## 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.

**Modeling Persistence of Carbon Emission Allowance Prices**

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

**Geographical Diversification with a World Volatility Index**

*by*Aboura, Sofiane & Chevallier, Julien

**Employee Stock Option-Implied Risk Attitude Under Rank-Dependent Expected Utility**

*by*Bahaji, Hamza & Casta, Jean-François

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

*by*Stefan Trück & Rafal Weron

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

*by*Dani�l Linders & Jan Dhaene & Wim Schoutens

**Do Long Memory and Asymmetries Matter When Assessing Downside Return Risk?**

*by*Nico Katzke & Chris Garbers

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

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

**Price Discovery and Foreign Participation in the Republic of Korea’s Government Bond Cash and Futures Markets**

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

**A New Predictor of Real Economic Activity: The S&P 500 Option Implied Risk Aversion**

*by*Sylvia Sarantopoulou-Chiourea & George Skiadopoulos

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

*by*Ahmadov, Vugar & Huseynov, Salman & Mammadov, Fuad & Karimli, Tural

**Index Option Returns from an Anchoring Perspective**

*by*Hammad, Siddiqi

**A Nonparametric Option Pricing Model Using Higher Moments**

*by*Cayton, Peter Julian

**Explaining the Smile in Currency Options: Is it Anchoring?**

*by*Siddiqi, Hammad

**Anchoring Heuristic in Option Pricing**

*by*Siddiqi, Hammad

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

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

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

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

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

*by*Siddiqi, Hammad

**Analogy Based Valuation of Currency Options**

*by*Siddiqi, Hammad

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

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

**Analogy based Valuation of Commodity Options**

*by*Siddiqi, Hammad

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

*by*George M. Constantinides & Lei Lian

**The Financial Econometrics of Price Discovery and Predictability**

*by*Seema Narayan & Russell Smyth

**Nonparametric Estimates of Option Prices Using Superhedging**

*by*Gianluca Cassese

**Marx's Theory of Money and 21st-century Macrodynamics**

*by*Tai Young-Taft

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

*by*Rohini Grover

**Limits to arbitrage: The case of single stock futures and spot prices**

*by*Nidhi Aggarwal

**A Quasi-Bounded Model for Swiss Franc's One-Sided Target Zone During 2011-2015**

*by*C. H. Hui & C. F. Lo & T. Fong

**A Power Market Forward Curve with Hydrology Dependence An Approach based on Artificial Neural Networks**

*by*Green, Rikard

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

*by*Philipp Adämmer & Martin T. Bohl & Christian Gross

**Volatility-related exchange traded assets: an econometric investigation**

*by*Mencía, Javier & Sentana, Enrique

**Volatility-Related Exchange Traded Assets: An Econometric Investigation**

*by*Javier Mencía & Enrique Sentana

**Forward Premia in Electricity Markets: Two Caveats**

*by*Silvester Van Koten

**Corporate Fraction and the Equilibrium Term-Structure of Equity Risk**

*by*Roberto MarfÃ¨

**A joint affine model of commodity futures and US Treasury yields**

*by*Chin, Michael & Liu, Zhuoshi

**Tail comovement in option-implied inflation expectations as an indicator of anchoring**

*by*Sara Cecchetti & Filippo Natoli & Laura Sigalotti

**Risk-adjusted expectations of inflation**

*by*Marco Casiraghi & Marcello Miccoli

**Default near-the-default-point: the value of and the distance to default**

*by*Alfredo Ibáñez

**Sovereigns and banks in the euro area: A tale of two crises**

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

**Dynamic Factor Models for the Volatility Surface**

*by*Michel van der Wel & Sait R. Ozturk & Dick van Dijk

**Escenarios Monte Carlo para estrategias con expectativas de baja volatilidad cambiante mediante opciones europeas de compra y venta / Monte Carlo scenarios for strategies with expectations of changing low volatility using European call and put options**

*by*Olivares Aguayo, Héctor Alonso & Ortiz-Ramírez, Ambrosio & Bucio Pacheco, Christian

**Inflation, Business Cycles, and Commodity Investing in Financialized Markets**

*by*Zaremba, Adam

**Information System Reengineering Effects Through The Establishment Of The Special Department For Business Intelligence In Business Entities**

*by*Branimir Dukic & Sanja Coric & Danijel Bara

**Management Of Ict-Based Enterprises - Approach Through Frameworks For Business Architecture, It Governance And It Management**

*by*Morana Mesaric & Luka Burilovic

**Three-Point Volatility Smile Classification: Evidence From The Warsow Stock Exchange During Volatile Summer 2011 / Clasificación De Las Sonrisas De Volatilidad Según Tres Puntos De Monetización: Evidencia Empírica Para La Bolsa De Varsovia Durante El Volátil Verano De 2011**

*by*García-Machado, Juan J. & Rybczynski, Jaroslaw

**A Sharpe-ratio-based measure for currencies**

*by*Javier Prado-Dominguez & Carlos Fernández-Herráiz

**Oil commodity returns and macroeconomic factors: A time-varying approach**

*by*Schalck, Christophe & Chenavaz, Régis

**From pit to electronic trading: Impact on price volatility of U.S. Treasury futures**

*by*Orlowski, Lucjan T.

**Modeling fund and portfolio risk: A bi-modal approach to analyzing risk in turbulent markets**

*by*Karagiannidis, Iordanis & Sykes Wilford, D.

**Strategic capacity expansion under a potential entry threat**

*by*Kamoto, Shinsuke

**Asymmetry in return and volatility spillover between China's interbank and exchange T-bond markets**

*by*Jin, Xiaoye

**A quasi-bounded target zone model — Theory and application to Hong Kong dollar**

*by*Lo, C.F. & Hui, C.H. & Fong, T. & Chu, S.W.

**Measuring sovereign risk contagion in the Eurozone**

*by*Suh, Sangwon

**Cash-futures basis and the impact of market maturity, informed trading, and expiration effects**

*by*Chang, Charles & Lin, Emily

**Sentiment-prone investors and volatility dynamics between spot and futures markets**

*by*Corredor, Pilar & Ferrer, Elena & Santamaria, Rafael

**Reserve option mechanism as a stabilizing policy tool: Evidence from exchange rate expectations**

*by*Değerli, Ahmet & Fendoğlu, Salih

**Usefulness of earnings in credit markets: Korean evidence**

*by*Baik, Bok & Kim, Young Jun & Kim, Jungbae & Lee, Su Jeong

**Common deviation and regime-dependent dynamics in the index derivatives markets**

*by*Lee, Jaeram & Kang, Jangkoo & Ryu, Doojin

**On the compensation for illiquidity in sovereign credit markets**

*by*Lafuente, Juan Angel & Serrano, Pedro

**Geographical diversification with a World Volatility Index**

*by*Aboura, Sofiane & Chevallier, Julien

**The impact of speculation on precious metals futures markets**

*by*Bosch, David & Pradkhan, Elina

**On the nonemptiness of the α-core of discontinuous games: Transferable and nontransferable utilities**

*by*Uyanık, Metin

**Put–Call Parity and market frictions**

*by*Cerreia-Vioglio, S. & Maccheroni, F. & Marinacci, M.

**The timing of mergers along the production chain, capital structure, and risk dynamics**

*by*Tarsalewska, Monika

**Limits to arbitrage and the term structure of bond illiquidity premiums**

*by*Schuster, Philipp & Uhrig-Homburg, Marliese

**Credit spreads and state-dependent volatility: Theory and empirical evidence**

*by*Perrakis, Stylianos & Zhong, Rui

**Pricing currency derivatives under the benchmark approach**

*by*Baldeaux, Jan & Grasselli, Martino & Platen, Eckhard

**Counterparty risk for CDS: Default clustering effects**

*by*Bo, Lijun & Capponi, Agostino

**Rate fears gauges and the dynamics of fixed income and equity volatilities**

*by*Mele, Antonio & Obayashi, Yoshiki & Shalen, Catherine

**Combining accounting data and a structural model for predicting credit ratings: Empirical evidence from European listed firms**

*by*Doumpos, Michael & Niklis, Dimitrios & Zopounidis, Constantin & Andriosopoulos, Kostas

**Liquidity, credit quality, and the relation between volatility and trading activity: Evidence from the corporate bond market**

*by*Wang, Junbo & Wu, Chunchi

**Pricing annuity guarantees under a double regime-switching model**

*by*Fan, Kun & Shen, Yang & Siu, Tak Kuen & Wang, Rongming

**Analytical pricing of vulnerable options under a generalized jump–diffusion model**

*by*Fard, Farzad Alavi

**Modelling default risk with occupation times**

*by*Makarov, R. & Metzler, A. & Ni, Z.

**The intrinsic bounds on the risk premium of Markovian pricing kernels**

*by*Han, Jihun & Park, Hyungbin

**Long memory and the relation between options and stock prices**

*by*Huang, Teng-Ching & Tu, Yu-Chen & Chou, Heng-Chih

**Weakening the Gain–Loss-Ratio measure to make it stronger**

*by*Voelzke, Jan

**Volatility risk premium in the interest rate market: Evidence from delta-hedged gains on USD interest rate swaps**

*by*Byun, Suk Joon & Chang, Ki Cheon

**Impact of allowance submissions in European carbon emission markets**

*by*Philip, Dennis & Shi, Yukun

**The impact of liquidity on senior credit index spreads during the subprime crisis**

*by*Marra, Miriam

**Speculative and hedging activities in the European carbon market**

*by*Lucia, Julio J. & Mansanet-Bataller, Maria & Pardo, Ángel

**Expected commodity returns and pricing models**

*by*Cortazar, Gonzalo & Kovacevic, Ivo & Schwartz, Eduardo S.

**The overnight risk premium in electricity forward contracts**

*by*Fleten, Stein-Erik & Hagen, Liv Aune & Nygård, Maria Tandberg & Smith-Sivertsen, Ragnhild & Sollie, Johan M.

**Inventory announcements, jump dynamics, volatility and trading volume in U.S. energy futures markets**

*by*Bjursell, Johan & Gentle, James E. & Wang, George H.K.

**A comparison of implied and realized volatility in the Nordic power forward market**

*by*Birkelund, Ole Henrik & Haugom, Erik & Molnár, Peter & Opdal, Martin & Westgaard, Sjur

**The impact of fundamental and financial traders on the term structure of oil**

*by*Heidorn, Thomas & Mokinski, Frieder & Rühl, Christoph & Schmaltz, Christian

**Time-variations in commodity price jumps**

*by*Diewald, Laszlo & Prokopczuk, Marcel & Wese Simen, Chardin

**Explaining the default risk anomaly by the two-beta model**

*by*Yeh, Chung-Ying & Hsu, Junming & Wang, Kai-Li & Lin, Che-Hui

**Divided governments and futures prices**

*by*Sojli, Elvira & Tham, Wing Wah

**Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets**

*by*Cavaliere, Giuseppe & Nielsen, Morten Ørregaard & Taylor, A.M. Robert

**A non-linear dynamic model of the variance risk premium**

*by*Eraker, Bjørn & Wang, Jiakou

**What is beneath the surface? Option pricing with multifrequency latent states**

*by*Calvet, Laurent E. & Fearnley, Marcus & Fisher, Adlai J. & Leippold, Markus

**Option pricing with non-Gaussian scaling and infinite-state switching volatility**

*by*Baldovin, Fulvio & Caporin, Massimiliano & Caraglio, Michele & Stella, Attilio L. & Zamparo, Marco

**Stock return and cash flow predictability: The role of volatility risk**

*by*Bollerslev, Tim & Xu, Lai & Zhou, Hao

**Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing**

*by*Asai, Manabu & McAleer, Michael

**Explicit form of approximate transition probability density functions of diffusion processes**

*by*Choi, Seungmoon

**Learning, confidence, and option prices**

*by*Shaliastovich, Ivan

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

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

**Pricing American options: RNMs-constrained entropic least-squares approach**

*by*Yu, Xisheng & Xie, Xiaoke

**Implied volatility and the risk-free rate of return in options markets**

*by*Bianconi, Marcelo & MacLachlan, Scott & Sammon, Marco

**Non-transferable non-hedgeable executive stock option pricing**

*by*Colwell, David B. & Feldman, David & Hu, Wei

**Pricing external barrier options in a regime-switching model**

*by*Kim, Jerim & Kim, Jeongsim & Joo Yoo, Hyun & Kim, Bara

**Computation of Greeks using binomial trees in a jump-diffusion model**

*by*Suda, Shintaro & Muroi, Yoshifumi

**Valuing convertible bonds and the option to exchange bonds for stock**

*by*Finnerty, John D.

**Hedging Petroleum Futures with Multivariate GARCH Models**

*by*Tanattrin Bunnag

**A Generalized Autoregressive Conditional Heteroskedasticity Examination of the Relationship between Trading Volume and Conditional Volatility in the Tunisian Stock Market: Evidence for the Information Flow Paradigm**

*by*Fethi Belhaj & Ezzeddine Abaoub

**Valoración de derivados europeos con mixtura de distribuciones Weibull**

*by*Andrés Mauricio Molina & José Alfredo Jiménez

**Recherches sur la financiarisation des marchés de matières premières**

*by*Villeneuve, Bertrand

**Electricity derivative markets and Samuelson hypothesis**

*by*Jaeck, Edouard & Lautier, Delphine

**Option pricing with a dynamic fat-tailed model**

*by*Aboura, Sofiane & Valeyre, Sébastien & Wagner, Niklas

**When the U.S. Stock Market Becomes Extreme?**

*by*Aboura, Sofiane

**Are property derivatives a leading indicator of the real estate market?**

*by*Drouhin, Pierre-Arnaud & Simon, Arnaud

**Les 100 mots des marchés dérivés**

*by*Simon, Yves

**Spread Risk Premia in Corporate Credit Default Swap Markets**

*by*Oliver Entrop & Richard Schiemert & Marco Wilkens

**Performance-Sensitive Government Bonds**

*by*Matthias Bank & Alexander Kupfer & Rupert Sendlhofer

**Valuación de opciones europeas sobre AMX-L, WALMEX-V y GMEXICO-B. Calibración de parámetros de volatilidad estocástica con funciones cuadráticas de pérdida**

*by*Ortiz-Ramírez, Ambrosio. & Venegas-Martínez, Francisco. & Durán-Bustamante, Mario.

**Individual investors and suboptimal early exercises in the fixed-income market**

*by*Eickholt, Mathias & Entrop, Oliver & Wilkens, Marco

**The impact of long-only index funds on price discovery and market performance in agricultural futures markets**

*by*Prehn, Sören & Glauben, Thomas & Loy, Jens-Peter & Pies, Ingo & Will, Matthias Georg

**The role of a changing market: Environment for credit default swap pricing**

*by*Leppin, Julian S. & Reitz, Stefan

**The impact of fundamental and financial traders on the term structure of oil**

*by*Heidorn, Thomas & Mokinski, Frieder & Rühl, Christoph & Schmaltz, Christian

**The Role of a Changing Market Environment for Credit Default Swap Pricing**

*by*Leppin, Julia S. & Reitz, Stefan

**Illiquidity transmission from spot to futures markets**

*by*Korn, Olaf & Krischak, Paolo & Theissen, Erik

**Dividend taxation and DAX futures prices**

*by*Fink, Christopher & Theissen, Erik

**Risk-adjusted option-implied moments**

*by*Brinkmann, Felix & Korn, Olaf

**Forward-looking measures of higher-order dependencies with an application to portfolio selection**

*by*Brinkmann, Felix & Kempf, Alexander & Korn, Olaf

**Portfolio optimization using forward-looking information**

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

**Inflation, deflation, and uncertainty: What drives euro area option-implied inflation expectations and are they still anchored in the sovereign debt crisis?**

*by*Scharnagl, Michael & Stapf, Jelena

**The Relationship Between Stock Returns and Investor Sentiment: Evidence from Social Media**

*by*Zachary McGurk & Adam Nowak

**Simple heuristics for pricing VIX options**

*by*Juliusz Jabłecki & Ryszard Kokoszczyński & Paweł Sakowski & Robert Ślepaczuk & Piotr Wójcik

**A Futures Market Reduces Bubbles but Allows Greater Profit for More Sophisticated Traders**

*by*Charles Noussair & Steven J.Tucker & Yilong Xu

**European option pricing with constant relative sensitivity probability weighting function**

*by*Martina Nardon & Paolo Pianca

**A Bayesian Beta Markov Random Field calibration of the term structure of implied risk neutral densities**

*by*Roberto Casarin & Fabrizio Leisen & German Molina & Enrique Ter Horst

**A Monte Carlo Method using PDE Expansions for a Diversifed Equity Index Model**

*by*David Heath & Eckhard Platen

**A Consistent Framework for Modelling Basis Spreads in Tenor Swaps**

*by*Yang Chang & Erik Schlogl

**Explaining the time-varying relation between agricultural prices and stock market dynamics**

*by*Daniele Girardi

**Financialization in Commodity Markets: Disentangling the Crisis from the Style Effect**

*by*Adams, Zeno & Glueck, Thorsten

**An Empirical Analysis of the Ross Recovery Theorem**

*by*Audrino, Francesco & Huitema, Robert & Ludwig, Markus

**A closed-form option pricing approximation formula for a fractional Heston model**

*by*Elisa Alòs & Yan Yang

**Implied Volatility and the Risk-Free Rate of Return in Options Markets**

*by*Marcelo Bianconi & Scott MacLachlan & Marco Sammon

**The Collateral Costs of Clearing**

*by*Cyril Monnet & Thomas Nellen

**Test of Log-Normal Process with Importance Sampling for Options Pricing**

*by*Semih Yon & Cafer Erhan Bozdag

**Timing a Hedge Decision: The Development of a Composite Technical Indicator for White Maize**

*by*Susari Geldenhuys, Frans Dreyer and Chris van Heerden

**Liquidity Risk Premia in the International Shipping Derivatives Market**

*by*Amir Alizadeh & Konstantina Kappou & Dimitris Tsouknidis & Ilias Visvikis

**Commodity Risk Factors and the Cross-Section of Equity Returns**

*by*Chris Brooks & Adrian Fernandez-Perez & Joëlle Miffre & Ogonna Nneji

**An Analytic Approximation of the Implied Risk-Neutral Density of American Multi-Asset Options**

*by*Juan C. Arismendi & Marcel Prokopczuk

**The impact of information flow and trading activity on gold and oil futures volatility**

*by*Adam Clements & Neda Todorova

**How Does the Market Variance Risk Premium Vary over Time? Evidence from S&P 500 Variance Swap Investment Returns**

*by*Eirini Konstantinidi & George Skiadopoulos

**Capital Structure and Financial Flexibility: Expectations of Future Shocks**

*by*Costas Lambrinoudakis & Michael Neumann & George Skiadopoulos

**Jumps in Option Prices and Their Determinants: Real-time Evidence from the E-mini S&P 500 Option Market**

*by*George Kapetanios & Michael Neumann & George Skiadopoulos

**A fractionally cointegrated VAR analysis of price discovery in commodity futures markets**

*by*Sepideh Dolatabadi & Morten Ã˜rregaard Nielsen & Ke Xu

**Financial Tail Risks and the Shapes of the Extreme Value Distribution: A Comparison between Conventional and Sharia-Compliant Stock Indexes**

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

**Does a Speculative Trade in Food Commodities Influence Food Price Inflation in India?**

*by*Soundararajan, Pushparaj & Suresh, Vidya

**Futures Commodities Prices and Media Coverage**

*by*Almanzar, Miguel & Torero, Maximo & von Grebmer, Klaus

**Analogy Making and the Structure of Implied Volatility Skew**

*by*Siddiqi, Hammad

**Testing for weak-form efficiency of Crude Palm Oil Spot and Futures Markets: New Evidence from a GARCH Unit Root Test with Multiple Structural Breaks**

*by*Lean, Hooi Hooi & Smyth, Russell

**Is the Central and Eastern European banking systems stable? Evidence from the recent financial crisis**

*by*Karkowska, Renata

**Entendiendo los mercados de swaps: Un enfoque de equilibrio general**

*by*Venegas-Martínez, Francisco

**Analytic Approximation of Finite-Maturity Timer Option Prices**

*by*Li, Minqiang

**Derivatives Pricing on Integrated Diffusion Processes: A General Perturbation Approach**

*by*Li, Minqiang

**Option-Based Credit Spreads**

*by*Christopher L. Culp & Yoshio Nozawa & Pietro Veronesi

**On the Fundamental Relation Between Equity Returns and Interest Rates**

*by*Jaewon Choi & Matthew P. Richardson & Robert F. Whitelaw

**Risk, Ambiguity, and the Exercise of Employee Stock Options**

*by*Yehuda Izhakian & David Yermack

**Effects of Index-Fund Investing on Commodity Futures Prices**

*by*James D. Hamilton & Jing Cynthia Wu

**Estimating the risk of joint defaults: an application to central bank collateralized lending operations**

*by*Dariusz Gatarek & Juliusz Jabłecki

**Volatility risk premia and financial connectedness**

*by*Andrea Cipollini & Iolanda Lo Cascio & Silvia Muzzioli

**Volatility risk premia and financial connectedness**

*by*Andrea Cipollini & Iolanda Lo Cascio & Silvia Muzzioli

**Why prediction markets work : the role of information acquisition and endogenous weighting**

*by*Siemroth, Christoph

**Real Financial Market Exchange Rates and Capital Flows**

*by*Julian S. Leppin & Stefan Reitz

**On the liquidity of CAC 40 index options Market**

*by*Alain François-Heude & Ouidad Yousfi

**On Path-Dependent Structured Funds: Complexity Does Not Always Pay (Asian versus Average Performance Funds)**

*by*Philippe Bertrand & Jean-luc Prigent

**When do firms invest in corporate social responsibility? A real option framework**

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

**The imprecision of volatility indexes**

*by*Rohini Grover & Ajay Shah

**Do futures markets help in price discovery and risk management for commodities in India?**

*by*Nidhi Aggarwal & Sargam Jain & Susan Thomas

**Behavioral Influences in Non-Ferrous Metals Prices**

*by*Mark Cummins & Brian M. Lucey & Michael M. Dowling

**Credit Risk Calibration based on CDS Spreads**

*by*Shih-Kang Chao & Wolfgang Karl HÃ¤rdle & Hien Pham-Thu &

**The determinants of global bank credit-default-swap spreads**

*by*Hasan, Iftekhar & Liu, Liuling & Zhang, Gaiyan

**Futures Market Volatility, Exchange Rate Uncertainty and Cereals Exports: Empirical Evidence from France**

*by*Raphaël Chiappini & Yves Jégourel

**Option-implied term structures**

*by*Vogt, Erik

**Simple and reliable way to compute option-based risk-neutral distributions**

*by*Malz, Allan M.

**Understanding mortgage spreads**

*by*Boyarchenko, Nina & Fuster, Andreas & Lucca, David O.

**Generating Options-Implied Probability Densities to Understand Oil Market Events**

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

**A Tale of Two Option Markets: Pricing Kernels and Volatility Risk**

*by*Song, Zhaogang & Xiu, Dacheng

**QE Auctions of Treasury Bonds**

*by*Song, Zhaogang & Zhu, Haoxiang

**Hedging and Pricing in Imperfect Markets under Non-Convexity**

*by*Assa, Hirbod & Gospodinov, Nikolay

**Interest Rate Swap Credit Valuation Adjustment**

*by*Jakub Èerný & Jiøí Witzany

**Support Schemes for Renewable Electricity in the European Union: Producer Strategies and Competition**

*by*Luisa Dressler

**Direct and Indirect Effects of Index ETFs on Spot-Futures Pricing and Liquidity : Evidence from the CAC 40 Index**

*by*Gresse, Carole & Deville, Laurent & De Séverac, Béatrice

**Information Flows in the term structure of commodity prices**

*by*Lautier, Delphine & Raynaud, Franck

**Samuelson hypothesis and electricity derivative markets**

*by*Jaeck, Edouard & Lautier, Delphine

**Are Employee Stock Option Exercise Decisions Better Explained through the Prospect Theory?**

*by*Bahaji, Hamza

**On the compensation for illiquidity in sovereign credit markets**

*by*Jonatan Groba & Juan Ángel Lafuente & Pedro Serrano

**Weakening the Gain-Loss-Ratio measure to make it stronger**

*by*Jan Voelzke

**Option-Based Credit Spreads**

*by*Culp, Christopher L. & Nozawa, Yoshio & Veronesi, Pietro

**Dynamic programming for stochastic target problems, Viscosity solutions and hedging in markets with Portfolio constraints and large investors**

*by*Rafael Serrano

**A class of multivariate marked Poisson processes to model asset returns**

*by*Petar Jevtic & Patrizia Semeraro

**On corporate financial distress prediction: what can we learn from private firms in a small open economy?**

*by*Evangelos C. Charalambakis

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

*by*Christopher F Baum & Paola Zerilli

**On a new class of barrier options**

*by*Hernández del Valle Gerardo

**Peso-Dollar Forward Market Analysis: Explaining Arbitrage Opportunities during the Financial Crisis**

*by*Juan R. Hernández

**What Does the Convenience Yield Curve Tell Us about the Crude Oil Market?**

*by*Ron Alquist & Gregory Bauer & Antonio Diez de los Rios

**Oil Volatility Risk and Expected Stock Returns**

*by*Peter Christoffersen & Xuhui (Nick) Pan

**Factor Structure in Commodity Futures Return and Volatility**

*by*Peter Christoffersen & Asger Lunde & Kasper V. Olesen

**A fractionally cointegrated VAR analysis of price discovery in commodity futures markets**

*by*Sepideh Dolatabadi & Morten Ørregaard Nielsen & Ke Xu

**Bootstrap Score Tests for Fractional Integration in Heteroskedastic ARFIMA Models, with an Application to Price Dynamics in Commodity Spot and Futures Markets**

*by*Giuseppe Cavaliere & Morten Ørregaard Nielsen & A.M. Robert Taylor

**Some contributions to financial market modelling with transaction costs**

*by*Tran, Quoc Tuan

**Tail dependence of financial stocks and CDS markets: Evidence using copula methods and simulation-based inference**

*by*da Silva, Paulo Pereira & Rebelo, Paulo Tomaz & Afonso, Cristina

**Futures and Forwards Contracts from Perspective of Islamic Law**

*by*Injadat, Ehab M. M.

**Explaining the bid-ask spread in the foreign exchange market: A test of alternate models**

*by*Sirimon Treepongkaruna & Tim Brailsford & Stephen Gray

**Hedging Effectiveness of Applying Constant and Time-Varying Hedge Ratios: Evidence from Taiwan Stock Index Spot and Futures**

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**Gauging potential sovereign risk contagion in Europe**

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

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

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

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

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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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**The Interest Rate/FX Arbitrage Under Peg Regime: a Duffie Singleton Approach**

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

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**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

**La volatilité des prix du pétrole**

*by*Chevalier, Jean-Marie

**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