## 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.

**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

**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

**Modeling Persistence of Carbon Emission Allowance Prices**

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

**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

**Nonparametric Estimates of Option Prices Using Superhedging**

*by*Gianluca Cassese

**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: New Evidence from a Time-Varying VECM Approach**

*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

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

*by*Chin, Michael & Liu, Zhuoshi

**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

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

*by*Zaremba, Adam

**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

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

*by*Schalck, Christophe & Chenavaz, Régis

**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

**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

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

*by*Fard, Farzad Alavi

**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

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

*by*Marra, Miriam

**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

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

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

**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

**Hedging Petroleum Futures with Multivariate GARCH Models**

*by*Tanattrin Bunnag

**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

**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

**Measuring Systemic Risk using Contingent Claims Analysis (CCA)**

*by*Moisa Altar & Adam-Nelu Altar-Samuel & Ioana Marcu

**The Optimal Hedging Ratio for Non-Ferrous Metals**

*by*Dinica, Mihai Cristian & Armeanu, Daniel

**An Empirical Analysis of Škoda Co. Equity Options Trading 1928-1938**

*by*Jan Vlachý

**Real Options and Merchant Operations of Energy and Other Commodities**

*by*Secomandi, Nicola & Seppi, Duane J.

**Valuación con opciones reales de proyectos con flujos correlacionados con fundamentales económicos y con saltos extremos Viabilidad del caso COMERCI UCB**

*by*Mendoza Sandoval Sergio & Cruz Ake Salvador & Venegas Martínez Francisco

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

*by*Tara Keshar Nanda Baidya & Fernando Antonio Lucena Aiube

**Return Volatility Movements in Spot and Futures Markets: Evidence from Intraday Behavior of the S&P 500 Index**

*by*Jeng-Hong Chen

**Un modelo macroeconómico con agentes de vida finita y estocástica: cobertura de riesgo de mercado con derivados americanos**

*by*Ma. Teresa V. Martínez-Palacios. & Francisco Venegas-Martínez.

**IMKB’de Islem Goren Araci Kurulus Varantlari icin Etkin Fiyatlama Modelinin Belirlenmesi**

*by*Rifat KARAKUS & Israfil ZOR

**On the characteristics of dynamic correlations between asset pairs**

*by*Jacobs, Michael & Karagozoglu, Ahmet K.

**The predictability of aggregate returns on commodity futures**

*by*Lutzenberger, Fabian T.

**Internet, noise trading and commodity futures prices**

*by*Peri, Massimo & Vandone, Daniela & Baldi, Lucia

**Non-parametric analysis of equity arbitrage**

*by*Vortelinos, Dimitrios I.

**Herding of institutional investors and margin traders on extreme market movements**

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

**Bank equity risk under bailout programs of loan guarantee and/or equity capital injection**

*by*Lin, Jyh-Horng & Tsai, Jeng-Yan & Hung, Wei-Ming

**Forward trading in exhaustible-resource oligopoly**

*by*Liski, Matti & Montero, Juan-Pablo

**An empirical examination of the lead–lag relationship between spot and futures markets: Evidence from Thailand**

*by*Judge, Amrit & Reancharoen, Tipprapa

**Spillover effects of subprime mortgage originations: The effects of single-family mortgage credit expansion on the multifamily rental market**

*by*Ambrose, Brent W. & Diop, Moussa

**Chinese steel market in the post-futures period**

*by*Arık, Evren & Mutlu, Elif

**Modelling volatility persistence and asymmetry: A Study on selected Indian non-ferrous metals markets**

*by*Gil-Alana, Luis A. & Tripathy, Trilochan

**Cross-hedging strategies between CDS spreads and option volatility during crises**

*by*Da Fonseca, José & Gottschalk, Katrin

**Speculators, commodities and cross-market linkages**

*by*Büyükşahin, Bahattin & Robe, Michel A.

**Bubbles in food commodity markets: Four decades of evidence**

*by*Etienne, Xiaoli L. & Irwin, Scott H. & Garcia, Philip

**Currency jumps, cojumps and the role of macro news**

*by*Chatrath, Arjun & Miao, Hong & Ramchander, Sanjay & Villupuram, Sriram

**Advancing the universality of quadrature methods to any underlying process for option pricing**

*by*Chen, Ding & Härkönen, Hannu J. & Newton, David P.

**The impact of central clearing on counterparty risk, liquidity, and trading: Evidence from the credit default swap market**

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

**Does option trading convey stock price information?**

*by*Hu, Jianfeng

**Trading in derivatives when the underlying is scarce**

*by*Banerjee, Snehal & Graveline, Jeremy J.

**Time-changed Lévy LIBOR market model: Pricing and joint estimation of the cap surface and swaption cube**

*by*Leippold, Markus & Strømberg, Jacob

**The role of surprise: Understanding overreaction and underreaction to unanticipated events using in-play soccer betting market**

*by*Choi, Darwin & Hui, Sam K.

**Credit spread changes within switching regimes**

*by*Maalaoui Chun, Olfa & Dionne, Georges & François, Pascal

**Options resilience during extreme volatility: Evidence from the market events of May 2010**

*by*Cakici, Nusret & Goswami, Gautam & Tan, Sinan

**Exploiting commodity momentum along the futures curves**

*by*de Groot, Wilma & Karstanje, Dennis & Zhou, Weili

**Rehypothecation dilemma: Impact of collateral rehypothecation on derivative prices under bilateral counterparty credit risk**

*by*Sakurai, Yuji & Uchida, Yoshihiko

**Interest rate forecasts, state price densities and risk premium from Euribor options**

*by*Ivanova, Vesela & Puigvert Gutiérrez, Josep Maria

**Out-of-sample density forecasts with affine jump diffusion models**

*by*Yun, Jaeho

**Modeling and monitoring risk acceptability in markets: The case of the credit default swap market**

*by*Madan, Dilip B.

**Forecasting volatility of the U.S. oil market**

*by*Haugom, Erik & Langeland, Henrik & Molnár, Peter & Westgaard, Sjur

**Can we forecast the implied volatility surface dynamics of equity options? Predictability and economic value tests**

*by*Bernales, Alejandro & Guidolin, Massimo

**Measuring systemic risk-adjusted liquidity (SRL)—A model approach**

*by*Jobst, Andreas A.

**Analytical pricing of discrete arithmetic Asian options with mean reversion and jumps**

*by*Chung, Shing Fung & Wong, Hoi Ying

**Close form pricing formulas for Coupon Cancellable CoCos**

*by*Corcuera, José Manuel & De Spiegeleer, Jan & Fajardo, José & Jönsson, Henrik & Schoutens, Wim & Valdivia, Arturo

**The impact of derivatives hedging on the stock market: Evidence from Taiwan’s covered warrants market**

*by*Chung, San-Lin & Liu, Wen-Rang & Tsai, Wei-Che

**Catalysts for price discovery in the European Union Emissions Trading System**

*by*Schultz, Emma & Swieringa, John

**The determinants of CDS spreads**

*by*Galil, Koresh & Shapir, Offer Moshe & Amiram, Dan & Ben-Zion, Uri

**Are there common factors in individual commodity futures returns?**

*by*Daskalaki, Charoula & Kostakis, Alexandros & Skiadopoulos, George

**The importance of the volatility risk premium for volatility forecasting**

*by*Prokopczuk, Marcel & Wese Simen, Chardin

**Is recovery risk priced?**

*by*Schläfer, Timo & Uhrig-Homburg, Marliese

**The market microstructure of the European climate exchange**

*by*Mizrach, Bruce & Otsubo, Yoichi

**Volatility spreads and earnings announcement returns**

*by*Atilgan, Yigit

**Unbiasedness and risk premiums in the Indian currency futures market**

*by*Kumar, Satish & Trück, Stefan

**Pricing and hedging of variable annuities with state-dependent fees**

*by*Delong, Łukasz

**Pricing range notes within Wishart affine models**

*by*Chiarella, Carl & Da Fonseca, José & Grasselli, Martino

**Analytic solution for ratchet guaranteed minimum death benefit options under a variety of mortality laws**

*by*Ulm, Eric R.

**Systematic mortality risk: An analysis of guaranteed lifetime withdrawal benefits in variable annuities**

*by*Fung, Man Chung & Ignatieva, Katja & Sherris, Michael

**A risk-based premium: What does it mean for DB plan sponsors?**

*by*Chen, An & Uzelac, Filip

**Global contagion of market sentiment during the US subprime crisis**

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

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

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**Sovereign default and macroeconomic tipping points**

*by*Joy, Mark

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

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

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

*by*Jens Hilscher & Alon Raviv

**Inflation Derivatives Under Inflation Target Regimes**

*by*Mordecai Avriel & Jens Hilscher & Alon Raviv

**Ambiguity Aversion and Variance Premium**

*by*Jianjun Miao & Bin Wei & Hao Zhou

**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**

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

*by*Zvika Afik & Ohad Arad & Koresh Galil

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

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

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

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

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

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

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

*by*Alessandro Borin & Virginia Di Nino

**Valuation of vix derivatives**

*by*Javier Mencía & Enrique Sentana

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

*by*Jean-Sébastien Fontaine

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

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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**

*by*Jonathan Ziveyi & Craig Blackburn & Michael Sherris

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

*by*Tim Bollerslev & Lai Xu & Hao Zhou

**GARCH Option Valuation: Theory and Evidence**

*by*Peter Christoffersen & Kris Jacobs & Chayawat Ornthanalai

**Commodity derivatives pricing with inventory effects**

*by*Christian Bach & Matt P. Dziubinski

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

*by*Fred Espen Benth & Jūratė Šaltytė Benth

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

*by*Francis In & Sangbae Kim

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

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

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

*by*Moreau, Ludovic

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

*by*P. Srinivasan & P. Ibrahim

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

*by*Prado, Sylvain Michael & Ananth, Ram

**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**

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

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**Extracting Deflation Probability Forecasts from Treasury Yields**

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

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

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

*by*Lingyan Cao & Zheng-Feng Guo

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

*by*Peng He

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

*by*Lingyan Cao & Zheng-Feng Guo

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

*by*Bahattin Büyüksahin & Michel A. Robe

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

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

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

*by*Gianna Figa-Talamanca & Maria Letizia Guerra

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

*by*Bala Batavia & Nandakumar Parameswar & Cheick Wagué

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

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

**Real option valuation of abandoned farmland**

*by*Nishihara, Michi

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

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

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

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

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

*by*Wong, Kit Pong

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

*by*Shibata, Takashi & Tian, Yuan

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

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

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

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

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

*by*Jou, Jyh-Bang

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

*by*Siddiqi, Hammad

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

*by*Golez, Benjamin & Jackwerth, Jens Carsten

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

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

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

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

**Limited arbitrage between equity and credit markets**

*by*Kapadia, Nikunj & Pu, Xiaoling

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

*by*Hong, Harrison & Yogo, Motohiro

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

*by*Bates, David S.

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

*by*Driessen, Joost & Van Hemert, Otto

**Arbitrage crashes and the speed of capital**

*by*Mitchell, Mark & Pulvino, Todd

**Time series momentum**

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**Endogenous liquidity in credit derivatives**

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

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

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

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

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

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

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

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

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**The term structure of illiquidity premia**

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

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

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

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

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

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

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

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

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

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**The relationship between reciprocal currency futures prices**

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**Option pricing and ARCH processes**

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**Discrete time hedging with liquidity risk**

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

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

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

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

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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**

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**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**

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

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

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**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**

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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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**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**

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**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**

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**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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**Commodity Investing**

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

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**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 A�t-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

**Incentives from stock option grants: a behavioral approach**

*by*Bahaji, Hamza

**Inflation et désinflation**

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**A Market for Weather Risk ? Conflicting Metrics, Attempts at Compromise and Limits to Commensuration**

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**Incentives from stock option grants: a behavioral approach**

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

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

**A Finite-Dimensional Approximation for Pricing Moving Average Options**

*by*Bernhart, Marie & Tankov, Peter & Warin, Xavier

**The Relation Between Oil and Gas Returns: a Factor Analysis**

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**Incentives from stock option grants: a behavioral approach**

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

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**Sentimental Preferences and the Organizational Regime of Betting Markets**

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**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**

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**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**

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**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**

*by*Gary S. Shea

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

*by*Gary S. Shea

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

*by*Andrew Mays & Gary S. Shea

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

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

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

*by*Janis Back & Marcel Prokopczuk & Markus Rudolf

**Rationalization of Investment Preference Criteria**

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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**

*by*Martín Saldías

**Option Pricing in an Oligopolistic Setting**

*by*Villena, Marcelo & Villena, Mauricio

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

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

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

*by*Bennour, Khaled

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

*by*P., Srinivasan

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

*by*Lozano Rojas, Felipe Andres

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

*by*Marco, Bianchetti

**Hedging dynamics with gold futures**

*by*Singh, Saurabh & Saharawat, Swati

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

*by*Horvath, Roman & Poldauf, Petr

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

*by*Janda, Karel & Vylezik, Tomas

**Expansion formulae for local Lévy models**

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

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

*by*Tim, Xiao

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

*by*Siddiqi, Hammad

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

*by*Cocozza, Rosa & De Simone, Antonio

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

*by*Cifarelli, Giulio & Paladino, Giovanna

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

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

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

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

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

*by*Michi Nishihara & Takashi Sshibata

**Real Options Valuation of Abandoned Farmland**

*by*Michi Nishihara

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

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**A Transparency Standard for Derivatives**

*by*Viral V. Acharya

**Global Asset Pricing**

*by*Karen K. Lewis

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

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

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

*by*Victor Stango & Jonathan Zinman

**Continuous Workout Mortgages**

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

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

*by*Andrew Ang & Francis A. Longstaff

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

*by*Hui Chen & Scott Joslin

**Simple Variance Swaps**

*by*Ian Martin

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

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

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

*by*Nicolae Gârleanu & Lasse Heje Pedersen

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

*by*Alexander David & Pietro Veronesi

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

*by*Harrison Hong & Motohiro Yogo

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

*by*Silvia Muzzioli

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

*by*Anna Naszódi

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

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

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

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

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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

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

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**The Puzzle of Index Option Returns**

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

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

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**Liquidity considerations in estimating implied volatility**

*by*Rohini Grover & Susan Thomas

**Pricing Nikkei 225 Options Using Realized Volatility**

*by*Masato Ubukata & Toshiaki Watanabe

**Calibration of selfdecomposable Lévy models**

*by*Mathias Trabs

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

*by*Wolfgang HÃ¤rdle & Maria Osipenko

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

*by*Cho-Hoi Hui & Tom Fong

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

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**Concocting Marketable Cocos**

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

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

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

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

*by*Isakov, Dusan & Marti, Didier

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

*by*Andrea Klimešová & Tomáš Václavík

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

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

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

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

*by*Andreas Fritz & Christoph Weber

**Valuation of Liabilities in Hybrid Pension Plans**

*by*Dirk Broeders & An Chen & David Rijsbergen

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**Pricing of CDS Options with the HJM approach: a Numerical Implementation**

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**Arbitrage and Simple Financial Market Efficiency during the South Sea Bubble: A Comparative Study of the Royal African and South Sea Companies Subscription Share Issues**

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**A new Model for Stock Price Movements**

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**Decomposing and valuing callable convertible bonds: a new method based on exotic options**

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**The Impact of Return Nonnormality on Exchange Options**

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**Empirical Study of the effect of including Skewness and Kurtosis in Black Scholes option pricing formula on S&P CNX Nifty index Options**

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**Delayed Default Dependency and Default Contagion**

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**Valuing Foreign Currency Options with a Mean-Reverting Process: A Study of Hong Kong Dollar**

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**Measuring Market Sentiment in Hong Kong's Stock Market**

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**Hedging Exposure to Electricity Price Risk in a Value at Risk Framework**

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**Measuring the Financial Markets' Perception of EMU Enlargement: The Role of Ambiguity Aversion**

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**Extending Time-Changed Lévy Asset Models Through Multivariate Subordinators**

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**Construction and Interpretation of Model-Free Implied Volatility**

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**Matemática Financiera con MATLAB© = Mathematical Finance with MATLAB©**

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

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

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

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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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**Derivatives in a Dynamic Environment**

*by*Scholes, Myron S.

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

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

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

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

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**Multiregime Term Structure Models**

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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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**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**

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**Models of Compelxity in Economics and Finance**

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

**General trigger values of optimal investment**

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

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

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**Tax Effects in Canadian Equity Option Markets**

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

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

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

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

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

**Interest Rate Theory - CIME Lectures 1996**

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

*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**

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

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**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

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

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**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.

**Arbitrage in securities markets with short-sales constraints**

*by*Jouini, Elyès & Kallal, Hedi

**Martingales and arbitrage in securities markets with transaction costs**

*by*Kallal, Hedi & Jouini, Elyès

**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

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

*by*Louis O. Scott

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

*by*Vesa Puttonen

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

*by*Frank Milne & Dilip Madan

**Economics of Energy Futures Markets**

*by*Dale, Charles

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

*by*Frank Milne & Dilip Madan & Hersh Shefrin

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

*by*Kuchiki, Akifumi

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

*by*Joshua Angrist

**Manipulations and repeated games in future markets**

*by*Chichilnisky, Graciela

**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 Nelson-Siegel Model of the Term Structure of Option Implied Volatility and Volatility Components**

*by*Qian Han & Bin Zhao

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

*by*Dirk Hackbarth & Jianjun Miao

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

*by*Look, Stefan

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

*by*Patrick Leoni & Stéphane Luchini

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

*by*Patrick Leoni & Stéphane Luchini

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

*by*Marco Realdon

**Valuation of Put Options on Leveraged Equity**

*by*Marco Realdon

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

*by*Marco Realdon

**Valuation of Exchangeable Convertible Bonds**

*by*Marco Realdon

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

*by*Peter D Spencer

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

*by*Aaron Tornell & Chunming Yuan

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

*by*Palani-Rajan Kadapakkam & Umesh Kumar

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

*by*Karan Bhanot & Antonio S. Mello

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

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

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

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

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

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

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

*by*Yiuman Tse & Michael Williams

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

*by*Yiuman Tse & Lin Zhao

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

*by*Jason West

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

*by*Nicolas Mougeot

**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