## Research classified by
*Journal of
Economic Literature* (JEL) codes

Top JEL

/ G: Financial Economics

/ / G1: General Financial Markets

/ / /

**G13: Contingent Pricing; Futures Pricing**

Most recent items first, undated at the end.

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

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

**GARCH option pricing models with Meixner innovations**

*by*Fengler, Matthias & Melnikov, Alexander

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

*by*Zi-Yi Guo

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

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

**A Reconsideration of the Equity Premium Puzzle**

*by*Cantillo, Miguel

**Une perspective macroprudentielle pour la stabilité financière**

*by*Pinshi, Christian

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

*by*Michi Nishihara & Takashi Shibata

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

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

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

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

**Costs of capital under credit risk**

*by*Peter Reichling & Anastasiia Zbandut

**Hedging spark spread risk with futures**

*by*Beatriz Martínez Martínez & Hipolit Torro Enguix

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

*by*Elmira Aliakbari & Ross McKitrick

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

*by*Geert Bekaert & Eric Engstrom & Andrey Ermolov

**The TIPS Liquidity Premium**

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

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

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

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

*by*Liu, Lily Y.

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

*by*Constantinos Kardaras & Scott Robertson

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

*by*Leo Krippner

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

*by*Michael Hachula & Malte Rieth

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

*by*Christian Gross

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

*by*Sascha KOLARIC & Florian KIESEL & Steven ONGENA

**Product Market Competition and Option Prices**

*by*Erwan Morellec & Alexei Zhdanov

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

*by*Raushan Kumar

**An indicator of inflation expectations anchoring**

*by*Filippo Natoli & Laura Sigalotti

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

*by*Ricardo Gimeno & Alfredo Ibáñez

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

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

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

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

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

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

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

*by*Vladimir Vovk

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

*by*Beatrice Acciaio & Martin Larsson & Walter Schachermayer

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

*by*Luciano Campi & Ismail Laachir & Claude Martini

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

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

**Watermark options**

*by*Neofytos Rodosthenous & Mihail Zervos

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

*by*Ivan Guo & Marek Rutkowski

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

*by*David Hobson & Anthony Neuberger

**Hedging with small uncertainty aversion**

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

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

*by*Constantinos Kardaras & Scott Robertson

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

*by*Qiang Liu & Gaoxiu Qiao

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

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

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

*by*Jamie Alcock & Godfrey Smith

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

*by*Filipe Martins da Rocha & Yiannis Vailakis

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

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

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

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

**The Anatomy of the CDS Market**

*by*Martin Oehmke & Adam Zawadowski

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

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

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

*by*Hanxue Yang & Juho Kanniainen

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

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

**Mutual Funds Dynamics and Economic Predictors**

*by*Gianni Amisano & Roberto Savona

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

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

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

*by*Ying Jiang & Shamim Ahmed & Xiaoquan Liu

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

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

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

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

**Implied volatility and skewness surface**

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

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

*by*Max F. Schöne & Stefan Spinler

**Rainbow trend options: valuation and applications**

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

**A bias in the volatility smile**

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

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

*by*Dirk Veestraeten

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

*by*Marta Biancardi & Giovanni Villani

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

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

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

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

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

*by*Rannou, Yves

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

*by*Yoon, Sun-Joong

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

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

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

*by*Kim, Kwanho

**Optimal capital structure with moral hazard**

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

**Pricing vulnerable options with stochastic volatility**

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

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

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

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

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

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

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

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

*by*Eraker, Bjørn & Wu, Yue

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

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

**The price of variance risk**

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

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

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

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

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

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

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

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

*by*Leippold, Markus & Vasiljević, Nikola

**The composition of CMBS risk**

*by*Christopoulos, Andreas D.

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

*by*Kiesel, Rüdiger & Rahe, Florentin

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

*by*Chen, Zhuo & Lu, Andrea

**Corporate liquidity and dividend policy under uncertainty**

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

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

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

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

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

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

*by*Leippold, Markus & Schärer, Steven

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

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

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

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

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

*by*Benlagha, Noureddine & Chargui, Sana

**Credit derivatives and stock return synchronicity**

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

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

*by*Braouezec, Yann

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

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

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

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

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

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

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

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

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

*by*Ghoddusi, Hamed

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

*by*Plante, Michael & Dhaliwal, Navi

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

*by*Realdon, Marco & Boonyanet, Wachira

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

*by*Chaudhury, Mo

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

*by*Ryu, Doojin & Yang, Heejin

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

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

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

*by*Samih Antoine Azar

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

*by*Muhammad Sofjan

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

*by*Gelman, Sergey & Kliger, Doron

**Bedingte Aktiengeschäfte**

*by*Dilger, Alexander

**Commodities, financialization, and heterogeneous agents**

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

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

*by*Hofmann, Maurice & Rottmann, Horst

**How do insiders trade?**

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

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

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

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

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

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

*by*Pawel Maryniak & Stefan Trueck & Rafal Weron

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

*by*Paweł Sakowski & Robert Ślepaczuk & Mateusz Wywiał

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

*by*Paweł Sakowski & Robert Ślepaczuk & Mateusz Wywiał

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

*by*Paweł Sakowski & Robert Ślepaczuk & Mateusz Wywiał

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

*by*Eckhard Platen & David Taylor

**Detecting Money Market Bubbles**

*by*Jan Baldeaux & Katja Ignatieva & Eckhard Platen

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

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

**Hedging Futures Options with Stochastic Interest Rates**

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

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

*by*Alessandro Gnoatto & Martino Grasselli & Eckhard Platen

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

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

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

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

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

*by*Ben Ammar, Semir

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

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

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

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

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

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

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

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

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

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

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

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

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

*by*Straub, Ludwig & Ulbricht, Robert

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

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

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

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

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

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

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

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

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

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

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

*by*Stephanie Chan & Sweder van Wijnbergen

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

*by*BRAJESH KUMAR

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

*by*Lauenstein, Philipp & Küster Simic, André

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

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

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

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

**Pricing of Idiosyncratic Equity and Variance Risks**

*by*Elise Gourier

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

*by*Chris Bardgett & Elise Gourier & Markus Leippold

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

*by*Naghmeh Niroomand & Glenn P. Jenkins

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

*by*Ilker Ersegun Kayhan & Glenn P. Jenkins

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

*by*Ilker Ersegun Kayhan & Glenn P. Jenkins

**Une perspective macroprudentielle pour la stabilité financière**

*by*Pinshi, Christian

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

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

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

*by*Rosas-Martinez, Victor H.

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

*by*Pandey, Ashish

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

*by*Brogi, Athos

**Option Pricing Models**

*by*Giandomenico, Rossano

**Power Style Contracts Under Asymmetric Lévy Processes**

*by*Fajardo, José

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

*by*fajardo, José

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

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

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

*by*Kim, Minseong

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

*by*Degiannakis, Stavros & Filis, George

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

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

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

*by*Erik Gilje & Robert Ready & Nikolai Roussanov

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

*by*Geert Bekaert & Eric Engstrom & Andrey Ermolov

**Commodities for the Long Run**

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

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

*by*Sang Byung Seo & Jessica A. Wachter

**Term Structures of Asset Prices and Returns**

*by*David Backus & Nina Boyarchenko & Mikhail Chernov

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

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

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

*by*David S. Bates

**Options-Pricing Formula with Disaster Risk**

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

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

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

**The risk asymmetry index**

*by*Elyas Elyasani & Luca Gambarelli & Silvia Muzzioli

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

*by*Elyas Elyasiani & Luca Gambarelli & Silvia Muzzioli

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

*by*Elyas Elyasiani & Luca Gambarelli & Silvia Muzzioli

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

*by*Elyas Elyasiani & Silvia Muzzioli & Alessio Ruggieri

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

*by*Daniel Ladley & Guanqing Liu & James Rockey

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

*by*Takahiro Hattori

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

*by*Takuji Arai

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

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

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

*by*Cho-Hoi Hui & Edward Tan

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

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

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

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

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

*by*Grodecka, Anna

**Informed trading in oil-futures market**

*by*Rousse, O. & Sévi, B.

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

*by*Van Tassel, Peter & Vogt, Erik

**Term structures of asset prices and returns**

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

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

*by*Nick Gebbia

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

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

**Informed Trading in Oil-Futures Market**

*by*Olivier Rousse & Benoît Sévi

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

*by*Beatriz Martínez & Hipòlit Torró

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

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

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

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

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

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

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

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

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

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

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

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

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

*by*Luciano Campi & Ismail Laachir & Claude Martini

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

*by*Angelos Dassios & You You Zhang

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

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

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

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

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

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

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

*by*Daniël Vullings

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

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

**Coherent Pricing**

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

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

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

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

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

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

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

**Term structures of asset prices and returns**

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

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

*by*Chan, Stephanie & van Wijnbergen, Sweder

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

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

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

*by*Skander Ben Abdallah & Pierre Lasserre

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

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

**Convex Duality with Transaction Costs**

*by*Yan Dolinsky & Halil Mete Soner

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

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

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

*by*Damien Ackerer & Thibault Vatter

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

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

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

*by*Damir Filipovic & Yerkin Kitapbayev

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

*by*Lorenzo CAMPONOVO & Olivier SCAILLET & Fabio TROJANI

**The Jacobi Stochastic Volatility Model**

*by*Damien Ackerer & Damir Filipović & Sergio Pulido

**Linear Credit Risk Models**

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

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

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

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

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**Dynamic volatility spillovers across shipping freight markets**

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

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

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

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

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**Roll strategy efficiency in commodity futures markets**

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**Nominal price illusion**

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

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

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**Pricing vulnerable options with stochastic default barriers**

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

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

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

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

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

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**Nonrandom price movements**

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

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

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**The modified dividend–price ratio**

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

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

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**Parametric model risk and power plant valuation**

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

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

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

*by*Ergen, Ibrahim & Rizvanoghlu, Islam

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

*by*Berger, Theo & Uddin, Gazi Salah

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

*by*Liu, Wei-han

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

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

*by*Kang, Sang Baum & Létourneau, Pascal

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

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

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

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

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

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

*by*Manera, Matteo & Nicolini, Marcella & Vignati, Ilaria

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

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

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

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

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

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

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

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

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

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

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*by*Gogolin, Fabian & Kearney, Fearghal

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

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

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

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

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

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

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

*by*Tanattrin Bunnag

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

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

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

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

*by*Atanu DAS

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

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

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

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

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

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**Modeling Persistence of Carbon Emission Allowance Prices**

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**Analysis of the Behavior of Volatility in Crude Oil Price**

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**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

**Too-Systemic-To-Fail: What Option Markets Imply About Sector-wide Government Guarantees**

*by*Kelly, Bryan & Lustig, Hanno & van Nieuwerburgh, Stijn

**The asymmetric commodity inventory effect on the optimal hedge ratio**

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**Optimal Static Hedging of Energy Price and Volume Risk: Closed-Form Results**

*by*Javier Orlando Pantoja Robayo & Andrea Roncoroni

**Implied probabilities of default from Colombian money market spreads: The Merton Model under equity market informational constraints**

*by*Carlos León

**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

**Macroeconomic Factors as Drivers of LGD Prediction: Empirical Evidence from the Czech Republic**

*by*Konstantin Belyaev & Aelita Belyaeva & Tomas Konecny & Jakub Seidler & Martin Vojtek

**Risk Management and Financial Derivatives: An Overview**

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**Sovereign default and macroeconomic tipping points**

*by*Joy, Mark

**Relaxing competition through speculation: Committing to a negative supply slope**

*by*Holmberg, P. & Willems, B.

**Bank stability and market discipline: The effect of contingent capital on risk taking and default probability**

*by*Jens Hilscher & Alon Raviv

**Inflation Derivatives Under Inflation Target Regimes**

*by*Mordecai Avriel & Jens Hilscher & Alon Raviv

**Ambiguity Aversion and Variance Premium**

*by*Jianjun Miao & Bin Wei & Hao Zhou

**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

**Using Merton model: an empirical assessment of alternatives**

*by*Zvika Afik & Ohad Arad & Koresh Galil

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

*by*Monfort, A. & Pegoraro, F.

**Macro-Prudential Policy and the Conduct of Monetary Policy**

*by*Beau, D. & Clerc, L. & Mojon, B.

**Price as a choice under nonstochastic randomness in finance**

*by*Y, Ivanenko. & B, Munier.

**The role of financial investments in agricultural commodity derivatives markets**

*by*Alessandro Borin & Virginia Di Nino

**Valuation of vix derivatives**

*by*Javier Mencía & Enrique Sentana

**Estimating the Policy Rule from Money Market Rates when Target Rate Changes Are Lumpy**

*by*Jean-Sébastien Fontaine

**The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation**

*by*Peter Christoffersen & Bruno Feunou & Kris Jacobs & Nour Meddahi

**Risk Premium, Variance Premium and the Maturity Structure of Uncertainty**

*by*Bruno Feunou & Jean-Sébastien Fontaine & Abderrahim Taamouti & Roméo Tedongap

**Pricing European Options on Deferred Insurance**

*by*Jonathan Ziveyi & Craig Blackburn & Michael Sherris

**Stock Return and Cash Flow Predictability: The Role of Volatility Risk**

*by*Tim Bollerslev & Lai Xu & Hao Zhou

**GARCH Option Valuation: Theory and Evidence**

*by*Peter Christoffersen & Kris Jacobs & Chayawat Ornthanalai

**Commodity derivatives pricing with inventory effects**

*by*Christian Bach & Matt P. Dziubinski

**ItÔ's Calculus: Derivation of the Black–Scholes Option Pricing Model**

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

**Simultaneous Equation Models for Security Valuation**

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

**Capturing Equity Risk Premia**

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

**Portfolio Insurance and Synthetic Options**

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

**Bond Portfolios: Management and Strategy**

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

**International Diversification and Asset Pricing**

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

**Security Analysis and Mutual Fund Performance**

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

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

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

**Normal, Log-Normal Distribution, and Option Pricing Model**

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

**Decision Tree and Microsoft Excel Approach for Option Pricing Model**

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

**Option Pricing Theory and Firm Valuation**

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

**Options and Option Strategies**

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

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

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

**Futures Valuation and Hedging**

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

**Arbitrage Pricing Theory and Intertemporal Capital Asset Pricing Model**

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

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

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

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

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

**Index Models for Portfolio Selection**

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

**Capital Asset Pricing Model and Beta Forecasting**

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

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

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

**Sources of Risks and Their Determination**

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

**The Uses and Calculation of Market Indexes**

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

**Bond Valuation and Analysis**

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

**Introduction to Valuation Theories**

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

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

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

**Accounting Information and Regression Analysis**

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

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

*by*Fred Espen Benth & Jūratė Šaltytė Benth

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

*by*Francis In & Sangbae Kim

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

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

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

*by*Moreau, Ludovic

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

*by*P. Srinivasan & P. Ibrahim

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

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

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

*by*Prado, Sylvain Michael & Ananth, Ram

**Volatility Regimes For The Vix Index**

*by*JACINTO MARABEL ROMO

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

*by*Daniele Girardi

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

*by*Pochea Maria-Miruna

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

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

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

*by*Richard Ashley

**Extracting Deflation Probability Forecasts from Treasury Yields**

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

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

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

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

*by*Lingyan Cao & Zheng-Feng Guo

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

*by*Peng He

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

*by*Lingyan Cao & Zheng-Feng Guo

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

*by*Bahattin Büyüksahin & Michel A. Robe

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

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

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

*by*Gianna Figa-Talamanca & Maria Letizia Guerra

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

*by*Bala Batavia & Nandakumar Parameswar & Cheick Wagué

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

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

**Real option valuation of abandoned farmland**

*by*Nishihara, Michi

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

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

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

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

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

*by*Wong, Kit Pong

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

*by*Shibata, Takashi & Tian, Yuan

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

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

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

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

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

*by*Jou, Jyh-Bang

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

*by*Siddiqi, Hammad

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

*by*Golez, Benjamin & Jackwerth, Jens Carsten

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

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

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

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

**Limited arbitrage between equity and credit markets**

*by*Kapadia, Nikunj & Pu, Xiaoling

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

*by*Hong, Harrison & Yogo, Motohiro

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

*by*Bates, David S.

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

*by*Driessen, Joost & Van Hemert, Otto

**Arbitrage crashes and the speed of capital**

*by*Mitchell, Mark & Pulvino, Todd

**Time series momentum**

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

**Endogenous liquidity in credit derivatives**

*by*Qiu, Jiaping & Yu, Fan

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

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

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

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

**Rational asset pricing bubbles and portfolio constraints**

*by*Hugonnier, Julien

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

*by*Luo, Guo Ying

**Anchoring bias in the TARP warrant negotiations**

*by*Wilson, Linus

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

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

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

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

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

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

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

*by*Monfort, Alain & Pegoraro, Fulvio

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

*by*Forte, Santiago & Lovreta, Lidija

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

*by*Branger, Nicole & Muck, Matthias

**The term structure of illiquidity premia**

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

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

*by*Kassberger, Stefan & Liebmann, Thomas

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

*by*Chalamandaris, Georgios & Rompolis, Leonidas S.

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

*by*Rittler, Daniel

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

*by*Câmara, António & Popova, Ivilina & Simkins, Betty

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

*by*Li, Junye

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

*by*Beliaeva, Natalia & Nawalkha, Sanjay

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

*by*Kaeck, Andreas & Alexander, Carol

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

*by*Nejadmalayeri, Ali & Singh, Manohar

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

*by*Smales, Lee A.

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

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

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

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

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

*by*Melnikov, Alexander & Smirnov, Ivan

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

*by*Siriopoulos, Costas & Fassas, Athanasios

**Escaping TARP**

*by*Wilson, Linus & Wu, Yan Wendy

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

*by*Barraclough, Kathryn & Stoll, Hans R. & Whaley, Robert E.

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

*by*Birru, Justin & Figlewski, Stephen

**The relationship between reciprocal currency futures prices**

*by*Bick, Avi

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

*by*Hsu, Pao-Peng & Chen, Ying-Hsiu

**Option pricing and ARCH processes**

*by*Zumbach, Gilles

**Discrete time hedging with liquidity risk**

*by*Ku, Hyejin & Lee, Kiseop & Zhu, Huaiping

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

*by*Jarrow, Robert & Protter, Philip

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

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

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

*by*Lukas, Elmar & Welling, Andreas

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

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

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

*by*McMillan, David G. & Philip, Dennis

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

*by*Tsai, Jeng-Yan & Lin, Jyh-Horng

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

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

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

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

**Integration of the global carbon markets**

*by*Mizrach, Bruce

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

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

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

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

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

*by*Sadorsky, Perry

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

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

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

*by*Gospodinov, Nikolay & Hirukawa, Masayuki

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

*by*Gospodinov, Nikolay & Jamali, Ibrahim

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

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

**Gauging potential sovereign risk contagion in Europe**

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

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

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

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

*by*Yagi, Kyoko & Takashima, Ryuta

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

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

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

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

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

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

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

*by*Gabay, Daniel & Grasselli, Martino

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

*by*Hackbarth, Dirk & Miao, Jianjun

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

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

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

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

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

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

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

*by*Barinov, Alexander

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

*by*Wojakowski, Rafał M.

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

*by*Saban Celik

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

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

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

*by*Mark J. Roe

**Commodity Investing**

*by*K. Geert Rouwenhorst & Ke Tang

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

*by*Mircea Gabriel Ciolpan & Jenica Popescu

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

*by*Richard Ebil Ottoo

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

*by*Yacine Aït-Sahalia & Jean Jacod

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

*by*Ana Fostel & John Geanakoplos

**Portfolio optimization using forward-looking information**

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

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

*by*Jianjun Miao & Dirk Hackbarth

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

*by*Chiara Coluzzi

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

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

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

*by*Fragniere, Emmanuel & Markov, Iliya

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

*by*Bianchetti, Marco & Carlicchi, Mattia

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

*by*Sebastian Lobe & Klaus Röder

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

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

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

*by*Tarkan ÇAVUŞOĞLU & Soner GÖKTEN

**The value of tradeability**

*by*Chesney, Marc & Kempf, Alexander

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

*by*Theissen, Erik

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

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

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

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

**Option pricing in subdiffusive Bachelier model**

*by*Marcin Magdziarz & Sebastian Orzel & Aleksander Weron

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

*by*Ke Du & Eckhard Platen

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

*by*Daniele Girardi

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

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

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

*by*Iain Fraser & Katsuyuki Shibayama

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

*by*Isao Ishida & Michael McAleer & Kosuke Oya

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

*by*Gary S. Shea

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

*by*Gary S. Shea

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

*by*Andrew Mays & Gary S. Shea

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

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

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

*by*Janis Back & Marcel Prokopczuk & Markus Rudolf

**Rationalization of Investment Preference Criteria**

*by*Jacques Pézier

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

*by*Vladimir Zdorovenin & Jacques Pézier

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

*by*Martín Saldías

**The Chinese Warrants Bubble**

*by*Wei Xiong & Jialin Yu

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

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

**Option Pricing in an Oligopolistic Setting**

*by*Villena, Marcelo & Villena, Mauricio

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

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

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

*by*Bennour, Khaled

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

*by*P., Srinivasan

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

*by*Lozano Rojas, Felipe Andres

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

*by*Marco, Bianchetti

**Hedging dynamics with gold futures**

*by*Singh, Saurabh & Saharawat, Swati

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

*by*Horvath, Roman & Poldauf, Petr

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

*by*Janda, Karel & Vylezik, Tomas

**Expansion formulae for local Lévy models**

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

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

*by*Tim, Xiao

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

*by*Siddiqi, Hammad

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

*by*Cocozza, Rosa & De Simone, Antonio

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

*by*Cifarelli, Giulio & Paladino, Giovanna

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

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

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

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

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

*by*Michi Nishihara & Takashi Sshibata

**Real Options Valuation of Abandoned Farmland**

*by*Michi Nishihara

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

*by*Anton Korinek

**A Transparency Standard for Derivatives**

*by*Viral V. Acharya

**Global Asset Pricing**

*by*Karen K. Lewis

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

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

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

*by*Victor Stango & Jonathan Zinman

**Continuous Workout Mortgages**

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

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

*by*Andrew Ang & Francis A. Longstaff

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

*by*Hui Chen & Scott Joslin

**Simple Variance Swaps**

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

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

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

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**Evolution of Market Uncertainty around Earnings Announcements**

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

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**Quantile hedging**

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

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

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

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**Autobiography**

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

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

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**Building a Consistent Pricing Model from Observed Option Prices**

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**Pseudo--Arbitrage - A new Approach to Pricing and Hedging in Incomplete Markets**

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

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

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**Lévy processes in finance: a remedy to the non-stationarity of continuous martingales**

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**Option pricing with transaction costs and a nonlinear Black-Scholes equation**

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**Path dependent options on yields in the affine term structure model**

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**Robust hedging of the lookback option**

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**Functional convergence of Snell envelopes: Applications to American options approximations**

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**Implied interest rate pricing models**

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**Volatility of the short rate in the rational lognormal model**

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

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

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

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**Bayesian Arbitrage Threshold Analysis**

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

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

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

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**An Equilibrium Model with Restricted Stock Market Participation**

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**The Cross Section of Common Stock Returns: A Review of the Evidence and Some New Findings**

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

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

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**Bayesian Option Pricing Using Asymmetric GARCH**

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

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

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**Empirical Performance of Alternative Option Pricing Models**

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**PSA Duration: Conquering the Prepayment Risk of Mortgage Portfolios**

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**Empirical Performance of Alternative Option Pricing Models**

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**No-Arbitrage Bounds on Contingent Claims Prices with Convex Constraints on the Dollar Investments of the Hedge Portfolio**

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

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**Discount-Bond Derivatives on a Recombining Binomial Tree**

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**New Evidence on Price and Volatility Effects of Stock Option Introductions**

*by*Kabir, M.R.

**Analyzing specification errors in models for futures risk premia with hedging pressure**

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

**Derivatives in a Dynamic Environment**

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

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

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

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

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

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**Models of Compelxity in Economics and Finance**

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**General trigger values of optimal investment**

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**A note on pricing interest rate derivatives when forward LIBOR rates are lognormal**

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**Option pricing in the presence of natural boundaries and a quadratic diffusion term (*)**

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**LIBOR and swap market models and measures (*)**

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**Tax Effects in Canadian Equity Option Markets**

*by*Moshe Arye Milevsky & Eliezer Z. Prisman

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

*by*John Fingleton & Patrick Waldron

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

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

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

*by*Söderlind, Paul & Svensson, Lars E.O.

**Interest Rate Theory - CIME Lectures 1996**

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**The Short Term Price Performance of Initial Public Offerings of Common Stock: Australia 1991-1994**

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**Volatility in the Nikkei Stock Market Index; Causes and International Transmission**

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**Market Risk, Corporate Governance & the Regulation of Financial Firms**

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**EU Capital Requirements and the Level Playing Field**

*by*Dale, R. & Wolfe, S.

**Approximating the Asset Pricing Kernel**

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**A Market-Based Evaluation of Discretionary-Accrual Models**

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**The Analysis of VAR, Deltas and State Prices: A New Approach**

*by*Grundy, B.D. & Wiener, Z.

**The Stability of ARCH Models Across Australian Financial Markets**

*by*Lee, J. & Brooks, R.

**The Impact of the Return Interval on The estimation of Systematic Risk in Australia**

*by*Jesev, T. & Brailsford, T.

**Forecasting the S&P500: A Disequilibrium Indicator**

*by*Davidson, S. & Meyer, S.

**Further Evidence on the Relationship between Beta Stability and the length of the Estimation Period**

*by*Faff, R. & Brooks, R.

**A P.D.E. Approach to Asian Options: Analytical and Numerical Evidence**

*by*Alziary, B. & Decamps, J-P. & Koehl, P-F.

**Do Noise Traders Influence Stock Prices**

*by*Kelly, M.

**Pricing American-Style Securities Using Simulation**

*by*Broadie, M. & Glasserman, P.

**Settlement, Tax and Non-Synchronous Effects in the Basis of U.K. Stock Index Futures**

*by*Theobald, M. & Yallup, P.

**The Timing of Arbitrage: An Option Approach**

*by*Lambrecht, B.

**Endogenous uncertainty in a general equilibrium model with price contingent contracts (*)**

*by*Ho-Mou Wu & Mordecai Kurz

**Equilibrium Valuation of Foreign Exchange Claims**

*by*Gurdip S. Bakshi & Zhiwu Chen

**An Alternative Valuation Model for Contingent Claims**

*by*Gurdip S. Bakshi & Zhiwu Chen

**The Pricing of Foreign Currency Futures Options**

*by*Chang Mo Ahn

**Equilibrium Valuation of Foreign Exchange Claims**

*by*Gurdip S. Bakshi & Zhiwu Chen

**Randomization and the American Put**

*by*Peter Carr

**Option Valuation and the Price of Risk**

*by*John Chalupa

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

*by*J. S. Butler & Barry Schachter

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

*by*Ram Bhar & Carl Chiarella

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

*by*Manuel Moreno

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

*by*Xavier Freixas & Emmanuelle Gabillon

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

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

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

*by*Chichilnisky, Graciela

**Noncommercial Trading in the Energy Futures Market**

*by*Dale, Charles & Zyren, John

**Implied Volatility Functions: Empirical Tests**

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

**Towards a General Theory of Bond Markets**

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**Stock Options as Barrier Contingent Claims**

*by*Ericsson, Jan & Reneby, Joel

**Diversified Portfolios in Continuous Time**

*by*Björk, Tomas & Näslund, Bertil

**Numerical analysis of strategic contingent claims models**

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

**Default risk in asset pricing**

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

**Implied Volatility Functions: Empirical Tests**

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

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

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

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

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

**Arbitrage Based Pricing When Volatility Is Stochastic**

*by*Peter Bossaert & Eric Ghysels & Christian Gouriéroux

**Lognormality of Rates and Term Structure Models**

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

**The Term Structure of Defaultable Bond Prices**

*by*Schönbucher, Philipp J.

**Continuous-Time Term Structure Models**

*by*Musiela, Marek & Marek Rutkowski

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

*by*Frey, Rüdiger

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

*by*Leisen, Dietmar

**Derivatives Activity at Troubled Banks**

*by*Joe Peek & Eric S. Rosengren

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

*by*W.M. Schmidt

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

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**Imperfect Information, Money and Economic Growth**

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

*by*Kearney, C.

**Do Managed Futures Make Good Investments?**

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

**Mutual Funds and Financial Stability**

*by*Edwards, F.R.

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

*by*Heal, G.

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

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

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

*by*Venditti, A.

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

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

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

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

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

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

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

*by*Schweizer, Martin

**Convergence of Option Values under Incompleteness**

*by*Runggaldier, Wolfgang J. & Martin Schweizer

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

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

**Testing Option Pricing Models**

*by*David S. Bates

**Banks and Derivatives**

*by*Gary Gorton & Richard Rosen

**A Framework for Valuing Corporate Securities**

*by*Ericsson, Jan & Reneby, Joel

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

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

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

*by*Nielsen, J. Aase & Klaus Sandmann

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

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

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

*by*Frey, Rüdiger & Alexander Stremme

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

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

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

*by*Frey, Rüdiger & Daniel Sommer

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

*by*Nielsen, J. Aase & Klaus Sandmann

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

*by*K. Sandmann & Reimer, M.

**The Direct Approach to Debt Option Pricing**

*by*K. Sandmann & Sandmann, K.

**On Smile and Skewness**

*by*Platen, Eckhard & Martin Schweizer

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

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

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

*by*Christopeit, Norbert

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

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

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

*by*Frank Milne & Dilip Madan

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

*by*Andrew W. Lo & Jiang Wang

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

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

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

*by*Mark Broadie & Jérôme B. Detemple

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

*by*Mark Broadie & Jérôme B. Detemple

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

*by*Mark Broadie & Jérôme B. Detemple

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

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

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

*by*Kramkov, D.O.

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

*by*Schlögl, Erik & Daniel Sommer

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

*by*D. Sondermann & K. Miltersen

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

*by*D. Sondermann & Sandmann, K.

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

*by*Juan Luis Llorens

**Deuda pública de Euskadi**

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**Regulación y control de los nuevos riesgos**

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

*by*Lorenzo de Cristobal y de Nicolás

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

*by*David S. Bates

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

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

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

*by*Robert J. Shiller

**Optimal Hedging under Forward-Looking Behavior**

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

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

*by*K. Sandmann & Sondermann, D.

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

*by*Krister Rindell

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

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**Unit root behavior in energy futures prices**

*by*Serletis, Apostolos

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

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

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

*by*Vesa Puttonen

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

*by*Frank Milne & Dilip Madan

**Economics of Energy Futures Markets**

*by*Dale, Charles

**Earnings As An Explanatory Variable For Returns**

*by*EASTON, PD & HARRIS, TS

**The Multinomial Option Pricing Model and Its Brownian and Poisson Limits**

*by*Frank Milne & Dilip Madan & Hersh Shefrin

**The Pricing Mechanism of Primary Commodities since the 1970s**

*by*Kuchiki, Akifumi

**Minimum Chi-Square and Three-Stage Least Squares in Fixed Effects Models**

*by*Joshua D. Angrist & Whitney K. Newey

**Manipulations and repeated games in future markets**

*by*Chichilnisky, Graciela

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

*by*BIDDLE, GC & LINDAHL, FW

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

*by*RICKS, WE

**Red-Meat Price Policy in Egypt**

*by*Soliman, Ibrahim

**Measuring patterns of price movements in the Treasury bill futures market**

*by*Dale, Charles & Workman, Rosemarie

**The Hedging Effectiveness of Currency Futures Markets**

*by*Dale, Charles

**Usefulness of Treasury Bill Futures as Hedging Instruments**

*by*Cicchetti, Paul & Dale, Charles & Vignola, Anthony

**The Efficiency of the Treasury Bill Futures Market: An Analysis of Alternative Specifications**

*by*Vignola, Anthony & Dale, Charles

**The arc sine law and the treasury bill futures market**

*by*Dale, Charles & Workman, Rosemarie

**Treasury/Federal Reserve Study of Treasury Futures Markets Volume II: A Study by the Staffs of the U.S. Treasury and Federal Reserve System**

*by*Vignola, Anthony & Dale, Charles & Federal Reserve System, Federal Reserve Staffs

**Treasury/Federal Reserve Study of Treasury Futures Markets Volume I: Summary and Recommendations**

*by*Vignola, Anthony & Dale, Charles & Federal Reserve System, Federal Reserve Staffs

**Is the Futures Market for Treasury Bills Efficient?**

*by*Vignola, Anthony & Dale, Charles

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

*by*DERSTINE, RP & HUEFNER, RJ

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

*by*HORRIGAN, JO

**Alternative Approach To Predicting Corporate Bond Ratings**

*by*WEST, RR

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

*by*Dirk Hackbarth & Jianjun Miao

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

*by*Look, Stefan

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

*by*Patrick Leoni & Stï¿½phane Luchini

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

*by*Patrick Leoni & Stï¿½phane Luchini

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

*by*Marco Realdon

**Valuation of Put Options on Leveraged Equity**

*by*Marco Realdon

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

*by*Marco Realdon

**Valuation of Exchangeable Convertible Bonds**

*by*Marco Realdon

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

*by*Peter D Spencer

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

*by*Aaron Tornell & Chunming Yuan

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

*by*Palani-Rajan Kadapakkam & Umesh Kumar

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

*by*Karan Bhanot & Antonio S. Mello

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

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

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

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

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

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

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

*by*Yiuman Tse & Michael Williams

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

*by*Yiuman Tse & Lin Zhao

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

*by*Jason West

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

*by*Nicolas Mougeot

**Linear-Rational Term Structure Models**

*by*Damir FILIPOVIC & Martin LARSSON & Anders TROLLE

**Portfolio Selection with Options and Transaction Costs**

*by*Semyon MALAMUD

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

*by*Jan Kallsen & Johannes Muhle-Karbe

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

*by*Markus Leippold & Jacob Stromberg

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

*by*Valentina Corradi & Walter Distaso & Antonio Mele

**Affine Variance Swap Curve Models**

*by*Damir FilipoviÄ‡

**Misvaluation and Return Anomalies in Distress Stocks**

*by*Assaf Eisdorfer & Amit Goyal & Alexei Zhdanov

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

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

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

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

**Collateral Smile**

*by*Markus LEIPPOLD & Lujing SU

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

*by*Marc CHESNEY & Remo CRAMERI & Loriano MANCINI

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

*by*Marc CHESNEY & Remo CRAMERI & Loriano MANCINI

**The Value of Tradeability**

*by*Marc CHESNEY & Alexander KEMPF

**Predictive Power of Information Market Prices**

*by*Maria PUTINTSEVA

**Weak Approximation of G-Expectations**

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

**Conditional Density Models for Asset Pricing**

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

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

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

*by*Patrick Gagliardini & Diego Ronchetti

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

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

**Liquidity Models in Continuous and Discrete Time**

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

**A Market Model for Stochastic Implied Volatility**

*by*Schönbucher, Philpp J.

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

*by*Leisen, Dietmar P.J.

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

*by*Bent Jesper Christensen & Morten Ø. Nielsen

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

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

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

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