## 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.

**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

**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

**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

**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

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

*by*Ben Ammar, Semir

**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

**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**

*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

**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

**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

**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

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

*by*Grodecka, Anna

**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

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

*by*Beatriz Martínez & Hipòlit Torró

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

*by*Daniël Vullings

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

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

**Coherent Pricing**

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

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

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

**A 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

**Sovereign GDP-linked bonds**

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

**The role of collateral in supporting liquidity**

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

**Risk premia and seasonality in commodity futures**

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

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

*by*Benavides Guillermo

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

*by*Onofrio Panzarino & Francesco Potente & Alfonso Puorro

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

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

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

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

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

*by*Seth J. Kopchak

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

*by*Yuri Kabanov & Constantinos Kardaras & Shiqi Song

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

*by*Andrew Lyasoff

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

*by*Tianyang Nie & Marek Rutkowski

**Polynomial diffusions and applications in finance**

*by*Damir Filipović & Martin Larsson

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

*by*Dimitri Vallière & Yuri Kabanov & Emmanuel Lépinette

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

*by*Angelos Dassios & You You Zhang

**Additive subordination and its applications in finance**

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

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

*by*Pierre Henry-Labordère & Nizar Touzi

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

*by*Bruno Bouchard & Grégoire Loeper & Yiyi Zou

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

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

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

*by*Jiatu Cai & Masaaki Fukasawa

**Stability of utility maximization in nonequivalent markets**

*by*Kim Weston

**Consistent price systems under model uncertainty**

*by*Bruno Bouchard & Marcel Nutz

**Model-independent superhedging under portfolio constraints**

*by*Arash Fahim & Yu-Jui Huang

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

*by*Matteo Burzoni & Marco Frittelli & Marco Maggis

**Superreplication when trading at market indifference prices**

*by*Peter Bank & Selim Gökay

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

*by*Xiaodong Du & Fengxia Dong

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

*by*Sanjay Sehgal & Mala Dutt

**Endogenous trading in credit default swaps**

*by*Marc Chesney & Delia Coculescu & Selim Gökay

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

*by*Zaremba, Adam

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

*by*Pratap Kumar Jena

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

*by*Jian Wu

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

*by*Vivien Brunel & Stéphane Crépey & Monique Jeanblanc

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

*by*Nick Baltas

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

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

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

*by*Tomáš Václavík & Andrea Klimešová

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

*by*Ambrosio Ortiz Ramírez & María Teresa Martínez Palacios

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

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

**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

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

*by*Cheng-Few Lee & Yibing Chen & John Lee

**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

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

*by*Hsuan-Chu Lin & Ren-Raw Chen & Oded Palmon

**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

**Pricing currency options under double exponential jump diffusion in a Markov-modulated HJM economy**

*by*Mi-Hsiu Chiang & Chang-Yi Li & Son-Nan Chen

**The day the index rose 11 %: a clinical study on price discovery reversal**

*by*Christoph Schmidhammer & Sebastian Lobe & Klaus Röder

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

*by*Roman V. Ivanov & Katsunori Ano

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

*by*Marcos Escobar & Daniel Krause & Rudi Zagst

**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

**Credit valuation adjustment of cap and floor with counterparty risk: a structural pricing model for vulnerable European options**

*by*Lie-Jane Kao

**The Economics of Commercial Real Estate Preleasing**

*by*Robert H. Edelstein & Peng Liu

**The Rent Term Premium for Cancellable Leases**

*by*Jiro Yoshida & Miki Seko & Kazuto Sumita

**Determining Hurdle Rate and Capital Allocation in Credit Portfolio Management**

*by*Peter Miu & Bogie Ozdemir & Evren Cubukgil & Michael Giesinger

**When do Firms Invest in Corporate Social Responsibility? A Real Option Framework**

*by*Danny Cassimon & Peter-Jan Engelen & Luc Liedekerke

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

*by*Taiga Saito

**Commodity Spread Option with Cointegration**

*by*Katsushi Nakajima & Kazuhiko Ohashi

**Benchmarking in two price financial markets**

*by*Dilip B. Madan

**Relative asset price bubbles**

*by*Roseline Bilina Falafala & Robert A. Jarrow & Philip Protter

**Risk premia in option markets**

*by*Dilip B. Madan

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

*by*Mengzhe Zhang & Leunglung Chan

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

*by*Eduardo Sandoval & Macarena Soto

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

*by*Jian Chen & Chenghu Ma

**Dynamic volatility spillovers across shipping freight markets**

*by*Tsouknidis, Dimitris A.

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

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

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

*by*Buchner, Axel

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

*by*Taboga, Marco

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

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

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

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

**Is the refining margin stationary?**

*by*Población, Javier & Serna, Gregorio

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

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

**Systematic risk and volatility skew**

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

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

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

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

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

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

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

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

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

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

*by*Bahloul, Walid & Bouri, Abdelfettah

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

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

**Gambling preference and individual equity option returns**

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

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

*by*Hasler, Michael & Marfè, Roberto

**Early option exercise: Never say never**

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

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

*by*Choi, Jaewon & Richardson, Matthew

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

*by*Barras, Laurent & Malkhozov, Aytek

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

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

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

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

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

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

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

*by*Carr, Peter & Wu, Liuren

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

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

**Nominal price illusion**

*by*Birru, Justin & Wang, Baolian

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

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

**Quadratic variance swap models**

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

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

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

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

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

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

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

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

*by*Kumar, Satish

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

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

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

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

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

*by*Ahmed, Shamim & Tsvetanov, Daniel

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

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

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

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

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

*by*Schertler, Andrea

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

*by*Kokholm, Thomas

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

*by*Zhong, Angel & Gray, Philip

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

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

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

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

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

*by*Konstantinidi, Eirini & Skiadopoulos, George

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

*by*Realdon, Marco

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

*by*Tanha, Hassan & Dempsey, Michael

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

*by*Philip, Dennis & Shi, Yukun

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

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

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

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

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

*by*Liang, Zongxia & Sheng, Wenlong

**Hedging pure endowments with mortality derivatives**

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

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

*by*Siu, Tak Kuen

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

*by*Cui, Zhenyu & Nguyen, Duy

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

*by*Abudy, Menachem Meni & Raviv, Alon

**Time series momentum and volatility scaling**

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

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

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

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

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

**Nonrandom price movements**

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

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

*by*Buchner, Axel & Wagner, Niklas

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

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

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

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

**On Economic Space notion**

*by*Olkhov, Victor

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

*by*Fernandez-Perez, Adrian & Fuertes, Ana-Maria & Miffre, Joëlle

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

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

**The modified dividend–price ratio**

*by*Polimenis, Vassilis & Neokosmidis, Ioannis M.

**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

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

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

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

*by*Ergen, Ibrahim & Rizvanoghlu, Islam

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

*by*Berger, Theo & Uddin, Gazi Salah

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

*by*Liu, Wei-han

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

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

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

*by*Kang, Sang Baum & Létourneau, Pascal

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

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

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

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

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

*by*Xu, Li & Deng, Shi-Jie & Thomas, Valerie M.

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

*by*Almansour, Abdullah

**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**

*by*Kim, Myeong Jun & Park, Sung Y.

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

*by*Agliardi, Elettra & Amel-Zadeh, Amir & Koussis, Nicos

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

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

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

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**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**

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**Implied Basket Correlation Dynamics**

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**Confidence sets in nonparametric calibration of exponential LÃ©vy models**

*by*Jakob SÃ¶hl

**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

**What Makes the VIX Tick?**

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**Relaxing Competition through Speculation: Committing to a Negative Supply Slope**

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**A Markov Copula Model of Portfolio Credit Risk with Stochastic Intensities and Random Recoveries**

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**The Relative Contemporaneous Information Response. A New Cointegration-Based Measure of Price Discovery**

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**Microstructure effect on firm’s volatility risk**

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**Optimal Capital Structure with Endogenous Default and Volatility Risk**

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**Returns in Commodities Futures Markets and Financial Speculation: A Multivariate GARCH Approach**

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**Measuring the stance of monetary policy in zero lower bound environments**

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**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)**

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**Political risk and corporate investment decisions**

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**The Market Microstructure of the European Climate Exchange**

*by*Yoichi Otsubo & Bruce Mizrach

**Measuring the Bid-Ask Spreads: Application to the European Union Allowances Futures Market**

*by*Yoichi Otsubo

**Euro at Risk: The Impact of Member Countries Credit Risk on the Stability of the Common Currency**

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

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**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**

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

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**Volatility Transmission across Currency, Commodity and Equity Markets under Multi-Chain Regime Switching: Implications for Hedging and Portfolio Allocation**

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

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

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**Sovereign default and macroeconomic tipping points**

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

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**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**

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**Ambiguity Aversion and Variance Premium**

*by*Jianjun Miao & Bin Wei & Hao Zhou

**Interaction between Single Stock Futures and the Underlying Securities: A Cross-Country Analysis**

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**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**

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**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**

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

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**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**

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

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**GARCH Option Valuation: Theory and Evidence**

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**Commodity derivatives pricing with inventory effects**

*by*Christian Bach & Matt P. Dziubinski

**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**

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**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**

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**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**

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**Volatility Regimes For The Vix Index**

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**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**

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

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**Extracting Deflation Probability Forecasts from Treasury Yields**

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

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

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**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**

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

*by*Bahattin Büyüksahin & Michel A. Robe

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

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

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

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

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

**Limited arbitrage between equity and credit markets**

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

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

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

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

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**Escaping TARP**

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

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

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

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

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**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**

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

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

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**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**

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**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**

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**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**

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

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

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**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**

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**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**

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

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**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**

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**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**

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**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**

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

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**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?**

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

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**Rationalization of Investment Preference Criteria**

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**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**

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**The Chinese Warrants Bubble**

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

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**Option Pricing in an Oligopolistic Setting**

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

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

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**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**

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**Hedging dynamics with gold futures**

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

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

*by*Tim, Xiao

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

*by*Cocozza, Rosa & De Simone, Antonio

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*by*Cifarelli, Giulio & Paladino, Giovanna

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

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

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**Real Options Valuation of Abandoned Farmland**

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

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**A Transparency Standard for Derivatives**

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**Global Asset Pricing**

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

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

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

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**Simple Variance Swaps**

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

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

*by*Nicolae Gârleanu & Lasse Heje Pedersen

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

*by*Alexander David & Pietro Veronesi

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

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

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

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

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

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**Minute-by-Minute Dynamics of the Australian Bond Futures Market in Response to New Macroeconomic Information**

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**Pricing Foreign Currency and Cross-Currency Options Under GARCH**

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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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**Speculating on a Cure of Cander: A Non-Event that Made Stock Prices Soar**

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**Speculating on a Cure of Cander: A Non-Event that Made Stock Prices Soar**

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

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**Valuation of Barrier Options in a Black--Scholes Setup with Jump Risk**

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**Some recent developments in capital market theory: A survey**

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**Quantile hedging**

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**Connecting discrete and continuous path-dependent options**

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

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

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**In Honor of the Nobel Laureates Robert C. Merton and Myron S. Scholes: A Partial Differential Equation That Changed the World**

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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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**A Comparative Study of Structural Models of Corporate Bond Yields: An Exploratory Investigation**

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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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**Estimating Gram-Charlier Expansions with Positivity Constraints**

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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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**Local martingales and the fundamental asset pricing theorems in the discrete-time case**

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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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**Quarterly Earnings Announcements and the Lead/Lag Relationship between the Stock and Option Markets**

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

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

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

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

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**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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**Foreign Ownership Restrictions and Equity price Premiums: Explaining the High Cost of International Diversification**

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**Bayesian Option Pricing Using Asymmetric GARCH**

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

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

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**Empirical Performance of Alternative Option Pricing Models**

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**Empirical Performance of Alternative Option Pricing Models**

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**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**

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**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**

*by*Scholes, Myron S.

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

*by*Merton, Robert C.

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

*by*Melanie Cao

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

*by*Melanie Cao

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

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**Optimal Risk Management Using Options**

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**The Forecasting Ability of Correlations Implied in Foreign Exchange Options**

*by*Jose M. Campa & P. H. Kevin Chang

**Heterogeneous Information Arrival and Option Pricing**

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**An Efficient Generalized Discrete-Time Approach to Poisson-Gaussian Bond Option Pricing in the Heath-Jarrow-Morton Model**

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

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

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

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**Bayesian option pricing using asymmetric GARCH**

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**Nonparametric Methods and Option Pricing**

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

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**The Random-Time Binomial Model**

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

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

*by*Schloegl, Erik & Daniel Sommer

**Models of Compelxity in Economics and Finance**

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

**General trigger values of optimal investment**

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**Fast accurate binomial pricing**

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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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*by*Yuri M. Kabanov & (*), Mher M. Safarian

**Weighted norm inequalities and hedging in incomplete markets**

*by*Martin Schweizer & Christophe Stricker & Freddy Delbaen & Pascale Monat & Walter Schachermayer

**On the range of options prices (*)**

*by*Ernst Eberlein & Jean Jacod

**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?**

*by*Bruce Mizrach

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

*by*J.B. Kim & I. Krinsky & J. Lee

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

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

**Interest Rate Theory - CIME Lectures 1996**

*by*Björk, Tomas

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

*by*Kearney, C. & Sadeghi, M.

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

*by*Kearney, C. & Kelly, B.

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

*by*Casson, P.

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

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

**Approximating the Asset Pricing Kernel**

*by*Chapman, D.A.

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

*by*Guay, W. & Kothari, S.P. & Watts, R.L.

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

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

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

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

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

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

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

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

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

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

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

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

**Do Noise Traders Influence Stock Prices**

*by*Kelly, M.

**Pricing American-Style Securities Using Simulation**

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

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

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

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

*by*Lambrecht, B.

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

*by*Ho-Mou Wu & Mordecai Kurz

**Equilibrium Valuation of Foreign Exchange Claims**

*by*Gurdip S. Bakshi & Zhiwu Chen

**An Alternative Valuation Model for Contingent Claims**

*by*Gurdip S. Bakshi & Zhiwu Chen

**The Pricing of Foreign Currency Futures Options**

*by*Chang Mo Ahn

**Equilibrium Valuation of Foreign Exchange Claims**

*by*Gurdip S. Bakshi & Zhiwu Chen

**Randomization and the American Put**

*by*Peter Carr

**Option Valuation and the Price of Risk**

*by*John Chalupa

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

*by*J. S. Butler & Barry Schachter

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

*by*Ram Bhar & Carl Chiarella

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

*by*Manuel Moreno

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

*by*Xavier Freixas & Emmanuelle Gabillon

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

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

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

*by*Chichilnisky, Graciela

**Noncommercial Trading in the Energy Futures Market**

*by*Dale, Charles & Zyren, John

**Implied Volatility Functions: Empirical Tests**

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

**Towards a General Theory of Bond Markets**

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

**Stock Options as Barrier Contingent Claims**

*by*Ericsson, Jan & Reneby, Joel

**Diversified Portfolios in Continuous Time**

*by*Björk, Tomas & Näslund, Bertil

**Numerical analysis of strategic contingent claims models**

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

**Default risk in asset pricing**

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

**Implied Volatility Functions: Empirical Tests**

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

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

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

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

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

**Arbitrage Based Pricing When Volatility Is Stochastic**

*by*Peter Bossaert & Eric Ghysels & Christian Gouriéroux

**Lognormality of Rates and Term Structure Models**

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

**The Term Structure of Defaultable Bond Prices**

*by*Schönbucher, Philipp J.

**Continuous-Time Term Structure Models**

*by*Musiela, Marek & Marek Rutkowski

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

*by*Frey, Rüdiger

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

*by*Leisen, Dietmar

**Derivatives Activity at Troubled Banks**

*by*Joe Peek & Eric S. Rosengren

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

*by*W.M. Schmidt

**Kamatparitás lebegő és csúszó leértékeléses árfolyamrendszerben**

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

*by*Darvas, Zsolt

**Imperfect Information, Money and Economic Growth**

*by*Ho, W.H.

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

*by*Kearney, C.

**Do Managed Futures Make Good Investments?**

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

**Mutual Funds and Financial Stability**

*by*Edwards, F.R.

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

*by*Heal, G.

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

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

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

*by*Venditti, A.

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

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

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

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

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

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

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

*by*Schweizer, Martin

**Convergence of Option Values under Incompleteness**

*by*Runggaldier, Wolfgang J. & Martin Schweizer

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

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

**Testing Option Pricing Models**

*by*David S. Bates

**Banks and Derivatives**

*by*Gary Gorton & Richard Rosen

**A Framework for Valuing Corporate Securities**

*by*Ericsson, Jan & Reneby, Joel

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

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

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

*by*Nielsen, J. Aase & Klaus Sandmann

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

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

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

*by*Frey, Rüdiger & Alexander Stremme

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

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

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

*by*Frey, Rüdiger & Daniel Sommer

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

*by*Nielsen, J. Aase & Klaus Sandmann

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

*by*K. Sandmann & Reimer, M.

**The Direct Approach to Debt Option Pricing**

*by*K. Sandmann & Sandmann, K.

**On Smile and Skewness**

*by*Platen, Eckhard & Martin Schweizer

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

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

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

*by*Christopeit, Norbert

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

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

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

*by*Frank Milne & Dilip Madan

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

*by*Andrew W. Lo & Jiang Wang

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

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

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

*by*Mark Broadie & Jérôme B. Detemple

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

*by*Mark Broadie & Jérôme B. Detemple

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

*by*Mark Broadie & Jérôme B. Detemple

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

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

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

*by*Kramkov, D.O.

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

*by*Schlögl, Erik & Daniel Sommer

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

*by*D. Sondermann & K. Miltersen

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

*by*D. Sondermann & Sandmann, K.

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

*by*David S. Bates

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

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

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

*by*Robert J. Shiller

**Optimal Hedging under Forward-Looking Behavior**

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

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

*by*K. Sandmann & Sondermann, D.

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

*by*Krister Rindell

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

*by*Henrotte,Philippe

**Unit root behavior in energy futures prices**

*by*Serletis, Apostolos

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

*by*Rich Fortin & Judy Maese

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

*by*Vesa Puttonen

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

*by*Frank Milne & Dilip Madan

**Economics of Energy Futures Markets**

*by*Dale, Charles

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

*by*Frank Milne & Dilip Madan & Hersh Shefrin

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

*by*Kuchiki, Akifumi

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

*by*Joshua Angrist

**Manipulations and repeated games in future markets**

*by*Chichilnisky, Graciela

**Red-Meat Price Policy in Egypt**

*by*Soliman, Ibrahim

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

*by*Dale, Charles & Workman, Rosemarie

**The Hedging Effectiveness of Currency Futures Markets**

*by*Dale, Charles

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

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

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

*by*Vignola, Anthony & Dale, Charles

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

*by*Dale, Charles & Workman, Rosemarie

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

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

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

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

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

*by*Vignola, Anthony & Dale, Charles

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

*by*Dirk Hackbarth & Jianjun Miao

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

*by*Look, Stefan

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

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

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*by*Patrick Leoni & Stï¿½phane Luchini

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

*by*Patrick Leoni & Stï¿½phane Luchini

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

*by*Marco Realdon

**Valuation of Put Options on Leveraged Equity**

*by*Marco Realdon

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

*by*Marco Realdon

**Valuation of Exchangeable Convertible Bonds**

*by*Marco Realdon

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

*by*Peter D Spencer

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

*by*Aaron Tornell & Chunming Yuan

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

*by*Palani-Rajan Kadapakkam & Umesh Kumar

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

*by*Karan Bhanot & Antonio S. Mello

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

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

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

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

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

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

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

*by*Yiuman Tse & Michael Williams

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

*by*Yiuman Tse & Lin Zhao

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

*by*Nicolas Mougeot

**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 FilipoviÄ‡ & Sergio Pulido

**Linear Credit Risk Models**

*by*Damien Ackerer & Damir FilipoviÄ‡

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

*by*Damir FilipoviÄ‡ & Martin Larsson & Anders B. Trolle

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

*by*Markus Leippold & Steven Schaerer

**A Bayesian Estimate of the Pricing Kernel**

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

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

*by*Martin HERDEGEN & Martin SCHWEIZER

**A General Closed Form Option Pricing Formula**

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

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

*by*Sebastian Herrmann & Johannes Muhle-Karbe

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

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

**Noisy Arrow-Debreu Equilibria**

*by*Semyon MALAMUD

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

*by*Markus LEIPPOLD & Nikola VASILJEVIC

**Linear-Rational Term Structure Models**

*by*Damir FILIPOVIC & Martin LARSSON & Anders TROLLE

**Portfolio Selection with Options and Transaction Costs**

*by*Semyon MALAMUD

**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

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

*by*Filipe Martins da Rocha & Yiannis Vailakis

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

*by*Edyta Marcinkiewicz