New July 09

Aas Kjersti, Claudia Czado, Arnoldo Frigessi, Henrik Bakken 'Pair-Copula
Constructions of Multiple Dependence' Insurance: Mathematics and Economics

V.44,#2 April 2009
Acciaio Beatrice, Gregor Svindland 'Optimal Risk Sharing with Different
Reference Probabilities' Insurance: Mathematics and Economics V.44,#3 June
2009
Acemoglu Daron, Simon Johnson, Todd Mitton 'Determinants of Vertical
Integration: Financial Development and Contracting Costs' JofF V.64,#3
June 2009
Adam Tim 'Capital Expenditures, Financial Constraints, and the Use of Options'
JFE V.92,#2 May 2009
Adam-Müller Axel, Argyro Panaretou 'Risk Management with Options and Futures
under Liquidity Risk' Journal of Futures Markets V.29,#4 April 2009
Adams James, Donald Smith 'Mind the Gap: Using Derivatives Overlays to Hedge
Pension Duration' FAJ July/Aug. 2009 V.65,#4
Adolfsson T., Carl Chiarella, Andrew Ziogas 'Representation and Numerical
Approximation of American Option Pricesunder Heston Stochastic Volatility
Dynamics' QFR Center U. Tech. Sydney 2007
Adrain Tobias, Markus Brunnermeier 'CoVaR 3/09 <Systemic Risk, Adverse Feedback
Loop, Endogenous Risk, Risk Spillovers, Financial Architecture, risk in
industries>
Afonso Antonio, Pedro Gomes, Philipp Rother 'Ordered Response Models for
Sovereign Debt Ratings' Applied Economics Letters, V.16,#8, 2009
Agarwal Vikas, Nicole Boyson, Narayan Naik 'Hedge Funds for Retail Investors? An
Examination of Hedged Mutual Funds' JF&QA April 2009 V.44,#2
Ahlip Rehez, Marek Rutkowski 'Forward Start Options under Stochastic Volatility
and Stochastic Interest Rates' IJT&AF V.12,#2 March 2009
Airoldi Lisa, Klaus Spremann 'On the Relationship between Financial Returns and
Macroeconomic Factors' SSRN 4/09
Aït-Sahalia Yacine, Jean Jacod 'Estimating the Degree of Activity of Jumps in
High Frequency Data' tobe Annals of Statistics
Aït-Sahalia Yacine, Jean Jacod 'Testing for Jumps in a Discretely Observed
Process' Annals of Statistics, 2009, 37(1)
Aït-Sahalia Yacine, Jialin Yu 'High Frequency Market Microstructure Noise
Estimates and Liquidity Measures' Annals of Applied Statistics, 2009, 3(1)
Aït-Sahalia Yacine, Jianqing Fan, Heng Peng 'Nonparametric Transition-Based
Tests for Diffusions' JASA tobe 2009-06-27
Aït-Sahalia Yacine, Julio Cacho-Diaz, Thomas Hurd 'Portfolio Choice with a
Jumps: A Closed Form Solution' Annals of Applied Probability, 2009, 19(2)
Albrecher Hansjörg, Stefan Thonhauser 'Optimal Dividend Strategies for a Risk
Process Under Force of Interest' Insurance: Mathematics and Economics
V.43,#1 August 2008
Alcock Jamie, Diana Auerswald 'Empirical Tests of Canonical Nonparametric
American Option Pricing Methods' SSRN 5/09
Alexander Carol, Aanand Venkatramanan 'Analytic Approximations for Multi-Asset
Option Pricing' SSRN 6/09
Alexandridis George, Dimitris Petmezas, Nickolaos Travlos 'Gains from M&As
Around the World: New Evidence' SSRN 7/09
Alghalith Moawia 'A New Stochastic Factor Model: General Explicit Solutions'
SSRN 4/09
Alghalith Moawia 'A New Stopping Time and American Options Model: A Solution to
the Free-Boundary Problem' SSRN 5/09
Alghalith Moawia 'Generalized Stochastic Processes' SSRN 5/09
Almeida Caio, José Vicente 'Are Interest Rate Options Important for the
Assessment of Interest Rate Risk?' J. Banking and Finance V.33,#8 Aug.
2009
Alobaidi Ghada,Roland Mallier 'Installment Options Close to Expiry' Journal of
Applied Mathematics and Stochastic Analysis V.2006
Alonso Pablo de Andrés, Pedro Fortuny-Ayuso, Gabriel de la Fuente-Herrero
'Estimating the Assets-in-Place Beta: A Feedback Algorithm' SSRN 5/09
Alòs Elisa, Jorge León, Monique Pontier, Josep Vives 'A Hull and White Formula
for a General Stochastic Volatility Jump-Diffusion Model with Applications
to the Study of the Short-Time Behavior of the Implied Volatility' Journal
of Applied Mathematics and Stochastic Analysis V.2008
Altinkilic Oya, Robert Hansen 'On the Information Role of Stock Recommendation
Revisions' Journal of Accounting & Economics (JAE), Forthcoming SSRN 6/09
Altissimo Filippo, Antonio Mele 'Simulated Non-Parametric Estimation of Dynamic
Models' Review of Economic Studies, V. 76, #2, April 2009
Altman Edward 'Default Recovery Rates and LGD in Credit Risk Modeling and
Practice: an updated Review of the Literature and Empirical Evidence' 2006
w.p. NYU
Altman Edward, Brenda Karlin 'The Re-Emergence of Distressed Exchanges in
Corporate Restructurings' J. Credit Risk V.5,#2 2009
Alvarez Luis H.R., Teppo Rakkolainen 'On Singular Stochastic Control and Optimal
Stopping of Spectrally Negative Jump Diffusions' Stochastics V.81,#1 2009
Alvarez Luis, Teppo Rakkolainen 'Optimal Payout Policy in Presence of Downside
Risk' Mathematical Methods of Operations Research V.69,#1 March 2009
Ambrose Brent, Nianyun Cai, Jean Helwege 'Fallen Angels and Price Pressure' SSRN
5/09
Amraoui Salah, Sebastien Hitier 'Optimal Stochastic Recovery for Base
Correlation' w.p. BNP Paribas 2008
An Ta Thi Kieu, Bernt Øksendal, Frank Proske 'A Maximum Principle Approach to
Risk Indifference Pricing with Partial Information' Journal of Applied
Mathematics and Stochastic Analysis V.2008
Andergassen Rainer, Luigi Sereno 'The Valuation of N-Phased Investment Projects
Under Jump-Diffusion Processes' SSRN 5/09
Andersen Allan Sall Tang 'A Tractable Heath-Jarrow-Morton Framework Based on
Time Changed Levy Processes' SSRN 4/09
Andersen Allan Sall Tang 'Inflation Modelling Using Time Changed Levy Processes'
SSRN 4/09
Anderson Richard, Charles Gascon 'Estimating U.S. Output Growth with Vintage
Data in a State-Space Framework' Review FRB St. Louis July/Aug. 2009 V.
91, # 4
Andersson Håkan, Andreas Lindell 'Risk Capital Stress-Testing Framework and the
New Capital Adequacy Rules' Journal of Risk Model Validation V.1, #3 Fall
2007
Andreou Panayiotis 'A Volatility Smirk that Defaults: The Case of the S&P 500
Index Options' SSRN 6/09
Andrews Donald, Patrik Guggenberger 'Hybrid and Size-Corrected Subsampling
Methods' Econometrica May 2009 V.77,#3
Angelidis Timotheos, Stavros Degiannakis 'Backtesting VaR Models: a Two-Stage
Procedure' Journal of Risk Model Validation V.1, #2 Summer 2007
Antioch Lawrence 'Recalibrating Credit Risk Models – a Theoretical Perspective
with Practical Implications' Journal of Risk Model Validation V.2, #3 Fall
2008
Antonov Alexandre, Timur Misirpashaev 'Markovian Projection onto a Displaced
Diffusion: Generic Formulas with Applications' IJT&AF V.12,#4 June 2009
Antonov Alexandre, Timur Misirpashaev 'Projection on a Quadratic Model by
Asymptotic Expansion with an Application to LMM Swaption' SSRN 6/09
Anufriev Mikhail, Valentyn Panchenko 'Asset Prices, Traders Behavior and Market
Design' JED&C May 2009 V.33,#5
Appleby John, Huizhong Wu 'Solutions of Stochastic Differential Equations
Obeying the Law of the Iterated Logarithm, with Applications to Financial
Markets' Electronic J. of Probability V.14 2009
Apreda Rodolfo 'Differential Rates and Information Sets' SSRN 5/09
Apreda Rodolfo 'The Brokerage of Asymmetric Information' SSRN 5/09
Apreda Rodolfo 'Transactionally Efficient Markets, Dynamic Arbitrage and
Microstructure' SSRN 5/09
Ardia David 'Bayesian Estimation of a Markov-Switching Threshold Asymmetric
GARCH Model with Student-T Innovations' Econometrics Journal, V. 12,
#1, March 2009
Arnold Robert 'The Challenges of Estimating Potential Output in Real Time'
Review FRB St. Louis July/Aug. 2009 V. 91, # 4
Arnold Tom, Timothy Falcon Crack, Adam Schwartz 'Inferring Risk-Averse
Probability Distributions from Option Prices Using Implied Binomial Trees:
Additional Theory and Extensions' SSRN June 2009
Arnott Robert, Feifei Li, Katrina Sherrerd 'Clairvoyant Value and the Value
Effect' J. Portfolio Management Spring 2009
Arrow Kenneth 'An Extension of the Basic Theorems of Classical Welfare
Economics' 1951
Arya Anil, Joel Demski, Jonathan Glover, Pierre Liang 'Quasi-Robust Multiagent
Contracts' Management Science V.55,#5 May 2009
Asai Manabu 'Bayesian Analysis of Stochastic Volatility Models with Mixture-Of-
Normal Distributions' Mathematics and Computers in Simulation V.79,#8
April 2009
Ash Robert 'Measure, Integration and Functional Analysis' Academic Press 1972
Asparouhova Elena, Michael Hertzel, Michael Lemmon 'Inference from Streaks in
Random Outcomes: Experimental Evidence on Beliefs in Regime-Shifting and
the Law of Small Numbers' SSRN 6/09
Asparouhova Elena, Peter Bossaerts , Jon Eguia, William Zame 'Cognitive Biases,
Ambiguity Aversion and Asset Pricing in Financial Markets' SSRN 5/09
Assenza Tiziana, Michele Berardi 'Learning in a Credit Economy' JED&C May 2009
V.33,#5
Athreya Kartik, Devin Reilly 'Consumption Smoothing and the Measured
Regressivity of Consumption Taxes' FRB Richmond Economic Quarterly V.95,#1
Winter 2009
Athreya Siva, V.S. Sunder 'Measure and Probability' 2009 CRC Press
Atiya Amir, Steve Wall 'An Analytic Approximation of the Likelihood Function for
the Heston Model Volatility Estimation Problem' QF V.9,#3 2009
Atkinson Colin 'A Free Boundary Problem of a Real Option Model' SIAM J. Appl.
Math. V.69, #6, 2009
Atkinson Colin, S. Kazantzaki 'Double Knock-Out Asian Barrier Options Which
Widen or Contract As They Approach Maturity' QF V.9,#3 2009
Aue Alexander, Lajos Horváth, Clifford Hurvich 'Limit Laws in Transaction-Level
Asset Price Models' SSRN 6/09
Autore Don, Randall Billingsley, Tunde Kovacs 'Short Sale Constraints,
Dispersion of Opinion, and Market Quality: Evidence from the Short Sale
Ban on U.S. Financial Stocks' SSRN 6/09
Avellaneda Marco, Mike Lipkin 'A Dynamic Model for Hard-To-Borrow Stocks' RISK
June 2009
Avellaneda Marco, Stanley Jiang Zhang 'Path-Dependence of Leveraged ETF Returns'
SSRN 5/09
Avikainen Rainer 'On Irregular Functionals of SDEs and the Euler Scheme' Finance
and Stochastics V.13,#3,Part 1, Sept. 09
Baba Naohiko 'Dynamic Spillover of Money Market Turmoil from FX Swap to Cross-
Currency Swap Markets: Evidence from the 2007-08 Turmoil' Journal of Fixed
Income Spring 2009
Baccara Mariagiovanna, Fulvio Ortu, Anna Battauz 'Effective Vs. Efficient
Securities in Arbitrage-Free Markets with Bid-Ask Spreads: A Linear
Programming Characterization' SSRN 5/09
Bachelier Louis 'Theory of Speculation' 1900 in P. Cootner 'Random Character of
Stock Market Prices'
Badescu Alexandru, Reg Kulperger 'GARCH Option Pricing: a Semiparametric
Approach' Insurance: Mathematics and Economics V.43,#1 August 2008
Badescu Andrei, Eric Cheung, David Landriault 'Dependent Risk Models with
Bivariate Phase-Type Distributions' J. Applied Prob. V.46,#1 March 2009
Bai Zhidong, Wing-Keung Wong 'A Note on the Stochastic Dominance Test
Statistics' SSRN 6/09
Baillie Richard, Claudio Morana 'Modelling Long Memory and Structural Breaks in
Conditional Variances: an Adaptive Figarch Approach' V.33,#8 Aug. 2009
Baker Malcolm, Jeffrey Wurgler, Yu Yuan 'Global, Local, and Contagious Investor
Sentiment' SSRN 6/09
Ballotta Laura, Ioannis Kyriakou 'A Fourier Transform-Based Method for
Convertible Bonds in a Jump Diffusion Setting with Stochastic Interest
Rate' SSRN 7/09
Baltutis Mindaugas 'Non-Stationary Stock Returns and Time to Revise the Optimal
Portfolio' SSRN 5/09
Baltutis Mindaugas, Engelbert Dockner 'Do Conditional Covariance Estimates
Generate Value?' SSRN 5/09
Balvers Balvers, Dayong Huang 'Evaluation of Linear Asset Pricing Models by
Implied Portfolio Performance' J. Banking and Finance V.33,#9 Sept. 2009
Balvers Ronald, Dayong Huang 'Money and the C-CAPM' JF&QA April 2009 V.44,#2
Balyeat R. Brian, Jayaram Muthuswamy 'The Correlation Structure of Unexpected
Returns in U.S. Equities' Financial Review, V.44,#2, May 2009
Bams Dennis, Thorsten Lehnert, Christian Wolff 'Loss Functions in Option
Valuation: A Framework for Selection' Management Science V.55,#5 May 2009
Barbarin Jérôme 'Heath–Jarrow–Morton Modelling of Longevity Bonds and the Risk
Minimization of Life Insurance Portfolios' Insurance: Mathematics and
Economics V.43,#1 August 2008
Barclay Michael, Clifford Holderness, Dennis Sheehan 'Dividends and Corporate
Shareholders' RFS V.22, #6 June 2009
Barndorff-Nielsen Ole, José Manuel Corcuera, Mark Podolskij 'Power Variation for
Gaussian Processes with Stationary Increments' SP&A V.119,#6 June 2009
Barndorff-Nielsen Ole, José Manuel Corcuera, Mark Podolskij, Jeannette Woerner
'Bipower Variation for Gaussian Processes with Stationary Increments' J.
Applied Prob. V.46,#1 March 2009
Barnett Russell, Sharon Kozicki, Christopher Petrinec 'Parsing Shocks: Real-Time
Revisions to Gap and Growth Projections for Canada' Review FRB St. Louis
July/Aug. 2009 V. 91, # 4
Barou Olivier, Sandrine Bouthemy, Gilles Pagès 'Optimal Quantization for the
Pricing of Swing Options' Applied Math. Finance V.16,#2 2009
Barraclough Kathryn, Hans Stoll, Robert Whaley 'Special Dividends and Stock
Option Contract Adjustments' SSRN July 2009
Bartram Sohnke, Gregory Brown, René Stulz 'Why Do Foreign Firms Have Less
Idiosyncratic Risk than U.S. Firms?' SSRN 6/09
Baruch Shmuel, Gideon Saar 'Asset Returns and the Listing Choice of Firms' RFS
V.22, #6 June 2009
Baryshevsky Dmitry 'Timing and Volatility Quantitative Model' SSRN 6/09
Basak Suleyman, Georgy Chabakauri 'Dynamic Mean-Variance Asset Allocation' SSRN
5/09
Basu Anup, Michael Drew 'Portfolio Size Effect in Retirement Accounts: What Does
It Imply for Lifecycle Asset Allocation Funds?' J. Portfolio Management
Spring 2009
Basu Susanto, John Fernald 'What Do We Know (And Not Know) About Potential
Output? Review FRB St. Louis July/Aug. 2009 V. 91, # 4
Bates David 'Dollar Jump Fears, 1984-1992: Distributional Abnormalities Implicit
in Currency Future Options' Journal of International Money and Finance
1996
Bäuerle Nicole, Ulrich Rieder 'MDP Algorithms for Portfolio Optimization
Problems in Pure Jump Markets' Finance and Stochastics V.13,#3,Part 2,
Sept. 09
Bayraktar Erhan, Hao Xing 'Analysis of the Optimal Exercise Boundary of American
Options for Jump Diffusions' SIAM J. Math. Anal. V.41,#2, pp. 825-860
(2009) <Puts, integro-differential equations, parabolic differential
equations>
Bayraktar Erhan, Virginia R. Young 'Minimizing the Probability of Lifetime Ruin
Under Borrowing Constraints' Insurance: Mathematics and Economics V.41,#1
July 07
Baysal Evren 'Dissertation: Advances in Risk Management Simulation' 2008 PhD
Northwestern U.-IEMS
Beattie Christopher, Serkan Gugercin 'Theory, Algorithms, Applications: Advances
in Model Reduction' SIAM News June 2009
Beghin Luisa, Enzo Orsingher 'Iterated Elastic Brownian Motions and Fractional
Diffusion Equations' SP&A V.119,#6 June 2009
Beja Avraham 'The Structure of the Cost of Capital under Uncertainty' Review of
Economic Studies (38) 1971 <linear asset pricing function but not applied
to arbitrage>
Bekaert Geert, Marie Hoerova, Martin Scheicher 'What Do Asset Prices Have to Say
About Risk Appetite and Uncertainty?' SSRN 4/09
Bekker René, Onno Boxma, Jacques Resing 'Lévy Processes with Adaptable Exponent'
Advances in Applied Probability V.41,#1 March 2009
Belomestny Denis, Grigori Milstein, Vladimir Spokoiny 'Regression Methods In
Pricing American and Bermudan Options Using Consumption Processes' QF
V.9,#3 2009
Beltratti Andrea, Claudio Morana 'Aggregate Hedge Funds Flows and Returns'
Applied Financial Economics, V. 18, 2008
Benaim Shalom, Peter Friz, Roger Lee 'On Black-Scholes Implied Volatility at
Extreme Strikes' in Frontiers in Quantitative Finance: Volatility and
Credit Risk Modeling Rama Cont (Ed) Wiley 2009
Benhamou Eric, Emmanuel Gobet, Mohammed Miri 'Smart Expansion and Fast
Calibration for Jump Diffusions' Finance and Stochastics V.13,#3,Part 2,
Sept. 09
Benmelech Effi, Jennifer Dlugosz 'The Credit Rating Crisis' SSRN 6/09
Benmelech Efraim, Jennifer Dlugosz 'The Alchemy of CDO Credit Ratings' SSRN 4/09
Benmelech Efraim, Nittai Bergman 'Collateral Pricing' JFE V.91,#3 March 2009
Benner Wolfgang, Lyudmil Zyapkov, Stephan Jortzik 'A Multi-Factor Cross-Currency
LIBOR Market Model' J. Derivatives Summer 2009 V.16,#4 <term structure]
<LMM, Piterbarg--short rate, Dupire, Gyöngy>
Benth Fred Espen, Frank Proske 'Utility Indifference Pricing of Interest-Rate
Guarantees' IJT&AF V.12,#1 Feb. 2009
Benth Fred Espen, Rodwell Kufakunesu 'Pricing of Exotic Energy Derivatives Based
on Arithmetic Spot Models' IJT&AF V.12,#4 June 2009
Bera Anil, Sung Park 'Optimal Portfolio Diversification using Maximum Entropy'
wp 2004
Beracha Eli, Mark Hirschey 'When Will Housing Recover?' FAJ V.65,#2 March/April
2009
Bercu Bernard, Peggy Cénac, Guy Fayolle 'On the Almost Sure Central Limit
Theorem for Vector Martingales: Convergence of Moments and Statistical
Applications' J. Applied Prob. V.46,#1 March 2009
Berg Tobias 'The Term Structure of Risk Premia: New Evidence from the Financial
Crisis' SSRN 5/09
Bergomi Lorenzo 'Dynamic Properties of Smile Models' in Frontiers in
Quantitative Finance: Volatility and Credit Risk Modeling Rama Cont (Ed)
Wiley 2009
Bernard Carole, Mario Ghossoub 'Static Portfolio Choice under Cumulative
Prospect Theory' SSRN 5/09
Bernard Carole, Phelim Boyle 'Monte Carlo Methods for Pricing Discrete Parisian
Options' SSRN July 2009
Bernard Carole, Phelim Boyle 'Mr. Madoff's Amazing Returns: An Analysis of the
Split-Strike Conversion Strategy' SSRN 5/14/09
Bernstein Daniel 'Post Quantum Cryptography' 2009 Springer Press
Beumee Johan, Damiano Brigo, Daniel Schiemert, Gareth Stoyle 'Charting a Course
through the CDS Big Bang' SSRN 4/09
Beyer Philipp, Joerg Kienitz 'Pricing Forward Start Options in Models Based on
(Time-Changed) Levy Processes' The Icfai University Journal of Derivatives
Markets, Vol. VI, #2, April 2009
Bhamra Harjoat, Raman Uppal 'The Effect of Introducing a Non-Redundant
Derivative on the Volatility of Stock-Market Returns When Agents Differ in
Risk Aversion' RFS V.22, #6 June 2009
Bhandari Amit 'The Impact of Consumption and Liquidity Constraints on Optimal
Consumption and Investment Decisions' 2008 PhD Northwestern U.-IEMS
Bhansali Vineer 'Tail-Risk Management: an Investor’s Perspective' J. Credit
Risk V.5,#2 2009
Bhansali Vineer, Yonathan Schwarzkopf, Mark Wise 'Modeling Swap Spreads in
Normal and Stressed Environments' Journal of Fixed Income Spring 2009
Bhar Ramaprasad, Carl Chiarella, Wolfgang Runggaldier 'Estimation in Models of
the Instantaneous Short Term Interest Rate by Use of a Dynamic Bayesian
Algorithm' in K. Sandmann, P. Schönbucher (ed) Advances in Finance &
Stochastics 2002
Bhar Ramaprasad, David Colwell, Peipei Wang 'Characteristic of Implied
Volatility of CDSwaptions in ITraxx Market and its Relationship to Stock
Market' SSRN 5/09
Bhattacharya Joydeep, Joseph Haslag, Antoine Martin 'Why Does Overnight
Liquidity Cost More than Intraday Liquidity?' JED&C 6/09 V.33,#6
Bhojraj Sanjeev, Partha Sengupta, Suning Zhang 'Restructuring Charges,
Regulatory Changes and the Accruals Anomaly' SSRN June 2009
Bhojraj Sanjeev, Robert Bloomfield, William Tayler 'Margin Trading, Overpricing,
and Synchronization Risk' RFS V.22,#5 May 2009
Biagini Francesca, Yuliya Bregman, Thilo Meyer-Brandis 'Pricing of Catastrophe
Insurance Options Written On a Loss Index with Reestimation' Insurance:
Mathematics and Economics V.43,#2 Oct. 2008
Bianco Simone, Roberto Renò 'Unexpected Volatility and Intraday Serial
Correlation' QF V.9,#4 2009
Biard Romain, Claude Lefèvre, Stéphane Loisel 'Impact of Correlation Crises In
Risk Theory: Asymptotics of Finite-Time Ruin Probabilities for Heavy-
Tailed Claim Amounts When Some Independence and Stationarity Assumptions
Are Relaxed' Insurance: Mathematics and Economics V.43,#3 Dec. 2008
Bichteler Klaus 'Stochastic Integration and Lp-Theory of
Semimartingales' Technical report No. 5, U. of Texas (1979).
Bidarkota Prasad, Brice Dupoyet, J. Huston McCulloch 'Asset Pricing with
Incomplete Information and Fat Tails' JED&C 6/09 V.33,#6
Bielecki Tomasz, Monique Jeanblanc, Marek Rutkowski 'Hedging of Credit Default
Swaptions in a Hazard Process Model' UNSW 2008
Biffis Enrico, David Blake 'Securitizing and Tranching Longevity Exposures' SSRN
5/09
Bilias Yannis, Dimitris Georgarakos, Michael Haliassos 'Portfolio Inertia and
Stock Market Fluctuations' SSRN 4/09
Billio Monica, Massimiliano Caporin 'A Generalized Dynamic Conditional
Correlation Model for Portfolio Risk Evaluation' Mathematics and Computers
in Simulation V.79,#8 April 2009
Birru Justin, Stephen Figlewski 'Anatomy of a Meltdown: The Risk Neutral Density
for the S&P 500 in the Fall of 2008' SSRN 5/09
Biswas Rita, David Buzen, Hany Shawky 'The Case for Covered Bonds: An
Alternative Funding Model for the US Mortgage Market' SSRN 6/09
Bjørnland Hilde 'Oil Price Shocks and Stock Market Booms in an Oil Exporting
Country' Scottish Journal of Political Economy, V. 56, # 2, May 2009
Blanchette François, Yue Lei 'Energy Considerations for Multiphase Fluids with
Variable Density and Surface Tension' Control' SIAM Review June 2009 V.
51,#2
Blaskowitz Oliver, Helmut Herwartz 'PCA-Based Ex-Ante Forecasting of Swap Term
Structures' IJT&AF V.12,#4 June 2009
Bleichrodt Han, Ulrich Schmidt 'Additive Utility in Prospect Theory' Management
Science V.55,#5 May 2009
Blöchwitz Stefan 'Validation of Banks Internal Rating Systems: a Challenging
Task?' Journal of Risk Model Validation V.1, #4 Winter 2007/2008
Bloom Nicholas 'The Impact of Uncertainty Shocks' Econometrica May 2009 V.77,#3
Bloomfield Robert, Maureen O’Hara, Gideon Saar 'How Noise Trading Affects
Markets: An Experimental Analysis' RFS V.22, #6 June 2009
Blume Lawrence, David Easley 'The Market Organism: Long-Run Survival in Markets
with Heterogeneous Traders' JED&C May 2009 V.33,#5
Böcker Klaus, Martin Hillebrand 'Interaction of Market And Credit Risk: An
Analysis Of Inter-Risk Correlation And Risk Aggregation' J. Risk V.11,#4
Summer 2009
Bodnar Taras 'An Exact Test on Structural Changes in the Weights of the Global
Minimum Variance Portfolio' QF V.9,#3 2009
Boenkost Wolfram, Wolfgang Schmidt 'Cross Currency Swap Valuation' SSRN 4/09
Boenkost Wolfram, Wolfgang Schmidt 'Interest Rate Convexity and the Volatility
Smile' SSRN 4/09
Boenkost Wolfram, Wolfgang Schmidt 'Notes on Convexity and Quanto Adjustments
for Interest Rates and Related Options' SSRN 4/09
Bogachev V.I., M. Röckner, S.V. Shaposhnikov 'Positive Densities of Transition
Probabilities of Diffusion Processes' Theory of Prob. and its Applications
V.53,#2 2009
Bogle John 'The End of “Soft Dollars”?' FAJ V.65,#2 March/April 2009
Boido Claudio, Antonio Fasano 'Alternative Assets: A Comparison between
Commodities and Traditional Asset Classes' Icfai University Journal of
Derivatives Markets, V.6, #2, April 2009
Bolance Catalina, Montserrat Guillen, Elena Pelican, Raluca Vernic 'Skewed
Bivariate Models and Nonparametric Estimation for the CTE Risk Measure'
Insurance: Mathematics and Economics V.43,#3 Dec. 2008
Bollerslev Tim, Hans Mikkelsen 'Modeling and Pricing Long Memory in Stock Market
Volatility' J. Econometrics 73 1996
Bollerslev Tim, Viktor Todorov 'Tails, Fears and Risk Premia' SSRN 6/09
Bolster Paul, Emery Trahan 'Investing in Mad Money: Price and Style Effects'
SSRN 5/09
Bonami Pierre, Miguel Lejeune 'An Exact Solution Approach for Portfolio
Optimization Problems Under Stochastic and Integer Constraints' Operations
Research May/June 2009 V.57,#3
Bondarenko Oleg, I. Rodriguez Longarela 'A General Framework for the Derivation
of Asset Price Bounds: An Application to Stochastic Volatility Option
Models' Review of Derivatives Research, V.12,# 2, pp. 81-107, 2009
Borak Szymon, Matthias Fengler, Wolfgang Härdle 'Does Hedging with Implied
Volatility Factors Improve the Hedging Efficiency of Barrier Options?' J.
Risk Model Validation V.3,#1 2009
Borensztein Eduardo, Michael Dooley 'Options on Foreign Exchange and Exchange
Rate Expectations' 1987
Borgosz-Koczwara Magdalena, Aleksander Weron, Agnieszka Wylomanska 'Stochastic
Models for Bidding Strategies on Oligopoly Electricity Market'
Mathematical Methods of Operations Research V.69,#3 July 2009
Borzi Alfio, Volker Schulz 'Multigrid Methods for PDE Optimization' Control'
SIAM Review June 2009 V. 51,#2
Bossens Frederic, Gregory Rayee, Nikos Skantzos, Griselda Deelstra 'Vanna-Volga
Methods Applied to FX Derivatives: From Theory to Market Practice' SSRN
4/09
Botosan Christine, Marlene Plumlee, He (Jennifer) Wen 'The Relation between
Expected Returns, Realized Returns, and Firm Risk Characteristics' SSRN
6/09
Bouten Luc, Ramon van Handel, Matthew James 'A Discrete Invitation to Quantum
Filtering and Feedback Control' SIAM Review June 2009 V. 51,#2
Bouyé Eric 'Portfolio Insurance: A Short Introduction' SSRN 6/09
Bouyé Eric, Jérôme Ternat 'Positive Alpha Only, Please!' SSRN 5/09
Boyarchenko Svetlana, Sergei Levendorskii 'American Options in Lévy Models with
Stochastic Interest Rates' J. Computational Finance V.12,#4 2009
Boyle Phelim, Alexander Potapchik 'Prices and Sensitivities of Asian Options: a
Survey' Insurance: Mathematics and Economics V.42,#1 Feb 08
Boyle Phelim, Junichi Imai, Ken Seng Tan 'Computation of Optimal Portfolios
Using Simulation-Based Dimension Reduction' Insurance: Mathematics and
Economics V.43,#3 Dec. 2008
Brace Alan, Mark Lauer, Milo Rado 'A Stylised Model for Extreme Shocks: Four
Moments of the Apocalypse' August 2007 UTS Sydney
Brandts Jan, Sergey Korotov, Michal Krížek, Jakub Šolc 'On Nonobtuse Simplicial
Partitions' Control' SIAM Review June 2009 V. 51,#2
Braun Helge, Reinout De Bock, Riccardo DiCecio 'Supply Shocks, Demand Shocks,
and Labor Market Fluctuations' FRB St. Louis Review May/June 2009
Brealey Richard, Ian Cooper, Evi Kaplanis 'Excess Comovement in International
Equity Markets: Evidence from Cross-Border Mergers' SSRN 5/09
Breeden Douglas 'Intertemporal Portfolio Theory and Asset Pricing' New Palgrave:
Finance 1989
Breeden Joseph, Lyn Thomas 'The Relationship between Default and Economic Cycle
Across Countries for Retail Portfolios' Journal of Risk Model Validation
V.2, #3 Fall 2008
Breeden Joseph, Lyn Thomas, John W. McDonald III 'Stress-Testing Retail Loan
Portfolios with Dual-Time Dynamics' Journal of Risk Model Validation V.2,
#2 Summer 2008
Breitenfellner Bastian, Niklas Wagner 'Illiquidity Premia in Itraxx Spreads'
SSRN 7/09
Brennan Michael 'Capital Asset Pricing Model' New Palgrave: Finance 1989
Brennan Michael, Tarun Chordia, Avanidhar Subrahmanyam, Qing Tong 'Sell-Side
Illiquidity and the Cross-Section of Expected Stock Returns' SSRN 5/09
Brickley James, John McConnell 'Dividend Policy' New Palgrave: Finance 1989
Brière Marie, Ombretta Signori 'Do Inflation-Linked Bonds Still Diversify?'
European Financial Management, V. 15, #2 March 2009
Brito Margarida, Ana Cristina Moreira Freitas 'Edgeworth Expansion for An
Estimator of the Adjustment Coefficient' Insurance: Mathematics and
Economics V.43,#2 Oct. 2008
Brockman Paul, Emre Unlu 'Dividend Policy, Creditor Rights, and the Agency Costs
of Debt' JFE V.92,#2 May 2009
Brokate Martin, Claudia Klüppelberg, Radostina Kostadinova, R. Maller, R.C.
Seydel 'On the Distribution Tail of An Integrated Risk Model: a Numerical
Approach' Insurance: Mathematics and Economics V.42,#1 Feb 08
Brown Christine, Jonathan Dark, Kevin Davis 'Exchange Traded Contracts for
Difference: Design, Pricing and Effects' SSRN 6/09
Brown Jeffrey, Douglas Crocker, Stephen Foerster 'Trading Volume and Stock
Investments' FAJ V.65,#2 March/April 2009
Brunnermeier Markus, Lasse Heje Pedersen 'Market Liquidity and Funding
Liquidity' RFS V.22, #6 June 2009
Bruti-Liberati Nicola, Christina Nikitopoulos-Sklibosios, Eckhard Platen, Erik
Schlögl 'Alternative Defaultable Term Structure Models' January 2009 UTS
Sydney
Bruti-Liberati Nicola, Eckhard Platen 'Strong Predictor-Corrector Euler Methods
for Stochastic Differential Equations' February 2008 UTS Sydney
Bryan Pierre-Daniel Sarte 'Semiparametric Estimation of Land Price Gradients
Using Large Data Sets' FRB Richmond Economic Quarterly V.95,#1 Winter 2009
Buch Arne, Gregor Dorfleitner 'Coherent Risk Measures, Coherent Capital
Allocations and the Gradient Allocation Principle' Insurance: Mathematics
and Economics V.42,#1 Feb 08
Bunkanwanicha Pramuan, Yupana Wiwattanakantang 'Big Business Owners in Politics'
RFS V.22, #6 June 2009
Burd Oleg 'Breaking Correlation Breakdowns: Non-Parametric Estimation of
Downturn Correlations and their Application in Credit Risk Models' Journal
of Risk Model Validation V.2, #4 Winter 2008/2009
Burgert Christian, Ludger Rüschendorf 'Allocation of Risks and Equilibrium in
Markets with Finitely Many Traders' Insurance: Mathematics and Economics
V.42,#1 Feb 08
Burghof Hans-Peter, Felix Prothmann 'The 52-Week High Strategy and Information
Uncertainty' SSRN 4/09
Burtschell Xavier, Jon Gregory, Jean-Paul Laurent 'A Comparative Analysis of CDO
Pricing Models under the Factor Copula Framework' J. Derivatives Summer
2009 V.16,#4
Butler Steve, Mohammad Hajiaghayi, Robert Kleinberg, Tom Leighton 'Hat Guessing
Games' Control' SIAM Review June 2009 V. 51,#2
Byun Suk-Joon, Sol Kim, Dongwoo Rhee 'Forecasting Future Volatility from Option
Prices under the Stochastic Volatility Model' SSRN 6/09
Cahn Christophe, Arthur Saint-Guilhem 'Issues on Potential Growth Measurement
and Comparison: How Structural Is the Production Function Approach?'
Review FRB St. Louis July/Aug. 2009 V. 91, # 4
Cai Haiyan, Kang Chen 'A Random Cluster Process Approach to Collective Market
Dynamics with Local Interactions' IJT&AF V.12,#2 March 2009
Cai Jun, Ken Seng Tan, Chengguo Weng, Yi Zhang 'Optimal Reinsurance Under VaR
and CTE Risk Measures' Insurance: Mathematics and Economics V.43,#1 August
2008
Calafiore Giuseppe Carlo 'An Affine Control Method for Optimal Dynamic Asset
Allocation with Transaction Costs' SIAM J. Control Optim. V.48,#4, pp.
2254-2274 (2009) <multistage decision, risk control, convex optimization,
portfolio optimization>
Callen Jeffrey, Mozaffar Khan, Hai Lu 'Accounting Quality, Stock Price Delay and
Future Stock Returns' SSRN 6/09
Câmara António, San-Lin Chung, Yaw-Huei Wang 'Option Implied Cost of Equity and
its Properties' Journal of Futures Markets July 2009 V.29,#7
Campbell John, Robert Shiller, Luis Viceira 'Understanding Inflation-Indexed
Bond Markets' SSRN 5/09
Campbell Sean, Steven Sharpe 'Anchoring Bias in Consensus Forecasts and Its
Effect on Market Prices' JF&QA April 2009 V.44,#2
Campbell Stephen, Carl Meyer 'Generalized Inverses of Linear Transformations'
2008 SIAM Books
Cao Charles, Timothy Simin, Ying Wang 'Do Mutual Fund Managers Time Market
Liquidity?' SSRN 7/09
Capinski Marek, Wiktor Patena 'Company Valuation-Value, Structure, Risk' SSRN
7/09
Caporin Massimiliano, Francesco Lisi 'Comparing and Selecting Performance
Measures for Ranking Assets' SSRN 4/09
Capponi Agostino, Jakša Cvitanic 'Credit Risk Modeling with Misreporting and
Incomplete Information' IJT&AF V.12,#1 Feb. 2009
Carchano Óscar, Ángel Pardo 'Rolling Over Stock Index Futures Contracts' Journal
of Futures Markets July 2009 V.29,#7
Cardinali Alessandro 'A Generalized Multiscale Analysis of the Predictive
Content of Eurodollar Implied Volatilities' IJT&AF V.12,#1 Feb. 2009
Carmona René, Jean-Pierre Fouque, Douglas Vestal 'Interacting Particle Systems
for the Computation of Rare Credit Portfolio Losses' Finance and
Stochastics V.13,#3,Part 2, Sept. 09
Carmona René, Lixin Wang 'Monte Carlo Malliavin Computation of the Sensitivities
of Solutions of SPDE' SIAM J. Appl. Math. V.69,#6, 2009
Carr Peter, Liuren Wu 'Stock Options and Credit Default Swaps: A Joint Framework
for Valuation and Estimation' Journal of Financial Econometrics,
forthcoming
Cartea Alvaro, Marcelo Figueroa, Hélyette Geman 'Modelling Electricity Prices
with Forward Looking Capacity Constraints' Applied Math. Finance V.16,#2
2009
Cartea Álvaro, Sam Howison 'Option Pricing with Lévy-Stable Processes Generated
by Lévy-Stable Integrated Variance' QF V.9,#4 2009
Carverhill Andrew, Terry Cheuk, Sigurd Dyrting 'The Smirk in the S&P500 Futures
Options Prices: a Linearized Factor Analysis' Review of Derivatives
Research V. 12,#2 July 2009
Casassus Jaime, Peng (Peter) Liu, Ke Tang 'Commodity Prices in the Presence of
Inter-Commodity Equilibrium Relationships' SSRN 5/09
Case James 'Recreating the Great San Francisco Earthquake' SIAM News April 2009
Cass David 'Competitive Equilibria in Incomplete Financial Markets' U. Penn.
1984
Cass Thomas 'Smooth Densities for Solutions to Stochastic Differential Equations
with Jumps' SP&A V.119,#5 May 2009
Cassady C. Richard, Joel Nachlas 'Probability Models in Operations Research'
2009 CRC Press
Castagna Antonio, Fabio Mercurio, Paola Mosconi 'Analytical Credit VAR with
Stochastic Probabilities of Default and Recoveries' SSRN June 2009
Castaneda Pablo, Heinz Rudolph 'Portfolio Choice, Minimum Return Guarantees, and
Competition in DC Pension Systems' SSRN 5/09
Castellacci Giuseppe 'Put-Call Parity for European Exotic Options' SSRN 7/09
Cavaliere Giuseppe, Anders Rahbek, A.M. Robert Taylor 'Co-Integration Rank
Testing under Conditional Heteroskedasticity' SSRN June 2009
Ceci Claudia, Anna Gerardi 'Pricing for Geometric Marked Point Processes under
Partial Information: Entropy Approach' IJT&AF V.12,#2 March 2009
Cerny Ales 'Currency Crises: Strategic Game between Central Bank and Spot
Speculators' SSRN 7/09
Chadjiconstantinidis Stathis, Georgios Pitselis 'Further Improved Recursions for
a Class of Compound Poisson Distributions' Insurance: Mathematics and
Economics V.44,#2 April 2009
Chambers Christopher, Federico Echenique 'Supermodularity and Preferences' JET
V.144,#3 May 2009
Chambers David, Elroy Dimson 'IPO Underpricing over the Very Long Run' JofF
V.64,#3 June 2009
Chan Jiun Hong, Mark Joshi 'Minimal Partial Proxy Simulation Schemes for Generic
and Robust Monte-Carlo Greeks' SSRN 5/09
Chan Ngai Hang, Chi Tim Ng 'Stochastic Integrals Driven by Fractional Brownian
Motion and Arbitrage: a Tale of Two Integrals' QF V.9,#5 2009
Chance Don, Eric Hillebrand, Jimmy Hilliard 'Pricing an Option on Revenue from
an Innovation: An Application to Movie Box Office Revenue' <innovation;
Bass model; option pricing; gamma process; risk management; movie
revenues; movie box office receipts; nondecreasing process; Bayesian
update> Management Science V.54,#5 March 2008
Chance Don, Eric Hillebrand, Jimmy Hilliard 'Pricing Options on Film Revenue'
<cumulative revenue, time-changed gamma, compound Poisson> RISK May 2009
Chang Bo Young, Peter Christoffersen, Kris Jacobs, Gregory Vainberg 'Option-
Implied Measures of Equity Risk' SSRN 6/09
Chang Carolyn, Jack S.K. Chang, WeiLi Lu 'Pricing Catastrophe Options In
Discrete Operational Time' Insurance: Mathematics and Economics V.43,#3
Dec. 2008
Chang Charles, Hazem Daouk, Albert Wang 'Do Investors Learn about Analyst
Accuracy? a Study of the Oil Futures Market' Journal of Futures Markets
V.29,#5 May 2009
Chang Chia-Lin, Michael McAleer, Roengchai Tansuchat 'Forecasting Volatility and
Spillovers in Crude Oil Spot, Forward and Futures Markets' SSRN 5/09
Chang Chia-Lin, Michael McAleer, Roengchai Tansuchat 'Volatility Spillovers
between Returns on Crude Oil Futures and Oil Company Stocks' SSRN 5/09
Chang Kelly 'Currency Hedging: A Free Lunch?' SSRN 4/09
Chang Lung-fu, Mao-wei Hung 'Analytical Valuation of Catastrophe Equity Options
with Negative Exponential Jumps' Insurance: Mathematics and Economics
V.44,#1 Feb. 2009
Chang Mou-Hsiung 'Hereditary Portfolio Optimization with Taxes and Fixed Plus
Proportional Transaction Costs—Part I' Journal of Applied Mathematics and
Stochastic Analysis V.2007
Chang Mou-Hsiung 'Hereditary Portfolio Optimization with Taxes and Fixed Plus
Proportional Transaction Costs—Part II' Journal of Applied Mathematics and
Chan-Lau Jorge, Andre Oliveira Santos 'The Asset-Liability Management Compound
Option Model: A Public Debt Management Tool' The VaR Modeling Handbook,
Chapter 6, G. Gregoriou, ed., McGraw-Hill, 2009
Charlton Jonathan Ross 'Developing a New, Probabilistic Model of Asset Pricing:
A Response to the Short-Comings of CAPM and Other Deterministic Financial
Models' SSRN 5/09
Charness Gary, Uri Gneezy 'Incentives to Exercise' Econometrica May 2009 V.77,#3
Charpentier Arthur, Abder Oulidi 'Estimating Allocations for Value-at-Risk
Portfolio Optimization' Mathematical Methods of Operations Research
V.69,#3 July 2009
Chassagneux Jean-François 'A Discrete-Time Approximation for Doubly Reflected
BSDEs' Advances in Applied Probability V.41,#1 March 2009
Chassagneux Jean-François, Bruno Bouchard 'Representation of Continuous Linear
Forms on the Set of ladlag Processes and the Hedging of American Claims
under Proportional Costs' Electronic J. of Probability V.14 2009
Chavez Sergio, Eckhard Platen 'Distributional Deviations in Random Number
Generation in Finance' July 22 2008 UTS Sydney
Cheang Gerald, Carl Chiarella, Andrew Ziogas 'The Representation of American
Options Prices under Stochastic Volatility and Jump Diffusion Dynamics'
QFR Center U. Tech. Sydney 2007
Cheang Gerald, Carl Chiarella 'Exchange Options Under Jump-Diffusion
Dynamics' September 2008 UTS Sydney
Chen Cathy, Richard Gerlach, Ann Lin 'Falling and Explosive, Dormant and Rising
Markets via Multiple-Regime Financial Time Series Models' SSRN June 2009
Chen Cathy, Richard Gerlach, Ann M. H. Lin 'Falling and Explosive, Dormant and
Rising Markets via Multiple-Regime Financial Time Series Models' SSRN 5/09
Chen Hsiao-Chi, Yunshyong Chow 'Evolutionary Prisoner's Dilemma Games with One-
Dimensional Local Interaction and Imitation' Advances in Applied
Probability V.41,#1 March 2009
Chen Long, Claudia Moise, Shelly Zhao 'Myopic Extrapolation, Price Momentum, and
Price Reversal' SSRN 7/09
Chen Long, Xinlei Zhao 'Understanding the Value and Size Premia: What Can We
Learn from Stock Migrations?' SSRN 6/09
Chen Nan, Steven Kou 'Credit Spreads, Optimal Capital Structure, and Implied
Volatility with Endogenous Default and Jump Risk' MF V.19,#3 July 2009
Chen Peng, George Jiang, Kevin Zhu 'Fund of Funds, Portable Alpha, and Portfolio
Optimization' J. Portfolio Management Spring 2009
Chen Ping, Hailiang Yang, George Yin 'Markowitz’s Mean-Variance Asset-Liability
Management with Regime Switching: a Continuous-Time Model' Insurance:
Mathematics and Economics V.43,#3 Dec. 2008
Chen Ren-Raw, Hann-Shing Ju, Shih-Kuo Yeh 'Embedded Options in Treasury Bond
Futures Prices: New Evidence' Journal of Fixed Income Summer 2009, V.
19,#1
Chen Ren-Raw, Xiaolin Cheng, Bo Liu 'Estimation and Evaluation of the Term
Structure of Credit Default Swaps: An Empirical Study' Insurance:
Chen Xinliang, 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 Zijin, Taizhong Hu 'Asset Proportions In Optimal Portfolios with Dependent
Default Risks' Insurance: Mathematics and Economics V.43,#2 Oct. 2008
Cherian Mathew 'Insurance Based Option Pricing Model' SSRN 5/09
Cheridito Patrick, Tianhui Li 'Dual Characterization of Properties of Risk
Measures on Orlicz Hearts' Math. and Financial Economics V.2,#1 July 2008
Cherny Alexander, Dilip Madan 'New Measures for Performance Evaluation' RFS
V.22,#7 July 2009
Cheung Eric, David Landriault 'Perturbed MAP Risk Models with Dividend Barrier
Strategies' J. Applied Prob. V.46,#2 June 2009
Cheung Wing 'Transparent Augmented Black-Litterman Allocation: Simple and
Unified Framework for Strategy Combination, Factor Mimicking, Hedging, and
Stock-Specific Alphas' SSRN 4/09
Chi Yichun 'Analysis of Gerber-Shiu Function for a Jump-Diffusion Risk Model'
SSRN July 2009
Chia Chin-Ping, Lisa Goldberg, David Owyong, Peter Shepard, Tsvetan Stoyanov' Is
There a Green Factor?' J. Portfolio Management Spring 2009
Chiang Thomas Chinan, Cathy W. S. Chen, Mike K. P. So 'Asymmetrical Responses to
Stock Return News - Evidence from Global Markets Based on a Bayesian
Model' SSRN 5/09
Chiappori Pierre-Andre, Ivar Ekeland 'The Microeconomics of Efficient Group
Behavior: Identification' Econometrica May 2009 V.77,#3
Chiarella Carl, Roberto Dieci, Xue-Zhong He 'Heterogeneity, Market Mechanisms,
and Asset Price Dynamics' September 2008 UTS Sydney
Chiarella Carl, Viviana Fanelli, Silvana Musti 'Modelling the Evolution of
Credit Spreads using the Cox Process within the HUM Framework: A CDS
Option Pricing Model' October 2008 UTS Sydney
Chiarella Carl, Xue-Zhong He, Min Zheng 'Heterogeneous Expectations and Exchange
Rate Dynamics' January 2009 UTS Sydney
Chiband Messaoud 'Building Curves on a Good Basis' SSRN 4/09
Chiu Tien-Yu, Shwu-Jane Shieh 'Regime-Switched Volatility of Brent Crude Oil
Futures with Markov-Switching ARCH Model' IJT&AF V.12,#2 March 2009
Chiyachantana Chiraphol, Pankaj Jain, Christine Jiang, Robert Wood 'Volatility
Effects of Institutional Trading in Foreign Stocks' SSRN 5/09
Cho Jin Seo, Chirok Han, Peter Phillips 'LAD Asymptotics under Conditional
Heteroskedasticity with Possibly Infinite Error Densities' SSRN 6/09
Choe Hyuk, Yunsung Eom 'The Disposition Effect and Investment Performance in the
Futures Market' Journal of Futures Markets V.29,#6 June 2009
Choi Hyung-Suk, Narayanan Jayaraman 'Is Reversal of Large Stock-Price Declines
Caused by Overreaction or Information Asymmetry: Evidence from Stock and
Option Markets' Journal of Futures Markets V.29,#4 April 2009
Choi Jaehyuk, Kwangmoon Kim, Minsuk Kwak 'Numerical Approximation of the Implied
Volatility under Arithmetic Brownian Motion' Applied Mathematical Finance
V.16,#3 2009
Chordia Tarun, Amit Goyal, Gil Sadka, Ronnie Sadka, Lakshmanan Shivakumar
'Liquidity and the Post-Earnings-Announcement Drift' FAJ July/Aug. 2009
V.65,#4
Choy Siu Kai, Zhanshun Wei 'Option Trading: Information or Differences of
Opinion?' SSRN 5/09
Christensen Bent Jesper, Charlotte Strunk Hansen 'New Evidence on the Implied-
Realized Volatility Relation' The European Journal of Finance 2002
Christiansen Charlotte, Angelo Ranaldo, Paul Soderlind 'The Time-Varying
Systematic Risk of Carry Trade Strategies' SSRN 4/09
Christodoulakis George, Stephen Satchell 'The Accuracy of Credit Scoring
Receiver Operating Characteristic in the Presence Of Macroeconomic Shocks'
Journal of Risk Model Validation V.2, #3 Fall 2008
Christoffersen Peter, Jan Ericsson, Kris Jacobs, Xisong Jin 'Exploring Dynamic
Default Dependence' SSRN 5/09
Chu Eleanor 'Discrete and Continuous Fourier Transforms' 2008 CRC Press
Chu Shin-Herng, George Lentz, Espen Robak 'Comparing the Characteristics and
Performance of Private Equity Offering Firms with Seasoned Equity Offering
Firms' Journal of Economics and Management, V.1,#1, 2005
Chua Choong Tze, Krishna Ramaswamy, Robert Stine 'Predicting Short-term
Eurodollar Futures' Journal of Fixed Income Spring 2009
Chuliá Helena, Francisco Climent, Pilar Soriano, Hipòlit Torró 'Volatility
Transmission Patterns and Terrorist Attacks' QF V.9,#5 2009
Cipollini Andrea, Giuseppe Missaglia 'Forecasting Industry Sector Default Rates
through Dynamic Factor Models' Journal of Risk Model Validation V.2, #3
Fall 2008
Cipra Barry 'Blockbuster Algorithm' <SVD, Principal Components> SIAM News May
2009
Claessens Stijn, Yishay Yafeh 'Additions to Market Indices and the Comovement of
Stock Returns around the World' SSRN 5/09
Clark Ephraim, Amrit Judge 'Foreign Currency Derivatives Versus Foreign Currency
Debt and the Hedging Premium' European Financial Management, V. 15,#3,
June 2009
Clark Todd, Michael Mccracken 'Combining Forecasts from Nested Models' Oxford
Bulletin of Economics and Statistics, V. 71, #3, June 2009
Coglley Timothy, Thomas Sargent 'Diverse Beliefs, Survival and the Market Price
of Risk' The Economic Journal, V. 119,# 536, March 2009
Comin Diego, Mark Gertler, Ana Maria Santacreu 'Technology Innovation and
Diffusion as Sources of Output and Asset Price Fluctuations' SSRN 5/09
Comte Fabienne, Valentine Genon-Catalot, Yves Rozenholc 'Nonparametric
Estimation for a Stochastic Volatility Model' F&S tobe 2009
Connor Gregory 'Hedging' New Palgrave: Finance 1989
Consigli Giorgioi, Leonard MacLean, Yonggan Zhao, William Ziemba 'The Bond-Stock
Yield Differential as a Risk Indicator in Financial Markets' J. of Risk
V.11,#3 2009
Constantinides George 'Capital Market Equilibrium with Personal Taxes'
Econometrica 1983
Cont Rama 'Volatility Clustering in Financial Markets: Empirical Facts and
Agent-Based Models' SSRN June 2009
Cont Rama, Cathrine Jessen 'Constant Proportion Debt Obligations (CPDO):
Modeling and Risk Analysis' SSRN 5/09
Cont Rama, Ioana Savescu 'Forward Equations for Portfolio Credit Derivatives' in
Frontiers in Quantitative Finance: Volatility and Credit Risk Modeling
Rama Cont (Ed) Wiley 2009
Cont Rama, Peter Tankov 'Constant Proportion Portfolio Insurance in the Presence
of Jumps in Asset Prices' MF V.19,#3 July 2009
Copeland Thomas, J. Fred Weston 'Asset Pricing' New Palgrave: Finance 1989
Corcuera José Manuel, Florence Guillaume, Peter Leoni, Wim Schoutens 'Implied
Lévy Volatility' QF V.9,#4 2009
Cosh A. 'Retention Ratio' New Palgrave: Finance 1989
Cossette Hélène, Etienne Marceau, Fouad Marri 'On the Compound Poisson Risk
Model with Dependence Based On a Generalized Farlie–Gumbel–Morgenstern
Copula' Insurance: Mathematics and Economics V.43,#3 Dec. 2008
Costabile Massimo, Ivar Massabó, Emilio Russo 'A Binomial Model for Valuing
Equity-Linked Policies Embedding Surrender Options' Insurance: Mathematics
and Economics V.42,#3 June 08
Costin Ovidiu 'Asymptotic and Borel Summability' 2009 CRC Press
Courtois Cindy, Michel Denuit 'Convex Bounds On Multiplicative Processes, with
Applications To Pricing in Incomplete Markets' Insurance: Mathematics and
Economics V.42,#1 Feb 08
Cousin Areski, Jean-Paul Laurent 'Comparison Results for Exchangeable Credit
Risk Portfolios' Insurance: Mathematics and Economics V.42,#3 June 08
Cowen Tyler 'A Simple Theory of the Financial Crisis; or, Why Fischer Black
Still Matters' FAJ May/June 2009 V.65,#3
Cox John, Stephen Ross 'A Survey of Some New Results in Financial Option Pricing
Theory' Journal of Finance 31 1976
Craddock Mark Craddock, Eckhard Platen 'On Explicit Probability Laws for Classes
of Scalar Diffusions' March 2009 UTS Sydney
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, Vinay Nair, Kose John 'Takeovers and the Cross-Section of
Returns' RFS V.22,#4 April 2009
Crosby John, Nolwenn Le Saux, Aleksandar Mijatovic 'Approximating Levy Processes
with a View to Option Pricing' SSRN 5/09
Culp Christopher 'The Treasury Department's Proposed Regulation of OTC
Derivatives Clearing & Settlement' SSRN July 2009
Cuny Charles, Gerald Martin, John Puthenpurackal 'Stock Options and Total
Payout' JF&QA April 2009 V.44,#2
Curcuru Stephanie, Tomas Dvorak, Francis Warnock 'Decomposing the U.S. External
Returns Differential' SSRN 6/09
Cvitanic Jakša, Xuhu Wan, Jianfeng Zhang 'Optimal Contracts in Continuous-Time
Models' Journal of Applied Mathematics and Stochastic Analysis V.2006
Da Zhi, Re Guo, Ravi Jagannathan 'CAPM for Estimating the Cost of Equity
Capital: Interpreting the Empirical Evidence' SSRN 4/09
Daal Elton, Joseph Farhat, Peihwang Wei 'Does Futures Exhibit Maturity Effect?
New Evidence from an Extensive Set of Us and Foreign Futures Contracts'
Review of Financial Economics, V. 15, #2, 2006
Dahl Mikkel 'A Continuous-Time Model for Reinvestment Risk in Bond Markets' QF
V.9,#4 2009
Dalbert Curdin, Paolo Vanini 'Aircraft Noise Derivatives' SSRN 4/09
Damodaran Aswath 'Valuing Declining and Distressed Companies' SSRN 7/09
Dang Lanfen, Ning Zhu, Haiming Zhang 'Survival Probability for a Two-Dimensional
Risk Model' Insurance: Mathematics and Economics V.44,#3 June 2009
Das Ashish, Roger Stein 'Underwriting Versus Economy: a New Approach to
Decomposing Mortgage Losses' J. Credit Risk V.5,#2 2009
Das Sanjiv, Brian Granger 'Dealing With Dimension: Option Pricing on Factor
Trees' J. Investment Management 2Q 2009
d'Aspremont Alexandre 'A Moment Approach to Static Arbitrage' in Frontiers in
Quantitative Finance: Volatility and Credit Risk Modeling Rama Cont (Ed)
Wiley 2009
Date Paresh, Rogemar Mamon, I.C. Wang 'Valuation of Cash Flows Under Random
Rates of Interest: a Linear Algebraic Approach' Insurance: Mathematics and
Economics V.41,#1 July 07
De Giuli Maria Elena, Dean Fantazzini, Mario Alessandro Maggi 'A New Approach
for Firm Value and Default Probability Estimation beyond Merton Models'
Computational Economics V.31,#2 March 2008
de la Pena Victor, Adrian Hernandez-del-Valle, Ricardo Rivera 'Multiple
Hypotheses Testing of Transition Matrices' Journal of Risk Model
Validation V.1, #3 Fall 2007
de la Pena Victor, Ricardo Rivera 'Dynamic Backtesting of Value-at-Risk Models
under Regime Change' Journal of Risk Model Validation V.1, #4 Winter
2007/2008
Dekking Michel, André Hensbergen 'A Problem with the Assessment of an Iris
Identification System' Control' SIAM Review June 2009 V. 51,#2
Delbaen Freddy 'Coherent Risk Measures on General Probability Spaces' in K.
Sandmann, P. Schönbucher (ed) Advances in Finance & Stochastics 2002
Dellacherie Claude, Paul-André Meyer 'Probabilités et Potentiel; Théorie des
Martingales' Hermann (1980)
Dellacherie Claude, Paul-André Meyer 'Probabilities and Potential' translated
and prepared by J.P. Wilson. North Holland 1988
Deloof Marc, Wouter De Maeseneire, Koen Inghelbrecht 'How Do Investment Banks
Value Initial Public Offerings (IPOs)?' Journal of Business Finance &
Accounting, V. 36, # 1-2, January/March 2009
DeMiguel Victor, Francisco Nogales 'Portfolio Selection with Robust Estimation'
Operations Research May/June 2009 V.57,#3
DeMiguel Victor, Lorenzo Garlappi, Francisco Nogales, Raman Uppal 'A Generalized
Approach to Portfolio Optimization: Improving Performance by Constraining
Portfolio Norms' Management Science V.55,#5 May 2009
DeMiguel Victor, Lorenzo Garlappi, Raman Uppal 'Optimal Versus Naive
Diversification: How Inefficient is the 1/N Portfolio Strategy?' RFS
V.22,#5 May 2009
Dempster Michael, Gautam Mitra, Georg Pflug 'Quantitative Fund Management'
(editors) CRC book 2009
Denson Nick, Mark Joshi 'Flaming Logs' <pathwise adjoint for Greeks, displaced-
diffusion LIBOR, speed method better than Giles and Glasserman, delta,
vega> SSRN 5/09
Denson Nick, Mark Joshi 'Vega Control' SSRN 5/09
Deryabin Mikhail Vladimirovich 'Implied Volatility Surface Reconstruction for
Energy Markets: Spot Price Modelling Vs. Surface Parameterisation' SSRN
July 2009
Desoer Charles, M. Vidyasagar 'Feedback Systems: Input-Output Properties' SIAM
Press 2008
Desvilles Gilles 'A New Comparison between Future and Forward' SSRN 4/09
Detemple Jérôme, Marcel Rindisbacher 'Dynamic Asset Liability Management with
Tolerance for Limited Shortfalls' Insurance: Mathematics and Economics
V.43,#3 Dec. 2008
Dhaene Jan, Luc Henrard, Zinoviy Landsman, Antoine Vandendorpe, Steven Vanduffel
'Some Results on the CTE-Based Capital Allocation Rule' Insurance:
Mathematics and Economics V.42,#2 April 08
di Graziano Giuseppe, L.C.G. Rogers 'A Dynamic Approach to the Modeling of
Correlation Credit Derivatives using Markov Chains' IJT&AF V.12,#1 Feb.
2009
Diavatopoulos Dean, James Felton, Colbrin Wright 'Exchange Traded Notes: An
Introduction' SSRN 5/09
Díaz Antonio, Vicente Meneu, Eliseo Navarro 'International Evidence on
Alternative Models of the Term Structure of Volatilities' Journal of
Futures Markets July 2009 V.29,#7
DiCesare Joe, Don Mcleish 'Simulation of Jump Diffusions and the Pricing of
Options' Insurance: Mathematics and Economics V.43,#3 Dec. 2008
Dick-Nielsen Jens ' Liquidity Biases in TRACE' SSRN 6/09
Diebold Francis, Andrew Hickman, Atsushi Inoue, Til Schuermann 'Converting 1-Day
Volatility to h-Day Volatility Scaling by Sqrt(h) is Worse than You Think'
1998 Wharton Financial Institutions Center <same as "Scale Models" RISK
1998>
Ding Yuanyao, Bo Zhang 'Risky Asset Pricing Based on Safety First Fund
Management' QF V.9,#3 2009
Dionne Georges, Genevieve Gauthier, Nadia Ouertani 'Basket Options on
Heterogeneous Underlying Assets' SSRN 5/09
Disatnik David 'A Note on Portfolio Optimization and the Diagonal Covariance
Matrix' SSRN 6/09
Disatnik David 'Portfolio Optimization Using a Block Structure for the
Covariance Matrix' SSRN 6/09
Djehiche Boualem, Said Hamadène 'On a Finite Horizon Starting and Stopping
Problem with Risk of Abandonment' IJT&AF V.12,#4 June 2009
Dokuchaev Nikolai 'Multiple Rescindable Options and Their Pricing' IJT&AF
V.12,#4 June 2009
Doran James, Ehud Ronn, Robert Goldberg 'A Simple Model for Time-Varying
Expected Returns on the S&P 500 Index' J. Investment Management 2Q 2009
Dorn Daniel 'Does Sentiment Drive the Retail Demand for IPOs?' JF&QA Feb. 2009
V.44,#1
Doskeland Trond, Hans Hvide 'Do Individual Investors Have Asymmetric Information
Based On Work Experience?' SSRN 6/09
Dostál Zdenek 'Optimal Quadratic Programming Algorithms with Applications to
Variational Inequalities' 2009 Springer Press
Dothan Uri 'Budget Operators and Portfolio Choice' U. Minn. 1989
Dothan Uri 'Risk and Return in Multiperiod Financial Markets' U. Minn 1989
Dowd Kevin 'Backtesting the RPIX Inflation Fan Charts' Journal of Risk Model
Validation V.1, #3 Fall 2007
Dowd Kevin 'Temporal Dependence in Multi-Step Density Forecasting Models'
Journal of Risk Model Validation V.1, #1 Spring 2007
Downing Chris, Dwight Jaffee, Nancy Wallace 'Is the Market for Mortgage-Backed
Securities a Market for Lemons?' RFS V.22,#7 July 2009
Dreger Christian, Jürgen Wolters 'Liquidity and Asset Prices: How Strong are the
Linkages' SSRN July 2009
Dressler Scott, Victor Li 'Inside Money, Credit, and Investment' JED&C 4/09
V.33,#4
Driessen Joost, Pascal Maenhout, Grigory Vilkov 'The Price of Correlation Risk:
Evidence from Equity Options' JofF V.64,#3 June 2009
Du Du 'General Formulas for Valuing Stocks and Bonds with Structural Changes'
SSRN 4/09
Duan Jin-Chuan, Jason Wei 'Systematic Risk and the Price Structure of Individual
Equity Options' RFS V.22,#5 May 2009
Duan Jin-Chuan, Stanley Pliska 'Option Pricing for Co-Integrated Assets' in K.
Duan Ying, Gang Hu, R. David McLean 'Costly Arbitrage and Idiosycnratic Risk:
Evidence from Short Sellers' Journal of Financial Intermediation,
Forthcoming SSRN 6/09
Duan Ying, Gang Hu, R. David McLean 'When Is Stock Picking Likely to be
Successful? Evidence from Mutual Funds' FAJ V.65,#2 March/April 2009
Duck Peter, Chao Yang, David Newton, Martin Widdicks 'Singular Perturbation
Techniques Applied to Multiasset Option Pricing' MF V.19,#3 July 2009
Düring Bertram 'Asset Pricing under Information with Stochastic Volatility'
Review of Derivatives Research V. 12,#2 July 2009
Dufour Alfonso, Minh Nguyen 'Permanent Trading Impacts and Bond Yields' SSRN
6/09
Dumas Bernard 'Two-Person Dynamic Equilibrium in the Capital Markets' Review of
Financial Studies (52) 1989
Duran Ahmet 'Sensitivity Analysis of Asset Flow Differential Equations and
Volatility Comparison of Two Related Variables' Numerical Functional
Analysis and Optimization, V.30,# 1-2, 2009
Duran Ahmet, Gunduz Caginalp 'Data Mining for Overreaction in Financial Markets'
SSRN June 2009
Dutta Jayasri, Heraklis Polemarchakis 'Asset Pricing and Observability' Columbia
U. 1989
Dwyer Douglas 'The Distribution of Defaults and Bayesian Model Validation'
Journal of Risk Model Validation V.1, #1 Spring 2007
Dybvig Philip 'Distributional Analysis of Portfolio Choice' Yale wp 1985
Dybvig Philip 'Some New Tools for Testing Market Efficiency and Measuring Mutual
Fund Performance' wp 1980
Easley David, Maureen O’Hara 'Ambiguity and Nonparticipation: The Role of
Regulation' RFS V.22,#5 May 2009
Eberlein Ernst, Dilip Madan 'Hedge Fund Performance: Sources and Measures' 2009
Eberlein Ernst, Dilip Madan 'The Distribution of Returns at Longer Horizons'
2009
Eberlein Ernst, Hélyette Geman, Dilip Madan 'On Pricing Risky Loans and
Collateralized Fund Obligations' 2008
Ederington Louis, Wei Guan 'How Asymmetric is U.S. Stock Market Volatility?'
SSRN 5/09
Edwards J.S.S. 'Gearing' New Palgrave: Finance 1989
Eeckhoudt Louis, Harris Schlesinger, Ilia Tsetlin 'Apportioning of Risks via
Stochastic Dominance' JET V.144,#3 May 2009
Egami Masahiko, Virginia Young 'Indifference Prices of Structured Catastrophe
(CAT) Bonds' Insurance: Mathematics and Economics V.42,#2 April 08
Egloff Daniel, Markus Leippold 'The Valuation of American Options with
Stochastic Stopping Time Constraints' Applied Mathematical Finance V.16,#3
2009
Ehling Paul, Christian Heyerdahl-Larsen 'Financial Market Completeness in Multi-
Good Economies' SSRN July 2009
Eichengreen Barry, Ashoka Mody, Milan Nedeljkovic, Lucio Sarno 'How the Subprime
Crisis Went Global: Evidence from Bank Credit Default Swap Spreads' SSRN
4/09
Eisenberg Larry 'VAR, Probability-of-Ruin and their Consequences for Normal or
Lognormal Risks' SSRN July 2009
Eisfeldt Andrea, Adriano Rampini 'Leasing, Ability to Repossess, and Debt
Capacity' RFS V.22,#4 April 2009
Eisler Zoltán, János Kertész, Fabrizio Lillo, Rosario Mantegna 'Diffusive
Behavior and the Modeling of Characteristic Times in Limit Order
Executions' QF V.9,#5 2009
Ekeland Ivar, Traian Pirvu 'Investment and Consumption without Commitment' Math.
and Financial Economics V.2,#1 July 2008
Ekström Erik, Per Lötstedt, Johan Tysk 'Boundary Values and Finite Difference
Methods for the Single Factor Term Structure Equation' Applied
Mathematical Finance V.16,#3 2009
El Otamni Mohamed 'Generalized BSDE Driven by a Lévy Process' Journal of Applied
Mathematics and Stochastic Analysis V.2006
Elbers Chris, Jan Willem Gunning, Melinda Vigh 'Investment under Risk with
Discrete and Continuous Assets: Solution and Estimation' SSRN 6/09
Elliott Robert, Hong Miao, Jin Yu 'Investment Timing under Regime Switching'
IJT&AF V.12,#4 June 2009
Embrechts Paul, Johanna Nešlehová, Mario Wüthrich 'Additivity Properties for
Value-At-Risk under Archimedean Dependence and Heavy-Tailedness'
Insurance: Mathematics and Economics V.44,#2 April 2009
Embrechts Paul, Marco Frei 'Panjer Recursion Versus FFT for Compound
Distributions' Mathematical Methods of Operations Research V.69,#3 July
2009
Embrechts Paul, Sergei Novak 'Long Head-Runs and Long Match Patterns' in K.
Emery Douglas, Xi Li 'Are the Wall Street Analyst Rankings Popularity Contests?'
JF&QA April 2009 V.44,#2
Engemann Kristie, Howard Wall 'A Journal Ranking for the Ambitious Economist'
FRB St. Louis Review May/June 2009
Ennis Richard 'Parsimonious Asset Allocation' FAJ May/June 2009 V.65,#3
Ericsson Jan, Kris Jacobs, Rodolfo Oviedo 'The Determinants of Credit Default
Swap Premia' JF&QA Feb. 2009 V.44,#1
Evans Richard, Christopher Geczy, David Musto, Adam Reed 'Failure Is an Option:
Impediments to Short Selling and Options Prices' RFS V.22,#5 May 2009
Ewald Christian-Oliver, Yajun Xiao, Yang Zou 'Malliavin Differentiability of a
Class of Feller-Diffusions with Relevance in Finance' SSRN 6/09
Fahlenbrach Rüdiger 'Founder-CEOs, Investment Decisions, and Stock Market
Performance' JF&QA April 2009 V.44,#2
Falato Antonio 'Happiness Maintenance and Asset Prices' <emotions, risk
preferences, consumption, risk aversion> JED&C 6/09 V.33,#6
Falkenstein Eric 'Risk and Return in General: Theory and Evidence' SSRN 6/09
Farhi Emmanuel, Samuel Fraiberger, Xavier Gabaix, Romain Ranciere, Adrien
Verdelhan 'Crash Risk in Currency Markets' SSRN 6/09
Fee C. Edward, Charles Hadlock, Joshua Pierce 'Investment, Financing
Constraints, and Internal Capital Markets: Evidence from the Advertising
Expenditures of Multinational Firms' RFS V.22, #6 June 2009
Feilke Franziska, Marc Gürtler, Martin Hibbeln 'Portfolio Optimization
Strategies Reconsidered' SSRN 5/09
Feldhütter Peter 'The Same Bond at Different Prices: Identifying Search
Frictions and Selling Pressures' SSRN June 2009
Feng Liming 'Computational Methods for Levy and Jump-Diffusion Processes:
Applications in Financial Engineering' 2006 PhD Northwestern U.-IEMS
Feng Liming, Vadim Linetsky 'Computing Exponential Moments of the Discrete
Maximum of a Lévy Process and Lookback Options' Finance and Stochastics
V.13,#3,Part 2, Sept. 09
Feng Zhigang, Jianjun Miao, Adrian Peralta-Alva, Manuel Santos 'Numerical
Simulation of Nonoptimal Dynamic Equilibrium Models' SSRN 4/09
Fengler Matthias 'Arbitrage-Free Smoothing of the Implied Volatility Surface' QF
V.9,#4 2009
Fernandes Nuno, Miguel Ferreira 'Insider Trading Laws and Stock Price
Informativeness' RFS V.22,#5 May 2009
Ferson Wayne, Andrew Siegel 'Testing Portfolio Efficiency with Conditioning
Information' RFS V.22,#7 July 2009
Ferstl Robert, Alex Weissensteiner 'Asset-Liability Management under Time-
Varying Investment Opportunities' SSRN 5/09
Field Michael, Martin Golubitsky 'Symmetry in Chaos: A Search for Pattern in
Mathematics, Art and Nature' 2nd ed. SIAM 2009
Filar Jerzy, Boda Kang, Malgorzata Korolkiewicz 'Pricing Financial Derivatives
on Weather Sensitive Assets' 2008 UTS Sydney
Filipovic Damir 'Term-Structure Models: a Graduate Course' Springer Press Oct.
2009
Fiorani Filippo 'Option Pricing under the Variance Gamma Process'
<European/American vanilla and barrier, finite difference, PIDE, CMGY,
2004 dissertation> SSRN 6/09
Firpo Sergio, Nicole Fortin, Thomas Lemieux 'Unconditional Quantile Regressions'
Econometrica May 2009 V.77,#3
Fisher Lawrence, Daniel Weaver, Gwendolyn Webb 'Removing Biases in Computed
Returns' SSRN 6/09
Flåm Sjur Didrik 'Risk Premium and Non-Smooth Utility' J. of Risk V.11,#3 2009
Fliege J., L.M. Graña Drummond, B.F. Svaiter 'Newton's Method for Multiobjective
Optimization' SIAM J. Optim. V.20,#2 2009 <Kantorovich-like technique,
unconstrained multiobjective optimization>
Flood Mark 'Embracing Change: Financial Informatics and Risk Analytics' QF
V.9,#3 2009
Floreani Alberto 'Pricing Insurance Contracts Following the Cost of Capital
Approach: Some Conceptual Issues' SSRN 5/09
Focardi Sergio, Frank Fabozzi 'Black Swans and White Eagles: on Mathematics and
Finance' Mathematical Methods of Operations Research V.69,#3 July 2009
Föllmer Hans 'Calcul d'Ito sans Probabilités' Séminaire de probabilités de
Strasbourg, 15 (1981), p. 143-150 <English in Sondermann Dieter
'Introduction to Stochastic Calculus for Finance: A New Didactic
Approach'> <stochastics]
Föllmer Hans, Alexander Schied 'Robust Preferences and Convex Measures of Risk'
in K. Sandmann, P. Schönbucher (ed) Advances in Finance & Stochastics 2002
Ford Kevin 'Sharp Probability Estimates for Random Walks with Barriers' Prob.
Theory and Related Fields V.145,#1,2 Sept. 2009
Fossen Frank 'The Private Equity Premium Puzzle Revisited: New Evidence on the
Role of Heterogeneous Risk Attitudes' SSRN July 2009
Fountain Robert, John Herman Jr., D. Leif Rustvold 'An Application of Kendall
Distributions and Alternative Dependence Measures: SPX vs.VIX' Insurance:
Mathematics and Economics V.42,#2 April 08
Franke Reiner 'A Prototype Model of Speculative Dynamics with Position-Based
Trading' JED&C May 2009 V.33,#5
Frey Rüdiger, Pierre Patie 'Risk Management for Derivatives in Illiquid
Markets:A Simulation Study' in K. Sandmann, P. Schönbucher (ed) Advances
in Finance & Stochastics 2002
Frey Rüdiger, Thorsten Schmidt 'Pricing Corporate Securities Under Noisy Asset
Information' MF V.19,#3 July 2009
Friedman Craig, Wenbo Cao, Jinggang Huang, Yangyong Zhang 'Joint and Conditional
Transformed t Mixture Models with Applications to Financial and Economic
Data' J. of Risk V.11,#3 2009
Friedman Daniel, Ralph Abraham 'Bubbles and Crashes: Gradient Dynamics in
Financial Markets' JED&C 4/09 V.33,#4
Fries Christian 'Stable Monte-Carlo Sensitivities of Bermudan Callable Products'
SSRN 4/09
Friewald Nils, Rainer Jankowitsch, Marti Subrahmanyam 'Illiquidity or Credit
Deterioration: A Study of Liquidity in the US Corporate Bond Market during
Financial Crises' SSRN 6/09
Froot Kenneth, Richard Thaler 'Anomalies: Foreign Exchange' J. Economic
Perspectives 1990
Fu James, Brad Johnson 'Approximate Probabilities for Runs and Patterns in
i.i.d. and Markov-Dependent Multistate Trials' Advances in Applied
Fujisaki M., Gopinath Kallianpur, H. Kunita 'Stochastic Differential Equations
for the Nonlinear Filtering Problem' Osaka J. Math. 9 (1972), 19-40
Fukiharu T. 'Asset Market Equilibrium: a Simulation' Mathematics and Computers
in Simulation V.79,#9 May 2009
Fung Joseph, Haynes Yung 'Expiration-Day Effects - an Asian Twist' Journal of
Futures Markets V.29,#5 May 2009
Fung William, David Hsieh 'Measurement Biases in Hedge Fund Performance Data: An
Update' FAJ May/June 2009 V.65,#3
Furman Edward, Ricardas Zitikis 'Weighted Risk Capital Allocations' Insurance:
Mathematics and Economics V.43,#2 Oct. 2008
Gadiraju Pavan 'Production-Based Asset Pricing and Economic Tracking Portfolios:
Establishing a Dynamic Partial Equilibrium Link between Economic State and
Investment Levels' SSRN 6/09
Gagliardini Patrick, Christian Gourieroux 'Efficiency in Large Dynamic Panel
Models with Common Factor' SSRN 5/09
Gajic Zoran, Myo-Taeg Lim, Dobrila Shataric, Wu-Churng Su, Vojislav Kecman
'Optimal Control: Weakly Coupled Systems and Applications' 2009 CRC Press
Galeotti Marcello, Marc Gürtler, Christine Rehan 'Accuracy of Pricing Models for
CAT Bonds - An Empirical Analysis' SSRN 4/09
Gallant A. Ronald, Han Hong 'A Statistical Inquiry into the Plausibility of
Recursive Utility' Journal of Financial Econometrics, V.5,#4, 2007
Gamba Andrea, Matteo Tesser 'Structural Estimation of Real Options Models' JED&C
4/09 V.33,#4
Gándelman Néstor, Rubén Hernández-Murillo 'The Impact of Inflation and
Unemployment on Subjective Personal and Country Evaluations' FRB St. Louis
Review May/June 2009
Gao Jianwei 'Optimal Portfolios for DC Pension Plans under a CEV Model'
Insurance: Mathematics and Economics V.44,#3 June 2009
Garay Urbi, Enrique ter Horst 'Real Estate and Private Equity: A Review of the
Diversification Benefits and Some Recent Developments' Journal of
Alternative Investments Spring 2009
Gârleanu Nicolae 'Portfolio Choice and Pricing in Illiquid Markets' JET V.144,#2
March 2009
Gatev Evan 'Liquidity Risk and Limited Arbitrage: Are Taxpayers Helping Hedge
Funds Get Rich?' J. Investment Management 2Q 2009
Gatev Evan, Stephen Ross 'Momentum Trading and Performance with Wrong Return
Expectations' J. Portfolio Management Spring 2009
Gatzert Nadine, Hato Schmeiser 'Pricing and Performance of Mutual Funds:
Lookback Versus Interest Rate Guarantees' J. Risk V.11,#4 Summer 2009
Gavious Arieh, Haim Kedar-Levy 'The Speed of Stock Price Discovery' SSRN July
2009
Gay Gerald, Betty Simkins, Marian Turac 'Analyst Forecasts and Price Discovery
in Futures Markets: the Case of Natural Gas Storage' Journal of Futures
Markets V.29,#5 May 2009
Geanakoplos John, Stephen Zeldes 'Market Valuation of Accrued Social Security
Benefits' SSRN 6/09
Genest Christian, Bruno Rémillard, David Beaudoin 'Goodness-of-Fit Tests for
Copulas: a Review and a Power Study' Insurance: Mathematics and Economics
V.44,#2 April 2009
Genest Christian, Esterina Masiello, Karine Tribouley 'Estimating Copula
Densities through Wavelets' Insurance: Mathematics and Economics V.44,#2
April 2009
Gerber Hans, Elias Shiu, Nathaniel Smith 'Methods for Estimating the Optimal
Dividend Barrier and the Probability of Ruin' Insurance: Mathematics and
Gerber Hans, Nathaniel Smith 'Optimal Dividends with Incomplete Information In
the Dual Model' Insurance: Mathematics and Economics V.43,#2 Oct. 2008
Gerdesmeier Dieter, Hans-Eggert Reimers, Barbara Roffia 'Asset Price
Misalignments and the Role of Money and Credit' SSRN July 2009
Geyer Alois, Michael Hanke, Alex Weissensteiner 'Life-Cycle Asset Allocation and
Consumption Using Stochastic Linear Programming' J. Computational Finance
V.12,#4 2009
Geyer Alois, Michael Hanke, Alex Weissensteiner 'Scenario Trees, Arbitrage, and
Multi-Asset ALM Models' SSRN 4/09
Ghent Andra 'Comparing DSGE-VAR Forecasting Models: How Big are the
Differences?' JED&C 4/09 V.33,#4
Ghorbel Ahmed, Abdelwahed Trabelsi 'Measure of Financial Risk Using Conditional
Extreme Value Copulas With EVT Margins' <VaR, combine time series, EVT,
copula> J. Risk V.11,#4 Summer 2009
Gianfrate Gianfranco 'Listed Private Equity Funds: IPO Pricing, J-Curve and
Learning Effects' SSRN 5/09
Giesecke Kay 'Portfolio Credit Risk: Top-Down versus Bottom-Up Approaches' in
Frontiers in Quantitative Finance: Volatility and Credit Risk Modeling
Giesecke Kay, Jack Kim 'Optimizing the Mark-to-Market of a Fixed-Income
Portfolio: A Closed-Form Moment Approach' SSRN 7/09
Gihman I., V. Skorohod 'Stochastic Differential Equations' Springer 1972
Giles Michael, Desmond Higham, Xuerong Mao 'Analysing Multi-Level Monte Carlo
for Options with Non-Globally Lipschitz Payoff' Finance and Stochastics
V.13,#3,Part 1, Sept. 09
Gilli Manfred, Enrico Schumann 'Optimal Enough?' SSRN 6/09
Giofré Maela 'Convergence of EMU Equity Portfolios' SSRN 5/09
Giofré Maela 'EMU Effects on Stock Markets: From Home Bias to Euro Bias'
International Research Journal of Finance and Economics, V.15, May 2008
SSRN 5/09
Giofré Maela 'The Role of Information Asymmetries and Inflation Hedging in
International Equity Portfolios' Journal of Multinational Financial
Management, Forthcoming SSRN 5/09
Giorgi Enrico, Shane Legg 'Portfolio Selection with Narrow Framing: Probability
Weighting Matters' SSRN June 2009
Gisiger Nicolas 'Risk-Neutral Probabilities Explained' SSRN 4/09
Glabadanidis Paskalis 'A Dynamic Asset Pricing Model with Time-Varying Factor
and Idiosyncratic Risk' Journal of Financial Econometrics, V.7,#3, pp.
247-264, 2009
Glasserman Paul 'Risk Horizon and Rebalancing Horizon in Portfolio Risk
Measurement' SSRN 5/09
Glover Kristoffer, Goran Peski, Farman Samee 'The British Asian Option' 2009 UTS
Sydney
Goh Joel, Kian-Guan Lim, Melvyn Sim, Weina Zhang 'Portfolio Value-at-Risk
Optimization for Asymmetrically Distributed Asset Returns' SSRN 4/09
Goldberg Lisa, Rajnish Kamat, Jason Kremer 'A Structural Analysis of the Default
Swap Market - Part II (Relative Value)' J. Investment Management 2Q 2009
Goldman Eitan, Jörg Rocholl, Jongil So 'Do Politically Connected Boards Affect
Firm Value?' RFS V.22, #6 June 2009
Goldys Benjamin, Michael Röckner, Xicheng Zhang 'Martingale Solutions and Markov
Selections for Stochastic Partial Differential Equations' SP&A V.119,#5
May 2009
Gómez-Déniz Emilio, José María Sarabia, Enrique Calderín-Ojeda 'Univariate and
Multivariate Versions of the Negative Binomial-Inverse Gaussian
Distributions with Applications' Insurance: Mathematics and Economics
V.42,#1 Feb 08
Goncharov Yevgeny 'Computing the Endogenous Mortgage Rate without Iterations' QF
V.9,#4 2009
Goodman Victor, Joseph Stamfi 'The Mathematics of Finance' AMS V. 7, 2001
Goovaerts Marc, Roger Laeven 'Actuarial Risk Measures for Financial Derivative
Pricing' Insurance: Mathematics and Economics V.42,#2 April 08
Gorovoi Viatcheslav 'Applications of the Eigenfunction Expansion Method in
Interest Rate Modeling' 2005 PhD Northwestern U.-IEMS
Gorton Gary 'Slapped in the Face by the Invisible Hand: Banking and the Panic of
2007' SSRN 5/09
Gorton Gary, Matthias Kahl, Richard Rosen 'Eat or Be Eaten: A Theory of Mergers
and Firm Size' JofF V.64,#3 June 2009
Gospodinov Nikolay 'A New Look at the Forward Premium Puzzle' Journal of
Financial Econometrics, V.7,#3, pp. 312-338, 2009
Goto Shingo, Masahiro Watanabe, Yan Xu 'Strategic Disclosure and Stock Returns:
Theory and Evidence from US Cross-Listing' RFS V.22,#4 April 2009
Gourieroux Christian 'Positivity Conditions for a Bivariate Autoregressive
Volatility Specification' Journal of Financial Econometrics, V.5,#4,2007
Gowlland Chris, Zhijie Xiao, Qi Zeng 'Beyond the Central Tendency: Quantile
Regression as a Tool in Quantitative Investing' J. Portfolio Management
Spring 2009
Goyenko Ruslan, Andrey Ukhov 'Stock and Bond Market Liquidity: A Long-Run
Empirical Analysis' JF&QA Feb. 2009 V.44,#1
Goyenko Ruslan, Craig Holden, Charles Trzcinka 'Do Liquidity Measures Measure
Liquidity?' JFE V.92,#2 May 2009
Graham John, Campbell Harvey 'The Equity Risk Premium Amid a Global Financial
Crisis' SSRN 5/09
Grant James, Emery Trahan 'Active Investing in Strategic Acquirers Using an EVA
Style Analysis' Journal of Alternative Investments Spring 2009
Gregoriou Andros, Jerome Healy ' Trading Costs for Futures in the European Union
Emissions Trading Scheme' SSRN 7/09
Griffin John, Jin Xu 'How Smart Are the Smart Guys? A Unique View from Hedge
Fund Stock Holdings' RFS V.22,#7 July 2009
Grishchenko Olesya 'Asset Pricing in the Production Economy Subject to Monetary
Shocks' SSRN 6/09
Groh Alexander Peter, Oliver Gottschalg 'The Opportunity Cost of Capital of US
Buyouts' SSRN 5/09
Gross Jonathan 'Combinational Methods with Computer Applications' 2008 CRC Press
Grzelak Lech, Kees Oosterlee 'On the Heston Model with Stochastic Interest
Rates' SSRN 4/09
Guatteri Giuseppina, Federica Masiero 'Infinite Horizon and Ergodic Optimal
Quadratic Control for an Affine Equation with Stochastic Coefficients'
SIAM J. Control Optim. V.48,#3 2009 <linear and affine quadratic optimal
stochastic control, random coefficients, infinite horizon, ergodic
control, backward stochastic Riccati equation, quadratic costs>
Guedhami Omrane, Dev Mishra 'Excess Control, Corporate Governance, and Implied
Cost of Equity: International Evidence' Financial Review, Forthcoming SSRN
5/09
Guegan Dominique 'A Meta-Distribution for Non-Stationary Samples' SSRN June 2009
Guidolin Massimo, Francesca Rinaldi 'A Simple Model of Trading and Pricing Risky
Assets Under Ambiguity: Any Lessons for Policy-Makers?' SSRN 5/09
Gumport M.A. 'American Equity Rights Security Offerings - A Distinctive Class of
Financial Transactions' SSRN July 2009
Guo Hui, Robert Savickas, Zijun Wang, Jian Yang 'Is the Value Premium a Proxy
for Time-Varying Investment Opportunities? Some Time-Series Evidence'
JF&QA Feb. 2009 V.44,#1
Guo Jia-Hau, Mao-Wei Hung, Leh-Chyan So 'A Generalization of the Barone-Adesi
and Whaley Approach for the Analytic Approximation of American Options'
Journal of Futures Markets V.29,#5 May 2009
Guo Xin, Robert Jarrow, Yan Zing 'Credit Risk Models with Incomplete
Information' Math. of O.R. V.34,#2 May 2009
Gut Altan 'Stopped Random Walks: Limit Theorems and Applications' 2009 Springer
Press
Gzyl Henryk, Silvia Mayoral 'Determination of Risk Pricing Measures From Market
Prices of Risk' Insurance: Mathematics and Economics V.43,#3 Dec. 2008
Hackbarth Dirk, David Mauer 'Optimal Priority Structure, Capital Structure, and
Investment' SSRN 7/09
Hagströmer Björn, Richard Anderson, Jane Binner, Birger Nilsson 'Dynamics in
Systematic Liquidity' SSRN 5/09
Hakansson Nils 'Financial Markets' New Palgrave: Finance 1989
Hakansson Nils 'Portfolio Analysis' New Palgrave: Finance 1989
Hakim Abdul, Michael McAleer 'Forecasting Conditional Correlations in Stock,
Bond and Foreign Exchange Markets Simulation' Mathematics and Computers in
Simulation V.79,#9 May 2009
Hallerbach Winfried 'The Information Ratio as a Performance Metric' SSRN 7/09
Hamdi Samir 'Method of Lines' <PDEs]
Hamerle Alfred, Kilian Plank 'Stress Testing CDOs' Journal of Risk Model
Validation V.2, #4 Winter 2008/2009
Hamilton David, Yukyung Choi 'Measuring the Credit Risk of Synthetic CDOs with
CDS-Implied Ratings' Journal of Fixed Income Summer 2009, V. 19,#1
Hammoudeh Shawkat, Ramazan Sari, Bradley Ewing 'Relationships Among Strategic
Commodities and with Financial Variables: A New Look' Contemporary
Economic Policy, V.27,#2 April 2009
Hamrick Jeff, Murad Taqqu 'Testing Diffusion Processes for Non-Stationarity'
Han Chirok, Jin Seo Cho, Peter Phillips 'Infinite Density at the Median and the
Typical Shape of Stock Return Distributions' SSRN 6/09
Han Jungsuk 'A Review on Information Asymmetries in Financial Market' SSRN July
2009
Hanert Emmanuel, Aanand Venkatramanan 'Meshfree Approximation for Multi-Asset
Options' SSRN 6/09
Hansen Niels Richard 'The Maximum of a Lévy Process Reflected at a General
Barrier' SP&A July 2009 V.119,#7 <Kella–Whitt martingale, Reflection, Risk
theory, Nonlinear barriers, Queuing>
Hanson Floyd, Guoqing Yan 'American Put Option Pricing for a Stochastic-
Volatility, Jump-Diffusion Models, with Log-Uniform Jump-Amplitudes' Proc.
2007 Amer. Control Conference 2007 <option-American]
Hara Chiaki 'Heterogeneous Impatience in a Continuous-Time Model' Mathematics
and Financial Economics V.2,#2 July 2009
Härdle Wolfgang, Zdenek Hlávka 'Dynamics of State Price Densities' Journal of
Econometrics V.150,#1 May 2009 <volatility deviation from EUREX on the DAX
via nonparametric estimator of the second derivative of Euro calls,
nonlinear least squares; Constrained estimation>
Hardy Darel, Fred Richman, Carol Walker 'Applied Algebra:Codes, Ciphers and
Discrete Algorithms' 2009 CRC Press
Harris Richard, Fatih Yilmaz 'A Momentum Trading Strategy Based on the Low
Frequency Component of the Exchange Rate' J. Banking and Finance V.33,#9
Sept. 2009
Hasbrouck Joel 'Trading Costs and Returns for U.S. Equities: Estimating
Effective Costs from Daily Data' JofF V.64,#3 June 2009
Hashorva Enkelejd 'Tail Asymptotic Results for Elliptical Distributions'
Insurance: Mathematics and Economics V.43,#1 August 2008
Hatchett Jonathan, Reimer Kühn 'Credit Contagion and Credit Risk' QF V.9,#4 2009
He Xue-Zhong, Lei Shi 'Heterogeneity, Bounded Rationality and Market
Dysfunctionality' October 2008 UTS Sydney
He Xue-Zhong, Lei Shi 'Portfolio Analysis and Zero-Beta CAPM with Heterogeneous
Beliefs' January 2009 UTS Sydney
Healy Alexander, Andrew Lo ' Jumping the Gates: Using Beta-Overlay Strategies to
Hedge Liquidity Constraints' SSRN 5/09
Heemeijer Peter, Cars Hommes, Joep Sonnemans, Jan Tuinstra 'Price Stability and
Volatility in Markets with Positive and Negative Expectations Feedback: an
Experimental Investigation' JED&C May 2009 V.33,#5
Helwege Jean, Samuel Maurer, Asani Sarkar, Yuan Wang 'Credit Default Swap
Auctions' SSRN 5/09
Hendershott Terrence, Albert Menkveld 'Price Pressures' SSRN June 2009
Henker Thomas, Martin Martens, Robert Huynh 'The Fading Abnormal Returns of
Momentum Strategies' SSRN 5/09
Henry-Labordère Pierre 'A Geometric Approach to the Asymptotics of Implied
Volatility' in Frontiers in Quantitative Finance: Volatility and Credit
Risk Modeling Rama Cont (Ed) Wiley 2009 <same as an earlier paper>
Herbertsson Alexander, Jiwook Jang, Thorsten Schmidt ' Pricing Basket Default
Swaps in a Tractable Shot-Noise Model' SSRN 4/09
Heston Steven, Robert Korajczyk, Ronnie Sadka 'Intraday Patterns in the Cross-
Section of Stock Returns' SSRN 6/09
Heyde Chris 'Scaling Issues for Risky Asset Modelling' Mathematical Methods of
Operations Research V.69,#3 July 2009
Heyde Chris, Dingcheng Wang 'Finite-Time Ruin Probability with an Exponential
Lévy Process Investment Return and Heavy-Tailed Claims' Advances in
Applied Probability V.41,#1 March 2009
Higashi Youichiro, Kazuya Hyogo, Norio Takeoka 'Subjective Random Discounting
and Intertemporal Choice' JET V.144,#3 May 2009
Hilber N., N. Reich, Christoph Schwab, Christoph Winter 'Numerical Methods for
Lévy Processes' Finance and Stochastics V.13,#3,Part 2, Sept. 09
Hodder James, Jens Carsten Jackwerth, Olga Kolokolova 'Improved Portfolio Choice
Using Second Order Stochastic Dominance' SSRN 6/09
Hodgson Raphael 'The Birth of the Swap' FAJ May/June 2009 V.65,#3
Holden Craig 'New Low-Frequency Spread Measures' SSRN 5/09
Holton Glyn 'Value-at-Risk: Theory and Practice' 2009 CRC Press
Horneff Wolfram, Raimond Maurer, Olivia Mitchell, Michael Stamos 'Asset
Allocation and Location over the Life Cycle with Investment-Linked
Survival-Contingent Payouts' J. Banking and Finance V.33,#9 Sept. 2009
Hornstein Andreas 'Introduction to the New Keynesian Phillips Curve' FRB
Richmond Economic Quarterly Fall 2008
Hornstein Andreas 'Problems for a Fundamental Theory of House Prices' FRB
Richmond Economic Quarterly V.95,#1 Winter 2009
Höse Steffi, Stefan Huschens 'Worst-Case Asset, Default and Survival Time
Correlations' Journal of Risk Model Validation V.2, #4 Winter 2008/2009
Houston Paul, Christoph Schwab, Endre Süli 'Discontinuous hp-Finite Element
Methods for Advection-Diffusion Problems' SIAM J. Num. Analysis 39, 2002
Houthaker Hendrik 'Futures Trading' New Palgrave: Finance 1989
Howard Taylor 'A First Course in Stochastic Processes' Academic Press 1975
Howard Taylor 'A Second Course in Stochastic Processes' Academic Press 1981
Howison Sam, Michael C. Coulon 'Stochastic Behaviour of the Electricity Bid
Stack: From Fundamental Drivers to Power Prices' The Journal of Energy
Markets, V. 2,#1, Spring 2009
Hsieh David 'Tests of Rational Expectations and No Risk Premium in Forward
Exchange Markets' J. International Economics (17) 1984
Hsieh David 'Tests of Rational Expectations and No Risk Premium in Forward
Exchange Markets' SSRN 5/09
Hu Yaozhong, Shige Peng 'Backward Stochastic Differential Equations Driven by
Fractional Brownian Motion' SIAM J. Control Optim. V.48, #3, 2009 <fixed-
point, quasi-conditional expectation>
Huang Chi-Fu 'Continuous-time Stochastic Processes' New Palgrave: Finance 1989
Huang Chi-Fu 'Information Structure and Equilibrium Asset Prices' Journal of
Economic Theory, 1985
Huang Jennifer, Clemens Sialm, Hanjiang Zhang 'Risk Shifting and Mutual Fund
Performance' SSRN 4/09
Huang Jennifer, Jiang Wang 'Liquidity and Market Crashes' RFS V.22,#7 July 2009
Huang Lixin, Qiang Kang, Gary Gorton 'The Limitations of Stock Market
Efficiency: Price Informativeness and CEO Turnover' SSRN 4/09
Huang Rongbing, Jay Ritter 'Testing Theories of Capital Structure and Estimating
the Speed of Adjustment' JF&QA April 2009 V.44,#2
Hubalek Friedrich, Carlo Sgarra On the Esscher Transforms and Other Equivalent
Martingale Measures for Barndorff-Nielsen and Shephard Stochastic
Volatility Models with Jumps' SP&A July 2009 V.119,#7 <optimal martingale
measures, option pricing, Ornstein–Uhlenbeck>
Huberman Gur 'Arbitrage Pricing Theory' New Palgrave: Finance 1989
Hughes Alan, Ajit Singh 'Takeovers and the Stock Market' New Palgrave: Finance
1989
Hugonnier Julien, Pascal St-Amour, Florian Pelgrin 'Health and (Other) Asset
Holdings' SSRN 6/09
Huizinga Harry, Johannes Voget 'International Taxation and the Direction and
Volume of Cross-Border M&As' JofF V.64,#3 June 2009
Hull John 'The Credit Crunch of 2007: What Went Wrong? Why? What Lessons Can Be
Learned?' J. Credit Risk V.5,#2 2009
Hulley Hardy, Eckhard Platen 'A Visual Classification of Local Martingales'
December 2008 UTS Sydney
Hulley Hardy, Thomas McWalter 'Quadratic Hedging of Basis Risk' June 2008 UTS
Sydney
Humphery Mark 'Enhancing VWAP Algorithms by Incorporating Contemporaneous
Volume' SSRN 5/09
Hu-quin Yan, Liu Zhen-yu 'An Analysis on Issues of Capital Asset Portfolio
Coordination in Relative VAR and Mean-Variance' SSRN 5/09
Huschens Stefan, Alexander Karmann, Dominik Maltritz, Konstantin Vogl 'Country
Default Probabilities: Assessing and Backtesting' Journal of Risk Model
Validation V.1, #2 Summer 2007
Hyde Charles, Michael Triguboff 'The Value Spread as a Market Timing Signal:
Evidence from Asia' J. Investment Management 2Q 2009
Hyndman Cody Blaine 'A Forward–Backward SDE Approach to Affine Models'
Mathematics and Financial Economics V.2,#2 July 2009
Iacone Fabrizio 'A Semiparametric Analysis of the Term Structure of the US
Interest Rates' Oxford Bulletin of Economics and Statistics, V.71,#4,
August 2009
Ibragimov Rustam 'Portfolio Diversification and Value at Risk Under Thick-
Tailedness' QF V.9,#5 2009
Ibragimov Rustam, Johan Walden 'Portfolio Diversification Under Local and
Moderate Deviations From Power Laws' Insurance: Mathematics and Economics
V.42,#2 April 08
Imkeller Peter, Ilya Pavlyukevich and Torsten Wetzel 'First Exit Times for Lévy-
Driven Diffusions with Exponentially Light Jumps' Annals of Probability
V.37,#2 March 2009
Ingersoll Jonathan 'Interest Rates' New Palgrave: Finance 1989
Ingersoll Jonathan 'Option Pricing Theory' New Palgrave: Finance 1989
Inoue Akihiko, Yumiharu Nakano, Vo Van Anh 'Linear Filtering of Systems with
Memory and Application to Finance' Journal of Applied Mathematics and
Ipsen Ilse 'Numerical Matrix Analysis: Linear Systems and Least Squares' SIAM
2009
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1974
Jacobs Bruce 'Tumbling Tower of Babel: Subprime Securitization and the Credit
Crisis' FAJ V.65,#2 March/April 2009
Jacobs Kris, Lotfi Karoui 'Conditional Volatility in Affine Term-Structure
Models: Evidence from Treasury and Swap Markets' JFE V.91,#3 March 2009
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in Pure Math. 1977
Jadhav Deepak, T. V. Ramanathan 'Parametric and Non-Parametric Estimation of
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Jang Jiwook 'Jump Diffusion Processes and their Applications in Insurance and
Finance' Insurance: Mathematics and Economics V.41,#1 July 07
Jaoshvili V., O. Purtukhia 'An Extension of the Ocone–Haussmann–Clark Formula
for the Compensated Poisson Processes' Theory of Prob. and its
Applications V.53,#2 2009
Jenkinson Tim, Howard Jones 'IPO Pricing and Allocation: A Survey of the Views
of Institutional Investors' RFS V.22,#4 April 2009
Jha Ranjini, Madhu Kalimipalli 'The Economic Significance of Conditional
Skewness in Index Option Markets' Journal of Futures Markets SSRN 4/09
Ji Tingting 'Validating Mortgage Prepayment Forecasts Using a Dynamic Bivariate-
Choice Regression Method' Journal of Risk Model Validation V.1, #2 Summer
2007
Jiang George, Danielle Xu, Tong Yao 'The Information Content of Idiosyncratic
Volatility' JF&QA Feb. 2009 V.44,#1
Jiang Jennifer 'Quasi-Monte Carlo Methods in Finance' 2007 PhD Northwestern U.-
IEMS
Joenväärä Juha, Hannu Kahra 'Investing in Hedge Funds When the Fund's
Characteristics are Exploitable' SSRN 5/09
Johannes Michael, Nicholas Polson, Jonathan Stroud 'Optimal Filtering of Jump
Diffusions: Extracting Latent States from Asset Prices' RFS V.22,#7 July
2009
Johansen Soren, Anders Rygh Swensen 'On a Numerical and Graphical Technique for
Evaluating Some Models Involving Rational Expectations' SSRN 5/09
Johnson Timothy 'Derivative Pricing, Probability and Ethics' SSRN 6/09
Jondeau Eric, Augusto Perilla, Michael Rockinger 'Optimal Liquidation Strategies
in Illiquid Markets' SSRN July 2009
Jorion Philippe, Gaiyan Zhang 'Credit Contagion from Counterparty Risk' SSRN
5/09
Josephy Norm, Lucy Kimball, Victoria Steblovskaya 'A Time-Series Approach to
Non-Self-Financing Hedging in a Discrete-Time Incomplete Market' Journal
Joshi Mark 'The Convergence Of Binomial Trees For Pricing The American Put' J.
Risk V.11,#4 Summer 2009
Joshi Mark, Chao Yang 'Fast Delta Computations in the Swap-Rate Market Model'
SSRN 5/09
Joux Antoine 'Algorithmic Cryptanalysis' 2009 CRC Press
Jumarie Guy 'Stock Exchange Fractional Dynamics Defined As Fractional
Exponential Growth Driven By (Usual) Gaussian White Noise. Application to
Fractional Black–Scholes Equations' Insurance: Mathematics and Economics
V.42,#1 Feb 08
Jungbacker Borus, S. J. Koopman, Michel van der Wel 'Dynamic Factor Models with
Smooth Loadings for Analyzing the Term Structure of Interest Rates' SSRN
5/09
Kaas Rob, Roger Laeven, Roger Nelsen 'Worst VaR Scenarios with Given Marginals
and Measures of Association' Insurance: Mathematics and Economics V.44,#2
April 2009
Kabanov Yuri, Christophe Stricker 'Hedging of Contingent Claims under
Transaction Costs' in K. Sandmann, P. Schönbucher (ed) Advances in Finance
& Stochastics 2002
Kacperczyk Marcin, Laura Veldkamp, Stijn Van Nieuwerburgh 'Attention Allocation
Over the Business Cycle: Evidence from the Mutual Fund Industry' SSRN June
2009
Kaebe Christoph, Jan Maruhn, Ekkehard Sachs 'Adjoint-Based Monte Carlo
Calibration of Financial Market Models' Finance and Stochastics
V.13,#3,Part 1, Sept. 09
Kaina Mareike, Ludger Rüschendorf 'On Convex Risk Measures on Lp-Spaces'
Kalay Avner, Avi Wohl 'Detecting Liquidity Traders' JF&QA Feb. 2009 V.44,#1
Kale Jayant, Ebru Reis, Anand Venkateswaran 'Rank-Order Tournaments and
Incentive Alignment: The Effect on Firm Performance' JofF V.64,#3 June
2009
Kallsen Jan, Richard Vierthauer 'Quadratic Hedging in Affine Stochastic
Volatility Models' Review of Derivatives Research, V.12,#1, 2009
Kalyvas Lampros, Athanasios Sfetsos 'Impact Analysis of VaR Methodologies on
Regulatory Capital' Journal of Risk Model Validation V.1, #3 Fall 2007
Kamath Chandrika 'Scientific Data Mining: A Practical Perspective' May 2009 SIAM
Books
Kamdem J. Sadefo 'Delta-VaR and Delta-TVaR for Portfolios with Mixture of
Elliptic Distributions Risk Factors and DCC' Insurance: Mathematics and
Economics V.44,#3 June 2009
Kan Raymond, Guofu Zhou 'What Will the Likely Range of My Wealth Be?' FAJ
July/Aug. 2009 V.65,#4
Kang Byung Jin, Tong Suk Kim, Sun-Joong Yoon 'Information Content of Volatility
Spreads' SSRN July 2009
Kang ChoongOh, Hyoung Goo Kang 'The Effect of Credit Risk on Stock Returns'
Journal of Economic Research, V. 14,#2, 2009
Kang Jangkoo, Tong Suk Kim, ChangJun Lee, ByoungKyu Min 'Macroeconomic Risk and
the Cross-Section of Stock Returns' SSRN 4/09
Kang Sang Baum 'GARCH Conditional Volatilities of Natural Gas Constant Maturity
Futures and Compensation for Risk' SSRN July 2009
Kannappan P. 'Functional Equations and Inequalities with Applications' Springer
2009
Kapetanios George, Andrea Cipollini 'A Stochastic Variance Factor Model for
Large Datasets and an Application to S&P Data' Economics Letters, V. 100,
2008
Kaplanis Evi, Ian Cooper 'Partially Segmented International Capital Markets and
International Capital Budgeting' SSRN 5/09
Kardaras Constantinos, Eckhard Platen 'Minimizing the Expected Market Time to
Reach a Certain Wealth Level' July 10 2008 UTS Sydney
Kardaras Constantinos 'Viability of Markets with an Infinite Number of Assets'
December 2008 UTS Sydney
Kardaras Constantinos, Eckhard Platen 'Multiplicative Approximation of Wealth
Processes Involving No-Short-Sale Strategies' December 2008 UTS Sydney
Kardaras Constantinos, Eckhard Platen 'On Financial Markets where only Buy-And-
Hold Trading is Possible' February 2008 UTS Sydney
Kaustia Markku, Heidi Laukkanen, Vesa Puttonen 'Should Good Stocks Have High
Prices or High Returns?' FAJ May/June 2009 V.65,#3
Kaustia Markku, Samuli Knüpfer 'Learning from the Outcomes of Others: Stock
Market Experiences of Local Peers and New Investors Market Entry' SSRN
7/09
Kawai Masahiro 'Backwardation' New Palgrave: Finance 1989
Kawai Reiichiro 'A Multivariate Lévy Process Model with Linear Correlation' QF
V.9,#5 2009
Keane Michael, Robert Sauer 'Classification Error in Dynamic Discrete Choice
Models: Implications for Female Labor Supply Behavior' Econometrica May
2009 V.77,#3
Kedia Simi, Thomas Philippon 'The Economics of Fraudulent Accounting' RFS V.22,
#6 June 2009
Keenan Donald, Arthur Snow 'Greater Downside Risk Aversion in the Large' JET
V.144,#3 May 2009
Kennedy J. Shannon, Peter Forsyth, Kenneth Vetzal 'Dynamic Hedging Under Jump
Diffusion with Transaction Costs' Operations Research May/June 2009
V.57,#3
Kenyon Chris 'Pricing Covered Bonds' SSRN 5/09
Kessler Stephan, Bernd Scherer 'Varying Risk Premia in International Bond
Markets' J. Banking and Finance V.33,#8 Aug. 2009
Khandani Amir, Andrew Lo 'Illiquidity Premia in Asset Returns: An Empirical
Analysis of Hedge Funds, Mutual Funds, and U.S. Equity Portfolios' SSRN
6/09
Kharevsky Aleksey 'Pricing on Hyperbolic Frames' SSRN 5/09
Kiesel Rüdiger, Gero Schindlmayr, Reik Börger 'A Two-Factor Model for the
Electricity Forward Market' QF V.9,#3 2009
Kijima Masaaki, Teruyoshi Suzuki, Keiichi Tanaka 'A Latent Process Model for the
Pricing of Corporate Securities' Mathematical Methods of Operations
Research V.69,#3 July 2009
Kim Bara, Hwa-Sung Kim, Jeongsim Kim 'A Risk Model with Paying Dividends and
Random Environment' Insurance: Mathematics and Economics V.42,#2 April 08
Kim Hwagyun 'Optimal Asset and Housing Allocation with a Path-Dependent Housing
Adjustment Cost' SSRN 6/09
Kim Jinyong 'An Empirical Investigation of MBS Liquidity Risk' Journal of Fixed
Income Spring 2009
Kim Joseph, Mary Hardy 'A Capital Allocation Based on a Solvency Exchange
Option' Insurance: Mathematics and Economics V.44,#3 June 2009
Kim Kwangmoon, Minsuk Kwak, U. Jin Choi 'Investment under Ambiguity and Regime-
Switching Environment' SSRN 6/09
Kim Seung-Jean Kwangmoo Koh, Stephen Boyd, Dimitry Gorinevsky 'l1 Trend
Filtering' Control' SIAM Review June 2009 V. 51,#2
Kim Young Se 'Exchange Rates and Fundamentals under Adaptive Learning' JED&C
4/09 V.33,#4
Kim Young Shin, Svetlozar Rachev, Michele Leonardo Bianchi, Frank Fabozzi
'Computing VAR and AVaR in Infinitely Divisible Distributions' SSRN 5/09
King Michael, Dan Segal 'The Long-Term Effects of Cross-Listing, Investor
Recognition, and Ownership Structure on Valuation' RFS V.22, #6 June 2009
King Robert 'The Phillips Curve and U.S. Macroeconomic Policy: Snapshots, 1958-
1996' FRB Richmond Economic Quarterly Fall 2008
Kirsch Andreas, Natalia Grinberg 'The Factorization Method for Inverse Problems'
Oxford Press 2008
Klibanoff Peter, Massimo Marinacci, Sujoy Mukerji 'Recursive Smooth Ambiguity
Preferences' JET V.144,#3 May 2009
Kobayashi Masahito 'Testing for Jumps In The Stochastic Volatility Models'
Mathematics and Computers in Simulation V.79,#8 April 2009
Kogan Leonid, Dmitry Livdan, Amir Yaron 'Oil Futures Prices in a Production
Economy with Investment Constraints' JofF V.64,#3 June 2009
Kogan Shimon 'Distinguishing the Effect of Overconfidence from Rational Best-
Response on Information Aggregation' RFS V.22,#5 May 2009
Köksal Bülent 'A Comparison of Conditional Volatility Estimators for the ISE
National 100 Index Returns' SSRN 5/09
Kolata William 'High-Visibility Math: Sudden Phase Transitions in Random
Networks' <Erd?s–Rényi graphs> SIAM News May 2009
Koltchinskii Vladimir 'Sparsity in Penalized Empirical Risk Minimization'
Annales IPH Prob. V45,#1 Feb. 2009
Kovalov Pavlo 'Pricing Multi-Dimensional American Options and Convertible Bonds:
A Finite Element Method-of-Lines' 2007 PhD Northwestern U.-IEMS
Kozhan Roman, Mark Salmon 'Uncertainty Aversion in a Heterogeneous Agent Model
of Foreign Exchange Rate Formation' JED&C May 2009 V.33,#5
Krafczyk Manfred, Li-Shi Luo 'Lattice Boltzmann Methods: A Kinetic Approach for
High-Performance CFD' SIAM News June 2009
Krahnen Jan Pieter, Christian Wilde 'CDOs and Systematic Risk: Why Bond Ratings
are Inadequate' SSRN July 2009
Krippner Leo 'A Macroeconomic Foundation for the Nelson and Siegel Class of
Yield Curve Models' June 21 2008 UTS Sydney
Kristensen Dennis, Antonio Mele 'Adding and Subtracting Black-Scholes: A New
Approach to Approximating Derivative Prices in Continuous Time Models'
SSRN 4/09
Kruglov V.M. 'On Convergence of Submartingales' Theory of Prob. and its
Applications V.53,#2 2009
Kudryavtsev Oleg, Sergei Levendorskii 'Fast and Accurate Pricing of Barrier
Options under Lévy Processes' Finance and Stochastics V.13,#3,Part 2,
Sept. 09
Kuhn Daniel, Panos Parpas, Berç Rustem, Raquel Fonseca 'Dynamic Mean-Variance
Portfolio Analysis under Model Risk' J. Computational Finance V.12,#4 2009
Kulenko Natalie, Hanspeter Schmidli 'Optimal Dividend Strategies In a Cramér–
Lundberg Model with Capital Injections' Insurance: Mathematics and
Economics V.43,#2 Oct. 2008
Kung James 'A Two-Asset Stochastic Model for Long-Term Portfolio Selection'
Mathematics and Computers in Simulation V.79,#10 June 2009
Kwak Minsuk, Yong Hyun Shin, U. Jin Choi 'Optimal Investment and Consumption
Decision of Family with Life Insurance' SSRN 6/09
Kwok Yue Kuen 'Lattice Tree Methods for Strongly Path Dependent Options' SSRN
6/09
L’Ecuyer Pierre 'Quasi-Monte Carlo Methods With Applications in Finance' Finance
Labartt Céline, Jérôme Lelong 'Pricing Double Barrier Parisian Options using
Laplace Transforms' IJT&AF V.12,#1 Feb. 2009
Lai Cheng 'The Impact of Accounting Distortions on Measures of Performance,
Growth, and Valuation' SSRN 7/09
Lai YiHao, Cathy Chen, Richard Gerlach 'Optimal Dynamic Hedging via Copula-
Threshold-GARCH Models' Mathematics and Computers in Simulation V.79,#8
April 2009
Lam K.P., H.S. Ng 'Intra-Daily Information of Range-Based Volatility for MEM-
GARCH' Mathematics and Computers in Simulation V.79,#8 April 2009
Lambert Richard, Christian Leuz, Robert Verrecchia 'Information Asymmetry,
Information Precision, and the Cost of Capital' SSRN 4/09
Landriault David 'Constant Dividend Barrier in a Risk Model with Interclaim-
Dependent Claim Sizes' Insurance: Mathematics and Economics V.42,#1 Feb 08
Lau John, Tak Kuen Siu 'On Option Pricing Under a Completely Random Measure Via
a Generalized Esscher Transform' Insurance: Mathematics and Economics
V.43,#1 August 2008
Laurence Peter, Tai-Ho Wang 'Sharp Distribution Free Lower Bounds for Spread
Options and the Corresponding Optimal Subreplicating Portfolios'
Insurance: Mathematics and Economics V.44,#1 Feb. 2009
Laurent Jean-Paul, Areski Cousin 'An Overview of Factor Modeling for CDO
Pricing' in Frontiers in Quantitative Finance: Volatility and Credit Risk
Modeling Rama Cont (Ed) Wiley 2009
Laux Christian, Christian Leuz 'The Crisis of Fair Value Accounting: Making
Sense of the Recent Debate' SSRN 4/09
Leary Mark 'Bank Loan Supply, Lender Choice, and Corporate Capital Structure'
JofF V.64,#3 June 2009
Leblanc Matthieu 'Active Risk Budgeting: Volatility is Not Standard Deviation'
SSRN 5/09
Leclerc Matthias, Qian Liang, Ingo Schneider 'Fast Monte Carlo Bermudan Greeks'
<Libor model, Giles & Glasserman> RISK July 2009
Lee Charles, David Ng, Bhaskaran Swaminathan 'Testing International Asset
Pricing Models Using Implied Costs of Capital' JF&QA April 2009 V.44,#2
Lee Darren David, Robert Faff 'Corporate Sustainability Performance and
Idiosyncratic Risk: A Global Perspective' Financial Review, V.44,#2, May
2009
Lee Kuan-Hui 'The World Price of Liquidity Risk' SSRN 5/09
Leibowitz Martin, Anthony Bova 'Diversification Performance and Stress-Betas' J.
Portfolio Management Spring 2009
Lemke Wolfgang, Thomas Werner 'The Term Structure of Equity Premia in an Affine
Arbitrage-Free Model of Bond and Stock Market Dynamics' SSRN 4/09
Lento Camillo 'The Combined Signal Approach to Technical Analysis: A Review &
Commentary' SSRN 5/09
Lepori Gabriele 'Dark Omens in the Sky: Do Superstitious Beliefs Affect
Investment Decisions?' SSRN 7/09
LeRoy Stephen 'Present Value' New Palgrave: Finance 1989
Lesnevski Vadim 'Simulation of Coherent Risk Measures Based on Generalized
Scenarios' 2006 PhD Northwestern U.-IEMS
Leung Jeffery, Kojo Menyah 'Issuer-Oriented Underpricing Costs in Initial Public
Offers: Evidence from Hong Kong' Journal of Corporate Finance, V. 12,
2006
Leung Kwai Sun, Yue Kuen Kwok 'Counterparty Risk for Credit Default Swaps:
Markov Chain Interacting Intensities Model With Stochastic Intensity' SSRN
July 2009
Leung Tim, Ronnie Sircar, Thaleia Zariphopoulou 'Credit Derivatives and Risk
Aversion' Advances in Econometrics Year: 2008, V.22, pp. 275 - 291
Levy Adam 'The Basics of Practical Optimization' SIAM Press 2009
Lewis Alan 'Asian Connections' Wilmott Magazine Sept. 2002
Li Anlong 'Valuation of Swaps and Options on Constant Maturity CDS Spreads'
Icfai University Journal of Derivatives Markets, V 6, #2, April 2009
Li Bing-Qing, Hai-Jian Zhao 'Pricing Parisian Options by Generating Functions'
J. Derivatives Summer 2009 V.16,#4
Li Chenxu 'An Explicit Formula for Pricing Timer Options under Heston’s
Stochastic Volatility Model' SSRN 5/09
Li Chenxu 'Analytical Implementation of Gatheral's Double Mean-Reverting
Stochastic Volatility Model (II)' SSRN July 2009
Li Chenxu 'Analytical Implementation of Gatheral's Double Mean-Reverting
Stochastic Volatility Model (I)' SSRN 6/09
Li Chenxu 'Timer Options: Pricing, Hedging and Implementation' SSRN 5/09
Li Geng 'Transaction Costs and Consumption' JED&C 6/09 V.33,#6
Li Ming-Yuan Leon 'Could the Jump Diffusion Technique Enhance the Effectiveness
of Futures Hedging Models?: a Reality Test' Mathematics and Computers in
Simulation V.79,#10 June 2009
Li Tianhui, L.C.G. Rogers 'Lucas Economy with Trading Constraints' 2/09
Li Xiafei, Chris Brooks, Joelle Miffre 'Transaction Costs, Trading Volume and
Momentum Strategies' SSRN 5/09
Li Yan, Liyan Yang 'Underconditioning and Overconditioning: Testing the
Conditional CAPM and the Conditional Fama-French Three-Factor Model' SSRN
4/09
Lian Qin, Qiming Wang 'Does the Market Incorporate Previous IPO Withdrawals When
Pricing Second-Time IPOs?' SSRN 4/09
Liang Gechun, Lishang Jiang 'A Modified Structural Model for Credit Risk:
Utility Indifference Valuation' SSRN 5/09
Lin Li, Ruoen Ren, Didier Sornette 'A Consistent Model of 'Explosive' Financial
Bubbles with Mean-Reversing Residuals' SSRN July 2009
Lin X. Sheldon, Kristina Sendova 'The Compound Poisson Risk Model with Multiple
Thresholds' Insurance: Mathematics and Economics V.42,#2 April 08
Lin X. Sheldon, Tao Wang 'Pricing Perpetual American Catastrophe Put Options: a
Penalty Function Approach' Insurance: Mathematics and Economics V.44,#2
April 2009
Linetsky Vadim, Rafael Mendoza 'Pricing Equity Default Swaps under the Jump to
Default Extended CEV Model' SSRN 5/09
Lingo Manuel, Gerhard Winkler 'Discriminatory Power: an Obsolete Validation
Criterion?' Journal of Risk Model Validation V.2, #1 Spring 2008
Lipton Alexander, Artur Sepp 'Credit Value Adjustment for Credit Default Swaps
via the Structural Default Model' J. Credit Risk V.5,#2 2009
Liptser Robert, Alexander Novikov 'On Tail Distributions of Supremum and
Quadratic Variations of Local Martigales' UTS 1/04
Litvak Kate 'The Relationship among U.S. Securities Laws, Cross-Listing Premia,
and Trading Volumes' SSRN June 2009
Liu Baoding 'Uncertainty Theory: Studies in Fuzziness and Soft Computing' 2nd
Ed. Springer 2008
Liu Daobai 'Bond Portfolio's Duration and Investment Term-Structure Management
Problem' Journal of Applied Mathematics and Stochastic Analysis V.2006
Liu Fang, Piet Sercu 'The Forex Forward Puzzle: The Career Risk Hypothesis' The
Financial Review, V. 44, #3, August 2009
Liu G.R. 'Mesh Free Methods: Moving Beyond the Finite Element Methods' 2009 CRC
Press
Liu Jun 'Generalized Method of Moments Estimation of Affine Diffusion Processes'
wp Stanford 1997
Liu Jun, Jun Pan, Lasse Pedersen 'Density-Based Inference in Affine Jump-
Diffusion' wp Stanford 2000
Liu Pu, Yingying Shao, Timothy Yeager 'Did the Repeated Debt Ceiling
Controversies Embed Default Risk in Us Treasury Securities?' J. Banking
and Finance V.33,#8 Aug. 2009
Liu R.H., Q. Zhang, G. Yin 'Option Pricing in a Regime-Switching Model Using the
Fast Fourier Transform' Journal of Applied Mathematics and Stochastic
Analysis V.2006
Liu Sheen 'Default Correlation and Optimal Portfolio with Corporate Bonds' SSRN
5/09
Liu Shuangzheu, Heinz Neudecker 'On Pseudo Maximum Likelihood Estimation for
Multivariate Time Series Models with Conditional Heteroskedasticity'
Mathematics and Computers in Simulation V.79,#8 April 2009
Liu Zhen 'Modeling and Numerical Solution of Portfolio Optimization Problems
with Transaction Costs: an Option Pricing Approach' 2007 PhD Northwestern
U.-IEMS
Lo Andrew, Jiang Wang 'Stock Market Trading Volume' THE HANDBOOK OF FINANCIAL
ECONOMETRICS, Yacine Aït-Sahalia, Lars Hansen, eds., New York: North-
Holland, 2009 SSRN 5/09
Lo Harry, Aleksandar Mijatovic 'Volatility Derivatives in Market Models with
Jumps' SSRN 5/09
Longstaff Francis, Brett Myers 'Valuing Toxic Assets: An Analysis of CDO Equity'
SSRN 4/09
Lookman Aziz 'Bank Borrowing and Corporate Risk Management' Journal of Financial
Intermediation, Forthcoming
Loubergé Henri, Richard Watt 'Insuring a Risky Investment Project' Insurance:
Mathematics and Economics V.42,#1 Feb 08
Louis Henock, Amy Sun 'Growth in Housing Prices and Capital Asset Mispricing:
Implications for the 2008-2009 Stock Market Collapse' SSRN 5/09
Lu Junhua, Simon Karaban 'Trading Index Dividends' SSRN 7/09
Lu Yi, Shuanming Li 'The Markovian Regime-Switching Risk Model with a Threshold
Dividend Strategy' Insurance: Mathematics and Economics V.44,#2 April 2009
Ludkovski Michael, Virginia Young 'Optimal Risk Sharing under Distorted
Probabilities' Mathematics and Financial Economics V.2,#2 July 2009
Lutz Matthias, Rüdiger Kiesel 'Efficient Pricing of CMS Spread Options in a
Stochastic Volatility LMM' SSRN May 2009 <calibration, integrated Cox-
Ingersoll-Ross (CIR) process>
Maberly Edwin, Raylene Pierce 'Review of Early 2009 SEC Approved Rule Changes
Impacting Exchange Traded Equity Options and Possible Implications' SSRN
5/09
Maccheroni Fabio, Massimo Marinacci, Aldo Rustichini, Marco Taboga 'Portfolio
Selection with Monotone Mean-Variance Preferences' MF V.19,#3 July 2009
Macintosh Norman 'From Rationality to Hyperreality: Paradigm Poker'
International Review of Financial Analysis, V.12, #4, 2003
Madan Dilip, Frank Milne, Robert Elliott 'Incomplete Diversification and Asset
Pricing' in K. Sandmann, P. Schönbucher (ed) Advances in Finance &
Stochastics 2002
Madsen Jakob 'The Macroeconomics of Stock Prices in the Medium Term and in the
Long Run' The Manchester School, V. 77, #2, March 2009
Magni Carlo Alberto 'A Fuzzy Expert System for Solving Real-Option Decision
Processes' Fuzzy Economic Review, V. 6,# 2, November 2001
Magni Carlo Alberto 'Modelling Excess Profit' SSRN 5/09
Magni Carlo Alberto 'The Use of NPV and CAPM for Capital Budgeting is Not a Good
Idea: A Reply to De Reyck (2005)' SSRN June 2009
Magni Carlo Alberto, Ignacio Velez-Pareja 'Potential Dividends versus Actual
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