Vous êtes sur la page 1sur 26

(Various) 'Monetary Policy Under Uncertainty' St.

Louis FRB Review July/Aug

2008 V.90,#4
Abramov V., M. K. Khan, R. A. Khan 'A Probabilistic Analysis of the Trading the
Line Strategy' QF V.8,#5 2008
Adachi M. Matthew, Patricia Jackson 'Information Collection and Disclosure'
Bank of Japan, Bank of England 1997
Adam Alexandre Mohamed Houkari, Jean-Paul Laurent 'Spectral Risk Measures and
Portfolio Selection' J. Banking and Finance Sept. 08 V.32,#9
Adam-Muller Axel, Argyro Panaretou 'Risk Management with Options and Futures
under Liquidity Risk' Journal of Futures Markets, Forthcoming
Adrian Tobias, Emanuel Moench 'Pricing the Term Structure with Linear
Regressions' SSRN 8/08
Agarwal Vikas, William Fung, Yee Cheng Loon, Narayan Naik 'Risk and Return in
Convertible Arbitrage: Evidence from the Convertible Bond Market' SSRN
Aït-Sahalia Yacine, Jean Jacod 'Fisher's Information for Discretely Sampled
Lévy Processes' Econometrica July 2008 V.76,#4
Aït-Sahalia Yacine, Per Mykland 'An Analysis of Hansen–Scheinkman Moment
Estimators for Discretely and Randomly Sampled Diffusions' J. Econometrics
V.144,#1 May 2008
Akdogu Evrim, Peter MacKay 'Investment and Competition' <corporate investment,
real options, irreversible investment> JF&QA V.43,#2 June 08
Alcock Jamie, Trent Carmichael 'Nonparametric American Option Pricing' J.
Futures Markets V.28,#8 Aug. 2008
Alesii Giuseppe 'Assessing Least Squares Monte Carlo for the Kulatilaka
Trigeorgis General Real Options Pricing Model' SSRN 7/08
Alexander Carol, Elizabeth Sheedy 'Developing a Stress Testing Framework Based
on Market Risk Models' J. Banking and Finance V.32,#10 Oct. 2008
Alfonsi Aurélien, Benjamin Jourdain 'General Duality for Perpetual American
Options' IJT&AF V.11,#6 9/08
Alizadeh Amir, Nikos Nomikos, Panos Pouliasis 'A Markov Regime Switching
Approach for Hedging Energy Commodities' J. Banking and Finance Sept. 08
Alvarez Fernando, Andrew Atkeson, Patrick Kehoe 'Money and Interest Rates with
Endogeneously Segmented Markets' SSRN 8/08
Ambrose Brent, Nianyun Cai, Jean Helwege 'Forced Selling of Fallen Angels'
Journal of Fixed Income Summer 2008
Amin Ahsan 'Multi-Factor Cross Currency Libor Market Models: Implementation,
Calibration and Examples' SSRN 8/08
Andergassen Rainer, Luigi Sereno 'The Valuation of Sequential Investment
Opportunities with a Jump-Diffusion Process' SSRN 7/08
Anderson Charles, Dennis Capozza, Robert Van Order 'Deconstructing the Subprime
Debacle Using New Indices of Underwriting Quality and Economic Conditions:
A First Look' SSRN July 2008
Anderson Robert, Roberto Raimondo 'Equilibrium in Continuous-Time Financial
Markets: Endogenously Dynamically Complete Markets' Econometrica July 2008
Andreasen Martin Møller 'Explaining Macroeconomic and Term Structure Dynamics
Jointly in a Non-Linear DSGE Model' SSRN 9/08
Andreou Panayioti, Christakis Charalambous, Spiros Martzoukos 'Assessing
Implied Volatility Functions on the S&P 500 Index Options' SSRN 7/08
Andreou Panayiotis, Christakis Charalambous, Spiros Martzoukos 'Assessing
Implied Volatility Functions on the S&P 500 Index Options' SSRN July 2008
Angelos Kanas 'On Real Interest Rate Dynamics and Regime Switching' J. Banking
and Finance V.32,#10 Oct. 2008
Angermann Lutz, Song Wang 'Convergence of a Fitted Finite Volume Method for the
Penalized Black–Scholes Equation Governing European and American Option
Pricing' Numerische Mathematik V.106,#1 March 2007
Anufriev Mikhail 'Wealth-Driven Competition in a Speculative Financial Market:
Examples with Maximizing Agents' Quantitative Finance, V.8,#4 2008
Arellano Cristina, Ananth Ramanarayanan 'Default and the Maturity Structure in
Sovereign Bonds' SSRN 9/08
Arkashov N.S. , I. S. Borisov, A.A. Mogul'skii 'Large Deviation Principle for
Partial Sum Processes of Moving Averages' Theory of Probability and its
Applications V. 52,# 2
Arnott Robert, Jason Hsu, Feifei Li, Shane Shepherd 'Applying Valuation-
Indifferent Indexing to Fixed Income' SSRN 9/08
Asvanunt Attakrit, Mark Broadie, Suresh Sundaresan 'Growth Options and Optimal
Default under Liquidity Constraints: The Role of Corporate Cash Balances'
Atlan Marc, Boris Leblanc 'Hybrid Equity-Credit Modelling' 2006 <CEV>
Atlan Marc, Boris Leblanc 'Time-Changed Bessel Processes and Credit Risk' 2006
Audrino Francesco, Enrico De Giorgi 'Beta Regimes for the Yield Curve' Journal
of Financial Econometrics V.5, #3, Summer 2007
Aydemir A. Cevdet 'Risk Sharing and Counter-Cyclical Variation in Market
Correlations' JED&C V.32,#10 Oct. 2008
Azéma Jacques, Marc Yor 'Une Solution Simple au Problème de Skorokhod' in
Séminaire de Probabilités XIII, volume 721 of Lecture Notes in Math.
Springer, Berlin, 1979
Azizan Noor Azlinna 'The Predictability Power of Trading Volume Volatility in
Stock Index Futures Markets' The Icfai University Journal of Derivatives
Markets, Vol.V, No. 3, July 11, 2008
Babaix Xavier 'Power Laws in Economics and Finance' NBER Working Paper No. 1
SSRN 9/08
Badia Antonio, David Skillicon 'The Challenges of Knowledge Discovery in
Adversarial Settings' SIAM News Sept. 2008
Bae Gil, Youngsoon S. Cheon, Jun-Koo Kang 'Intragroup Propping: Evidence from
the Stock-Price Effects of Earnings Announcements by Korean Business
Groups' RFS V.21,#5 9/08
Bai Lihua, Huayue Zhang 'Dynamic Mean-Variance Problem with Constrained Risk
Control for the Insurers' Math. Methods of O.R. V.68,# 1 Aug. 2008
Bai Lihua, Junyi Guo 'Optimal Proportional Reinsurance and Investment with
Multiple Risky Assets and No-Shorting Constraint' Insurance: Mathematics
and Economics V.42,#3 June 08
Balakrishna B. 'Lévy Density Based Intensity Modeling of the Correlation Smile'
SSRN 7/08
Baldeaux Jan 'Option Pricing in the Kou Model Using Quasi-Monte Carlo Point
Sets' Working paper, University of New South Wales 2008
Baldeaux Jan 'Unbiased Monte Carlo Methods for Lookback Options In Jump-
Diffusion Models' Working paper, University of New South Wales 2008
Baldeaux Jan, Marek Rutkowski 'Static Replication of Bivariate Claims with
Applications to Realized Variance Swaps' Working paper, University of New
South Wales 2007
Ballotta Laura 'A Note on Multivariate Asset Models Using Lévy Processes' SSRN
Bandera Natalia 'Calibration of Libor Market Model to Caps and Swaptions Market
Volatilities' SSRN 9/08
Bank for International Settlements 'Zero-Coupon Yield Curves: Technical
Documentation' SSRN 8/08
Bartels Hans-Jochen 'The Hypotheses Underlying The Pricing Of Options' work of
Bergman, Y.Z. 'Pricing of Contingent Claims in Perfect and Imperfect
Markets' PH.D. Thesis, University of California, Berkeley 1982
Bassamboo Achal, Sandeep Juneja, Assaf Zeevi 'Portfolio Credit Risk with
Extremal Dependence: Asymptotic Analysis and Efficient Simulation'
Operations Research V.56,#3 May June 2008
Bataller Maria Mansanet, Ángel Pardo Tornero 'What You Should Know to Trade in
CO2 Markets' SSRN 7/08
Bates David 'The Market for Crash Risk' JED&C V.32,#7 July 08
Bäuerle Nicole, Rudolf Grübel 'Multivariate Risk Processes with Interacting
Intensities' Adv. In Applied Prob. June 2008, V. 40,#2
Bayraktar Erhan, H. Vincent Poor 'Optimal Time to Change Premiums' Math.
Methods of O.R. V.68,# 1 Aug. 2008
Beliaeva Natalia, Sanjay Nawalkha, Gloria Soto 'Pricing American Interest Rate
Options Under the Jump-Extended Vasicek Model' Journal of Derivatives Fall
Bellemare Charles, Sabine Kröger, Arthur van Soest 'Measuring Inequity Aversion
in a Heterogeneous Population Using Experimental Decisions and Subjective
Probabilities' Econometrica July 2008 V.76,#4
Belton Alexander 'On the Path Structure of a Semimartingale Arising from
Monotone Probability Theory' Ann. Inst. H. Poincaré Probab. Statist. V.44,
#2 (2008)
Benaim Shalom 'Regular Variation and Smile Aymptotics' PhD dissertation,
University of Cambridge 2007
Bender Christian 'State-of-the-Art Option Pricing by Simulation' slides 6/08
<Bermuda, Snowball>
Bender Christian, Michael Kohlmann 'Optimal Superhedging under Non-Convex
Constraints — A BSDE Approach' IJT&AF June 2008 V.11, #4
Bensoussan Alain, Jacques-Louis Lions 'Impulse Control and Quasi-Variational
Inequalities' Gauthier-Villars, Paris, 1984
Benth Fred Espen, Álvaro Cartea, Rüdiger Kiesel 'Pricing Forward Contracts in
Power Markets by the Certainty Equivalence Principle: Explaining the Sign
of the Market Risk Premium' J. Banking and Finance V.32,#10 Oct. 2008
Benzoni Luca 'Investing Over the Life Cycle with Long-Run Labor Income Risk'
SSRN 7/08
Beresteanu Arie, Francesca Molinari 'Asymptotic Properties for a Class of
Partially Identified Models' Econometrica July 2008 V.76,#4
Bermin Hans-Peter, Peter Buchen, Otto Konstandatos 'Two Exotic Lookback
Options' Applied Mathematical Finance V.15,#4 2008
Bernard Carole, Olivier Le Courtois, François Quittard-Pinon 'Pricing
Derivatives with Barriers in a Stochastic Interest Rate Environment' JED&C
Sept. 08 Vol32,#9
Bertola Giuseppe, Richard Disney, Charles Grant (eds) 'The Economics of
Consumer Credit' <firms and producers rather than households> 2006
MIT Press
Berzin Corinne, José León 'Estimation in Models Driven by Fractional Brownian
Motion' Ann. Inst. H. Poincaré Probab. Statist. V.44, #2 (2008)
Beveridge Christopher, Mark Joshi 'Juggling Snowballs' SSRN 8/08
Bhansali Vineer 'Pricing and Managing Exotic and Hybrid Options' McGraw-Hill
Bhansali Vineer 'Tail Risk Management' J. Portfolio Management Summer 2008
Bhansali Vineer, Robert Gingrich, Francis Longstaff 'Systemic Credit Risk: What
Is the Market Telling Us?' FAJ July/Aug. 2008 V.64, #4
Bhar Ramaprasad 'A Multifactor Model of Credit Spreads' SSRN 7/08
Bhar Ramaprasad, Damien Lee 'Empirical Investigation of Interest Rate
Volatility: A Look at an Alternative Specification of Stochastic
Volatility Models' SSRN 7/08
Bhar Ramaprasad, David Colwell, Peipei Wang 'Component Structure of Credit
Default Swap Spreads and Their Determinants' SSRN 9/08
Bhar Ramaprasad, Nedim Handzic 'A Multifactor Model of Credit Spreads' SSRN
Bianchi S., A. Pianese 'Multifractional Properties of Stock Indices Decomposed
by Filtering their Pointwise Hölder Regularity' IJT&AF V.11,#6 9/08
Bielecki Tomasz, Stéphane Crépey, Monique Jeanblanc, Marek Rutkowski
'Defaultable Options in a Markovian Intensity Model of Credit Risk'
Mathematical Finance V.18,#4 Oct. 2008
Bierman Jr. 'Dividends versus Share Repurchase: The Stock Price Effect' J.
Portfolio Management Summer 2008
Bikbov Ruslan, Mikhail Chernov 'Term Structure and Volatility: Lessons from the
Eurodollar Markets' 2005 wp Columbia U.
Bishwal Jaya 'Parameter Estimation in Stochastic Differential Equations' 2007
Springer Press
Blanchet Jose, Peter Glynn 'Efficient Rare-Event Simulation for the Maximum of
Heavy-Tailed Random Walks' Annals of Applied Probability V.18,# 4 Aug.
Blandn Josep Garca 'Return Autocorrelation Anomalies and the Importance of Non-
Trading Periods: Evidence from Spain, France and Germany' Quantitative
Finance, V.8,#4 2008
Blank I., P. Smith 'Convergence of Rothe's Method for Fully Nonlinear Parabolic
Blau Benjamin 'Short-Sale Constraints, Listing Decisions, and Return
Predictability around Option Introductions' SSRN 9/08
Blitz David, Laurens Swinkels 'The Value of Fundamental Indexation' SSRN 8/08
Bollen Nicolas, Veronika Pool 'Conditional Return Smoothing in the Hedge Fund
Industry' JF&QA V.43,#2 June 08 <manager's reporting returns>
Bollerslev Tim, Hao Zhou, George Tauchen 'Expected Stock Returns and Variance
Risk Premia' SSRN 9/08
Bollerslev Tim, Tzuo Hann Law, George Tauchen Risk, Jumps, and Diversification'
J. Econometrics V.144,#1 May 2008
Boot Arnoud, Radhakrishnan Gopalan, Anjan Thakor 'Market Liquidity, Investor
Participation, and Managerial Autonomy: Why Do Firms Go Private?' JofF
V.63,# 4 Aug 2008
Borkar Vivek 'Stochastic Approximation: a Dynamical Systems Viewpoint'
Cambridge Press 2008
Boudoukh Jacob, Matthew Richardson, Robert Whitelaw 'The Myth of Long-Horizon
Predictability' RFS July 2008 V.21,#4
Bouyé Eric 'Multivariate Extremes at Work for Portfolio Risk Measurement'
Finance, Vol. 23, No. 2, 2002
Bouyé Eric, Mark Salmon 'Measuring the Dependence between Non-Gaussian
Financial Assets Using Copulae: Risk Management, Option Pricing and
Default Risk' SSRN 9/08
Bouyé Eric, Mark Salmon, Nicolas Gaussel 'Investing Dynamic Dependence Using
Copulae' SSRN 9/08
Boyarchenko Mitya, Sergei Levendorski 'Prices and Sensitivities of Barrier and
First-Touch Digital Options in Lévy-Driven Models' SSRN 7/08
Boyarchenko Mitya, Sergei Levendorski 'Valuation of Continuously Monitored
Double Barrier Options and Related Securities' SSRN 8/08
Boyarchenko Mitya, Svetlana Boyarchenko 'User's Guide to Pricing Double Barrier
Options. Part I: Kou's Model and Generalizations' SSRN 9/08
Brace Alan, Marek Musiela 'Duration, Convexity and Wiener Chaos' Working paper
. University of New South Wales1995
Brailsford T.J., Jack Penm, R. D. Terrell 'Testing PPP by Means of ZNZ
Patterned VECM' IJT&AF June 2008 V.11, #4
Brav Alon, Wei Jiang, Frank Partnoy, Randall Thomas 'Hedge Fund Activism,
Corporate Governance, and Firm Performance' JofF V.63,# 4 Aug 2008
Brennan Michael, Ashley Wang 'Mispricing Return Premium' SSRN 8/08
Breton Jean-Christophe, Nicolas Privault 'Bounds on Option Prices in Point
Process Diffusion Models' IJT&AF V.11,#6 9/08
Briner Beat, Gregory Connor 'How Much Structure Is Best? A Comparison of the
Market Model, the Factor Model and Unstructured Equity Covariance
Matrices' J. Risk V.10,#4
Broadie Mark, Mikhail Chernov, Michael Johannes 'Understanding Index Option
Returns' <mispricing, CAPM, Sharpe ratio, nonlinear payoff> Jan. 2008
Broadie Mark, Minsup Han, Assaf Zeevi 'Implications of Heavy Tails on
Simulation-Based Ordinal Optimization' Proc. 2007 Winter Simulation
Conference, eds: S.G. Henderson, B. Biller, M.-H. Hsieh, J. Shortle, J.D.
Tew, and R.R. Barton, The Society for Computer Simulation, 439-447
Brody Dorje, John Crosby, Hongyun Li 'Convexity Adjustments in Inflation-Linked
Derivatives' <multi-factor version of the Hughston (1998) and Jarrow &
Yildirim (2003), delayed payment, period-on-period, Ryten's (2007) common
factor representation> RISK 9/08
Brown Haydyn, David Hobson, L.C.G. Rogers 'The Maximum Maximum of a Martingale
Constrained by an Intermediate Law' Probab. Theory Related Fields, 119(4)
Brüggemann Ralf, Wolfgang Härdle, Julius Mungo, Carsten Trenkler 'VAR Modeling
for Dynamic Loadings Driving Volatility Strings' Journal of Financial
Econometrics V. 6, #3, Summer 2008
Bryan Kevin, Leonardo Martinez 'On the Evolution of Income Inequality in the
United States' FRB Richmond Review Spring 2008, V.94, #2
Bucciol Alessandro, Raffaele Miniaci 'Household Portfolios and Implicit Risk
Aversion' SSRN 8/08
Buchholz Wolfgang, Jan Schumacher 'Discounting the Long-Distant Future: A
Simple Explanation for the Weitzman-Gollier-Puzzle' SSRN 8/08
Bulkley I. George, Richard Harris, Vivekanand Nawosah 'Revisiting the
Expectations Hypothesis of the Term Structure of Interest Rates' SSRN 9/08
Cai Jie, Todd Houge 'Long-Term Impact of Russell 2000 Index Rebalancing' FAJ
July/Aug. 2008 V.64, #4
Camara Antonio, Yaw-Huei Wang 'A New Simple Square Root Option Pricing Model'
SSRN 9/08
Campbell John, Samuel Thompson 'Predicting Excess Stock Returns Out of Sample:
Can Anything Beat the Historical Average?' RFS July 2008 V.21,#4
Campbell L.J., B. Yin 'On the Stability of Alternating-Direction Explicit
Methods For Advection-Diffusion Equations' Numerical Methods for Partial
Differential Equations V.23,#6 2007 <Saul’yev, ADE>
Canty Paul, Alessandro Paolo Luigi Cipollini 'Pricing Inflation Indexed
Derivatives: A Reinterpretation of the Jarrow-Yildirim Model' SSRN 8/08
Canuto Caludio, Tomas Kozubek, Tomas Kozubek 'A Fictitious Domain Approach to
the Numerical Solution of PDEs in Stochastic Domains' Numerische
Mathematik V.107,#2 Aug. 2007
Capriotti Luca 'Least-Squares Importance Sampling for Monte Carlo Security
Pricing' QF V.8,#5 2008
Capriotti Luca 'Reducing the Variance of Likelihood Ratio Greeks in Monte
Carlo' SSRN 8/08
Capuano Christian 'The Option-Ipod. The Probability of Default Implied by
Option Prices Based on Entropy' SSRN 9/08
Carassus Laurence, Emmanuel Gobet, Emmanuel Temam 'A Class of Financial
Products and Models Where Super-Replication Prices are Explicit' 3/06
<Closed formula for Super-replication cost; convex cone constraints on
portfolio; exotic European and American options> in 'Stochastic Processes
and Applications to Mathematical Finance 6th Ritsumeikan Sym. 2006, ed.
Akahori, Ogawa, Watanabe
Carbone R., B. Ferrario, M. Santacroce 'Backward Stochastic Differential
Equations Driven By Càdlàg Martingales' <semimartingales equations;
regularity and stability of solutions; Lipschitz generators; stochastic
calculus> Theory of Probability and its Applications V. 52,# 2
Carmona Rene 'Arbitrage Free Local Volatility Dynamics, an Infinite Dimensional
Stochastic Analysis Approach' Presentation Chicago-Paris Workshop in
Financial Mathematics 6/08
Carr Peter 'From Hyper Options to Variance Swaps' Presentation Chicago-Paris
Workshop in Financial Mathematics 6/08
Carr Peter, Wim Schoutens 'Hedging Under the Heston Model with Jump-To-Default'
IJT&AF June 2008 V.11, #4 , <variance swaps, CDS, Merton, Gamma payoffs,
Dirac payoffs> <Hedging> 9/07
Casas Marta, Edilberto Cepeda 'ARCH, GARCH and EGARCH Models: Applications to
Financial Series' SSRN 9/08
Catllá Anne, David Schaeffer, Thomas Witelski, Eric Monson, Anna Lin 'On
Spiking Models for Synaptic Activity and Impulsive Differential Equations'
SIAM Review Sept. 2008 V.50,#3
Caton Gary, Jeremy Goh 'Corporate Governance, Shareholder Rights, and
Shareholder Rights Plans: Poison, Placebo, or Prescription?' JF&QA V.43,#2
June 08
Chabi-Yo Fousseni 'Conditioning Information and Variance Bounds on Pricing
Kernels with Higher- Order Moments: Theory and Evidence' RFS Jan 2008 V.
Chabris Christopher, David Laibson, Carrie Morris, Jonathon Schuldt, Dmitry
Taubinsky 'Measuring Intertemporal Preferences Using Response Times' NBER
Working Paper No. 14353 9/08
Challe Edouard 'Endogenous Participation Risk in Speculative Markets' JED&C
V.32,#7 July 08
Challet Damien, Pier Paolo Peirano 'The Ups and Downs of the Renormalization
Group Applied to Financial Time Series' SSRN 8/08
Chan Jiun Hong, Mark Joshi, Robert Tang, Chao Yang 'Trinomial or Binomial:
Accelerating American Put Option Price on Trees' SSRN 9/08
Chan Wing 'Extreme News Events, Long-Memory Volatility, and Time Varying Risk
Premia in Stock Market Returns' SSRN 8/08
Chang Chuang-Chang, Jeffrey Wang Yaw-Huei, Hsieh Pei-Fang 'Volatility
Information for the Overall Options and Combination Trading Volume:
Evidence of the TAIEX Options Market' SSRN 7/08
Chau Minh, Dimitri Vayanos 'Strong-Form Efficiency with Monopolistic Insiders'
RFS V.21,#5 9/08
Chen An-Sing Chen, Yan-Zhen Liu 'Enhancing Hedging Performance with the
Spanning Polynomial Projection' Quantitative Finance, Volume 8 Issue 6
Chen Jian, Paul Doust 'Estimating Intrinsic Currency Values' RISK 7/08
Chen Te-Feng, Huimin Chung, Ji-Chai Lin 'The Information Content of the Implied
Convenience Yield: Using American Call Option Based Structural Model' SSRN
Chen Xi, Griselda Deelstra, Jan Dhaene, Michèle Vanmaele 'Static Super-
Replicating Strategies for a Class Of Exotic Options' Insurance:
Mathematics and Economics V.42,#3 June 08
Chen Zhuliang, Peter A. Forsyth 'A Numerical Scheme for the Impulse Control
Formulation for Pricing Variable Annuities with a Guaranteed Minimum
Withdrawal Benefit (GMWB)' Numerische Mathematik V.109,#4 June 2008
Cherny Alexander 'Pricing with Coherent Risk' Theory of Prob. and its
Applications' V.52,#3 2008
Cheung Steven Yan-Leung, Yin-Wong Cheung, Alan T. K. Wan 'A High-Low Model of
Daily Stock Price Ranges' SSRN 9/08
Cheung Yam-Leung, Yin-Wong Cheung, Alan Wan 'A High-Low Model of Daily Stock
Price Ranges' SSRN 9/08
Chien Chin-Chen, Tsung-Cheng Chen ' Can The January Anomaly in Taiwan's Stock
Market Be Explained By The Prospect Theory?' Quantitative Finance, V.8,#4
Chirinko Robert, Leo de Haan, Elmer Sterken 'Asset Price Shocks, Real
Expenditures, and Financial Structure: A Multi-Country Analysis' SSRN 7/08
Choi Hak 'The Profitable Theory of Interest with a New Definition of Capital'
SSRN 8/08
Christensen Bent Jesper, Christian Dahl, Emma Iglesias 'Semiparametric
Inference in a GARCH-in-Mean Model' SSRN 9/08
Christensen Jens Henrik Eggert, Francis Diebold, Glenn Rudebusch 'An Arbitrage-
Free Generalized Nelson-Siege Term Structure Model' SSRN 9/08
Christiansen Charlotte 'Mean Reversion in US and International Short Rates'
SSRN 8/08
Christoffersen Peter, Kris Jacobs, Chayawat Ornthanalai 'Exploring Time-Varying
Jump Intensities: Evidence from S&P500 Returns and Options' SSRN 7/08
Chu Ba M. 'Optimal Long Term Investment in a Jump Diffusion Setting: A Large
Deviation Approach' SSRN 9/08
Chua Choong Tze, Dean Foster, Krishna Ramaswamy, Robert Stine 'A Dynamic Model
for the Forward Curve' RFS Jan 2008 V. 21,#1
Cipollini Alessandro Paolo Luigi 'Capital Protection: Modeling the CPPI
Portfolio' SSRN 9/08
Cochrane John 'The Dog That Did Not Bark: A Defense of Return Predictability'
RFS July 2008 V.21,#4
Cohen Lauren, Andrea Frazzini 'Economic Links and Predictable Returns' JofF
V.63,# 4 Aug 2008
Collin-Dufresne Pierre, Robert Goldstein, Christopher Jones 'Can Interest Rate
Volatility be Extracted from the Cross Section of Bond Yields? An
Investigation of Unspanned Stochastic Volatility' Sept 2004
Connor Gregory, Robert Korajczyk 'Estimating Pervasive Economic Factors with
Missing Observations' SSRN 9/08
Conrad Christian, Enno Mammen 'Nonparametric Regression on Latent Covariates
with an Application to Semiparametric GARCH-in-Mean Models' SSRN 8/08
Conrad Christian, Menelaos Karanasos, Ning Zeng 'Multivariate Fractionally
Integrated APARCH Modeling of Stock Market Volatility: A Multi-Country
Study' SSRN 8/08
Cont Rama 'Dynamic Modeling of Portfolio Credit Derivatives: Forward Equations
and Inverse Problems' Presentation Chicago-Paris Workshop in Financial
Mathematics 6/08
Cont Rama, Sasha Stoikov, Rishi Talreja 'Dynamic Modeling of Limit Order Books'
2008 < Laplace transform of conditional probabilities>
Cont Rama, Yu Hang Kan 'Dynamic Hedging Of Portfolio Credit Derivatives' 2008
<CDO, default contagion, iTraxx, Gaussian Copula>
Cooney Michael. 'Benchmarking the Black Scholes Equation by Finite Differences'
MS thesis Trinity College Dublin 1999
Cooper Ian, Leonardo Cordeiro 'Optimal Equity Valuation Using Multiples: The
Number of Comparable Firms' SSRN 9/08
Cooper Michael, Huseyin Gulen, Michael Schill 'Asset Growth and the Cross-
Section of Stock Returns' JofF V.63,# 4 Aug 2008
Coulibaly Ibrahim, Claude Lefèvre 'On a Simple Quasi-Monte Carlo Approach for
Classical Ultimate Ruin Probabilities' Insurance: Mathematics and
Economics V.42,#3 June 08
Coulon Jérôme,Yannick Malevergne 'Heterogeneous Expectations and Long Range
Correlation of the Volatility of Asset Returns' SSRN 8/08
Cox A.M.G., Jan Obloj 'Classes of Measures Which Can Be Embedded in the Simple
Symmetric Random Walk' Electron J Probab, 2008, Vol: 13
Cox Samuel, Yijia Lin, Hal Petersen 'Mortality Risk Modeling: Applications to
Insurance Securitization' SSRN 7/08
Crane Glenis, John Van Der Hoek 'Using Distortions of Copulas to Price
Synthetic CDOs' Insurance: Mathematics and Economics V.42,#3 June 08
Cremers K.J. Martijn, Joost Driessen, Pascal Maenhout 'Explaining the Level of
Credit Spreads: Option-Implied Jump Risk Premia in a Firm Value Model' RFS
V.21,#5 9/08
Crépey Stéphane 'About the Pricing Equation in Finance' Presentation Chicago-
Paris Workshop in Financial Mathematics 6/08
Crépey Stéphane 'Contribution à des Méthodes Numériques Appliquées à la Finance
et aux Jeux Différentiels' Thèse de l’École Polytechnique, 5 janvier 2001
Cripps Martin, Jeffrey Ely, George Mailath, Larry Samuelson 'Common Learning'
Econometrica July 2008 V.76,#4
Crosby John 'Pricing a Class of Exotic Commodity Options in a Multi-Factor
Jump-Diffusion Model' QF V.8,#5 2008
Crouhy Michel, Robert Jarrow, Stuart Turnbull 'The Subprime Credit Crisis of
2007' Journal of Derivatives Fall 2008
Cryer Colin 'The Efficient Solution of Linear Complementary Problems for
Tridiagonal Minkowski Matrices' ACM Trans. Math. Software 9 (2), 1983
Cumming Douglas 'Contracts and Exits in Venture Capital Finance' RFS V.21,#5
Cummins J. David, A. Weiss 'Convergence of Insurance and Financial Markets:
Hybrid and Securitized Risk Transfer Solutions' SSRN 9/08
D’Ecclesia Rita 'Risk Management In Commodity And Financial Markets' J. Banking
and Finance V.32,#10 Oct. 2008
Dai Min, Yue Kuen Kwok 'Optimal Multiple Stopping Models of Reload Options and
Shout Options' JED&C V.32,#7 July 08
Dai Min, Yue Kuen Kwok, Jianping Zong 'Guaranteed Minimum Withdrawal Benefit in
Variable Annuities' Mathematical Finance V.18,#4 Oct. 2008
Dangl Thomas, Youchang Wu, Josef Zechner 'Market Discipline and Internal
Governance in the Mutual Fund Industry' RFS V.21,#5 9/08
Davis Mark, Sbastien Lleo 'Risk-Sensitive Benchmarked Asset Management'
Quantitative Finance, V.8,#4 2008 <model of Bielecki/Pliska and
De Giorgi Enrico, Thierry Post 'Second-Order Stochastic Dominance, Reward-Risk
Portfolio Selection, and the CAPM' JF&QA V.43,#2 June 08
Deeley Chris 'Superseding Newton with a Superior Yield Algorithm' SSRN 9/08
Deng Qian 'Predictable Components of Individual Stock Volatility' SSRN 7/08
Dennis Parick, Richard Rendleman 'Valuing Multiple Employee Stock Options
Issued by the Same Company' Journal of Derivatives Fall 2008
Dennis Patrick 'A Depth-First Search Technique for the Valuation of American
Path-Dependent Derivatives' J. of Applied Business Research 17, 2001
Desmier Paul 'Estimating Foreign Currency Exposure in the Canadian Department
of National Defense' J. Risk V.10,#4
Dette Holger, Daniel Ziggel 'Discount Curve Estimation by Monotonizing
Mcculloch Splines' IJT&AF V.11, #5 Aug. 2008
Dewynne Jeff, William Shaw 'Differential Equations and Asymptotic Solutions for
Arithmetic Asian Options: ‘Black–Scholes Formulae for Asian Rate Calls'
European Journal of Applied Mathematics, Volume 19, Issue 04, August 2008
Dittmar Robert, Kathy Yuan 'Do Sovereign Bonds Benefit Corporate Bonds in
Emerging Markets?' RFS V.21,#5 9/08
Dobránszky Péter 'Joint Modelling of CDS and LCDS Spreads with Correlated
Default and Prepayment Intensities and with Stochastic Recovery Rate' SSRN
Dobránszky Péter, Wim Schoutens 'Generic Lévy One-Factor Models for the Joint
Modelling of Prepayment and Default: Modelling LCDX' SSRN 8/08
Dokuchaev Nikolai 'Estimates for First Exit Times of Non-Markovian Ito
Processes' Stochastics <S&SR> V.80,#4 2008
Doran James, Andy Fodor, Kevin Krieger 'Option Market Efficiency and Analyst
Recommendations' SSRN 9/08
Dorn Jochen, Yacine Sadouni 'Modeling of CDO Options with Multi-Period Spread
Dynamics' SSRN July 2008
Du Du 'Asset Pricing for Augmented Affine Jump-Diffusions with Regime
Switching' SSRN 7/08
Duarte Jefferson 'The Causal Effect of Mortgage Refinancing on Interest Rate
Volatility: Empirical Evidence and Theoretical Implications' RFS July 2008
Dubins Lester 'On a Theorem of Skorohod' Ann. Math. Stats. 30 (6) 1968
Dubois Pierre, Bruno Jullien, Thierry Magnac ''Formal and Informal Risk Sharing
in LDCs: Theory and Empirical Evidence' Econometrica July 2008 V.76,#4
Duellmann Klaus, Martin Scheicher, Christian Schmieder 'Asset Correlations and
Credit Portfolio Risk: an Empirical Analysis' J. Credit Risk 2008 V.4,#2
Düring Bertram 'Asset Pricing under Information with Stochastic Volatility'
SSRN 8/08
Duffee Gregory, Richard Stanton 'Evidence on Simulation Inference for Near
Unit-Root Processes with Implications for Term Structure Estimation'
Journal of Financial Econometrics, Vol.6, Issue 1, 2008
Duffy Daniel 'A Critique of the Crank Nicolson Scheme Strengths and Weaknesses
for Financial Instrument Pricing' 3/04 <options-numeric> <
Duffy Daniel 'Finite Elements for Mixed Initial Boundary Value Problems for
Hyperbolic Systems of Equations' MS thesis Trinity College Dublin 1977
Duffy Daniel 'Robust and Accurate Finite Difference Methods in Option Pricing:
One Factor Models' Datasim 2001
Duffy Daniel 'Uniformly Convergent Difference Schemes for Problems with a Small
Parameter in the Leading Derivative' PhD Trinity College Dublin 1980
Dunne R.K., E. O’riordan, G.I. Shishkin 'Fitted Mesh Numerical Methods for
Singularly Perturbed Elliptic Problems with Mixed Derivatives'
Dupire Bruno 'Arbitrage Bounds for Volatility Derivatives as a Free Boundary
Problem' http://www.math.kth.se/pde finance/presentations/Bruno.pdf, 2005
Durrleman Valdo, Nicole El Karoui 'Coupling Smiles' Quantitative Finance,
Volume 8 Issue 6 2008 <domestic asset, foreign rate and exchange>
Dyl Edward, George Jiang 'Valuing Illiquid Common Stock' FAJ July/Aug. 2008
V.64, #4
Ech-Chatbi Charaf 'CDs and CDO Pricing with Stochastic Recovery' SSRN 9/08
Ehrhardt Matthias, Ronald Mickens 'A Fast, Stable and Accurate Numerical Method
for the Black–Scholes Equation of American Options' IJT&AF V.11, #5 Aug.
Elder John, Hyun Jin 'Fractional Integration in Commodity Futures Returns'
Financial Review, 2008 SSRN 7/08
Elhouar Mikael 'Finite-dimensional Realizations of Regime-switching HJM Models'
Applied Mathematical Finance V.15,#4 2008
Elices Alberto 'Models with time-dependent parameters using transform methods:
application to Heston's model' 8/07 submitted Math. Finance <stochastic
volatility, jumps, bootstrap for calibration>
Epstein Charles, John Schotland 'The Bad Truth about Laplace's Transform' SIAM
Review Sept. 2008 V.50,#3
Eraker Bjørn, Ivan Shaliastovich 'An Equilibrium Guide to Designing Affine
Pricing Models' Mathematical Finance V.18,#4 Oct. 2008
Estrada Javier 'Black Swans in Emerging Markets' SSRN 9/08
Estrella Arturo, John Kambhu 'Approximation of Changes in Option Values and
Hedge Ratios: How Large Are the Errors?' FRB NY 1997
Eun Cheol, Wei Huang, Sandy Lai 'International Diversification with Large- and
Small-Cap Stocks' JF&QA V.43,#2 June 08
Evans Jonathan, Vicky Henderson, David Hobson 'Optimal Timing for an
Indivisible Asset Sale' Mathematical Finance V.18,#4 Oct. 2008
Ewald Christian-Oliver, Zhaojun Yang 'Utility Based Pricing And Exercising Of
Real Options Under Geometric Mean Reversion And Risk Aversion Toward
Idiosyncratic Risk' Math. Methods of O.R. V.68,# 1 Aug. 2008
Fama Eugene, Kenneth French 'Dissecting Anomalies' JofF V.63,# 4 Aug 2008
Fan Jianqing, Yingying Fan, Jinchi Lv 'Aggregation of Nonparametric Estimators
for Volatility Matrix' Journal of Financial Econometrics V.5, #3, Summer
Fan Xinting 'Sorting, Firm Characteristics, and Time-Varying Risk: An
Econometric Analysis' Journal of Financial Econometrics, Vol.6, Issue 1,
Farinelli Simone, Manuel Ferreira, Damiano Rossello, Markus Thoeny, Luisa
Tibiletti 'Beyond Sharpe Ratio: Optimal Asset Allocation Using Different
Performance Ratios' J. Banking and Finance V.32,#10 Oct. 2008
Farrell Paul, et al 'Robust Computational Techniques for Boundary Layers'
Chapman-Hall 2000
Fatone Lorella, Maria Cristina Recchioni, Francesco Zirilli 'Pricing Realized
Variance Options using Integrated Stochastic Variance Options in the
Heston Stochastic Volatility Model' Discrete and Continuous Dynamical
Systems Supplement 2007, 354-363
Faust Jon, Jonathan Wright 'Efficient Prediction of Excess Returns' NBER
Working Paper No. W14169 SSRN 7/08
Fernández Begoña, Daniel Hernández-Hernández, Ana Meda, Patricia Saavedra 'An
Optimal Investment Strategy with Maximal Risk Aversion and its Ruin
Probability' Math. Methods of O.R. V.68,# 1 Aug. 2008
Ferson Wayne, Sergei Sarkissian, Timothy Simin 'Asset Pricing Models with
Conditional Betas and Alphas: The Effects of Data Snooping and Spurious
Regression' JF&QA V.43,#2 June 08
Figelman Ilva 'Expected Return and Risk of Covered Call Strategies' J.
Portfolio Management Summer 2008
Figlewski Stephen 'Estimating the Implied Risk Neutral Density for the U.S.
Market Portfolio Volatility and Time Series Econometrics' Essays in Honor
of Robert F. Engle (eds. Tim Bollerslev, et al Oxford U. 2008.
Fleming Jeff, Chris Kirby, Barbara Ostdiek 'The Specification Of GARCH Models
With Stochastic Covariates' J. Futures Markets V.28, #10 Oct. 2008
Fonseca Jos Da, Martino Grasselli, Claudio Tebaldi 'A Multifactor Volatility
Heston Model' Quantitative Finance, Volume 8 Issue 6 2008 <single risky
asset using multifactor (matrix) Wishart affine process, Gourieroux and
Sufana; Duffie and Kan affine models solved FFT; long and short term
implied volatility surface, stylized fact of the FX option markets of Carr
and Wu>
Forte Santiago, Lidija Lovreta 'Credit Risk Discovery in the Stock and CDS
Market: Who, When and Why Leads?' SSRN 8/08
Franses Philip Hans, Marco van der Leij, Richard Paap 'A Simple Test for GARCH
Against a Stochastic Volatility Model' Journal of Financial Econometrics
V. 6, #3, Summer 2008
Freixas Xavier, Jean-Charles Rochet 'Microeconics of Banking' 2008 MIT Press
French Kenneth 'Presidential Address: The Cost of Active Investing' JofF V.63,#
4 Aug 2008
Frey Rüdiger, Jochen Backhaus 'Pricing and Hedging of Portfolio Credit
Derivatives with Interacting Default Intensities' IJT&AF V.11,#6 9/08
Frey Rüdiger, Jochen Backhaus 'Portfolio Credit Risk Models with Interacting
Default Intensities: a Markovian Approach' U. Leipzig 2005
Friedman Avner 'Variational Principles and Free Boundary Problems' Wiley 1982
Frolov A.N., A. I. Martikainen, J. Steinebach 'On Probabilities of Small
Deviations for Compound Renewal Processes' Theory of Probability and its
Applications V. 52,# 2
Frye Jon 'Correlation and Asset Correlation in the Structural Portfolio Model'
J. Credit Risk 2008 V.4,#2
Füss Roland, Zeno Adams, Dieter Kaiser 'The Predictive Power of Value-at-Risk
Models in Commodity Futures Markets' SSRN 8/08
Fung William, David Hsieh, Narayan Naik, Tarun Ramadorai 'Hedge Funds:
Performance, Risk, and Capital Formation' JofF V.63,# 4 Aug 2008
Fusai Gianluca, Marina Marena, Andrea Roncoroni 'Analytical Pricing of
Discretely Monitored Asian-Style Options: Theory and Application to
Commodity Markets' J. Banking and Finance V.32,#10 Oct. 2008
Gabaix Xavier 'Power Laws in Economics and Finance' NBER Working Paper No. 1
SSRN 9/08
Gallmeyer Michael, Burton Hollifield 'An Examination of Heterogeneous Beliefs
with a Short-Sale Constraint in a Dynamic Economy' Review of Finance,
Vol.12, Issue 2, 2008
Garcia Joao, Serge Goossens 'Explaining The Lévy Base Correlation Smile'
<Gaussian Copula, Lévy model, Bespoken portfolios, Smile correlation
curves> RISK 7/08
Garcia João, Serge Goossens, Wim Schoutens 'Let's Jump Together: Pricing Credit
Derivatives' <CPDO> RISK 9/08
Gaspar Raquel, Irina Slinko 'On Recovery and Intensity’s Correlation: a New
Class of Credit Risk Models' J. Credit Risk 2008 V.4,#2
Gaspar Raquel, Thorsten Schmidt 'On the Pricing of CDOs' Credit Derivatives
Handbook, P.U. Ali and G.N. Gregoriou, eds., Chapter 11, pp. 229-258,
Gaspar Raquel, Thorsten Schmidt 'Term Structure Models with Shot-Noise Effects'
SSRN 7/08
Gauthier Genevieve, Jean-Guy Simonato 'Linearized Nelson-Siegel Models for the
Estimation of Spot Interest Rates' SSRN July 2008
Gay Roger 'Mean-Variance Optimality of a Retirement Lump Sum Conversion
Strategy: Implementation in Australia' J. Risk V.10,#4
Geman Hélyette, Steve Ohana 'Time-Consistency in Managing a Commodity
Portfolio: a Dynamic Risk Measure Approach' J. Banking and Finance
V.32,#10 Oct. 2008
Geweke John, Gianni Amisano 'Evaluating the Predictive Distributions of
Bayesian Models of Asset Returns' SSRN 7/08
Geweke John, Gianni Amisano 'Optimal Prediction Pools' SSRN 7/08
Giacomini Raffaella, Andreas Gottschling, Christian Haefke, Halbert White
'Mixtures of t-Distributions for Finance and Forecasting' J. Econometrics
V.144,#1 May 2008
Giandomenico Rossano 'Valuing an American Put Option' <exact duplicating
portfolio, riskless security and short stock> SSRN 9/06
Gianluca Fusai, Attilio Meucci 'Pricing Discretely Monitored Asian Options
under Lévy Processes' J. Banking and Finance V.32,#10 Oct. 2008
Giannopoulos Kostas 'Nonparametric, Conditional Pricing of Higher Order
Multivariate Contingent Claims' J. Banking and Finance Sept. 08 V.32,#9
Gibson Michael 'Information Systems for Risk Management' FRB NY 1997
Giesecke Kay, Hossein Kakavand, Seyed Mousavi 'Simulating Point Processes by
Intensity Projection' SSRN July 2008
Gikhman Ilya 'Corporate Debt Pricing' SSRN 7/08
Gikhman Ilya 'Default Characteristics of Corporate Bonds' SSRN 7/08
Gikhman Ilya 'Remarks on Local Volatility' SSRN 9/08
Gikhman Ilya 'Risky Swaps' The Icfai University Journal of Derivatives Markets,
Vol.V, No. 3, July 2008
Gilli Manfred, Enrico Schumann 'Distributed Optimization of a Portfolio's
Omega' SSRN 7/08
Giovanis Eleftherios 'An Algorithm Using GARCH Process, Monte-Carlo Simulation
and Wavelets Analysis for Stock Prediction' SSRN 9/08
Gobet Emmanuel 'Advanced Monte Carlo Methods for Barrier and Related Exotic
Options' Mathematical Modelling and Numerical Methods in Finance, A.
Bensoussan, Qiang Zhang, Philippe Ciarlet, eds., Forthcoming 2008
Godunov Sergei, V.S. Riabenki 'Difference Schemes, an Introduction to the
Underlying Theory' North-Holland 1987
Goetzmann William 'Equity Portfolio Diversification' Review of Finance, Vol.
12, Issue 3, 2008
Goldberg Lisa, Rajnish Kamat, Jason Kremer 'A Structural Analysis of the
Default Swap Market - Part 2 (Relative Value)' SSRN 8/08
Gomes Francisco, Alexander Michaelides 'Asset Pricing with Limited Risk Sharing
and Heterogeneous Agents' RFS Jan 2008 V. 21,#1
Gourlay A.R. 'The Hopscotch Class of Difference Methods for Partial
Differential Equations' in Quantum Transport Springer Lecture Notes 1972
Goyal Amit, Sunil Wahal 'The Selection and Termination of Investment Management
Firms by Plan Sponsors' JofF V.63,# 4 Aug 2008
Grauer Robert 'Benchmarking Measures of Investment Performance with Perfect-
Foresight and Bankrupt Asset Allocation Strategies' J. Portfolio
Management Summer 2008
Gray Stephen, Jason Hall, Drew Klease, Alan McCrystal 'Bias, Stability and
Predictive Ability in the Measurement of Systematic Risk' SSRN July 2008
Gregory Christine, Kenneth Darby-Dowman, Gautam Mitra 'Robust Optimisation and
Portfolio Selection: The Cost of Robustness' SSRN 8/08
Gregory Jon 'A Free Lunch and the Credit Crunch' <monoline> RISK Aug. 08
Grieves Robin, Alan Marcus, Adrian Woodhams 'Delivery Options and Convexity in
Treasury Bond and Note Futures' SSRN July 2008
Grochulski Borys 'Limits to Redistribution and Intertemporal Wedges:
Implications of Pareto Optimality with Private Information' FRB Richmond
Review Spring 2008, V.94, #2
Grüne Lars, Willi Semmler 'Asset Pricing with Loss Aversion' JED&C V.32,#10
Oct. 2008
Gulko Les 'Pricing Stock and Bond Options in Incomplete Markets' J. Portfolio
Management Summer 2008
Gupton Greg 'Advancing Loss Given Default Prediction Models: How the Quiet Have
Quickened' Economic Notes 2005
Haaj Grzegorz 'Risk-based Decisions on the Asset Structure of a Bank under
Partial Economic Information' Applied Mathematical Finance V.15,#4 2008
Hakan Hedenmalm 'On the Asymptotic Free Boundary for the American Put Option
Problem' Journal of Mathematical Analysis and Applications 2006 V.314,#1
Han Bing 'Investor Sentiment and Option Prices' RFS Jan 2008 V. 21,#1
Hatem Ben Said 'Impact of the Behavior of the Underlying Assets on the Value of
a Petroleum Project under the Theory of Real Options: Case of GBM and MR
Process' SSRN July 2008
Hau Harald, Helene Rey 'Global Portfolio Rebalancing Under the Microscope' NBER
Working Paper No. W14165 SSRN 7/08
Henderson Vicky 'Optimal Liquidation of Derivative Portfolios' Presentation
Chicago-Paris Workshop in Financial Mathematics 6/08
Henderson Vicky, David Hobson 'Perpetual American Options in Incomplete
Markets: the Infinitely Divisible Case' QF V.8,#5 2008
Henkel Sam James, J. Spencer Martin, Federico Nardari 'Time-Varying Short-
Horizon Predictability' SSRN 7/08
Herzberg Frederik 'Black-Scholes Theory for an Underlying With Multiple
Attractors' QF V.8,#5 2008
Hetzel Robert 'What is the Monetary Standard, Or, How Did the Volcker-Greenspan
FOMCs Tame Inflation?' FRB Richmond Review Spring 2008 , V.94, #2
Hibbert Ann Marie, Robert Daigler, Brice Dupoyet 'A Behavioral Explanation for
the Negative Asymmetric Return–Volatility Relation' J. Banking and Finance
V.32,#10 Oct. 2008
Hjalmarsson Erik 'Predicting Global Stock Returns' SSRN July 2008
Hoevenaars Roy, Roderick Molenaar, Peter Schotman, Tom Steenkamp 'Strategic
Asset Allocation with Liabilities: Beyond Stocks and Bonds' JED&C Sept. 08
Hofberger Bastian, Niklas Wagner 'Pricing CDX Credit Default Swaps Using the
Hull-White Model' SSRN 7/08
Hördahl Peter, Frank Packer 'Understanding Asset Prices: An Overview' BIS Paper
No. 34 SSRN 8/08
Huang Jennifer 'Taxable and Tax-Deferred Investing: A Tax-Arbitrage Approach'
RFS V.21,#5 9/08
Huang Jing-Zhi, Xiongfei Zhang 'The Slope of Credit Spread Curves' Journal of
Fixed Income Summer 2008
Huang Peng, C. James Hueng 'Conditional Risk-Return Relationship in a Time-
Varying Beta Model' Quantitative Finance, V.8,#4 2008
Huij Joop, Thierry Post 'On Persistence in the Performance of Emerging Market
Equity Mutual Funds' SSRN 8/08
Hur Jungshik, Raman Kumar 'Reconciling the Insignificance of the Market Beta in
Cross-Sectional Asset Pricing Tests with the Significance of the Market
Factor in Time-Series Asset Pricing Tests: A New Perspective and Two
Suggested Solutions' SSRN 9/08
Idier Julien 'Long Term vs. Short Term Comovements in Stock Markets: The Use of
Markov-Switching Multifractal Models' SSRN July 2008
Il'in A.M. 'Differencing Scheme for a Differential Equation with a Small
Parameter Affecting the Highest Derivative' Mat. Zametki 6 1969
Inglis Stewart, Alex Lipton, Ioana Savescu, Artur Sepp 'Dynamic Credit Models'
<Jump-to-default, Dynamic credit correlation, Factor correlation model>
Statistics and Its Interface, 1(2), 2008
Isakov Victor 'Inverse Parabolic Problems with the Final Overdetermination'
Comm. Pure Appl. Math XLIV 1991
Ivanova G.P., V. Ya. Kondratiev 'On One Estimate of the Ruin Probability'
Theory of Probability and its Applications V. 52,# 2
Jackel Peter 'Gamma Loss and Prepayment' <fractional notional losses, asset-
backed, waterfall structures, bespoke> RISK 9/08
Jäckel Peter, Christian Kahl 'Hyp Hyp Hooray' Preprint 2007
Jensen Mark, John Maheu 'Bayesian Semiparametric Stochastic Volatility
Modeling' Federal Reserve Bank of Atlanta Working Paper No. 2008-15
Jeong Myeong Geun 'Estimation of the Asset Price Distribution Using the Maximum
Entropy Principle' SSRN July 2008
Jiang George, Roel Oomen 'Testing for Jumps When Asset Prices are Observed with
Noise–a “Swap Variance” Approach' J. Econometrics V.144,# 2 June 2008
Jiang George, Roel Oomen 'Testing for Jumps when Asset Prices are Observed with
Noise–a “Swap Variance” Approach' J. Econometrics V.144,#2 June 2008
John Kambhu 'The Size of Hedge Adjustments of Derivatives Dealers US Dollar
Interest Rate Options' FRB NY 1997
John Kose, Lubomir Litov, Bernard Yeung 'Corporate Governance and Risk-Taking'
JofF V.63,# 4 Aug 2008
Jonck Uwe Christian 'Local Likelihood Estimators in a Regression Model For
Stock Returns' Quantitative Finance, Volume 8 Issue 6 2008
Jorion Philippe, Gaiyan Zhang 'Intra-Industry Credit Contagion: Evidence from
Credit Default Swap and Equity Markets' U.Cal Irvine 2005
Joshi Mark, Alan Stacey 'New and Robust Drift Approximations for the LIBOR
Market Model' Quantitative Finance, V.8,#4 2008 <very long steps, cf. PPR,
Glasserman-Zhao and predictor-corrector>
Josic Krešimir, Robert Rosenbaum 'Unstable Solutions of Nonautonomous Linear
Differential Equations' SIAM Review Sept. 2008 V.50,#3
Joslin Scott 'Can Unspanned Stochastic Volatility Explain the Cross Section of
Bond Volatilities' wp Stanford 2007
Jurek Jakub 'Crash-Neutral Currency Carry Trades' SSRN 9/08
Kadam Ashay, Peter Lenk 'Bayesian Inference for Issuer Heterogeneity in Credit
Ratings Migration' J. Banking and Finance V.32,#10 Oct. 2008
Kahale Nabil 'Analytic Crossing Probabilities for Certain Barriers by Brownian
Motion' Annals of Applied Probability V.18,# 4 Aug. 2008
Kambhu J., A. P. Rodrigues 'Residual Risk Factors, Portfolio Composition and
Risk Measurement' FRB NY 1997
Kaminsky Graciela Laura, Sergio Schmukler 'Short-Run Pain, Long-Run Gain:
Financial Liberalization and Stock Market Cycles' Review of Finance,
Vol.12, Issue 2, 2008
Kang Long 'Modeling the Dependence Structure between Bonds and Stocks: A
Multivariate Copula Approach' SSRN 8/08
Kangro Raul, Kalev Pärna, Artur Sepp 'Pricing European-Style Options under Jump
Diffusion Processes with Stochastic Volatility: Applications of Fourier
Transform' Acta et Commentationes Universitatis Tartuensis de Mathematica
8, 123-133
Kaniel Ronl, Stathis Tompaidis, Alexander Zemlianov 'Efficient Computation of
Hedging Parameters for Discretely Exercisable Options' Operations Research
2008 V.56,#3 July/Aug. 2008
Karolyi G. Andrew 'An Assessment of Terrorism-Related Investing Strategies' J.
Portfolio Management Summer 2008
Keller Herb 'A New Difference Scheme for Parabolic Problems' Numerical
Solutions of Partial Differential Equations-II Synspade 1970
Keller Herbert 'A New Difference Scheme for Parabolic Problems' Numerical
Solution of Partial Differential Equations, ed. B. Hubbard, 2:32%50. New
York: Academic. <Box Scheme>
Keller Herbert, Marianela Lentini 'Invariant Imbedding, the Box Scheme and an
Equivalence between Them' SIAM J. Numer. Analysis 10/82
Keloharju Matti, Samuli Knüpfer, Sami Torstila 'Do Retail Incentives Work in
Privatizations?' RFS V.21,#5 9/08
Kenyon Chris 'Inflation Is Normal ' <Normal-Based Smile, Caplet> RISK 7/08
Kenyon Chris 'Pricing Strongly Path-Dependent Options in Libor Market Models
without Simulation' SSRN 8/08
Khaliq Abdul, David Voss, Greg Fasshauer 'A Parallel Time Stepping Approach
Using Meshfree Approximations for Pricing Options with Non-Smooth Payoffs'
J. Risk V.10,#4
Khanna Naveen, Thomas Noe, Ramana Sonti 'Good IPOs Draw in Bad: Inelastic
Banking Capacity and Hot Markets' RFS V.21,#5 9/08
Kienitz Joerg 'A Note on Monte Carlo Greeks for Jump Diffusion and Other Lévy
Processes' SSRN 9/08
Kiesel Rüdiger, Luitgard Veraart 'A Note on the Survival Probability in
Creditgrades' J. Credit Risk 2008 V.4,#2
Kim Gyutai 'Looking at the Value of an One-Step Deferral Option through the
Opportunity Cost Concept' SSRN 9/08
Kim Jeongeun, David Stoffer 'Fitting Stochastic Volatility Models in the
Presence of Irregular Sampling via Particle Methods and the EM Algorithm'
Journal of Time Series Analysis, V.29, #5, September 2008
Kindleberger Charles 'Manias, Panics and Crashes: a History of Financial
Crises' 5th ed. Wiley 2005
Kliesen Kevin 'Oil and the U.S. Macroeconomy: An Update and a Simple
Forecasting Exercise' FRB St. Louis Sept/Oct 2008,V.90,#5
Knight John, Stephen Satchell, Ba M. Chu 'Optimal Investment and Asymmetric
Risk for a Large Portfolio: A Large Deviations Approach' SSRN 9/08
Kokkonen Joni 'International Asset Allocation under Generalized Disappointment
Aversion and Regime-Switching' SSRN 7/08
Kolbe Andreas, Rudi Zagst 'A Hybrid-Form Model for The Prepayment-Risk-Neutral
Valuation of Mortgage-Backed Securities' IJT&AF V.11,#6 9/08
Koloat Bill 'Manipulating Electromagnetic Fields: Mathematics, Metamaterials,
and Cloaking' SIAM News Sept. 2008
Konstantinidi Eirini, George Skiadopoulos 'Are VIX Futures Prices Preditable?
An Empirical Investigation' SSRN 8/08
Koo Hyeng Keun, Gyoocheol Shim, Jaeyoung Sung 'Optimal Multi-Agent Performance
Measures for Team Contracts' Mathematical Finance V.18,#4 Oct. 2008
Korniotis George 'Habit Formation, Incomplete Markets, and the Significance of
Regional Risk for Expected Returns' RFS V.21,#5 9/08
Kötter Mirko, Nicole Bäuerle 'The Periodic Risk Model with Investment'
Insurance: Mathematics and Economics V.42,#3 June 08
Koulisianis Minas, Theodore Papatheodorou 'Improving Projected Successive
Overrelaxation Method for Linear Complementarity Problems' Applied
Numerical Mathematics, 2003 <options-American> <Free Boundary, Moving
Koulisianis Minas, Theodore Papatheodorou 'Pricing of American Options using
Linear Complementarity Formulation: Methods and their Evaluation' Neural,
Parallel & Scientific Computations V.11 ,# 4 December 2003 <5 methods,
PSOR, moving index, Direct Inverse Multiplication DIM, and stable version
of it SDIM, IPSOR, moving boundary, free boundary>
Koulisianis Minas, Theodore Papatheodorou 'Valuation of American Options Using
Direct, Linear Complementarity-Based Methods' Springer Lecture Notes in
Computer Science 2003 <Direct Inverse Multiplication (DIM) and Stable DIM
(SDIM) methods, free boundary, moving boundary, inverse of the coefficient
matrix to locate the moving index, fixed boundary problem. DIM 100 times
faster PSOR, Stable SDIM> <options-American>
Kozhanov Igor 'The Challenge of the Composition Effect' SSRN 8/08
Kristensen Dennis 'Estimation of Partial Differential Equations with
Applications in Finance' J. Econometrics V.144,# 2 June 2008
Kruchen Stefan, Paolo Vanini 'Dividend Risk' SSRN 7/08
Kruchen Stefan, Paolo Vanini 'Dividend Risk' SSRN 8/08
Kunisch Michael, Marliese Uhrig-Homburg 'Modeling Simultaneous Defaults: A Top-
Down Approach' Journal of Fixed Income Summer 2008
Lagos Ricardo 'Asset Prices and Liquidity in an Exchange Economy' SSRN 7/08
Lam D.C.L., R.B. Simpson 'Centered Differencing and the Box Scheme for
Diffusion Convection Problems' J. Comp. Physics 1976
Lardy Jean-Pierre, Vladimir Finkelstein, Philippe Khuong-Huu, Yunong Yang
'Method and System for Determining a Company’s Probability of No Default'
Internal document, JPMorgan 2000
Lasry Jean-Michel 'How Principal-Agent Problem Could Fuel Bubbles, a Mean-Field
Games Approach' Presentation Chicago-Paris Workshop in Financial
Mathematics 6/08
Lasry Jean-Michel, Pierre-Louis Lions 'Grandes Déviations pour des Processus de
Diffusion Couplés par un Processus de Sauts', C.R. Acad. Sci. Paris I,
321, 1995
Lau John, Tak Kuen Siu 'Pricing Risky Debts Under a Markov-modudated Merton
Model with Completely Random Measures' Computational Economics V.31,#3
April 2008
L'Ecuyer Pierre, Christian Lécot, Bruno Tuffin 'A Randomized Quasi-Monte Carlo
Simulation Method for Markov Chains' Operations Research 2008 V.56,#3
July/Aug. 2008
Lee Roger 'Mileage Options' Presentation Chicago-Paris Workshop in Financial
Mathematics 6/08
Lee Jyh-Huei, Dan Stefek 'Do Risk Factors Eat Alphas?' J. Portfolio Management
Summer 2008
Lel Ugur, Darius Miller 'International Cross-Listing, Firm Performance, and Top
Management Turnover: a Test of the Bonding Hypothesis' JofF V.63, #4 Aug
Lemmon Michael, Michael Roberts, Jaime Zender 'Back to the Beginning:
Persistence and the Cross-Section of Corporate Capital Structure' JofF
V.63,# 4 Aug 2008
Lettau Martin, Stijn Van Nieuwerburgh 'Reconciling the Return Predictability
Evidence' RFS July 2008 V.21,#4
Lettau Martin, Sydney Ludvigson, Jessica Wachter 'The Declining Equity Premium:
What Role Does Macroeconomic Risk Play?' RFS July 2008 V.21,#4
Leung Kwai Sun, Yue Kuen Kwok 'Employee Stock Option Valuation with Repricing
Features' Quantitative Finance, Volume 8 Issue 6 2008
Levin Alexander 'Two-Factor Gaussian Term Structure: Analytics, Historical Fit
and Stable Finite-Difference Pricing Schemes' Lecture Courant 5/2000
Li Anlong 'Valuation of Credit Contingent Options with Applications to Quanto
CDS' SSRN 7/08
Li Haitao, Martin Wells, Cindy L. Yu 'A Bayesian Analysis of Return Dynamics
with Lévy Jumps' RFS V.21,#5 9/08
Li Ming-Yuan Leon 'Hybrid Versus Highbred: Combined Economic Models with Time-
Series Analyses' Quantitative Finance, Volume 8 Issue 6 2008
Li Yan, Liyan Yang 'Prospect Theory, the Disposition Effect and Asset Prices'
SSRN 7/08
Liang Jianfeng, Shuzhong Zhang, Duan Li 'Optioned Portfolio Selection: Models
And Analysis' Mathematical Finance V.18,#4 Oct. 2008
Liang Jin, Bei Hu, Lishang Jiang, Baojun Bian 'On the Rate of Convergence of
the Binomial Tree Scheme for American Options' Numerische Mathematik
V.107,#2 Aug. 2007
Liesen Jörg, Zdenek Strakoš 'On Optimal Short Recurrences for Generating
Orthogonal Krylov Subspace Bases' SIAM Review Sept. 2008 V.50,#3
Lin Chen-Miao, Richard Phillips, Stephen Smith 'Hedging, Financing, and
Investment Decisions: Theory and Empirical Tests' J. Banking and Finance
Aug. 08 V.32,#8
Lin Peter 'Monte Carlo Simulation Algorithms for the Pricing of American
Options' Oxford U. 2008
Lions Pierre-Louis 'On Mean-Field Games' Presentation Chicago-Paris Workshop in
Financial Mathematics 6/08
Lipton Alex, Artur Sepp 'Stochastic Volatility Models and Kelvin Waves'
<Heston, Stein-Stein model> Journal Of Physics A: Mathematical and
Theoretical, 41(34), 2008
Litzenberger Robert, David Modest 'Crisis and Non-Crisis Risk in Financial
Markets: A Unified Approach to Risk Management' SSRN 7/08
Liu Shinhua 'Currency Derivatives and Exchange Rate Forecastability' Financial
Analysts Journal, Vol. 63, No. 4, July/August 2007
Liu Shinhua 'Index Futures and Predictability of the Underlying Stocks'
Returns: The Case of the Nikkei 225' Journal of Financial Services
Research, Vol. 34, No. 1, 2008
Liu Shinhua 'Index Membership and Predictability of Stock Returns: The Case of
the Nikkei 225' Pacific-Basin Finance Journal, Forthcoming 2008
Liu Shinhua 'The Impacts of Index Options on the Underlying Stocks: The Case of
the S&P 100' Quarterly Review of Economics and Finance, Forthcoming 2008
Liu Weimin, Norman Strong 'Biases in Decomposing Holding-Period Portfolio
Returns' RFS V.21,#5 9/08
Löcherbach Eva, Dasha Loukianova 'On Nummelin Splitting for Continuous Time
Harris Recurrent Markov Processes and Application to Kernel Estimation for
Multi-Dimensional Diffusions' SP&A V.118,#8 Aug.08
Logan J. David 'An Introduction to Nonlinear Partial Differential Equations'
Wiley 2nd Ed. 2008
Løkka Arne, Mihail Zervos 'Optimal Dividend and Issuance of Equity Policies in
the Presence of Proportional Costs' Insurance: Mathematics and Economics
V.42,#3 June 08
Loretan Mico 'Generating Market Risk Scenarios Using Principal Components
Analysis:Methodological and Practical Considerations' FRB NY 1997
Love Ryan, Richard Payne 'Macroeconomic News, Order Flows, and Exchange Rates'
JF&QA V.43,#2 June 08
Lu Lei 'Asset Pricing and Welfare Analysis with Bounded Rational Investor' SSRN
Lu Lei, Benjamin Croitoru 'Asset Pricing in a Monetary Economy with
Heterogeneous Beliefs' SSRN 8/08
Lu Lei, Jingzhi Huang 'Macro Factors and Volatility of Bond Returns: Short- and
Long-Term Analysis' SSRN 8/08
Lustig Hanno, Stijn Van Nieuwerburgh 'The Returns on Human Capital: Good News
on Wall Street is Bad News on Main Street' RFS V.21,#5 9/08
Lutgens Frank, Peter Schotman 'Robust Portfolio Optimization with Multiple
Experts' SSRN July 2008
Ma Jin, Jie Shen, Yanhong Zhao 'On Numerical Approximations of Forward-Backward
Stochastic Differential Equations' SIAM J. Num. Analysis V. 46,#5 July
2008 <; four step scheme; Hermite-spectral method; convergence rate>
Ma Jun, Charles Nelson 'Valid Inference for a Class of Models Where Standard
Inference Performs Poorly; Including Nonlinear Regression, ARMA, GARCH,
and Unobserved Components' SSRN 9/08
Ma Yi, Allen Yang, Harm Derksen, Robert Fossum 'Estimation of Subspace
Arrangements with Applications in Modeling and Segmenting Mixed Data' SIAM
Review Sept. 2008 V.50,#3
MacKenzie Donald 'An Engine, Not a Camera: How Financial Models Shape Markets'
<inquiry not camera to reproduce empirical facts, LTCM, Mandelbrot's "wild
randomness"> 2006 MIT Press
Maillard Sébastien, Thierry Roncalli, Jerome Teiletche 'On the Properties of
Equally-Weighted Risk Contributions Portfolios' SSRN 9/08
Mamaysky Harry, Matthew Spiegel, Hong Zhang 'Estimating the Dynamics of Mutual
Fund Alphas and Betas' RFS Jan 2008 V. 21,#1
Mamoghli Chokri, Sami Daboussi 'Portfolio Optimization in a Downside Risk
Framework' <mean semi-variance> SSRN 8/08
Mamoghli Chokri, Sami Daboussi 'Valuation of Hedge Funds Portfolios In a
Downside Risk Framework' SSRN 8/08
Mania Michael, Revaz Tevzadze, Teimuraz Toronjadze 'Mean-Variance Hedging Under
Partial Information' SIAM J. Control and Opt. 9/08
Mao Xuerong, Yi Shen, Chenggui Yuan 'Almost Surely Asymptotic Stability of
Neutral Stochastic Differential Delay Equations with Markovian Switching'
SP&A V.118,#8 Aug.08
Marshall Ben, Rochester Cahan, Jared Cahan 'Technical Analysis Around the
World: Does it Ever Add Value?' SSRN 7/08
Martell Rodolfo 'Understanding Common Factors in Domestic and International
Bond Spreads' Review of Finance, Vol.12, Issue 2, 2008
Martellini Lionel 'Toward the Design of Better Equity Benchmarks:
Rehabilitating the Tangency Portfolio from Modern Portfolio Theory' J.
Portfolio Management Summer 2008
Mataramvura Sure, Bernt Øksendal 'Risk Minimizing Portfolios and HJBI Equations
for Stochastic Differential Games' Stochastics <S&SR> V.80,#4 2008
Medova Elena, J. K. Murphy, A. P. Owen, K. Rehman 'Individual Asset Liability
Management' Quantitative Finance, Volume 8 Issue 6 2008
Mehra Yash, Christopher Herrington 'On the Sources of Movements in Inflation
Expectations: A Few Insights from a VAR Model' FRB Richmond Review Spring
2008, V.94, #2
Meng Lei, Owain ap Gwilym 'The Determinants of CDS Bid-Ask Spreads' Journal of
Derivatives Fall 2008
Mercurio Fabio, Massimo Morini 'A Note on the SABR model (preliminary Form)'
Meucci Attilio 'Further Beyond Black-Litterman: Entropy-Pooling' RISK October
Meyer-Brandis Thilo 'Differential Equations Driven by Lévy White Noise in
Spaces of Hilbert Space-Valued Stochastic Distributions' Stochastics
<S&SR> V.80,#4 2008
Meyer-Brandis Thilo, Peter Tankov 'Multi-Factor Jump-Diffusion Models of
Electricity Prices' IJT&AF V.11,# 5 Aug. 2008
Meza Juan 'Drowning in a Sea of Data: the Need for New Mathematical Tools for
Petascale Data Analysis' SIAM News Sept. 2008
Milne Alistair, Geoffrey Wood 'Banking Crisis Solutions Old and New' FRB St.
Louis Sept/Oct 2008,V.90,#5
Minenna Marcello, Paolo Verzella 'A Revisited and Stable Fourier Transform
Method for Affine Jump Diffusion Models' J. Banking and Finance V.32,#10
Oct. 2008
Mirani R. 'Application of Duffy's Finite Difference Method to Barrier Options'
Datasim June 2002
Mishura Yuliya 'Stochastic Calculus for Fractional Brownian Motion and Related
Processes' Springer Lectures 1929, 2008 <Chapter 5 on finance>
Mizen Paul 'The Credit Crunch of 2007-2008: A Discussion of the Background,
Market Reactions, and Policy Responses' FRB St. Louis Sept/Oct
Mølgaard Rune 'Dynamic Asset Allocation in the Presence of Housing and
Incomplete Markets' SSRN 9/08
Monroe Itrel 'On Embedding Right Continuous Martingales in Brownian Motion'
Ann. Math. Statist., 43 1972
Moore Richard, Gino Biondini, William Kath 'A Method to Compute Statistics of
Large, Noise-Induced Perturbations of Nonlinear Schrödinger Solitons' SIAM
Review Sept. 2008 V.50,#3
Morone Andrea 'Financial Markets in the Laboratory: an Experimental Analysis of
Some Stylized Facts' QF V.8,#5 2008
Mougoué Mbodja 'An Empirical Re-Examination of the Dividend-Investment
Relation' QF V.8,#5 2008
Munk Claus 'Fixed Income Analysis: Securities, Pricing and Risk Management'
Jan. 2003
Muranaga Jun, Makoto Ohsawa 'Measurement of Liquidity Risk in the Context of
Market Risk Calculation' Bank of Japan 1997
Murphy David 'A Preliminary Enquiry into the Causes of the Credit Crunch' QF
V.8,#5 2008
Nahin Paul 'Digital Dice: Computational Solutions to Practical Probability
Problems' <Monte Carlo> Princeton Press 2008
Nahin Paul 'Duelling Idiots and Other Probability Puzzlers' <Monte Carlo>
Princeton Press 2002
Najnudel Joseph 'Penalizations of the Brownian Motion with a Functional of its
Local Times' SP&A V.118,#8 Aug.08
Narayanan M.P, H. Nejat Seyhun 'The Dating Game: Do Managers Designate Option
Grant Dates to Increase their Compensation?' RFS V.21,#5 9/08
Nawalkha Sanjay, Donald Chambers 'The Binomial Model and Risk Neutrality: Some
Important Details' SSRN 9/08
Nawalkha Sanjay, Gloria Soto 'Multifactor Models for Managing Interest Rate
Risk' SSRN 9/08
Ng Wing Lon 'Analyzing Liquidity and Absorption Limits of Electronic Markets
with Volume Durations' Quantitative Finance, V.8,#4 2008
Ni Sophie 'Stock Option Returns: A Puzzle' SSRN 9/08
Nicole El Karoui Nicole 'Pricing of CDOs via Stein Method' Presentation
Chicago-Paris Workshop in Financial Mathematics 6/08
Nimmanunta Kridsda, Anant Chiarawongse, Sunti Tirapat 'On Pricing CDOs with
Meixner Distributions' Journal of Fixed Income Summer 2008
Nossman Marcus, Anders Wilhelmsson 'Is the VIX Futures Market Able to Predict
the VIX Index? A Test of the Expectation Hypothesis' SSRN 9/08
Novikov Alexander, Nino Kordzakhia 'Martingales and First Passage Times of
AR(1) Sequences' Stochastics <S&SR> V.80,#2/3 2008
Novotny P., Jan Vecer 'Optimal Execution of a Large Portfolio - Multiple
Exercise Option Approach' 2008
Nyberg Peter 'The Role of Total Return Volatility in Driving the 'Idiosyncratic
Volatility Puzzle' SSRN 8/08
Obloj Jan 'A Complete Characterization of Local Martingales Which are Functions
of Brownian Motion and its Maximum' Bernoulli, 2006, Vol: 12
Obloj Jan 'Fine-Tune your Smile: Correction to Hagan et al'
http://arxiv.org/abs/0708.0998, Wilmott Magazine, May 2008.
Obloj Jan 'The Maximality Principle Revisited: On Certain Optimal Stopping
Problems' in: Donati-Martin, C., Émery, M., Rouault, A., Stricker, C.,
(ed), Seminaire de Probabilites XL, Springer, 2007
Obloj Jan 'The Skorokhod Embedding Problem and its Applications in Mathematical
Finance' article for the Encyclopedia of Quantitative Finance edited by
Rama Cont, John Wiley & Sons Ltd. <arbitrage> <Azéma-Yor stopping time,
Root stopping time, model-free pricing, robust pricing and hedging, one-
touch option, barrier option, superhedging,
Obloj Jan 'The Skorokhod Embedding Problem and its Offspring' Probability
Obloj Jan 'The Skorokhod Embedding Problem and Some Families of Brownian
Martingales' PhD U. Paris 2005
Obloj Jan, Marc Yor 'An Explicit Skorokhod Embedding for the Age of Brownian
Excursions and Azéma Martingale' SP&A, 2004, Vol: 110
Obloj Jan, Martijn Pistorius 'On an Explicit Skorokhod Embedding for Spectrally
Negative Levy Processes' http://arxiv.org/abs/math/0703597, to appear in
J. Theoret. Probab., electronic publication
O'Brien Peter, David Colwell 'Some Results on the Rational Lognormal Model and
its Jump Extension' SSRN 9/08
Oded Jacob, Allen Michel 'Stock Repurchases and the EPS Enhancement Fallacy'
FAJ July/Aug. 2008 V.64, #4
O'Leary Dianne, John Conroy 'Mining Multilingual Documents' SIAM News Sept.
O'Malley Robert 'Singularly Perturbed Linear Two-Point Boundary Value Problems'
SIAM Review Sept. 2008 V.50,#3
Osajima Yasufumi 'Generalized SABR Formula' Presentation Chicago-Paris Workshop
in Financial Mathematics 6/08
Ouknine Youssef, Djibril Ndiaye 'Sur L'Existence de Solutions d'équations
Différentielles Stochastiques Progréssives Rétrogrades Couplées'
Stochastics <S&SR> V.80,#4 2008
Ozdenoren Emre, Kathy Yuan 'Feedback Effects and Asset Prices' JofF V.63,# 4
Aug 2008
Packham Natalie, Wolfgang Schmidt ' Latin Hypercube Sampling with Dependence
and Applications in Finance' SSRN 9/08
Pagan A.R., M. Hashem Pesaran 'Econometric Analysis of Structural Systems with
Permanent and Transitory Shocks' JED&C V.32,#10 Oct. 2008
Paganopoulos Stylianos 'Calculating Bond Duration' SSRN 7/08
Paganopoulos Stylianos 'Deriving the Two-Factor Model of Fama & French (1992)'
SSRN 7/08
Panetta Fabio, Roberto Violi 'Is There an Equity Premium Puzzle in Italy? A
look at Asset Returns, Consumption and Financial Structure Data over the
Last Century' SSRN 9/08
Panloup Fabien 'Computation of the Invariant Measure for a Lévy Driven SDE:
Rate of Convergence' SP&A V.118,#8 Aug.08
Papatheodorou Theodore, Minas Koulisianis, Panagiotis Hadjidoukas 'Numerical
Methods for the American Option Valuation Problem and their Experimental
Comparative Evaluation' 16th IMACS World Congress, Lausanne, 2000
Parlour Christine, Andrew Winton 'Laying Off Credit Risk: Loan Sales versus
Credit Default Swaps' SSRN 9/08
Passalacqua Luca 'A Dynamic Programming Approach for the Valuation of Callable
Corporate Bonds within the CIR Framework' SSRN 8/08
Pätäri Eero 'Comparative Analysis of Total Risk-Based Performance Measures' J.
Risk V.10,#4
Paustian Matthias, Christian Stoltenberg 'Optimal Interest Rate Stabilization
in a Basic Sticky-Price Model' JED&C V.32,#10 Oct. 2008
Pelizzon Loriana, Guglielmo Weber 'Are Household Portfolios Efficient? An
Analysis Conditional on Housing' <liquid wealth> JF&QA V.43,#2 June 08
Pellizzari Paolo 'Efficient Monte Carlo Pricing of Basket Options' 1998
Pellizzari Paolo 'Efficient Monte Carlo Pricing of Portfolio options'
Rendiconti per gli Studi Economici Quantitativi, 108-123, 2000
Pemy Moustapha, Qing Zhang, G. George Yin 'Liquidation of a Large Block of
Stock with Regime Switching' Mathematical Finance V.18,#4 Oct. 2008
Peng Shige 'G-Expectation, Volatility Uncertainty and Viscosity Solutions'
Presentation Chicago-Paris Workshop in Financial Mathematics 6/08
Pericoli Marcello, Marco Taboga 'Canonical Term-Structure Models with
Observable Factors and the Dynamics of Bond Risk Premia' Journal of Money,
Credit, and Banking, 2008
Perkins Edwin 'The Cereteli-Davis Solution to the H1-Embedding Problem and an
Optimal Embedding in Brownian Motion' in Seminar on Stochastic Processes,
1985, V.12 of Progr. Probab. Statist., Birkhäuser 1986
Perot J.B., V. Subramaniana 'A Discrete Calculus Analysis of the Keller Box
Scheme and a Generalization of the Method to Arbitrary Meshes' J.
Computational Physics 9/07 <Minmetic>
Petajisto Antti 'Selection of an Optimal Index Rule for an Index Fund' SSRN
Pham Huyên, Peter Tankov 'A Model of Optimal Consumption Under Liquidity Risk
with Random Trading Times' Mathematical Finance V.18,#4 Oct. 2008
Pichler Pegaret, Alex Stomper, Christine Zulehner 'Why Leverage Affects
Pricing' RFS July 2008 V.21,#4
Pironneau Olivier 'Parameter Reduction by POD and Reduced Basis for Calibration
of Volatility Surface' Presentation Chicago-Paris Workshop in Financial
Mathematics 6/08
Pizzi Claudio, Pellizzari Paolo 'Monte Carlo Pricing of American Options Using
Nonparametric Regression' 2002
Politis Dimitris 'Model-free versus Model-based Volatility Prediction' Journal
of Financial Econometrics V.5, #3, Summer 2007
Pospisil Libor, Jan Vecer 'Portfolio Sensitivities to the Changes in the
Maximum and the Maximum Drawdown' 2008
Pospisil Libor, Jan Vecer, Mingxin Xu 'Tradeable Measures of Risk' 2008
Pospisil Libor, Jan Vecer, Olympia Hadjiliadis 'Formulas for Stopped Diffusion
Processes with Stopping Times based on Drawdowns and Drawups' 2008
Prather Laurie 'An Analysis of Australian Exchange Traded Options and Warrants'
Journal of Economics and Finance, Forthcoming SSRN 9/08
Primbs James, Yuji Yamada 'A New Computational Tool for Analyzing Dynamic
Hedging under Transaction Costs' Quantitative Finance, V.8,#4 2008
Pritsker Matthew 'Liquidity Risk and Positive Feedback' FRB NY 1997
Purnanandam Amiyatosh 'Originate-to-Distribute Model and Sub-Prime Mortgage
Crisis' SSRN 7/08
Quaranta Anna Grazia, Alberto Zaffaroni 'Robust Optimization of Conditional
Value at Risk and Portfolio Selection' J. Banking and Finance V.32,#10
Oct. 2008
Rajan Krishna 'Materials Informatics and Data Mining For Material Science' SIAM
News Sept. 2008
Raunig Burkhard 'Detecting Arch Effects in Non-Gaussian Time Series' Journal of
Financial Econometrics, Vol.6, Issue 2, 2008
Raviv Alon, Mordecai Avriel 'Inflation Derivatives under Inflation Target
Regimes' SSRN 8/08
Rivière Béatrice 'Finite Element Methods' SIAM Press 2008
Rocha N. C. S., M. D. Fragoso, Jan Vecer 'A Separation Principle for the
Continuous Time LQ-Problem with Markovian Jump Parameters' 2008
Rocheteau Guillaume 'Money and Competing Assets Under Private Information' SSRN
Rodrigues Anthony 'Term Structure and Volatility Shocks' FRB NY 1997
Rogers L.C.G. 'Contracting for Optimal Investment with Risk Control' 7/08
Rogers L.C.G., Luitgard Veraart 'A Stochastic Volatility Alternative to SABR'
July 2008 <volatility> <Smile>
Rogoff Kenneth, Vania Stavrakeva 'The Continuing Puzzle of Short Horizon
Exchange Rate Forecasting' SSRN 7/08
Root D.H. 'The Existence of Certain Stopping Times on Brownian Motion' Ann.
Math. Statist., 40 1969
Rosch Daniel, Birker Winterfeldt 'Estimating Credit Contagion in a Standard
Factor Model' < Basel > RISK Aug. 08
Roscoe D.F. 'New Methods for the Derivation of Stable Difference
Representations' J. Inst. Maths. Applic 16, 1975
Rosenbaum Mathieu 'Estimation of the Volatility Persistence in a Discretely
Observed Diffusion Model' SP&A V.118,#8 Aug.08
Rossberg A.G. 'Laplace Transforms of Probability Distributions and Their
Inversions are Easy on Logarithmic Scales' J. App. Prob. 2008
Rost H. 'Skorokhod Stopping Times of Minimal Variance' in Séminaire de
Probabilité X, Lecture Notes in Math., Vol. 511. Springer, Berlin, 1976
Rost H. 'The Stopping Distributions of a Markov Process' Invent. Math., 14,
Sadka Ronnie, Anna Scherbina 'Mispricing and Costly Arbitrage' SSRN 9/08
Saita Leandro 'The Puzzling Price of Corporate Default Risk' Stanford 2005
Samarski A.A. 'Some Questions from the General Theory of Difference Schemes'
Amer. Math. Soc. Trans. (2) V.105 1976
Santana Juan Camilo 'The Yield Curve: A Methodological Review and New
Approximations for Estimation' SSRN 9/08
Sarychev Andrey, Albert Shiryaev, Manuel Guerra, Maria do Rosário Grossinho
'Mathematical Control Theory and Finance' Springer Press Aug. 2008
Satchell Stephen, Ba M. Chu 'The Most Entropic Canonical Copula with an
Application to 'Style' Investment' SSRN 9/08
Saul’yev V.K. 'Integration of Equations of Parabolic Type by Methods of Nets'
Pergamon Press, New York (1960) <ADE, Alternating Direction Explcit>
Schankerman Mark 'Revisions of Investment Plans and the Stock Market Rate of
Return' SSRN July 2008
Scheicher Martin 'How has CDO Market Pricing Changed During the Turmoil?
Evidence from CDS Index Tranches' SSRN 7/08
Scheinkman Jose 'Long-Term Risk, an Operator Approach' Presentation Chicago-
Paris Workshop in Financial Mathematics 6/08
Schmidt Thorsten, Raquel Gaspar 'CDOs in the Light of the Current Crisis' SSRN
Schredelseker Klaus, Florian Hauser (Editors) 'Complexity and Artificial
Markets' (Lecture Notes in Economics and Mathematical Systems) Springer
Schwab Christoph 'Fast Numerical Solution of Kolmogoroff Equations Feller-Lévy
Processes' Presentation Chicago-Paris Workshop in Financial Mathematics
Semenov Andrei 'Historical Simulation Approach to the Estimation of Stochastic
Discount Factor Models' Quantitative Finance, V.8,#4 2008
Sharma Raghav, Siddhartha Shukla 'Credit Default Swaps: Opening a New Pandora's
Box' Sebi & Corporate Laws, Vol. 85, No. 10, 2008 SSRN 9/08
Shimizu Tokiko 'Dynamic Macro Stress Exercise Including Feedback Effect' Bank
of Japan 1997
Shkolnikov Yuriy 'Generalized Vanna-Volga Method and its Applications' SSRN
Silvennoinen Annastiina, Timo Teräsvirta 'Parameterizing Unconditional Skewness
in Models for Financial Time Series' Journal of Financial Econometrics,
Vol.6, Issue 2, 2008
Simin Timothy 'The Poor Predictive Performance of Asset Pricing Models' JF&QA
V.43,#2 June 08
Sipics Michelle 'Severe-Weather Experiment Puts Leading-edge Numerical Model
Technology to the Test' SIAM News July/Aug. 2008
Sircar Ronnie 'Games with Exhaustible Resources' Presentation Chicago-Paris
Workshop in Financial Mathematics 6/08
Siu Tak Kuen 'A Game Theoretic Approach to Option Valuation under Markovian
Regime-Switching Models' Insurance: Mathematics and Economics V.42,#3 June
Skovmand David, Peter Jørgensen 'The Valuation of Callable Bonds with Floored
CMS-spread Coupons Forthcoming Wilmott Magazine. 2008
Soner Mete 'Market Illiquidity and Second Order Backward SDEs' Presentation
Chicago-Paris Workshop in Financial Mathematics 6/08
Sotiropoulos Michael 'Volatility Trading and Timer Options' 9/23/08 slides
Sottinen Tommi, Esko Valkeila 'On Arbitrage and Replication in the Fractional
Black-Scholes Pricing Model' Statistics & Decisions , 21, 2003
Spiegel Matthew 'Forecasting the Equity Premium: Where We Stand Today' RFS July
2008 V.21,#4
Stehlikova Beata, Daniel Sevcovic 'Approximate Formulae for Pricing Zero-Coupon
Bonds and Their Asymptotic Analysis' International Journal of Numerical
Analysis and Modeling, Vol. 1, No. 1, 2008
Stevans Lonnie, David Sessions 'Speculation, Futures Prices, and the U.S. Real
Price of Crude Oil' SSRN 7/08
Stoyan Gisbert 'Monotone Difference Schemes for Diffusion-Convection Problems'
ZAMM 59, 1979
Strange Roger, Bruce Hearn 'Market Liquidity and Stock Size Premia in Emerging
Financial Markets: The Implications for Foreign Investment' SSRN 7/08
Stulz René 'Securities Laws, Disclosure, and National Capital Markets in the
Age of Financial Globalization' SSRN 7/08
Sun Yingjun 'High Order Methods for Evaluating Convertible Bonds' PhD U. North
Carolina 1999
Szado Edward, Hossein Kazemi 'Collaring the Cube: Protection Options for a QQQ
ETF Portfolio' SSRN 7/08
Takahashi Akihiko, Kohta Takehara 'Fourier Transform Method with an Asymptotic
Expansion Approach: an Application to Currency Options' IJT&AF June 2008
V.11, #4
Takamizawa Hideyuki 'Is Nonlinear Drift Implied by the Short End of the Term
Structure?' RFS Jan 2008 V. 21,#1
Tarashev Nikola, Haibin Zhu 'The Pricing of Correlated Default Risk: Evidence
from the Credit Derivatives Market' Journal of Fixed Income Summer 2008
Tauchen George, Ivan Shaliastovich 'Pricing Implications of Stochastic
Volatility, Business Cycle Time Change, and Non-Gaussianity' Economic
Research Initiatives at Duke (ERID) Working Paper No. 4 SSRN 8/08
Tauchen George, Tim Bollerslev, Hao Zhou 'Expected Stock Returns and Variance
Risk Premia' Economic Research Initiatives at Duke (ERID) Working Paper
No. 5 SSRN 8/08
Todorov Viktor, George Tauchen 'Volatility Jumps' Economic Research Initiatives
at Duke (ERID) Working Paper No. 3 SSRN 8/08
Trolle Anders, Eduardo Schwartz 'Variance Risk Premia in Energy Commodities'
SSRN July 2008
Turner John, Andy White ' Los Alamos National Lab and IBM Bring Computing into
the Petascale Era' SIAM News July/Aug. 2008
Vallois Pierre 'Le Problème de Skorokhod sur R: une Approche avec le Temps
Local' in Séminaire de Probabilités, XVII, volume 986 of Lecture Notes in
Math., Springer, Berlin, 1983
Van Binsbergen Jules, Michael Brandt, Ralph Koijen 'Optimal Decentralized
Investment Management' JofF V.63,# 4 Aug 2008
Van Deventer Donald, Kenji Imai 'Financial Risk Analysis' McGraw-Hill 1997
Vandaele Nele, Michèle Vanmaele 'A Locally Risk-Minimizing Hedging Strategy for
Unit-Linked Life Insurance Contracts in a Lévy Process Financial Market'
Insurance: Mathematics and Economics V.42,#3 June 08
Vanduffel Steven, Zhaoning Shang, Luc Henrard, Jan Dhaene, Emiliano Valdez
'Analytic Bounds and Approximations for Annuities and Asian Options'
Insurance: Mathematics and Economics V.42,#3 June 08
Vecer Jan 'Preventing Portfolio Losses by Hedging Maximum Drawdown', Wilmott,
Vol. 5, No. 4 2007
Wang Ashley, Lu Zheng 'Aggregate Hedge Fund Flows and Asset Returns' SSRN 8/08
Wang Jr-Yan 'Variance Reduction for Multivariate Monte Carlo Simulation'
Journal of Derivatives Fall 2008
Wang Lihe 'On the Regularity Theory of Fully Nonlinear Parabolic Equations:I'
Comm. Pure Appl. Math XLV 1992
Wang Lihe 'On the Regularity Theory of Fully Nonlinear Parabolic Equations:II'
Comm. Pure Appl. Math XLV 1992
Wang Lihe 'On the Regularity Theory of Fully Nonlinear Parabolic Equations:III'
Comm. Pure Appl. Math XLV 1992
Wang Lihe 'On the Regularity Theory of Fully Nonlinear Parabolic Equations'
Comm. AMS Jan. 1990
Wang Tao, Jingtao Wu, Jian Yang 'Realized Volatility and Correlation In Energy
Futures Markets' J. Futures Markets V.28, #10 Oct. 2008
Wang Wenqia 'A Class of Alternating Segment Crank–Nicolson Methods for Solving
Convection-Diffusion Equations' Computing V.73,#1 2004
Wang Xuewu 'Informed Option Trading around Merger Announcements' SSRN July 2008
Weaver Robert 'Heterogeneous Expectations of Traders in Speculative Markets'
SSRN 8/08
Welch Ivo 'The Link between Fama-French Time-Series Tests and Fama-Macbeth
Cross-Sectional Tests' SSRN 9/08
Welch Ivo, Amit Goyal 'A Comprehensive Look at The Empirical Performance of
Equity Premium Prediction' RFS July 2008 V.21,#4
Wilson Linus, Yan Wu 'Options-Based Pay with Overvalued Equity' SSRN 9/08
Windisch David 'On the Disconnection of a Discrete Cylinder by a Biased Random
Walk' Annals of Applied Probability V.18,# 4 Aug. 2008
Wu Wei Biao, Keming Yu, Gautam Mitra 'Kernel Conditional Quantile Estimation
for Stationary Processes with Application to Conditional Value-at-Risk'
Journal of Financial Econometrics, Vol.6, Issue 2, 2008
Xanthopoulos S.Z., A.N. Yannacopoulos 'Scenarios for Price Determination in
Incomplete Markets' IJT&AF V.11, #5 Aug. 2008
Xie Shuxiang, Zhongfei Li, Shouyang Wang 'Continuous-Time Portfolio Selection
with Liability: Mean–Variance Model and Stochastic LQ Approach' Insurance:
Mathematics and Economics V.42,#3 June 08
Xing Yuhang 'Interpreting the Value Effect Through the Q-Theory: An Empirical
Investigation' RFS July 2008 V.21,#4
Ye Jia 'How Variation in Signal Quality Affects Performance' FAJ July/Aug. 2008
V.64, #4
Yin G., Hanquin Zhang 'Discrete-Time Markov Chains with Two-Time Scales and a
Countable State Space: Limit Results and Queueing Applications'
Stochastics <S&SR> V.80,#4 2008
Yiu Chung Yim Edward 'Why Forward Sales of Housing Survive? - A Theoretical
Model' SSRN 9/08
Yukalov Vyacheslav, Didier Sornette 'Mathematical Basis of Quantum Decision
Theory' Swiss Finance Institute Research Paper No. 08-25 SSRN 9/08
Zapatero Fernando, Ming Ji 'Empirical Performance of Lévy Option Pricing
Models' SSRN 9/08
Zapranis Achilleas, Antonis Alexandridis 'Modelling the Temperature Time-
dependent Speed of Mean Reversion in the Context of Weather Derivatives
Pricing' Applied Mathematical Finance V.15,#4 2008
Zhang Frank Xiaoling 'Market Expectations and Default Risk Premium in Credit
Default Swap Prices: A Study of Argentine Default' Journal of Fixed Income
Summer 2008
Zhang Jianfeng 'Impulse Control and Utility Optimization under General
Transaction Costs' Presentation Chicago-Paris Workshop in Financial
Mathematics 6/08
Zhang Jing, Dominique Guégan 'Pricing Bivariate Option under GARCH Processes
with Time-Varying Copula' Insurance: Mathematics and Economics V.42,#3
June 08
Zhao Jing, Hoi Ying Wong 'A Closed-Form Solution to American Options under
General Diffusions' SSRN July 2008
Zhao Yonggan 'Equity Risk Premium and Volatility: A Correlation Structure' SSRN
Zhou Guofu 'On the Fundamental Law of Active Portfolio Management: What Happens
If Our Estimates Are Wrong?' J. Portfolio Management Summer 2008
Zhou Richard 'Bond Implied CDS Spread and CDS-Bond Basis' SSRN 9/08
Zhu Jianwei 'A Simple and Exact Simulation Approach to Heston Model' SSRN 7/08
Zhu Zhongyan 'Can the Performance of Structural Corporate Bond Models Be
Improved?' SSRN 9/08
Zhuanga Yu 'An Alternating Explicit–Implicit Domain Decomposition Method For
The Parallel Solution Of Parabolic Equations' J. Computational and Applied
Math. V.206, #1 9/07 <ADE>
Zou Hong, Mike Adams 'Debt Capacity, Cost of Debt, and Corporate Insurance'
<Chinese listed companies> JF&QA V.43,#2 June 08