prices
by Gaspar, Raquel M.

2004 On the Pricing of Step-Up Bonds in the European Telecom Sector
by Lando, David & Mortensen, Allan

2004 Warrant Pro 1: Market Price Synthesis with a Software Agent and a Neurosimulator
by Bartels, Patrick & Breitner, Michael H.

2004 Is Jump Risk Priced? - What We Can (and Cannot) Learn From Option Hedging Errors
by Nicole Branger & Christian Schlag

2004 When Are Static Superhedging Strategies Optimal?
by Nicole Branger & Angelika Esser & Christian Schlag

2004 The Dynamics of Mergers and Acquisitions
by Erwan Morellec & Alexei Zdhanov

2004 Investment under Uncertainty and Incomplete Markets
by Julien Hugonnier & Erwan Morellec

2004 The Effects of Macroeconomic News on Beliefs and Preferences: Evidence from the Options Market
by Alessandro BEBER & Michael W. BRANDT

2004 Fund liquidation, self-selection and look-ahead bias in the hedge fund industry
by ter Horst, J.R. & Verbeek, M.J.C.M.

2004 An Improved Estimator For Black-Scholes-Merton Implied Volatility
by Hallerbach, W.G.P.M.

2004 Rank reduction of correlation matrices by majorization
by Pietersz, R. & Groenen, P.J.F.

2004 Valoración de la garantía de los planes de pensiones en España
by Chamorro Gómez, José Manuel

2004 The Risk-Neutral Measure and Option Pricing under Log-Stable Uncertainty
by J. Huston McCulloch

2004 Specification Analysis of Option Pricing Models Based on Time-Changed Levy Processes
by Jing-zhi Huang & Liuren Wu

2004 Evaluating Incentive Options
by Wei Xiong & Ronnie Sircar

2004 Pricing Derivatives on Two Lé}vy-driven Stocks
by Ernesto Mordecki & José Fajardo

2004 Dynamics of Interest Rate Curve by Functional Auto-regression
by Alexei Onatski & Slava Kargin

2004 Structurally Sound Dynamic Index Futures Hedging
by Patrick McGlenchy & Paul Kofman

2004 Understanding Electricity Price Volatility within and across Markets
by Goto, Mika & Karolyi, G. Andrew

2004 Comments on "A reconsideration of tax shield valuation" by Enrique R. Arzac and Lawrence R. Glosten
by Fernandez, Pablo

2004 An Anatomy of Futures Returns: Risk Premiums and Trading Strategies
by Frans A. de Roon & Rob W. J. van den Goorbergh & Theo E. Nijman

2004 Asset Prices and International Spillovers: An Empirical Investigation
by Sarno, Lucio & Valente, Giorgio

2004 Confidence Building on Euro Conversion: Theory and Evidence from Currency Options
by Driessen, Joost & Perotti, Enrico C

2004 Representative Consumer's Risk Aversion and Efficient Risk-Sharing Rules
by Hara, C. & Christoph Kuzmics

2004 On an Alternative Approach to Pricing General Barrier Options
by Michael Suchanecki

2004 Market Expectations Implicit in Derivative Prices: Applications to Exchange and Oil Markets
by Alejandro Díaz de León & Martha Elena Casanova

2004 Estimating state price densities by Hermite polynomials: theory and application to the Italian derivatives market
by Paolo Guasoni

2004 Estimating expectations of shocks using option prices
by Antonio Di Cesare

2004 Modelling the Evolution of Credit Spreads in the United States
by Stuart M. Turnbull & Jun Yang

2004 Commodity-Linked Bonds: A Potential Means for Less-Developed Countries to Raise Foreign Capital
by Joseph Atta-Mensah

2004 On the pricing of options under limited information
by DE SCHEPPER, Ann & HEIJNEN, Bart

2004 The Optimality of Multi-stage Venture Capital Financing: An Option-Theoretic Approach
by Robert Dubil

2004 Firm and Corporate Bond Valuation: A Simulation Dynamic Programming Approach
by Augusto Castillo

2004 A Note on Sector, Rating, and Maturity Effects on Risk Premia
by Konstantinos Drakos

2004 Information Flow between Price Change and Trading Volume in Gold Futures Contracts
by Ramaprasad Bhar & Shigeyuki Hamori

2004 Defection of Traditional Standard Deviation Scaling of Capital Asset Returns
by Vladimír Gazda & Karel Koøený & Tomáš Výrost

2004 Replication Methods in the Pricing and Hedging of Barrier Options
by Tichý Tomáš

2004 An Interpretation of Czech FX Options
by Pavel Bouc & Martin Cincibuch

2004 Hedging Strategies and Financial Risks
by Zdenìk Zmeškal

2004 Los Modelos Implícitos de Valoración de Opciones
by Arregui Ayastuy, Gerardo

2004 Decision for the Optimal Location -- Waiting Timing Relationship in A Real Options Model
by Chin-Tsai Lin & Cheng-Ru Wu

2004 Construction d'un portefeuille sous-jacent virtuel
by Sophie Pardo & Robert Kast & André Lapied

2004 Credit Derivatives Pricing in Brazil
by Jorge C. Kapotas & Pedro Paulo Schirmer & Marcelo M. Taddeo

2004 Estimating Risk and Return Combinations for New Derivatives Funds
by Ney Roberto Ottoni de Brito & Alexandre Bona & Affonso Tarciro, Jr.

2004 Heston Model Calibration in the Brazilian Foreign Exchange (FX) Options Market
by Marcelo Nóbrega da Costa & Joe Akira Yoshino

2004 Forward Volatility Contract Pricing in the Brazilian Market
by Jorge C. Kapotas & Pedro Paulo Schirmer & Sandro Magalhães Manteiga

2003 Diversified Portfolios in a Benchmark Framework
by Eckhard Platen

2003 A Stochastic Seasonal Model for Commodity Option Pricing
by Monica Barbu & Kevin Burrage

2003 An Implementation of the Shirakawa Jump-Diffusion Term Structure Model
by Christina Nikitopoulos-Sklibosios & Carl Chiarella

2003 The Evolution of Expectations Towards Expiration
by Roy van der Weide & Remco Peters

2003 A Numerical Solution to American Style Options on Commodities
by Kevin Burrage & Jamie Alcock & Monica Barbu

2003 WARRANT-PRO-2: A GUI-Software for Easy Evaluation, Design and Visualization of European Double-Barrier Options
by Oliver Kubertin & Michael H. Breitner

2003 How can management deliver value for shareholders?
by Chen, Andrew & Conover, James & Kensinger, John

2003 Notes on convexity and quanto adjustments for interest rates and related options
by Boenkost, Wolfram & Schmidt, Wolfgang M.

2003 Over-allotment options in IPOs on Germany's Neuer Markt: An empirical investigation
by Franzke, Stefanie A. & Schlag, Christian

2003 The Forecasting Performance of German Stock Option Densities
by Keller, Joachim & Glatzer, Ernst & Craig, Ben R. & Scheicher, Martin

2003 Net Foreign Assets Management and Capital Account Liberalization. The Romanian Case
by Florian Neagu

2003 Net Foreign Assets Management and Capital Account Liberalization. The Romanian Case
by Florian Neagu

2003 Net Foreign Assets Management and Capital Account Liberalization. The Romanian Case
by Florian Neagu

2003 Net Foreign Assets Management and Capital Account Liberalization. The Romanian Case
by Florian Neagu

2003 Net Foreign Assets Management and Capital Account Liberalization. The Romanian Case
by Florian Neagu

2003 American Option Pricing with Transaction Costs
by Valeri Zakamouline

2003 European Option Pricing and Hedging with both Fixed and Proportional Transaction Costs
by Valeri Zakamouline

2003 Alternative Market Structures for Derivatives
by Sohnke M. Bartram & Frank R. Fehle

2003 Net Foreign Assets Management and Capital Account Liberalization. The Romanian Case
by Florian Neagu

2003 Consistent Estimation of Pricing Kernels from Noisy Price Data
by Vladislav Kargin

2003 Explicit bond option and swaption formula in Heath-Jarrow-Morton one factor model
by Marc Henrard

2003 A semi-analytical approach to Canary swaptions in HJM one-factor model
by Henrard Marc

2003 Lattice Option Pricing By Multidimensional Interpolation
by Vladislav Kargin

2003 Risk Disaggregation And Credit Risk Valuation In The Merton Like Way
by Hayette Gatfaoui

2003 Competition among Alternative Option Market Structures: Evidence from Eurex vs. Euwax
by Sohnke M. Bartram & Frank R. Fehle

2003 Efficient Path-Dependent Valuation Using Lattices: Fixed and Floating Strike Asian Options
by Allen Abrahamson

2003 A Note on Constructing 50-50 Step Probability Binomial Lattices to Replicate Wiener Diffusion
by Allen Abrahamson

2003 A Simple Model for Credit Migration and Spread Curves
by Li Chen & Damir Filipovic

2003 Option value and optimal rotation policies for aquaculture exploitations
by Arantza Murillas Maza

2003 The Role of Intra-Day and Inter-Day Data Effects in Determining Linear and Nonlinear Granger Causality Between Australian Futures and Cash Index Markets
by R. M. Eldridge & Maurice Peat & Max Stevenson

2003 An Alternative Interest Rate Term Structure Model
by Eckhard Platen

2003 A Benchmark Framework for Risk Management
by Eckhard Platen

2003 Pricing and Hedging for Incomplete Jump Diffusion Benchmark Models
by Eckhard Platen

2003 Fair Pricing of Weather Derivatives
by Eckhard Platen & Jason West

2003 Modeling the Volatility and Expected Value of a Diversified World Index
by Eckhard Platen

2003 Pricing of Index Options Under a Minimal Market Model with Lognormal Scaling
by David Heath & Eckhard Platen

2003 On the valuation and incentive effects of executive cash bonus contracts
by Lionel Martellini & Branko Urosevic

2003 Australian Asian options
by Manuel Moreno & Javier F. Navas

2003 A general decomposition formula for derivative prices in stochastic volatility models
by Elisa Alòs

2003 Reexamining the maturity effect using extensive futures data
by Daal, Elton & Farhat, Joseph Basheer & Wei, Peihwang P.

2003 Analytic American Option Pricing and Applications
by Sbuelz, A.

2003 Multivariate Option Pricing Using Dynamic Copula Models
by van den Goorbergh, R.W.J. & Genest, C. & Werker, B.J.M.

2003 Structural RFV : Recovery Form and Defaultable Debt Analysis
by Guha, R. & Sbuelz, A.

2003 Black Scholes for Portfolios of Options in Discrete Time: the Price is Right, the Hedge is wrong
by Bas Peeters & Cees L. Dert & André Lucas

2003 A Monte Carlo Method for the Normal Inverse Gaussian Option Valuation Model using an Inverse Gaussian Bridge
by Nick Webber & Claudia Ribeiro

2003 Valuing Path Dependent Options in the Variance-Gamma Model by Monte Carlo with a Gamma Bridge
by Nick Webber & Claudia Ribeiro

2003 The estimation of implied volatility from the Black-Scholes model: some new formulas and their applications
by Steven Li

2003 Pricing American Options under Stochastic Volatility: A New Method Using Chebyshev Polynomials to Approximate the Early Exercise Boundary
by Elias Tzavalis & Shijun Wang

2003 A General Equilibrium Financial Asset Economy with Transaction Costs and Trading Constraints
by Frank Milne & Edwin Neave

2003 Opções reais: tipologias e sua avaliação
by Gomes Santana Félix, Elisabete

2003 Dalle Riserve alle Opzioni: " La partecipazione agli utili nelle polizze vita"
by Giandomenico, Rossano

2003 An Equilibrium Analysis of Real Estate
by Steven R. Grenadier

2003 Limited Arbitrage and Short Sales Restrictions: Evidence from the Options Markets
by Eli Ofek & Matthew Richardson & Robert F. Whitelaw

2003 Pricing Australian S&P200 Options: A Bayesian Approach Based on Generalized Distributional Forms
by David B. Flynn & Simone D. Grose & Gael M. Martin & Vance L. Martin

2003 Implicit Bayesian Inference Using Option Prices
by Gael M. Martin & Catherine S. Forbes & Vance L. Martin

2003 Bayesian Estimation of a Stochastic Volatility Model Using Option and Spot Prices: Application of a Bivariate Kalman Filter
by Catherine S. Forbes & Gael M. Martin & Jill Wright

2003 Call and put implied volatilities and the derivation of option implied trees
by V. Moriggia & S. Muzzioli & C. Torricelli

2003 The Put-Call Parity in the Index Options Markets: Further results for the Italian Mib30 Options market
by Costanza Torricelli & Marianna Brunetti

2003 Endogenous Value and Financial Fragility
by Gobert, Karine & González, Patrick & Lai, Alexandra & Poitevin, Michel

2003 Endogenous Value and Financial Fragility
by Gobert, Karine & González, Patrick & Lai, Alexandra & Poitevin, Michel

2003 A Diffusion Approximation for the Riskless Profit under Selling of Discrete Time Call Options
by Nagaev, Sergei A.

2003 Valuing Corporate Liabilities
by Ericsson, Jan & Reneby, Joel

2003 Long-Term Supply Contracts and Collusion in the Electricity Markets
by Le Coq, Chloé

2003 On the Geometry of Interest Rate Models
by Björk, Tomas

2003 Does the Black-Scholes formula work for electricity markets? A nonparametric approach
by Hjalmarsson, Erik

2003 The Value and Incentives of Option-based Compensation in Danish Listed Companies
by Bechmann, Ken L. & Jørgensen, Peter Løchte

2003 Competition and Irreversible Investments under Uncertainty
by Michele Moretto

2003 Quantitative Selection of Long-Short Hedge Funds
by Kaifeng CHEN & Alexander PASSOW

2003 Sovereign Debt Contract and Optimal Consumption-Investment Strategies
by Andriy DEMCHUK,

2003 Fat Tails in Power Prices
by Huisman, R. & Huurman, C.

2003 Risk managing bermudan swaptions in the libor BGM model
by Pietersz, R. & Pelsser, A.A.J.

2003 Pricing default swaps: empirical evidence
by Houweling, P. & Vorst, A.C.F.

2003 A Merton Model Approach to Assessing the Default Risk of UK Public Companies
by Tudela, Merxe & Garry Young

2003 The Jump Component of the Volatility Structure of Interest Rate Futures Markets: An International Comparison
by To, Thuy Duong & Carl Chiarella

2003 Risk Management: An Interdisciplinary Framework
by Tapiero, Charles

2003 Value at Risk and Inventory Control
by Tapiero, Charles

2003 A Class of Marked Point Processes for Modelling Electricity Prices
by Geman, Hélyette & Roncoroni, Andrea

2003 Jackknifing Bond Option Prices
by Peter C.B. Phillips & Jun Yu

2003 Late Informed Betting and the Favourite-Longshot Bias
by Ottaviani, Marco & Sørensen, Peter Norman

2003 Heterogeneity of Investors and Asset Pricing in a Risk-Value World
by Franke, Günter & Weber, Martin

2003 The Importance of the Loss Function in Option Valuation
by Peter Christoffersen & Kris Jacobs

2003 Order Flows, Delta Hedging and Exchange Rate Dynamics
by Bronka Rzepkowski

2003 A real options approach to tender offers and acquisitions processes
by José Dapena & Santiago Fidalgo

2003 Non-Institutional Market Making Behavior: The Dalian Futures Exchange
by Oscar Jorda & Holly Liu & Jeffrey Williams

2003 The Risk Management of Minimum Return Guarantees
by Antje Mahayni & Erik Schlögl

2003 The Effect of Dynamic Hedging of Options Positions on Intermediate-Maturity Interest Rates
by Thanasis N. Christodoulopoulos & Ioulia Grigoratou

2003 Collateral and Credit Supply
by Joseph Atta-Mensah

2003 Valuation of Defaultable Bonds and Debt Restructuring
by Ariadna Dumitrescu

2003 Are One Factor Logarithmic Volatility Models Useful to Fit the Features of Financial Data? An Application to Microsoft Data
by Maria Helena Lopes Moreira da Veiga

2003 Forecasting Volatility Using A Continuous Time Model
by Maria Helena Lopes Moreira da Veiga

2003 Extension of the corrected barrier approximation by Broadie, Glasserman, and Kou
by Per Hörfelt

2003 Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity
by Ji-Wook Jang & Angelos Dassios

2003 Random step functions model for interest rates
by Eleanor Virag & Fima C. Klebaner & Konstantin Borovkov

2003 Numerical solution of jump-diffusion LIBOR market models
by Nicolas Merener & Paul Glasserman

2003 The Pricing Of Options On Credit-Sensitive Bonds
by Sandra Peterson & Richard C. Stapleton

2003 A volatilitás előrejelzése és a visszaszámított modellek
by Zsembery, Levente

2003 Financial Innovation in Multi-Period Economies
by Enrique Kawamura

2003 Securities Transaction Taxes for U.S. Financial Markets
by Robert Pollin & Dean Baker & Marc Schaberg

2003 Small dimension PDE for discrete Asian options
by Benhamou, Eric & Duguet, Alexandre

2003 Term Structure of Interest Rates in the Presence of Levy Jumps: The HJM Approach
by Chenghu Ma

2003 Market Risk and Volatility in the Brazilian Stock Market
by Joe Akira Yoshino

2003 Lead lag relatîonships between short term options and the french stock index cac 40: the impact of time measurement
by Alexis Cellier

2003 Decentralized Portfolio Management
by Paulo Coutinho & Benjamin Miranda Tabak

2003 The Dynamics of the Option-Adjusted Spread of Brady Bond Securities
by Franklin de O. Gonçalves & Luiz Otavio Calôba

2002 Numerical Investigations of the Heath Jarrow Morton Model with Forward Rate Dependent Volatility
by Carl Chiarella & Silvana Musti

2002 Daily Behavior Of Futures Returns: Evidence Form A New Computational Method
by Roger Koppl & Sorin Tuluca

2002 Merton-style option pricing under regime switching
by John Driffill & Turalay Kenc & Martin Sola

2002 Heterogeneous Preferences and the Representative Investor
by Frank Niehaus

2002 Price Adjustment Time and the Black-Scholes Option Pricing Model: Discussion and New Results
by Emmanuel Haven

2002 Finite element method for pricing European contingent claims on multiple assets. Part II: convergence and optimal error estimates
by Fausto Gozzi & Simona Sanfelici

2002 Finite element method for pricing European contingent claims on multiple assets. Part I: semigroup approach and regularity estimates
by Fausto Gozzi & Simona Sanfelici

2002 Structural Change Testing in Stochastic Volatility Models
by J. del Hoyo & J.-Guillermo Llorente

2002 Cobertura de tasas de interés con futuros del mercado mexicano de derivados. Modelo estocástico de duración y convexidad
by Venegas-Martinez, Francisco & Bernardo González-Aréchiga

2002 Credit risk modeling and valuation: An introduction
by Giesecke, Kay

2002 An exponential model for dependent defaults
by Giesecke, Kay

2002 Compensator-based simulation of correlated defaults
by Giesecke, Kay

2002 Efficient hedging for a complete jump-diffusion model
by Kirch, Michael & Krutchenko, R. N. & Melnikov, Aleksandr V.

2002 Solving the Esscher puzzle: the NEF-GHS option pricing model
by Fischer, Matthias J.

2002 The Pricing puzzle: The default term structure of collateralised loan obligations
by Jobst, Andreas A.

2002 On the Joint Pricing of Stocks and Bonds: Theory and Evidence
by Harry Mamaysky

2002 Pricing European options on instruments with a constant dividend yield: The randomized discrete-time approach
by Rafal Weron

2002 On annuities under random rates of interest
by Krzysztof Burnecki & Agnieszka Marciniuk & Aleksander Weron

2002 Option pricing with Levy Process
by Eric Benhamou

2002 A Martingale Result for Convexity Adjustment in the Black Pricing Model
by Eric Benhamou

2002 Smart Monte Carlo: Various tricks using Malliavin calculus
by Eric Benhamou

2002 A Generalisation of Malliavin Weighted Scheme for Fast Computation of the Greeks
by Eric Benhamou

2002 Information, Alternative Markets, and Security Price Processes: A Survey of Literature
by Rafiqul Bhuyan

2002 What Type of Process Underlies Options? A Simple Robust Test
by Peter Carr & Liuren Wu

2002 Markov Chain Approximations For Term Structure Models
by David Backus & Liuren Wu & Stanley Zin

2002 Asset Pricing Under The Quadratic Class
by Markus Leippold & Liuren Wu

2002 Design and Estimation of Quadratic Term Structure Models
by Markus Leippold & Liuren Wu

2002 The Finite Moment Log Stable Process and Option Pricing
by Peter Carr & Liuren Wu

2002 Time-Changed Levy Processes and Option Pricing
by Peter Carr & Liuren Wu

2002 Term Structure of Interest Rates, Yield Curve Residuals, and the Consistent Pricing of Interest Rates and Interest Rate Derivatives
by Massoud Heidari & Liuren Wu

2002 Accouting for Biases in Black-Scholes
by David Backus & Silverio Foresi & Liuren Wu

2002 Analytical Aproach to Value Options with State Variables of a Levy System
by Nguyen Thanh Long

2002 All Moments of Discrete and Continuous Arithmetic Averages on Brownian Paths: A Closed Form
by Allen Abrahamson

2002 A note on a generalized Black-Scholes formula
by Bakhodir A Ergashev

2002 Pricing Convertible Bonds with Interest Rate, Equity, Credit and FX Risk
by Ali Bora Yigitbasioglu

2002 A Benchmark Framework for Integrated Risk Management
by Eckhard Platen

2002 Benchmark Model with Intensity Based Jumps
by Eckhard Platen

2002 A Maximum Likelihood Approach to Estimation of Heath-Jarrow-Morton Models
by Ram Bhar & Carl Chiarella & Thuy Duong To

2002 Consistent Pricing and Hedging for a Modified Constant Elasticity of Variance Model
by David Heath & Eckhard Platen

2002 A Benchmark Approach to Filtering in Finance
by Eckhard Platen & Wolfgang Runggaldier

2002 A Discrete Time Benchmark Approach for Finance and Insurance
by Hans Buhlmann & Eckhard Platen

2002 Variance reduction methods for simulation of densities on Wiener space
by Arturo Kohatsu & Roger Pettersson

2002 Optimal hedging under departures from the cost-of-carry valuation: evidence from the Spanish stock index futures market
by Alfonso Novales & J.A. Lafuente

2002 Behavioral Preferences for Individual Securities : The Case for Call Warrants and Call Options
by Ter Horst, J.R. & Veld, C.H.

2002 Pricing and Hedging Guaranteed Annuity Options via Static Option Replication
by Antoon Pelsser

2002 When Did The Smart Money in Enron Lose Its' Smirk?
by Bruce Mizrach

2002 An Empirical Study of Credit Default Swaps
by Frank Skinner & Antonio Diaz

2002 Continuous Time Regime Switching Models and Applications in Estimating Processes with Stochastic Volatility and Jumps
by Kyriakos Chourdakis

2002 Fundamental Properties of Bond Prices in Models of the Short-Term Rate
by Antonio Mele

2002 Incomplete Diversification and Asset Pricing
by Robert Elliott & Dilip Madan & Frank Milne

2002 Tests d'arbitrage et surfaces de volatilité : analyse empirique sur données haute fréquence
by Ardia, David

2002 Extracting market expectations from option prices: an application to over-the-counter New Zealand dollar options
by Aron Gereben

2002 Stochastic Dominance Bounds on Derivative Prices in a Multiperiod Economy with Proportional Transaction Costs
by George M. Constantinides & Stylianos Perrakis

2002 Controlling the Cost of Minimum Benefit Guarantees in Public Pension Conversions
by Kent Smetters

2002 Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions
by Yacine Aït-Sahalia & Robert Kimmel

2002 Pricing Currency Options in Tranquil Markets: Modelling Volatility Frowns
by G.C. Lim & G.M. Martin & V.L. Martin

2002 Bayesian Estimation of a Stochastic Volatility Model Using Option and Spot Prices
by C.S. Forbes & G.M. Martin & J. Wright

2002 Nonsimultaneity and Futures Option Pricing: Simulation and Empirical Evidence
by Robert E.J. Hibbard & Rob Brown & Keith R. McLaren

2002 Parametric Pricing of Higher Order Moments in S&P500 Options
by G.C. Lim & G.M. Martin & V.L. Martin

2002 Finite dimensional Markovian realizations for stochastic volatility forward rate models
by Björk, Tomas & Landén, Camilla & Svensson, Lars

2002 A Note on the Pricing of Real Estate Index Linked Swaps
by Björk, Tomas & Clapham, Eric

2002 On the Use of Numeraires in Option pricing
by Benninga, Simon & Björk, Tomas & Wiener, Zvi

2002 Stochastic Volatility and Seasonality in Commodity Futures and Options: The Case of Soybeans
by Richter, Martin & Sørensen, Carsten

2002 On valuation before and after tax in no arbitrage models: Tax neutrality in the discrete time model
by Jensen, Bjarne Astrup

2002 Volatility Estimation via Hidden Markov Models
by Alessandro Rossi & Giampiero M. Gallo

2002 Exploring for the Determinants of Credit Risk in Credit Default Swap Transaction Data: Is Fixed-Income Markets’ Information Suffcient to Evaluate Credit Risk?
by Didier Cossin & Tomas Hricko & Daniel Aunon-Nerin & Zhijiang Huang

2002 Interactions Between Market and Credit Risk: Modeling the Joint Dynamics of Default-Free and Defaultable Bond Term Structures
by Roger WALDER

2002 Option Pricing with Discrete Rebalancing
by Jean-Luc PRIGENT & Olivier RENAULT & Olivier SCAILLET

2002 Why does Implied Risk Aversion Smile?
by Alexandre Ziegler

2002 Market Dynamics Around Public Information Arrivals
by Angelo Ranaldo

2002 Valuation of Sovereign Debt with Strategic Defaulting and Rescheduling
by Michael WESTPHALEN

2002 Survival, Look-Ahead Bias and the Persistence in Hedge Fund Performance
by Baquero, G. & ter Horst, J.R. & Verbeek, M.J.C.M.

2002 An Empirical Comparison of Default Swap Pricing Models
by Houweling, P. & Vorst, A.C.F.

2002 An Empirical Comparison of Default Swap Pricing Models
by Houweling, P. & Vorst, A.C.F.

2002 Autorregresive conditional volatility, skewness and kurtosis
by León, Angel & Rubio Irigoyen, Gonzalo & Serna, Gregorio

2002 An empirical comparison of the performance of alternative option pricing models
by Rubio Irigoyen, Gonzalo & Ferreira García, María Eva & Gago, Mónica & León, Angel

2002 Smiling under stochastic volatility
by León, Angel & Rubio Irigoyen, Gonzalo

2002 Revisited multi-moment approximate option pricing models: a general comparison (Part 1)
by Emmanuel Jurczenko & Bertrand Maillet & Bogdan Negrea

2002 Loan securitisation: default term structure and asset pricing based on loss prioritisation
by Andreas A. Jobst

2002 Skewness and kurtosis implied by option prices: a second comment
by Emmanuel Jurczenko & Bertrand Maillet & Bogdan Negrea

2002 Alternative Models for Stock Price Dynamic
by Chernov, Mikhail & Gallant, A. Ronald & Ghysels, Eric & Tauchen, George

2002 Annuity Risk: Volatility and Inflation Exposure in Payments from Immediate Life Annuities
by Laura Ballotta & Steven Haberman

2002 When Does Strategic Debt Service Matter?
by Acharya, Viral V & Huang, Jing-Zhi & Subrahmanyam, Marti G. & Sundaram, Rangarajan K

2002 Pricing Credit Derivatives with Rating Transitions
by Acharya, Viral V & Das, Sanjiv Ranjan & Sundaram, Rangarajan K

2002 Corporate Bond Valuation and Hedging with Stochastic Interest Rates and Endogenous Bankruptcy
by Acharya, Viral V & Carpenter, Jennifer

2002 Analytic Evaluation of Volatility Forecasts
by Torben G. Andersen & Tim Bollerslev & Nour Meddahi

2002 Alternative Models for Stock Price Dynamics
by Mikhail Chernov & A. Ronald Gallant & Eric Ghysels & George Tauchen

2002 On the Valuation of Warrants and Executive Stock Options: Pricing Formulae for Firms with Multiple Warrants/Executive Options
by Darsinos, T. & Satchell, S.E.

2002 The Implied Distribution for Stocks of Companies with Warrants and/or Executive Stock Options
by Darsinos, T. & Satchell, S.E.

2002 Maximal Arbitrage
by Klaus Schürger

2002 Extended Libor Market Models with Affine and Quadratic Volatility
by Christian Zühlsdorff

2002 The Pricing of Derivatives on Assets with Quadratic Volatility
by Christian Zühlsdorff

2002 How to Avoid a Hedging Bias
by Antje Dudenhausen

2002 On the fundamental theorem of asset pricing: random constraints and bang-bang no-arbitrage criteria
by Igor V. Evstigneev & Klaus Schürger & Michael I. Taksar

2002 An Examination of the Effects of Parameter Misspecification
by Antje Dudenhausen & Lutz Schlögl

2002 Effectiveness of Hedging Strategies under Model Misspecification and Trading Restrictions
by Antje Dudenhausen

2002 The size of the equity premium
by Fabio Fornari

2002 Intraday return and volatility relationships between the Ibex 35 spot and futures markets
by Juan A. Lafuente

2002 Utility maximization on the real line under proportional transaction costs
by Bruno Bouchard

2002 An analysis of a least squares regression method for American option pricing
by Philip Protter & Emmanuelle Clément & Damien Lamberton

2002 The cumulant process and Esscher's change of measure
by Albert N. Shiryaev & Jan Kallsen

2002 A model of financial market with several interacting assets. Complete market case
by Victoria Steblovskaya & Sergio Albeverio

2002 No-arbitrage criteria for financial markets with efficient friction
by (**), Christophe Stricker & (*), Miklós Rásonyi & Yuri Kabanov

2002 Pricing of Asian exchange rate options under stochastic interest rates as a sum of options
by Klaus Sandmann & J. Aase Nielsen

2002 Conditional Gaussian models of the term structure of interest rates
by Simon H. Babbs

2002 On the construction of finite dimensional realizations for nonlinear forward rate models
by Camilla Landén & Tomas Björk

2002 A multicurrency extension of the lognormal interest rate Market Models
by Erik Schlögl

2002 Valuation of exotic options under shortselling constraints
by Uwe Wystup & Uwe Schmock & Steven E. Shreve

2002 Risk minimization under transaction costs
by Paolo Guasoni

2002 Stochastic volatility, jumps and hidden time changes
by Marc Yor & Dilip B. Madan & Hélyette Geman

2002 Derivative pricing based on local utility maximization
by Jan Kallsen

2002 Valuation Of Convertible Bonds With Sequential Conversion
by Wolfgang Bühler & Christian Koziol

2002 Valuation Of Defaultable Claims – A Survey
by Marliese Uhrig-Homburg

2002 A Decomposition of Empirical Distributions with Applications to the Valuation of Derivative Assets
by Mondher Bellalah & Marc Lavielle

2002 Árazási hiba a határidős indexpiacokon
by Radnai, Márton

2002 A pénzügyi eszközök árazásának alaptétele diszkrét idejű modellekben
by Medvegyev, Péter

2002 Comparative Analyses of Expected Shortfall and Value-at-Risk: Their Estimation Error, Decomposition, and Optimization
by Yamai, Yasuhiro & Yoshiba, Toshinao

2001 A Minimal Financial Market Model
by Eckhard Platen

2001 Digital Security Tokens and Their Derivatives
by Kanta Matsuura

2001 Very High Order Lattice Methods for One Factor Models
by Jonathan Alford and Nick Webber

2001 Pricing Barrier Bond Options with One-factor Interest Rate Models
by Grace C.H. Kuan and Nick Webber

2001 A Partial Equilibrium Model of Option Markets
by Dietmar P.J. Leisen and Kenneth L. Judd

2001 Volatility Reprojection and Forecasting Performance -- An EMM Approach toward the Multivariate Stochastic Volatility Model
by George J. Jiang and Pieter J. van der Sluis

2001 Comparison of numerical methods for the aproximation of option price
by S. Sanfelici

2001 A Neural Network Versus Black-Scholes: A Comparison of Pricing and Hedging Performances
by Amilon, Henrik

2001 Environmental Variables and Real Estate Prices
by Din, A. & Hoesli, M. & Bender, A.

2001 A Fuzzy expert system for solving ReaL-Option decision processes
by Magni, C. A. & Mastroleo G. & Facchinetti, G.

2001 A Model For Pricing An Option With A Fuzzy Payoff
by Muzzioli, Silvia & Torricelli, Costanza

2001 Default compensator, incomplete information, and the term structure of credit spreads
by Giesecke, Kay

2001 Correlated default with incomplete information
by Giesecke, Kay

2001 A benchmark model for financial markets
by Platen, Eckhard

2001 Extracting implicit density functions from short term interest rate options
by Nielsen, Hannah

2001 The dynamics of implied volatilities: A common principal components approach
by Fengler, Matthias R. & Härdle, Wolfgang K. & Villa, Christophe

2001 Initial offerings of options
by Müller, Sigrid M.

2001 An Empirical Comparison of Default Swap Pricing Models
by Patrick Houweling & Ton Vorst

2001 Analytically inducting option cash flows for Markovian interest rate models: A new application paradigm
by Junwu Gan

2001 Pricing the Risk of Recovery in Default with APR Violation
by Haluk Unal & Dilip Madan & Levent Güntay

2001 A Simple Option Formula for General Jump-Diffusion and other Exponential Levy Processes
by Alan L. Lewis

2001 Arbitrage in Continuous Complete Markets
by Eckhard Platen

2001 Migration of Price Discovery With Constrained Futures Markets
by Anthony D. Hall & Paul Kofman & Steve Manaster

2001 Benchmark Pricing of Credit Derivatives Under a Standard Market Model
by Mark Craddock & Eckhard Platen

2001 A Benchmark Model for Financial Markets
by Eckhard Platen

2001 On the robustness of least-squares Monte Carlo (LSM) for pricing American derivatives
by Manuel Moreno & Javier R. Navas

2001 Fast Fourier Transform for discrete Asian Options
by E. Benhamou

2001 Pricing Convertible Bonds with Interest Rate, Equity, Credit and FX Risk
by Ali Bora Yigitbasioglu

2001 Credit Risk Diversification
by Simonne Varotto

2001 Modelling Retail Deposit Spreads in the UK
by Frank Skinner & Benton E. Gup & Michael Ioannides & Doowoo Nam

2001 Estimating Corporate Yield Curves
by Antionio Diaz & Frank Skinner

2001 On modelling credit risk using Arbitrage Free Models
by Frank Skinner & Antonio Diaz

2001 Arbitrage and Optimal Portfolio Choice with Financial Constraints
by Helmut Elsinger & Martin Summer

2001 Model Uncertainty and Liquidity
by Bryan R. Routledge & Stanley E. Zin

2001 Trading Inefficiencies in California's Electricity Markets
by Severin Borenstein & James Bushnell & Christopher R. Knittel & Catherine Wolfram

2001 The Market for Crash Risk
by David S. Bates

2001 The Pricing of Event Risks with Parameter Uncertainty
by Kenneth A. Froot & Steven E. Posner

2001 Market Architecture and Nonlinear Dynamics of Australian Stock and Future Indices
by Anderson, H.M. & Vahid, F.

2001 An Empirical Investigation of Structural Breaks in the Ex Ante Fisher Effect
by Olekalns, N.

2001 Empirical Performance of the Czech and Hungarian Index Options under Jump
by Lee, Gabriel S. & Boss, Michael & Klisz, Chris

2001 Extracting Risk-Neutral Probability Distributions from Option Prices Using Trading Volume as a Filter
by Dupont, Dominique Y.

2001 Hedging Barrier Options: Current Methods and Alternatives
by Dupont, Dominique Y.

2001 The Valuation of Corporate Liabilities: Theory and Tests
by Reneby, Joel & Ericsson, Jan

2001 An Analysis of Subordinated Debt in Banking: The Case of Costly Bankruptcy
by Nivorozhkin, Eugene

2001 A Finite Element Implementation of Passport Options
by Topper, Jürgen

2001 Worst Case Pricing of Rainbow Options
by Topper, Jürgen

2001 Liquidity and Credit Risk
by Jan ERICSSON & Olivier RENAULT

2001 Serial and Parallel Krylov Methods for Implicit Finite Difference Schemes Arising in Multivariate Option Pricing
by Evis KËLLEZI, & Giorgio PAULETTO

2001 Defaultable Security Valuation and Model Risk
by Aydin AKGUN,

2001 Informed Option Trading Strategies
by de Jong, C.M.

2001 Constrained indirect inference estimation
by Giorgio Calzorali & Gabriele Fiorentini & Enrique Sentana

2001 The martingales: theoretical and empirical characteristics
by Fabrizio Erbetta & Luca Agnello

2001 Arbitraging mispriced assets with separation portfolios to lessen total risk
by Rodolfo Apreda

2001 Bayesian Forecasting of Options Prices: A Natural Framework for Pooling Historical and Implied Volatiltiy Information
by Darsinos, T. & Satchell, S.E.

2001 International Asset Allocation: A New Perspective
by Abraham Lioui & Patrice Poncet

2001 Recovering the Probability Density Function of Asset Prices Using GARCH as Diffusion Approximations
by Fabio Fornari & Antonio Mele

2001 Minimax and minimal distance martingale measures and their relationship to portfolio optimization
by Thomas Goll & Ludger Rüschendorf

2001 Black and Scholes pricing and markets with transaction costs: An example
by Haim Reisman

2001 Stochastic flows and the forward measure
by Robert J. Elliott & John van der Hoek

2001 A deterministic-shift extension of analytically-tractable and time-homogeneous short-rate models
by Damiano Brigo & Fabio Mercurio

2001 The numeraire portfolio for unbounded semimartingales
by Dirk Becherer

2001 Forward rate dependent Markovian transformations of the Heath-Jarrow-Morton term structure model
by Carl Chiarella & Oh Kang Kwon

2001 Applications of Malliavin calculus to Monte-Carlo methods in finance. II
by Eric Fournié & Jean-Michel Lasry & Pierre-Louis Lions & Jérôme Lebuchoux

2001 Coherent risk measures and good-deal bounds
by Stefan Jaschke & Uwe Küchler

2001 Information Content of Implied Probability Distributions: Empirical Studies of Japanese Stock Price Index Options
by Shiratsuka, Shigenori

2001 Interest-Rate Swaps and Arbitrage
by Jiøí Málek

2001 Martingale Measure Method for Expected Utility Maximization in Discrete-Time Incomplete Markets
by Ping Li & Jianming Xia & Jia-an Yan

2001-02 Estructura de la bolsa española e introducción del mercado de activos derivados sobre el IBEX-35
by Farinós Viñas, José Emilio & Fernández Blanco, Matilde

2000 Using Simulated Currency Rainbow Options to Evaluate Covariance Matrix Forecasts
by Byström, Hans

2000 The Hedging Performance of Electricity Futures on the Nordic Power Exchange Nord Pool
by Byström , Hans

2000 Coalition-Proof Implementation of Competitive Equilibria on a Constrained Reinsurance Market
by Bernis, G. & Giraud, G.

2000 Relations intrajournalieres entre l'indice CAC 40 et les options sur indice. Quel est le marche prefere des investisseurs informes ?
by Capelle-Blancard, G. & Vandelanoite, S.

2000 Style Investing
by Barberis, N. & Shleifer, A.

2000 Excessive Continuation and Dynamic Agency Costs of Debt
by Decamps, J.-P. & Faure-Grimaud, A.

2000 On the Information Content of Futures Prices, Application to LME Nonferrous Metal Futures
by MARTINOT, N. & Lesourd, J.-B. & Morard, B.

2000 Continuous-Time Methods in Finance: A Review and an Assessment
by Sundaresan, S.M.

2000 An Options-Based Analysis of Emerging Market Exchange Rate Expectations: Brazil's Real Plan, 1994-1999
by Campa, J.M. & Chang, P.H.K. & Refalo, J.F.

2000 Reaching Equilibrium in the Capital Asset Pricing Model
by Flam, S.D.

2000 Bayesian Option Pricing using Asymmetric Garch Models
by Bauwens, L. & Lubrano, M.

2000 Gestion de portefeuille avec garantie: l'allocation optimale en actifs derives
by Bertrand, P. & lesne, J.-P. & Prigent, J.-L.

2000 The Government and Market Expectations
by Guesnerie, R.

2000 Option Valuation under Stochastic Volatility
by Alan L. Lewis

2000 Risk premia and financial modelling without measure transformation
by Platen, Eckhard

2000 A minimal financial market model
by Platen, Eckhard

2000 The Effectiveness of the FX Market Interventions of the Bundesbank During the Louvre Period: An Options-Based Analysis
by Pierdzioch, Christian

2000 Noise Traders? Trigger Rates, FX Options, and Smiles
by Pierdzioch, Christian

2000 Risk Premia and Financial Modelling Without Measure Transformation
by Eckhard Platen

2000 Examining Intraday Returns with Buy/Sell Information
by Shin-Juh Lin & Jian Yang

2000 The Performance of Multi-Factor Term Structure Models for Pricing and Hedging Caps and Swaptions
by Driessen, J.J.A.G. & Klaassen, P. & Melenberg, B.

2000 Hedging Double Barriers with Singles
by Sbuelz, A.

2000 Index Option Pricing Models with Stochastic Volatility and Stochastic Interest Rates
by Jiang, G.J. & van der Sluis, P.J.

2000 Libor and Swap Market Models for the Pricing of Interest Rate Derivatives : An Empirical Analysis
by de Jong, F.C.J.M. & Driessen, J.J.A.G. & Pelsser, A.

2000 Is Leverage Effective in Increasing Performance Under Managerial Moral Hazard?
by Calcagno, R.

2000 An EVT Approach to calculating Risk Capital Requirements
by Chris Brooks & Gita Persand & Andrew D. Clare

2000 Value at Risk and Market Crashes
by Chris Brooks & Gita Persand

2000 Stochastic Volatility and Jumps Driven by Continuous Time Markov Chains
by Kyriakos Chourdakis

2000 Option Pricing under Discrete Shifts in Stock Returns
by Kyriakos Chourdakis & Elias Tzavalis

2000 Option Pricing with a Dividend General Equilibrium Model
by Kyriakos Chourdakis & Elias Tzavalis

2000 Cephalon, Inc. Taking Risk Management Theory Seriously
by George Chacko & Peter Tufano & Geoffrey Verter

2000 Nonparametric Risk Management and Implied Risk Aversion
by Yacine Ait-Sahalia & Andrew W. Lo

2000 Stochastic Volatility and Pricing Bias in the Swedish OMX-Index Call Option Market
by Byström , Hans

2000 On the construction of finite dimensional realizations for nonlinear forward rate models
by Björk, Tomas & Landen, Camilla

2000 A Geometric View of Interest Rate Theory
by Björk, Tomas

2000 On the Term Structure of Futures and Forward Prices
by Björk, Tomas & Landen, Camilla

2000 Informed Trading, Short Sales Constraints, and Futures' Pricing
by Hietala, Pekka & Jokivuolle, Esa & Koskinen, Yrjö

2000 Paying for minimum interest rate guarantees: Who should compensate who?
by Jensen, Bjarne Astrup & Sørensen, Carsten

2000 From Skews to a Skewed-t
by de Jong, C.M. & Huisman, R.

2000 Uncertainty and Real Options. Investment and Development of Fishing Resources (I)
by Murillas Maza, Arantza

2000 Uncertainty and Real Options. Investment and Development of Fishing Resources (II)
by Murillas Maza, Arantza

2000 Options-based analysis of emerging market exchange rate expectations: Brazil's real plan, 1994-1999, An
by Campa, Jose M. & Chang, Kevin & Refalo, James F.

2000 Optimal hedging under departures from the cost of carry valuation: evidence from the spanish stock index futures market
by Lafuente, Juan A.

2000 Intraday return and volatily relationships between the IBEX 35 stock index and stock index futures markets
by Lafuente, Juan A.

2000 An Options-Based Analysis of Emerging Market Exchange Rate Expectations: Brazil’s Real Plan, 1994-1999
by Campa, José Manuel & Chang, Kevin & Refalo, James F

2000 Excessive continuation and Dynamic Agency Costs of Debt
by Décamps, Jean Paul & Faure-Grimaud, Antoine

2000 The Asian Financial Crisis: The Role of Derivative Securities Trading and Foreign Investors
by Eric Ghysels & Junghoon Seon

2000 A Tree Implementation of a Credit Spread Model for Credit Derivatives
by Philipp J. Schönbucher

2000 Factor Models for Portofolio Credit Risk
by Philipp J. Schönbucher

2000 A Libor Market Model with Default Risk
by Philipp J. Schönbucher

2000 The Term Structure of Implied Volatility
by Alan L. Lewis

2000 The Fundamental Transform (Excerpt)
by Alan L. Lewis

2000 Introduction and Summary of Results (Excerpt)
by Alan L. Lewis

2000 Local martingales, arbitrage, and viability
by Mark Loewenstein & Gregory A. Willard

2000 Game options
by Yuri Kifer

2000 A simple regime switching term structure model
by Asbjørn T. Hansen & Rolf Poulsen

2000 Markov-functional interest rate models
by Joanne Kennedy & Phil Hunt & Antoon Pelsser

2000 Bond pricing in a hidden Markov model of the short rate
by Camilla LandÊn

2000 Robustness of the Black-Scholes approach in the case of options on several assets
by Tiziano Vargiolu & Silvia Romagnoli

2000 Options on a traded account: Vacation calls, vacation puts and passport options
by Steven E. Shreve & Jan Vecer

2000 Incompleteness of markets driven by a mixed diffusion
by N. Bellamy & M. Jeanblanc

2000 Discrete time option pricing with flexible volatility estimation
by Christian M. Hafner & Wolfgang HÄrdle

2000 Superreplication in stochastic volatility models and optimal stopping
by RØdiger Frey

2000 Efficient hedging: Cost versus shortfall risk
by Hans FÃllmer & Peter Leukert

2000 Pricing double barrier options using Laplace transforms
by Antoon Pelsser

2000 Convergence of discrete time option pricing models under stochastic interest rates
by O. Scaillet & J.-L. Prigent & J.-P. Lesne

2000 Local time, coupling and the passport option
by Vicky Henderson & David Hobson

2000 A correction note on the first passage time of an Ornstein-Uhlenbeck process to a boundary
by O. Renault & O. Scaillet & B. Leblanc

2000 Comment on `Pricing double barrier options using Laplace transforms' by Antoon Pelsser
by C.H. Hui & P.H. Yuen & C.F. Lo

2000 Opciones de Suscripción de Acciones Stock Rights
by Patricia Jurfest & Salvador Zurita

2000 Growth Optimal Portfolio in a Market Driven by a Jump-Diffusion-Like Process or a Levy Process
by Jia-an Yan & Qiang Zhang & Shuguang Zhang

2000 Water Management in France: Delegation and Irreversibility
by Ephraim Clark & Gérard Mondello

1999 On the Log-Return Distribution of Index Benchmarked Share Prices
by Eckhard Platen

1999 A Minimal Share Market Model with Stochastic Volatility
by Eckhard Platen

1999 Innovation and Market Value
by Hall, B.H.

1999 Minute-by-Minute Dynamics of the Australian Bond Futures Market in Response to New Macroeconomic Information
by Kim, S.-J. & Sheen, J.

1999 Pricing Foreign Currency and Cross-Currency Options Under GARCH
by Wei, J.Z. & Duan, J.C.

1999 Pricing Foreign Currency and Cross-Currency Options Under GARCH
by Wei, J.Z. & Duan, J.C.

1999 Empirical Tests of an Option Price Inversion Approach
by McIntyre, M.

1999 Empirical Tests of an Option Price Inversion Approach
by McIntyre, M.

1999 Une application de la formule de Jarrow et Rudd aux options sur indice CAC 40
by Capelle-Blancard, G. & Jurczenko, E.

1999 Une application de la formule de Jarrow et Rudd aux options sur indice CAC 40
by Capelle-Blancard, G. & Jurczenko, E.

1999 The Interest Rate/FX Arbitrage Under Peg Regime: a Duffie Singleton Approach
by Aspandilarov, S. & Bottazzi, J.-M.

1999 The Interest Rate/FX Arbitrage Under Peg Regime: a Duffie Singleton Approach
by Aspandilarov, S. & Bottazzi, J.-M.

1999 On the Different Notions of Arbitrage and Existence of Equilibrium
by Dana, R.-A. & Le Van, C. & Magnien, F.

1999 On the Different Notions of Arbitrage and Existence of Equilibrium
by Dana, R.-A. & Le Van, C. & Magnien, F.

1999 Evolution of Market Uncertainty around Earnings Announcements
by Isakov, D. & Perignon, C.

1999 Speculating on a Cure of Cander: A Non-Event that Made Stock Prices Soar
by Huberman, G. & Regev, T.

1999 Speculating on a Cure of Cander: A Non-Event that Made Stock Prices Soar
by Huberman, G. & Regev, T.

1999 Prevision des prix a terme du cacao et modeles ARMA non-lineaires
by Bolgot, S. & Terraza, M.

1999 Alternative solutions of the black-sholes equation
by Hortensia Fontanals Albiol & Ramon Lacayo & Josep Vives

1999 Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis
by Hafner, Christian M. & Herwartz, Helmut

1999 Efficient hedging: Cost versus shortfall risk
by Föllmer, Hans & Leukert, Peter

1999 Closed form integration of artificial neural networks with some applications
by Gottschling, Andreas & Haefke, Christian & White, Halbert

1999 Digital Contracts: Simple Tools for Pricing Complex Derivatives
by Jonathan E. Ingersoll Jr.

1999 Do Call Prices and the Underlying Stock Always Move in the Same Direction?
by Charles Quanwei Cao & Gurdip S. Bakshi & Zhiwu Chen

1999 A short history of the VOLAX - or how we tried to trade implied volatility (Krotka historia VOLAX-u - czyli jak probowano handlowac implikowana zmiennoscia)
by Tomasz Garlinski & Rafal Weron

1999 Utility based pricing of contingent claims
by A. Gamba & P. Pellizzari

1999 Credit Enhancement through Financial Engineering: Freeport-McMoRan's Gold-Denominated Depository Shares
by N. K. Chidambaran & Chitru S. Fernando & Paul A. Spindt

1999 Local volatility changes in the black-scholes model
by Hans Peter Bermin & Arturo Kohatsu

1999 Performance of Delta-hedging strategies in interval models - A robustness study
by Roorda, B. & Engwerda, J.C. & Schumacher, J.M.

1999 The Joint Estimation of Term Structures and Credit Spreads
by Patrick Houweling & Jaap Hoek & Frank Kleibergen

1999 A Structural Model of the Term Structure of Credit Spreads with Stochastic Recovery and Contractual Design
by Hugues Pirotte

1999 Implementing a Structural Valuation Model of Swap Credit-Sensitive Rates
by Hugues Pirotte

1999 Australian Banking Risk: The Stock Market’s Assessment and the Relationship Between Capital and Asset Volatility
by Marianne Gizycki & Brenton Goldsworthy

1999 Predicting monetary policy using federal funds future prices
by Söderström, Ulf

1999 On the Existence of Finite Dimensional Realizations for Nonlinear Forward Rate Models
by Björk, Tomas & Svensson, Lars

1999 A Note on Contingent Claims Pricing with Non-Traded Assets
by Ericsson, Jan & Reneby, Joel

1999 Predicting monetary policy using federal funds futures prices
by Söderström, Ulf

1999 Die Berechnung von Passport-Optionen mit Finiten Elementen
by Topper, Jürgen

1999 A Semiparametric Estimation of Liquidity Effects on Option Pricing
by Ferreira García, María Eva & Gago, Mónica & Rubio Irigoyen, Gonzalo

1999 The Development of the State Bond Market
by Ivanter Alexander & Peresetsky Anatoly

1999 Option Pricing with Discrete Rebalancing
by Prigent, J.-L. & Renault, O. & Scaillet, O.

1999 Asymmetries of information in centralized order-driven markets
by Boccard, N. & Calcagno, R.

1999 UDROP: A Small Contribution to the New International Financial Architecture
by Buiter, Willem H. & Sibert, Anne

1999 A New Class of Stochastic Volatility Models with Jumps: Theory and Estimation
by Mikhail Chernov & A. Ronald Gallant & Eric Ghysels & George Tauchen

1999 The Valuation of Volatility Options
by Jérôme B. Detemple & Carlton Osakwe

1999 The Pricing of Derivatives on Assets with Quadratic Volatility
by Christian Zuehlsdorff

1999 Valuation of Barrier Options in a Black--Scholes Setup with Jump Risk
by Dietmar P.J. Leisen

1999 Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives
by Dudenhausen, Antje & Erik Schloegl & Lutz Schloegl

1999 Estimating Gram-Charlier Expansions with Positivity Constraints
by Jondeau, E. & Rockinger, M.

1999 Pricing Interest Rate Derivatives in a Non-Parametric Two-Factor Term-Structure Model
by Knight, John & Li, Fuchun & Yuan, Mingwei

1999 Financial Derivatives
by Simon Gray and Joanna Place

1999 Some recent developments in capital market theory: A survey
by Richard C. Stapleton

1999 On dynamic measures of risk
by Ioannis Karatzas & Jaksa Cvitanic

1999 Minimal realizations of interest rate models
by Tomas BjÃrk & Andrea Gombani

1999 Applications of Malliavin calculus to Monte Carlo methods in finance
by Eric Fournié & Jean-Michel Lasry & Pierre-Louis Lions & Jérôme Lebuchoux & Nizar Touzi

1999 Convergence of strategies: An approach using Clark-Haussmann's formula
by Jan Pedersen

1999 Exercise regions of American options on several assets
by Stephane Villeneuve

1999 Quantile hedging
by Hans FÃllmer & Peter Leukert

1999 Connecting discrete and continuous path-dependent options
by Paul Glasserman & S.G. Kou & Mark Broadie

1999 A closed-form solution to the problem of super-replication under transaction costs
by HuyËn Pham & Nizar Touzi & Jaksa Cvitanic

1999 Opcióárazás numerikus módszerekkel
by Benedek, Gábor

1999 Market Price Analysis and Risk Management for Convertible Bonds
by Ohtake, Fuminobu & Oda, Nobuyuki & Yoshiba, Toshinao

1999 Extracting Market Expectations from Option Prices: Case Studies in Japanese Option Markets
by Nakamura, Hisashi & Shiratsuka, Shigenori

1999 Currency Options And Trade Smoothing Under An Exchange Rate Regime Shift
by Alexis Derviz

1999 In Honor of the Nobel Laureates Robert C. Merton and Myron S. Scholes: A Partial Differential Equation That Changed the World
by Robert A. Jarrow

1998 How well do classical credit risk pricing models fit swap transaction data?
by Hugues Pirotte & Didier Cossin

1998 Variance Decomposition of Stock Returns and Dividend Imputation System
by Wu, P.X.

1998 Estimating the Equity Risk Premium and Equity Costs: New Ways of Looking at Old Data
by Booth, L.

1998 Estimating the Equity Risk Premium and Equity Costs: New Ways of Looking at Old Data
by Booth, L.

1998 Dynamics of the term structure on interest rates: a two-factor model
by Hortensia Fontanals Albiol & Merche Galisteo & Lourdes Gomez del Valle

1998 Quantile hedging
by Föllmer, Hans & Leukert, Peter

1998 Pricing and Hedging Long-Term Options
by Charles Quanwei Cao & Gurdip S. Bakshi & Zhiwu Chen

1998 Self-similar models in risk theory
by Krzysztof Burnecki

1998 Do Brokers Misallocate Customer Trades? Evidence From Futures Markets
by Hun Y. Park & Asani Sarkar & Lifan Wu

1998 Autobiography
by Scholes, Myron S.

1998 Autobiography
by Merton, Robert C.

1998 Is after-hours trading informative?
by Ulibarri, Carlos A.

1998 Optimal Investment, Growth Options, and Security Returns
by Jonathan Berk & Richard C. Green & Vasant Naik

1998 Finite Element Modelling of Exotic Options
by Topper, Jürgen

1998 A Comparative Study of Structural Models of Corporate Bond Yields: An Exploratory Investigation
by Anderson, Ronald & Sundaresan, Suresh

1998 Direct Estimation of the Risk Neutral Factor Dynamics of Affine Term Structure Models
by Bams, Dennis & Schotman, Peter C

1998 Reading Interest Rate and Bond Futures Options' Smiles Around the 1997 French Snap Election
by Coutant, Sophie & Jondeau, Eric & Rockinger, Michael

1998 Extracting Expectations about 1992 UK Monetary Policy from Option Prices
by Söderlind, Paul

1998 What Data Should Be Used to Price Options?
by Mikhail Chernov & Eric Ghysels

1998 Why Is the Bid Price Greater than the Ask? Price Discovery during the Nasdaq Pre-Opening
by Charles Cao & Eric Ghysels & Frank Hatheway

1998 Building a Consistent Pricing Model from Observed Option Prices
by Laurent, Jean-Paul & Dietmar P.J. Leisen

1998 Pseudo--Arbitrage - A new Approach to Pricing and Hedging in Incomplete Markets
by Daniel Sommer

1998 Asian Exchange Rate Options under Stochastic Interest Rates: Pricing as a Sum of Delayed Payment Options
by Nielsen, J.A. & Sandmann, K.

1998 Reading Interest Rate and Bond Futures Options' Smiles: How PIBOR and National Operators Appreciated the 1997 French Snap Election
by Coutant, S. & Jondeau, E. & Rockinger, M.

1998 Lévy processes in finance: a remedy to the non-stationarity of continuous martingales
by Marc Yor & Boris Leblanc

1998 Option pricing with transaction costs and a nonlinear Black-Scholes equation
by Halil Mete Soner & Guy Barles

1998 Path dependent options on yields in the affine term structure model
by Olivier Scaillet & Boris Leblanc

1998 Robust hedging of the lookback option
by David G. Hobson

1998 Functional convergence of Snell envelopes: Applications to American options approximations
by Maurizio Pratelli & Sabrina Mulinacci

1998 Implied interest rate pricing models
by J.E. Kennedy & P.J. Hunt

1998 Local martingales and the fundamental asset pricing theorems in the discrete-time case
by J. Jacod & A.N. Shiryaev

1998 Hedging American contingent claims with constrained portfolios
by Ioannis Karatzas & (*), S. G. Kou

1998 Volatility of the short rate in the rational lognormal model
by Lisa R. Goldberg

1998 Perfect option hedging for a large trader
by RØdiger Frey

1997 Swap Credit Risk: An Empirical Investigation on Transaction Data
by Hugues Pirotte & Didier Cossin

1997 Looking for Spot in the Presence of Futures
by Krishna Ramaswamy & Patrick Waldron

1997 Swap Credit Risk: An Empirical Investigation on Transaction Data
by Hugues Pirotte & Didier Cossin

1997 The Volatility Smile and Yield Curve: Probability Densities Implicit in ERM/$ Options
by Bruce Mizrach

1997 Bayesian Arbitrage Threshold Analysis
by Forbes, C.S. & Kalb, G.R.J. & Kofman, P.

1997 Quarterly Earnings Announcements and the Lead/Lag Relationship between the Stock and Option Markets
by Itzhak Krinsky & Jason Lee

1997 Market Expectations in the UK Before and After the ERM Crisis
by Söderlind, Paul

1997 Etude des effets de l'introduction d'option sur le marche des action sous-jacentes, exemen empirique sur la Soffex
by Perignon, C.

1997 Option Pricing with a General Market Point Process
by Prigent, J.L.

1997 Incomplete Markets: Convergence of Options Values under the Minimal Martingale Measure. The Multidimensional Case
by Prigent, J.L.

1997 Convergence of Discrete Time Options Pricing Models under Stochastic Rates
by Lesne, J.P. & Prigent, J.L. & Scaillet, O.

1997 An Equilibrium Model with Restricted Stock Market Participation
by Basak, S & Cuoco, D

1997 Couts de transaction, contraintes de vente a decouvert et taxes: une approche unifiee
by Carassus, L. & Jouini, E.

1997 The Cross Section of Common Stock Returns: A Review of the Evidence and Some New Findings
by Hawawini, G. & Keim, D.B.

1997 Pricing the Gamble for Resurrection and the Consequences of Renegotiation and Debt Design
by Decamps, J.-P. & Faure-Grimaud, A.

1997 How Efficient Markets Undervalue Stocks: CAPM and ECMH Under Conditions of Uncertainty and Disagreement
by Stout, L.A.

1997 Etude des effets de l'introduction d'option sur le marche des action sous-jacentes, exemen empirique sur la Soffex
by Perignon, C.

1997 Is Beta Still Alive? Conclusive Evidence from the Swiss Stock market
by Isakov, D.

1997 Foreign Ownership Restrictions and Equity price Premiums: Explaining the High Cost of International Diversification
by Bailey, W. & Peter, C.Y. & Jun-Koo, K.

1997 Asymmetric Price Distribution and Bid-Ask Quotes in the stock options Market
by Chan, K. & Peter, C.Y.

1997 Bayesian Option Pricing Using Asymmetric GARCH
by Bauwens, L. & Lubrano, M.

1997 A Decision Theoretic Approach to Bid-Ask Spreads
by Kast, R. & Lapied, A.

1997 Pricing and Hedging of Contingent Claims in Term Structure Models with Exogenous Issuing of New Bonds
by Sommer, Daniel

1997 A variational approach for pricing options and corporate bonds
by Jean-Charles Rochet & Jean-Paul DÊcamps

1997 Empirical Performance of Alternative Option Pricing Models
by Charles Quanwei Cao & Gurdip S. Bakshi & Zhiwu Chen

1997 PSA Duration: Conquering the Prepayment Risk of Mortgage Portfolios
by Boleslav Gulko

1997 Empirical Performance of Alternative Option Pricing Models
by Charles Quanwei Cao & Gurdip S. Bakshi & Zhiwu Chen

1997 No-Arbitrage Bounds on Contingent Claims Prices with Convex Constraints on the Dollar Investments of the Hedge Portfolio
by Claus Munk

1997 The Random-Time Binomial Model
by Dietmar P.J. Leisen

1997 Options on a Stock with Market-Dependent Volatility
by J. Chalupa

1997 The Random Yield Curve and Interest Rate Options
by Meifang Chu

1997 Multifactor Generalization of "Discount-Bond Derivatives on a Recombining Binomial Tree"
by J. Chalupa

1997 Discount-Bond Derivatives on a Recombining Binomial Tree
by J. Chalupa

1997 On the relevance of modeling volatility for pricing purposes
by Manuel Moreno

1997 Exchange rate target zones : A new approach
by de Jong, F.C.J.M. & Drost, F.C. & Werker, B.J.M.

1997 New Evidence on Price and Volatility Effects of Stock Option Introductions
by Kabir, M.R.

1997 Analyzing specification errors in models for futures risk premia with hedging pressure
by de Roon, F.A. & Nijman, T.E. & Veld, C.H.

1997 Derivatives in a Dynamic Environment
by Scholes, Myron S.

1997 Applications of Option-Pricing Theory: Twenty-Five Years Later
by Merton, Robert C.

1997 Equilibrium Valuation of Options on the Market Portfolio with Stochastic Volatility and Return Predictability
by Melanie Cao

1997 Equilibrium Valuation of Currency Options in a Small Open Economy
by Melanie Cao

1997 Pricing and Hedging Derivative Securities in Incomplete Markets: An E-Aritrage Model
by Dimitris Bertsimas & Leonid Kogan & Andrew W. Lo

1997 Optimal Risk Management Using Options
by Dong-Hyun Ahn & Jacob Boudoukh & Matthew Richardson & Robert F. Whitelaw

1997 The Forecasting Ability of Correlations Implied in Foreign Exchange Options
by Jose M. Campa & P. H. Kevin Chang

1997 Heterogeneous Information Arrival and Option Pricing
by Patrick K. Asea & Mthuli Ncube

1997 An Efficient Generalized Discrete-Time Approach to Poisson-Gaussian Bond Option Pricing in the Heath-Jarrow-Morton Model
by Sanjiv Ranjan Das

1997 The Significance of the Market Portfolio
by Stefano Athanasoulis & Robert J. Shiller

1997 Minimal Realizations of Forward Rates
by Björk, Tomas & Gombani, Andrea

1997 Variance Optimal Cap Pricing Models
by Laurent, J.P. & Scaillet, O.

1997 Multiregime Term Structure Models
by Gouriéroux, C. & Scaillet, O.

1997 Debt Valuation and Marketability Risk
by Tychon, Pierre & Vannetelbosch, Vincent J.

1997 Optimal Determination of Bookmakers' Betting Odds: Theory and Tests
by Fingleton, John & Waldron, Patrick

1997 New Techniques to Extract Market Expectations from Financial Instruments
by Söderlind, Paul & Svensson, Lars E O

1997 Manipulation of Metals Futures: Lessons from Sumitomo
by Gilbert, Christopher L

1997 Bayesian option pricing using asymmetric GARCH
by BAUWENS, LUC & LUBRANO, Michel

1997 Nonparametric Methods and Option Pricing
by Eric Ghysels & Valentin Patilea & Éric Renault & Olivier Torrès

1997 Derivative Asset Analysis in Models with Level-Dependent and Stochastic Volatility
by Frey, Rüdiger

1997 The Random-Time Binomial Model
by Leisen, Dietmar

1997 A Tractable Term Structure Model with Endogenous Interpolation and Positive Interest Rates
by Schloegl, Erik & Lutz Schloegl

1997 Factor Models and the Shape of the Term Structure
by Schloegl, Erik & Daniel Sommer

1997 Models of Compelxity in Economics and Finance
by Brock, W.A. & Hommes, C.H.

1997 General trigger values of optimal investment
by VANDENBROUCKE, Jürgen

1997 Fast accurate binomial pricing
by L.C.G. Rogers & E.J. Stapleton

1997 A note on the forward measure
by Mark Davis

1997 A note on pricing interest rate derivatives when forward LIBOR rates are lognormal
by Beniamin Goldys

1997 Option pricing in the presence of natural boundaries and a quadratic diffusion term (*)
by Sven Rady

1997 LIBOR and swap market models and measures (*)
by Farshid Jamshidian

1997 A note on the existence of unique equivalent martingale measures in a Markovian setting
by Tina Hviid Rydberg

1997 On Leland's strategy of option pricing with transactions costs
by Yuri M. Kabanov & (*), Mher M. Safarian

1997 Weighted norm inequalities and hedging in incomplete markets
by Martin Schweizer & Christophe Stricker & Freddy Delbaen & Pascale Monat & Walter Schachermayer

1997 On the range of options prices (*)
by Ernst Eberlein & Jean Jacod

1997 Tax Effects in Canadian Equity Option Markets
by Moshe Arye Milevsky & Eliezer Z. Prisman

1996 Optimal Determination of Bookmakers' Betting Odds: Theory and Tests
by John Fingleton & Patrick Waldron

1996 Did Option Prices Predict the ERM Crises?
by Bruce Mizrach

1996 Institutional Holdings and Trading Volume Reactions to Quarterly Earnings Announcements
by J.B. Kim & I. Krinsky & J. Lee

1996 New Techniques to Extract Market expectations from Financial Instruments
by Söderlind, Paul & Svensson, Lars E.O.

1996 Interest Rate Theory - CIME Lectures 1996
by Björk, Tomas

1996 The Short Term Price Performance of Initial Public Offerings of Common Stock: Australia 1991-1994
by Kearney, C. & Sadeghi, M.

1996 Volatility in the Nikkei Stock Market Index; Causes and International Transmission
by Kearney, C. & Kelly, B.

1996 Market Risk, Corporate Governance & the Regulation of Financial Firms
by Casson, P.

1996 EU Capital Requirements and the Level Playing Field
by Dale, R. & Wolfe, S.

1996 Approximating the Asset Pricing Kernel
by Chapman, D.A.

1996 A Market-Based Evaluation of Discretionary-Accrual Models
by Guay, W. & Kothari, S.P. & Watts, R.L.

1996 The Analysis of VAR, Deltas and State Prices: A New Approach
by Grundy, B.D. & Wiener, Z.

1996 The Stability of ARCH Models Across Australian Financial Markets
by Lee, J. & Brooks, R.

1996 The Impact of the Return Interval on The estimation of Systematic Risk in Australia
by Jesev, T. & Brailsford, T.

1996 Forecasting the S&P500: A Disequilibrium Indicator
by Davidson, S. & Meyer, S.

1996 Further Evidence on the Relationship between Beta Stability and the length of the Estimation Period
by Faff, R. & Brooks, R.

1996 A P.D.E. Approach to Asian Options: Analytical and Numerical Evidence
by Alziary, B. & Decamps, J-P. & Koehl, P-F.

1996 Do Noise Traders Influence Stock Prices
by Kelly, M.

1996 Pricing American-Style Securities Using Simulation
by Broadie, M. & Glasserman, P.

1996 Settlement, Tax and Non-Synchronous Effects in the Basis of U.K. Stock Index Futures
by Theobald, M. & Yallup, P.

1996 The Timing of Arbitrage: An Option Approach
by Lambrecht, B.

1996 Endogenous uncertainty in a general equilibrium model with price contingent contracts (*)
by Ho-Mou Wu & Mordecai Kurz

1996 Equilibrium Valuation of Foreign Exchange Claims
by Gurdip S. Bakshi & Zhiwu Chen

1996 An Alternative Valuation Model for Contingent Claims
by Gurdip S. Bakshi & Zhiwu Chen

1996 The Pricing of Foreign Currency Futures Options
by Chang Mo Ahn

1996 Equilibrium Valuation of Foreign Exchange Claims
by Gurdip S. Bakshi & Zhiwu Chen

1996 Randomization and the American Put
by Peter Carr

1996 Option Valuation and the Price of Risk
by John Chalupa

1996 Improving Value-At-Risk Estimates By Combining Kernel Estimation With Historical Simulation
by J. S. Butler & Barry Schachter

1996 Bootstrap Results From the State Space From Representation of the Heath-Jarrow-Morton Model
by Ram Bhar & Carl Chiarella

1996 A two-mean reverting-factor model of the term structure of interest rates
by Manuel Moreno

1996 Optimal regulation of a fully insured deposit banking system
by Xavier Freixas & Emmanuelle Gabillon

1996 Intraday Lead-Lag Relationships between the Futures-, Options and Stock Market
by de Jong, F.C.J.M. & Donders, M.W.M.

1996 Markets with endogenous uncertainty: theory and policy
by Chichilnisky, Graciela

1996 Noncommercial Trading in the Energy Futures Market
by Dale, Charles & Zyren, John

1996 Implied Volatility Functions: Empirical Tests
by Bernard Dumas & Jeff Fleming & Robert E. Whaley

1996 Towards a General Theory of Bond Markets
by Björk, Tomas & di Masi, Giovanni & Kabanov, Yuri & Runggaldier, Wolfgang

1996 Stock Options as Barrier Contingent Claims
by Ericsson, Jan & Reneby, Joel

1996 Diversified Portfolios in Continuous Time
by Björk, Tomas & Näslund, Bertil

1996 Numerical analysis of strategic contingent claims models
by Anderson, Ronald W. & Tu, Cheng

1996 Default risk in asset pricing
by Mella-Baral, Pierre & Tychon, Pierre

1996 Implied Volatility Functions: Empirical Tests
by Dumas, Bernard J & Fleming, Jeff & Whaley, Robert E

1996 American Options with Stochastic Dividends and Volatility: A Nonparametric Investigation
by Mark Broadie & Jérôme B. Detemple & Eric Ghysels & Olivier Torrès

1996 Nonparametric Estimation of American Options Exercise Boundaries and Call Prices
by Mark Broadie & Jérôme B. Detemple & Eric Ghysels & Olivier Torrès

1996 Arbitrage Based Pricing When Volatility Is Stochastic
by Peter Bossaert & Eric Ghysels & Christian Gouriéroux

1996 Lognormality of Rates and Term Structure Models
by Goldys, B. & M. Musiela & D. Sondermann

1996 The Term Structure of Defaultable Bond Prices
by Schönbucher, Philipp J.

1996 Continuous-Time Term Structure Models
by Musiela, Marek & Marek Rutkowski

1996 The Pricing and Hedging of Options in Finitely Elastic Markets
by Frey, Rüdiger

1996 Pricing the American Put Option: A Detailed Convergence Analysis for Binomial Models
by Leisen, Dietmar

1996 Derivatives Activity at Troubled Banks
by Joe Peek & Eric S. Rosengren

1996 On a general class of one-factor models for the term structure of interest rates (*)
by W.M. Schmidt

1996 Kamatparitás lebegő és csúszó leértékeléses árfolyamrendszerben
by Barabás, Gyula

1996 Kamatkülönbség és árfolyam-várakozások az előre bejelentett kúszó árfolyamrendszerben
by Darvas, Zsolt

1995 Imperfect Information, Money and Economic Growth
by Ho, W.H.

1995 The Determination of Stock Market Volatility and Its International Transmission
by Kearney, C.

1995 Do Managed Futures Make Good Investments?
by Edwards, F.R. & Park, J.M.

1995 Mutual Funds and Financial Stability
by Edwards, F.R.

1995 Derivatives and the Efficient Allocation of Price Risks in a General Equilibrium World
by Heal, G.

1995 Separation and Hedging Results with State-Contingent Production
by Chambers, R.G. & Quiggin, J.

1995 Altruism and Determinacy of Equilibria in Overlapping Generations Models with Externalities
by Venditti, A.

1995 Discrete Time Option Pricing with Bid-Ask Spreads
by Kast, R. & Lapied, A.

1995 Estimation of Continuous Time Models for Stock Returns and Interest Rates
by Tauchen, George E. & Gallant, A. Ronald

1995 Specification Analysis of Continuous Time Models in Finance
by Gallant, A. Ronald & Tauchen, George E.

1995 Approximation Pricing and the Variance-Optimal Martingale Measure
by Schweizer, Martin

1995 Convergence of Option Values under Incompleteness
by Runggaldier, Wolfgang J. & Martin Schweizer

1995 Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices
by Yacine Ait-Sahalia & Andrew W. Lo

1995 Testing Option Pricing Models
by David S. Bates

1995 Banks and Derivatives
by Gary Gorton & Richard Rosen

1995 A Framework for Valuing Corporate Securities
by Ericsson, Jan & Reneby, Joel

1995 Bond markets where prices are driven by a general marked point process
by Björk, T. & Kabanov, Y. & Runggaldier, W.

1995 Uniqueness of the Fair Premium for Equity-Linked Life Insurance Contracts
by Nielsen, J. Aase & Klaus Sandmann

1995 The Pricing of Asian Options under Stochastic Interest Rates
by Nielsen, J. A. & K. Sandmann

1995 Market Volatility and Feedback Effects from Dynamic Hedging
by Frey, Rüdiger & Alexander Stremme

1995 Binomial Models for Option Valuation - Examining and Improving Convergence
by Leisen, D. P. J. & M. Reimer

1995 A Systematic Approach to Pricing and Hedging of International Derivatives with Interest-Rate Risk
by Frey, Rüdiger & Daniel Sommer

1995 Equity-linked life insurance - a model with stochastic interest rates
by Nielsen, J. Aase & Klaus Sandmann

1995 A Discrete Time Approach for European and American Barrier Options
by K. Sandmann & Reimer, M.

1995 The Direct Approach to Debt Option Pricing
by K. Sandmann & Sandmann, K.

1994 On Smile and Skewness
by Platen, Eckhard & Martin Schweizer

1994 Closed form representations for the minimal hedging portfolios of American type contingent claims
by A. N. Vishnyakov & Kramkov, D.O.

1994 On the Approximation of Random Variables by Stochastic Integrals with Respect to Semimartingales
by Christopeit, Norbert

1994 Put-call parities and the value of early exercise for put options on a performance index
by de Roon, F.A. & Veld, C.H.

1994 Contingent Claims Valued And Hedged By Pricing And Investing In A Basis
by Frank Milne & Dilip Madan

1994 Implementing Option Pricing Models When Asset Returns Are Predictable
by Andrew W. Lo & Jiang Wang

1994 A Nonparametric Approach to Pricing and Hedging Derivative Securities Via Learning Networks
by James M. Hutchinson & Andrew W. Lo & Tomaso Poggio

1994 The Valuation of American Options on Multiple Assets
by Mark Broadie & Jérôme B. Detemple

1994 American Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methods
by Mark Broadie & Jérôme B. Detemple

1994 American Capped Call Options on Dividend Paying Assets
by Mark Broadie & Jérôme B. Detemple

1994 Closed Form Solutions for Term Structure Derivatives with Log-Normal Interest Rates
by Miltersen, K. & K. Sandmann & D. Sondermann

1994 Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets
by Kramkov, D.O.

1994 On Short Rate Processes and Their Implications for Term Structure Movements
by Schlögl, Erik & Daniel Sommer

1994 Closed Form Term Structure Derivatives in a Heath-Jarrow- Morton Model with Log-Normal Annually Compounded Interest Rates
by D. Sondermann & K. Miltersen

1994 On the Stability of Log-Normal Interest Rate Models and the Pricing of Eurodollar Futures
by D. Sondermann & Sandmann, K.

1994 La bolsa de Bilbao: presente y futuro
by Juan Luis Llorens

1994 Deuda pública de Euskadi
by Agustín Garmendia Iribar

1994 Regulación y control de los nuevos riesgos
by Arturo de la Lama López-Areal

1994 Evolución de los productos derivados sobre tipos de interés en España: análisis de sus riestos y ventajas
by Lorenzo de Cristobal y de Nicolás

1993 Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in thePHLX Deutschemark Options
by David S. Bates

1993 Realignment Risk and Currency Option Pricing in Target Zones
by Bernard Dumas & L. Peter Jennergren & Bertil Naslund

1993 Measuring Asset Values for Cash Settlement in Derivative Markets: Hedonic Repeated Measures indices and Perpetual Futures
by Robert J. Shiller

1993 Optimal Hedging under Forward-Looking Behavior
by Sergio H. Lence & Dermot J. Hayes

1993 A Term Structure Model and the Pricing of Interest Rate Derivative
by K. Sandmann & Sondermann, D.

1993 On the use of the Black & Scholes model in a stochastic interest rate economy
by Krister Rindell

1992 Existence and optimality of equilibria in markets with tradeable derivative securities
by Henrotte,Philippe

1992 Unit root behavior in energy futures prices
by Serletis, Apostolos

1992 Option Introduction and Liquidity Changes in the OTC/NASDAQ Equity Market
by Rich Fortin & Judy Maese

1992 The Information Content of Prices in Derivative Security Markets
by Louis O. Scott

1992 On the behaviour of the Finnish stock index options markets
by Vesa Puttonen

1991 Option Pricing With V. G. Martingale Components
by Frank Milne & Dilip Madan

1991 Economics of Energy Futures Markets
by Dale, Charles

1991 Earnings As An Explanatory Variable For Returns
by EASTON, PD & HARRIS, TS

1990 The Multinomial Option Pricing Model and Its Brownian and Poisson Limits
by Frank Milne & Dilip Madan & Hersh Shefrin

1990 The Pricing Mechanism of Primary Commodities since the 1970s
by Kuchiki, Akifumi

1989 Minimum Chi-Square and Three-Stage Least Squares in Fixed Effects Models
by Joshua D. Angrist & Whitney K. Newey

1984 Manipulations and repeated games in future markets
by Chichilnisky, Graciela

1982 Stock-Price Reactions To Lifo Adoptions - The Association Between Excess Returns And Lifo Tax Savings
by BIDDLE, GC & LINDAHL, FW

1982 The Markets Response To The 1974 Lifo Adoptions
by RICKS, WE

1981 Red-Meat Price Policy in Egypt
by Soliman, Ibrahim

1981 Measuring patterns of price movements in the Treasury bill futures market
by Dale, Charles & Workman, Rosemarie

1981 The Hedging Effectiveness of Currency Futures Markets
by Dale, Charles

1981 Usefulness of Treasury Bill Futures as Hedging Instruments
by Cicchetti, Paul & Dale, Charles & Vignola, Anthony

1980 The Efficiency of the Treasury Bill Futures Market: An Analysis of Alternative Specifications
by Vignola, Anthony & Dale, Charles

1980 The arc sine law and the treasury bill futures market
by Dale, Charles & Workman, Rosemarie

1979 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

1979 Treasury/Federal Reserve Study of Treasury Futures Markets Volume I: Summary and Recommendations
by Vignola, Anthony & Dale, Charles & Federal Reserve System, Federal Reserve Staffs

1979 Is the Futures Market for Treasury Bills Efficient?
by Vignola, Anthony & Dale, Charles

1974 Lifo-Fifo, Accounting Ratios And Market Risk
by DERSTINE, RP & HUEFNER, RJ

1970 Alternative Approach To Predicting Corporate Bond Ratings - Comment
by HORRIGAN, JO

1970 Alternative Approach To Predicting Corporate Bond Ratings
by WEST, RR

1508 The TIPS Liquidity Premium
by Martin M. Andreasen & Jens H.E. Christensen & Simon Riddell

The Timing and Returns of Mergers and Acquisitions in Oligopolistic Industries
by Dirk Hackbarth & Jianjun Miao

The Stochastic Finite Element Method and Application in Option Pricing
by Look, Stefan

Designing the Financial Tools to Promote Universal Free-Access to AIDS Care
by Patrick Leoni & St�phane Luchini

Design the Financial Tool to Promote Universal Free Access to AIDS Care
by Patrick Leoni & St�phane 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 Lévy 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 Filipović

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

0703 Dynamics of Variance Risk Premia, Investors' Sentiment and Return Predictability
by Jeroen V.K. Rombouts & Lars Stentoft & Francesco Violante

0404 A Non-Structural Investigation of VIX Risk Neutral Density
by Andrea Barletta & Paolo Santucci de Magistris & Francesco Violante