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Aas Kjersti, Ingrid Hobæk Haff, Xeni K.

Dimakos 'Risk Estimation Using The


Multivariate Normal Inverse Gaussian Distribution' J. Risk V. 8 #2 2006
Abid Fathi, Nader Naifar 'The Impact Of Stock Returns Volatility On Credit
Default Swap Rates: A Copula Study' IJT&AF 12/05
Adams Renée B., Heitor Almeida, Daniel Ferreira 'Powerful CEOs and Their
Impact on Corporate Performance' RFS Winter 2005
Adcock C.J. 'Exploiting Skewness To Build An Optimal Hedge Fund With A
Currency Overlay' European J. of Finance Oct. 2005
Ait-Sahalia Yacine, Julio Cacho-Diaz, T.R. Hurd 'Portfolio Choice with a
Large Number of Assets: Jumps & Diversification' 1/06
Albanese Claudio, Manlio Trovato 'A Stochastic Volatility Model for Bermuda
Swaptions and Callable CMS Swaps' 11/05
Albrecher Hansjorg 'Semi-Static Hedging Strategies for Strongly Path-
Dependent Options' <Exotic options, Stochastic volatility, Levy models,
Hedging, Comonotonicity>
Albrecher Hansjorg 'Static Hedging of Asian Options under Levy Models: The
Comonotonicity Approach' 11/03
Aldabe F., Giovanni Barone-Adesi, Robert Elliott 'Option Pricing with
Regulated Fractional Brownian Motion' <option-pricing> <martingale,
vol. increase over time, RFBM> Applied Stochastic Models and Data
Analysis Volume 14, Issue 4. 1997
Alderweireld Thomas, João Garcia, Luc Léonard 'A Practical Operational Risk
Scenario Analysis Quantification' RISK 2/06
Allen Franklin, Stephen Morris 'Finance Applications of Game Theory' Wharton
1998 <CAPM, M-M, Efficient Market>
Alvarez Luis, Erkki Koskela 'Irreversible Investment under Interest Rate
Variability: Some Generalizations' JofB 3/06
Amador Manuel, Ivan Werning, George-Marios Angeletos 'Commitment vs.
Flexibility' Econometrica Volume 74, Issue 2, March 2006
Ammann Manuel, Ralf Seiz ‘Pricing and Hedging Mandatory Convertible Bonds’ J.
Derivatives Spring 2006
Andersen Leif 'Yield Curve Construction with Tension Splines' 12/2/05 SSRN
Andersen Leif, Jesper Andreasen 'Yield Curve Modeling with Skews and
Stochastic Volatility' 2/02 <term structure> <Libor Market Model, low
dimension HJM, vanilla, CMS, Bermuda>
Anderson Christopher, Luis Garcia-Feijóo 'Empirical Evidence On Capital
Investment, Growth Options, and Security Returns' JofF 2/06
Anderson Richard 'Replicability, Real-Time Data & the Science of Economic
Research:FRED, ALFRED & VDC' FRB St. Louis Review Jan/Feb 06
Anderson Robert 'A Nonstandard Representation for Brownian Motion & Ito
Integration' Israel Math. J. 1976
Andreas A., B. Engelmann, P. Schwendner, Uwe Wystup 'Fast Fourier Method for
the Valuation of Options on Several Correlated Currencies' in Foreign
Exchange Risk 2ed RISK Books
Ang Andrew, Robert Hodrick, Yuhang Xing, Xiaoyan Zhang 'The Cross-Section Of
Volatility And Expected Returns' JofF 2/06
Angrist Joshua, Victor Chernozhukov, Ivan Fernandez-Val 'Quantile Regression
under Misspecification, with an Application to the U.S. Wage Structure'
Econometrica Volume 74, Issue 2, March 2006
Athey Susan, Guido Imbens 'Identification and Inference in Nonlinear
Difference-in-Differences Models' Econometrica Volume 74, Issue 2,
March 2006
Athreya Siva, Richard F. Bass, Maria Gordina, Edwin A. Perkins 'Infinite
Dimensional Stochastic Differential Equations of Ornstein-Uhlenbeck
Type' SP&A 3/06
Attouch Hedy, Giuseppe Butazzo, Gerard Michaille 'Variational Analysis in
Sobolev & BV Spaces:Applications to PDEs & Optimization' 2005 SIAM
books
Augar Philip 'The Greed Merchants:How Investment Banks Played the Free Market
Game' 2005 Pengin Press
Avramov Doron, John C. Chao 'An Exact Bayes Test of Asset Pricing Models with
Application to International Markets' JofB 1/06
Ayache Elie, Philippe Henrotte, Sonia Nassar, Xuewen Wang 'Can Anyone Solve
The Smile Problem?' Jan 04
Baaquie Belal 'A Common Market Measure For Libor And Pricing Caps, Floors And
Swaps In A Field Theory Of Forward Interest Rates' IJT&AF 12/05
Baccara Mariagiovanna, Anna Battauz, Fulvio Ortu 'Effective Securities In
Arbitrage-Free Markets With Bid-Ask Spreads At Liquidation: A Linear
Programming Characterization' JED&C 1/06
Bakshi Gurdip, Dilip Madan 'A Theory of Volatility Spreads' 10/05 SSRN 2/06
<risk-neutral volatility, physical volatility, pricing kernels, risk
aversion, fat-tails>
Bandyopadhyay Akash 'Feynman Path Integrals for Derivative Pricing'
Quantitative Equity Derivatives Research Report, Bank Of America, New
York, August 1999.
Bandyopadhyay Akash 'Option Pricing Using Feynman Path Integrals' Seminar
Presented At Firmwide Risk, Goldman Sachs, New York, October 2000.
<options-numeric><Van-Vleck formula>
Bandyopadhyay Akash 'Stress Test, Regression Analysis, And Convergence Of
Convertible Bond Valuation Models' Derivatives Analytics Research
Report Merrill Lynch, New York, April 2001.
Bandyopadhyay Akash 'Var From Stress Test Projection Reports' Equity
Derivatives Risk Management Report, Deutsche Bank, New York, August
2000.
Barclay Michael, Clifford W. Smith, Erwan Morellec 'On the Debt Capacity of
Growth Options' JofB 1/06
Bardina Xavier, Maria Jolis 'Multiple Fractional Integral With Hurst
Parameter Less Than 1/2' SP&A 3/06
Barndorff-Nielsen Ole, Neil Shephard 'Power Variation And Time Change' SIAM
J. Theory Of Probability And Its Applications V. 50 #1, 2006 <Limit
Distribution Results For Power Variation, Time-Changed Brownian Motion,
Alpha-Stable Processes, Stochastic Volatility, Realized Variance,
Semimartingales>
Barndorff-Nielsen Ole, Steen Thorbjørnsen 'Regularizing Mappings Of Lévy
Measures' SP&A 3/06
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Beaglehole David 'Down and Out, Up and In Options' U. Iowa 1992
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Chapman & Hall/CRC
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RISK supplement 5/04
Bernhardt Dan, Vladimir Dvoracek, Eric Hughson, Ingrid M. Werner 'Why Do
Larger Orders Receive Discounts on the London Stock Exchange?' RFS
Winter 2005
Berti Patrizia, Luca Pratelli, Pietro Rigo 'Asymptotic Behavior Of The
Empirical Process For Exchangeable Data' SP&A 2/06
Bielecki Thomasz, Andrea Vidozzi, Luca Vidozzi 'An Efficient Approach To
Valuation Of Credit Basket Products And Options On Ratings Triggered
Step-Up Bonds' 3/06
Bielecki Tomasz, Andrea Vidozzi, Luca Vidozzi 'An Efficient Approach to
Valuation of Credit Basket Products & Ratings Triggered Step-Up Bonds'
<credit risk> Nov. 2005
Bielecki Tomasz, Stanley Pliska, Shuenn-Jyi Sheu 'Risk Sensitive Portfolio
Management with Cox--Ingersoll--Ross Interest Rates: The HJB Equation'
SIAM J. Control & Opt. 12/05
Bielecki Tomasz, Stephane Crepey, Monique Jeanblanc, Marek Rutkowski
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Bocker Klaus, Claudia Kluppelberg 'Operational VAR:A Closed-Form
Approximation' <loss distribution model, Pareto severatiy model> RISK
12/05
Boot Arnoud, Todd Milbourn, Anjolein Schmeits 'Credit Ratings as Coordination
Mechanisms' RFS Spring 06
Bormetti G., G. Montagna, N. Moreni, O. Nicrosini 'Pricing Exotic Options In
A Path Integral Approach' QF 2/06
Bourgade Paul, Olivier Croissant 'Heat Kernel Expansion for a Family of
Stochastic Volatility Models:Delta-Geometry' <SABR, Heston, stochastic
volatility, smile, heat kernel expansion, Molchanov's theorem, first
and second variation formulas> 11/05
Brace Alan 'Dual Swap & Swaption Formulae in Forward Models' FMMA Notes 2/96
<swaps>
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Brau James, Stanley Fawcett 'Initial Public Offerings: An Analysis Of Theory
And Practice' JofF 2/06
Brennan Michael, Yihong Xia 'Risk and Valuation under an Intertemporal
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Stochastic Differential Equations with Applications' 2005 Chapman &
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metric> <term structure>
Brigo Damiano, Jan Liinev 'On the Distributional Distance Between the LIBOR
and the Swap Market Models' 2nd World Congress Bachelier 2002 This is
different than similar paper
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12/05
Bystrom Hans 'Using Credit Derivatives to Compute Marketwide Default
Probability Term Structures' J. Fixed Income 12/05
Cadenillas Abel, Tahir Choulli, Michael Taksar, Lei Zhang 'Classical And
Impulse Stochastic Control For The Optimization Of The Dividend And
Risk Policies Of An Insurance Firm' MF 1/06
Cahuc Pierre, Fabien Postel-Vinay, Jean-Marc Robin 'Wage Bargaining with On-
the-Job Search: Theory and Evidence' Econometrica Volume 74, Issue 2,
March 2006
Cain George, Gunter Meyer 'Separation of Variables for Partial Differential
Equations:An Eigenfunction Approach' 2005 Chapman & Hall/CRC
Cao H. Henry, Tan Wang, Harold H. Zhang 'Model Uncertainty, Limited Market
Participation, and Asset Prices' RFS Winter 2005
Capocci Daniel, Albert Corhay, Georges Hubner 'Hedge Fund Performance And
Persistence In Bull And Bear Markets' European J. of Finance Oct. 2005
Carey Alexander 'Path-Conditional Forward Volatility' SSRN 3/06
Carmona Rene, Valdo Durrleman 'Generalizing The Black-Scholes Formula To
Multivariate Contingent Claims' J. Computational Finance 2006, V.9 #2
Carr Peter 'Linkages Between CDS and Equity Options' UofC FinMath Seminar
1/20/06
Carr Peter 'The Valuation of American Exchange Options with Application to
Real Options' 1993?
Carr Peter, Dilip Madan 'A Note on Sufficient Conditions for No Arbitrage'
Finance Research Letters 2 2005 <arbitrage> <absence of call spread,
butterfly spread and calendar spread arbitrages is sufficient to
exclude all static arbitrages>
Carr Peter, Liuren Wu ‘A Tale of Two Indices’ J. Derivatives Spring 2006
Cartea Alvaro, Marcelo Figueroa 'Pricing in Electricity Markets: A Mean
Reverting Jump Diffusion Model with Seasonality' Applied Math. Finance
12/05
Cartea Alvaro, Sam Howison 'Option Pricing with Levy-Stable Processes' <Euro.
prices, Levy-Stable processes, stable Paretian hypothesis, stochastic
volatility>3/04
Cerny Ales, Jan Kallsen 'On The Structure Of General Mean-Variance Hedging
Strategies' SSRN 2/06
Cetorelli Nicola, Philip Strahan 'Finance As A Barrier To Entry: Bank
Competition And Industry Structure In Local U.S. Markets' JofF 2/06
Chacko George, Luis Viceira 'Dynamic Consumption and Portfolio Choice with
Stochastic Volatility in Incomplete Markets' RFS Winter 2005
Challet Damien, Tobias Galla 'Price Return Autocorrelation and Predictability
In Agent-Based Models Of Financial Markets' QF 12/05
Chance Don 'A Hedging Deficiency In Eurodollar Futures' J. Futures Markets
2/06
Chang George, James Feigenbaum 'A Bayesian Analysis Of Log-Periodic
Precursors To Financial Crashes' QF 2/06
Chen An-Sing, Mark Leung 'Modeling Time Series Information Into Option
Prices: An Empirical Evaluation Of Statistical Projection And GARCH
Option Pricing Model' J. Banking & Finance 12/05
Chen Qi, Wei Jiang 'Analysts Weighting of Private and Public Information' RFS
Spring 06
Cheridito Patrick, Damir Filipovic, Robert Kimmel 'Market Price of Risk
Specifications for Affine Models: Theory and Evidence' tobe JFE 2005
Chiu W. Henry 'Skewness Preference, Risk Aversion & the Precedence Relation
on Stochastic Changes' MS 12/05
Choi Yoon 'Relative Portfolio Performance Evaluation and Incentive Structure'
JofB 3/06
Chomsisengphet Souphala, Anthony Pennington-Cross 'The Evolution of the
Subprime Mortgage Market' FRB St. Louis Review Jan/Feb 06
Choulli Tahir, Christophe Stricker 'More On Minimal Entropy-Hellinger
Martingale Measure' MF 1/06
Chung Y. Peter, Herb Johnson, Michael J. Schill 'Asset Pricing When Returns
Are Nonnormal: Fama-French Factors and Higher-Order Systematic Co-
movements' JofB 3/06
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2002
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Volatility Models' Euro. J. Applied Math 6/05
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Irreversibility Of Investment' JofF 2/06 <value premium>
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Market Completion' in Exotic Option Pricing & Advanced Levy Models ed.
Kyprianou, et al. 2005
Corcuera Jose, Joao Guerra, David Nualart, Wim Schoutens 'Optimal Investment
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Equations & Applications' 2002 Chapman & Hall/CRC
Dai Min, Yue Kuen Kwok 'Characterization of Optimal Stopping Regions Of
American Asian And Lookback Options' MF 1/06
Dalang Robert, Olivier Leveque 'Second-Order Hyperbolic S.P.D.E.s Driven by
Boundary Noise' <SPDE, mathematical finance>
Damjanovic Vladislav, Charles Nolan 'Aggregation and Optimization with State-
Dependent Pricing: A Comment' Econometrica Volume 74, Issue 2, March
2006
Daniels Kenneth, Malene Shin Jensen 'The Effect of Credit Ratings on Credit
Default Swap Spreads and Credit Spreads' J. Fixed Income 12/05
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stochastic control, dynamic programming>
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Brownian Sheet And Related Processes' SP&A 3/06
Derrick Sandra, Daniel Stapleton, Richard Stapleton 'The Libor Market Model:
A Recombining Binomial Tree Methodology' 4/05 <term structure> <BGM>
Dhaliwal Dan, Oliver Zhen Li 'Investor Tax Heterogeneity And Ex-Dividend Day
Trading Volume' JofF 2/06
Di Nunno Giulia, Thilo Meyer-Brandis, Bernt Øksendal, Frank Proske 'Optimal
Portfolio For An Insider In A Market Driven By Lévy Processes' QF 2/06
Dieng Lamine, Samir Lipovaca 'Quantized Interest Rate at the-Money for
American Options' <seems only conference talk> 3/05 <Shepp idea for
stock optimization with Bachelier model, Normal model>
Ding Zhuanxin, Clive Granger 'Modeling Volatility Persistence of Speculative
Returns:A New Approach' J. Econometrics 1996
Dionne Georges, Genevieve Gauthier, Nadia Ouertani, Nabil Tahani
'Heterogeneous Basket Options Pricing Using Analytical Approximations'
SSRN 2/06
Disatnik David, Simon Benninga 'Estimating the Covariance Matrix for
Portfolio Optimization' SSRN 1/06
Dockner E.J., H. Moritsch 'Pricing Constant Maturity Floaters With Embedded
Options Using Monte Carlo Simulation' 1999
Dopfel Frederick, Sunder Ramkumar 'The Efficiency Gains of Long-Short Credit
Strategies' J. Fixed Income 12/05
Dreiss Heinz-Otto, Jens Lorenz 'Initial-Boundary Value Problems & the Navier-
Stokes Equations' 2004 SIAM Books
Drobetz Wolgang 'How To Avoid The Pitfalls In Portfolio Optimization? Putting
The Black-Litterman Approach At Work' Swiss Society for Financial
Market Research
Du Ning, David Budescu 'The Effects of Imprecise Probabilities & Outcomes in
Evaluating Investment Options' MS 12/05
Duan Jin-Chuan, Peter Ritchken, Zhiqiang Sun 'Approximating Garch-Jump
Models, Jump-Diffusion Processes, and Option Pricing' MF 1/06
Dudewicz E., E.C. van der Meulen 'The Empiric Entropy, A New Approach to
NonParameteric Entropy Estimation' in New Perspectives in Theoretical &
Applied Statistics ed M. Puri et al. Wiley 1987
Duffy Daniel 'Financial Instrument Pricing using C++' Wiley Press
Duffy Daniel 'Finite Difference Methods in Financial Engineering: A Partial
Differential Equation Approach' Wiley 2006 <Soviet Splitting, Locally
One Dimensional schemes (LOD), PIDE>
Durham J. Benson 'Jump-Diffusion Processes and Affine Term Structure Models:
Additional Closed-Form Approximate Solutions, Distributional
Assumptions for Jumps, and Parameter Estimates' SSRN 1/06
Eberlein Ernst, Antonis Papapantoleon 'Symmetries and Pricing Of Exotic
Options In Lévy Models' In Exotic Option Pricing And Advanced Lévy
Models, A. Kyprianou, W. Schoutens, P. Wilmott (Eds.)
Eberlein Ernst, Nataliya Koval 'A Cross-Currency Lévy Market Model'
Eberlein Ernst, Wolfgang Kluge 'Exact Pricing Formulae For Caps And Swaptions
In a Lévy Term Structure Model' J. Computational Finance 2006, V.9 #2
Eberlein Ernst, Wolfgang Kluge 'Valuation of Floating Range Notes In Lévy
Term Structure Models' tobe MF
Eberlein Ernst, Wolfgang Kluge, Antonis Papapantoleon 'Symmetries In Lévy
Term Structure Models'
Eberlein Ernst, Wolfgang Kluge, Philipp Schonbucher 'The Lévy Libor Model
With Default Risk'
Edwards Craig 'Derivative Pricing Models with Regime Switching: A General
Approach' <option pricing, log stable> J. of Derivatives Fall 05
El Karoui Nicole 'Couverture des Risques dans les Marches Financiers'
El Karoui Nicole, Asma Meziou 'Constrained Optimization With Respect To
Stochastic Dominance:Application To Portfolio Insurance' MF 1/06
Eling Martin 'Autocorrelation, Bias, and Fat Tails - Are Hedge Funds Really
Attractive Investments?' 12/05 SSRN
Elizalde Abel 'Do We Need to Worry about Credit Risk Correlation' J. Fixed
Income 12/05
Evers Ingmar 'A Series Solution for Bermudan Options' Applied Math. Finance
12/05
Fabozzi Frank, Radu Tunaru 'On Risk Management Problems Related To A
Coherence Property' QF 2/06
Falk James, Nozer D. Singpurwalla, Yefim Y. Vladimirsky 'Reliability
Allocation for Networks and Systems' SIAM Review 2006 #1
Farmer J. Doyne 'Comment on ‘Large Stock Price Changes: Volume Or Liquidity?’
QF 2/06
Farmer J. Doyne 'Comment On 'Large Stock Price Changes: Volume Or
Liquidity?', By Weber And Rosenow' QF 2/06
Faulkender Michael, Mitchell Petersen 'Does the Source of Capital Affect
Capital Structure?' RFS Spring 06
Feige Uriel, Robert Krauthgamer 'A Polylogarithmic Approximation of the
Minimum Bisection' SIAM Review 2006 #1
Feller M. 'The Levy Laplacian' 2005 Cambridge Press
Feng Liming, Pavlo Kovalov, Vadim Linetsky, Michael Marcozzi 'Variational
Methods in Derivatives Pricing' 2005 in Handbook of Financial
Engineering Elsevier
Feng Liming, Vadim Linetsky 'Pricing Discretely Monitored Barrier Options and
Defaultable Bonds in Levy Process Models: A Hilbert Transform Approach'
2005
Feng Liming, Vadim Linetsky 'Pricing Options in Jump-Diffusion Models: an
Extrapolation Approach' 2005
Feng Liming, Vadim Linetsky, Michael Marcozzi 'On the Valuation of Options in
Jump-Diffusion Models by Variational Methods' 2004 wp
Filipovic Damir, Robert Kimmel 'A Note on the Canonical Representation of
Affine Diffusion Processes' 9/05
Foresi, Silverio, Liuren Wu 'Crash-O-Phobia: A Domestic Fear or a Worldwide
Concern?' J. of Derivatives Winter 2005
Foucault Thierry, Ohad Kadan, Eugene Kandel 'Limit Order Book as a Market for
Liquidity' RFS Winter 2005
Fournier Nicolas, Jean-Sébastien Giet 'Existence Of Densities For Jumping
Stochastic Differential Equations' SP&A 4/06
Francis Bill, Iftekhar Hasan, Delroy Hunter 'Dynamic Relations between
International Equity and Currency Markets: The Role of Currency Order
Flow' JofB 1/06
Fries Christian 'Bumping the Model. Generic Robust Monte-Carlo Sensitivities
using the Proxy Simulation Scheme Method' SSRN 1/06
Friz Peter, Jim Gatheral 'Valuation of Volatility Derivatives As An Inverse
Problem' QF 12/05 <volatility> <variance swaps, realized variance, Carr
& Lee>
Fuhrman Marco 'Nonlinear Kolmogorov Equations In Infinite Dimensional Spaces:
The Backward Stochastic Differential Equations Approach And
Applications To Optimal Control' Ann. Probab. 30, no. 3 (2002), 1397-
1465 <Solutions of semilinear parabolic differential equations, forward
& backward infinite dimensional stochastic evolution equations, optimal
control, Hamilton-Jacobi-Bellman>
Gaigalas Raimundas 'A Poisson Bridge Between Fractional Brownian Motion And
Stable Lévy Motion' SP&A 3/06
Gantert Nina, Remco Van Der Hofstad, Wolfgang König 'Deviations Of A Random
Walk In A Random Scenery With Stretched Exponential Tails' SP&A 3/06
Garrett Thomas, Russell Rhine 'On the Size & Growth of Government' FRB St.
Louis Review Jan/Feb 06
Gasinski Leszek 'Nonlinear Analysis' 2005 Chapman & Hall/CRC
Gaspar Jose-Miguel, Massimo Massa, Pedro Matos 'Favoritism In Mutual Fund
Families? Evidence On Strategic Cross-Fund Subsidization' JofF 2/06
Gatarek Dariusz, Przemyslaw Bachert, Robert Maksymiuk 'The LIBOR Market Model
in Practice' Wiley 2006
Geiss Christel, Stefan Geiss 'On an Approximation Problem For Stochastic
Integrals Where Random Time Nets Do Not Help' SP&A 3/06
Genon-Catalot Valentine, Catherine Laredo 'Leroux's Method For General Hidden
Markov Models' SP&A 2/06
Gervais Simon, Anthony W. Lynch, David K. Musto 'Fund Families as Delegated
Monitors of Money Managers' RFS Winter 2005
Giacometti Rosella, Marida Bertocchi, Svetlozar T. Rachev, Frank Fabozzi
'Stable Distributions in the Black-Litterman Approach to the Asset
Allocation' 12/05
Giacomini Enzo, Wolfgang Hardle 'Value-At-Risk Calculations With Time Varying
Copulae' 2005
Gibson Michael 'Measuring Counterparty Credit Exposure to a Margined
Counterparty' SSRN 1/06
Gigueroa-Lopez, Jin Ma 'Some Problems of Portfolio Optimization And Hedging
In A Levy Market Via Fictitious Completions' 10/05
Gil-Bazo 'The Value Of The 'Swap' Feature In Equity Default Swaps' QF 2/06
Giles Michael, Paul Glasserman 'Smoking Adjoints:Fast Monte Carlo Greeks'
<est. sensitivies from large inputs, Libor Market Model> RISK 1/06
Glaser Alexander, Frank von Hippel 'Thwarting Nuclear Terrorism' SA 2/06
Glasserman Paul 'Measuring Marginal Risk Contributions In Credit Portfolios'
J. Computational Finance 2006, V.9 #2
Gonzalez Luis 'Orthogonal Projections of the Identity:Spectral Analysis and
Applications to Approximate Inverse Preconditioning' SIAM Review 2006
#1
Gregoriou Greg, Fabrice Rouah, Stephen Satchell, Fernando Diz 'Simple And
Cross Efficiency Of CTAs Using Data Envelopment Analysis' European J.
of Finance Oct. 2005
Grieves Robin, Alan Marcus 'Delivery Options and Treasury-Bond Futures Hedge
Ratios' J. of Derivatives Winter 2005
Grigelionis Bronius 'Generalized z-Distributions & Related Stochastic
Processes' Matematikos Ir Informatikos Institutas Preprintas Nr 2000-22
Vilnius
Grove E.A., G. Ladas 'Periodicies in Nonlinear Difference Equations' 2004
Chapman & Hall/CRC
Gua Junwu 'Analytic Backward Induction of Option Cash Flows: A New
Application Paradigm For The Markovian Interest Rate Models' IJT&AF
12/05
Guha Rajiv, Aleeandro Sbuelz 'Structural Recovery of Face Value at Default'
SSRN 12/05
Hadjiliadis Oylmpia, Vecer Jan 'Drawdowns Preceding Rallies in Brownian
Motion Model' wp 2005
Hamernick Robert, James Doran 'Is There Money to be Made Investing in
Options? A Historical Perspective' SSRN 1/06
Han Yufeng 'Asset Allocation with a High Dimensional Latent Factor Stochastic
Volatility Model' RFS Spring 06
Harbrecht Helmut, Reinhold Schneider 'Wavelet Galerkin Schemes for Boundary
Integral Equations---Implementation and Quadrature' SIAM J. Sci.
Comput. 1/06
Hau Harald, Hélène Rey 'Exchange Rates, Equity Prices, and Capital Flows' RFS
Spring 06
Heath David, Eckhard Platen 'Currency Derivatives Under A Minimal Market
Model With Random Scaling' IJT&AF 12/05
Hecht Peter, Tuomo Vuolteenaho 'Explaining Returns with Cash-Flow Proxies'
RFS Spring 06
Hedges James 'Hedge Fund Transparency' European J. of Finance Oct. 2005
Henrard Marc 'A Semi-Explicit Approach to Canary Swaptions in HJM One-Factor
Model' SSRN 2004 <two bermudan, half-way between European and Bermudan>
<swaption>
Henrard Marc 'Bond Futures and Their Options: More than the Cheapest-to-
Deliver; Marginning and Quality Option' SSRN 2/06
Henrard Marc 'Libor Market Model and Gaussian HJM explicit approaches to
Option on Composition' SSRN 3/06
Henry D. 'Perturbation of the Boundary in Boundary-Value Problems of Partial
Differential Equations' 2005 Cambridge Press
Henry-Labordere Pierre 'Stochastic Volatility Model & Hyperbolic Geometry' wp
Barclays Capital 2004
Henry-Labordere Pierre 'Unifying the BGM and SABR Models: A Short Ride in
Hyperbolic Geometry' 1/06 <term structure><Heat Kernel, swaption smile,
Heston process, Stochastic Libor Markets, CEV, calibration>
Hibschweiler Rita, Thomas MacGregor 'Fractional Cauchy Transforms' 2005
Chapman & Hall/CRC
Holloway Marguerite 'The Beauty of Branes' SA October 2005 <physics-
string><Lisa Randall>
Horowitz Joel 'Testing a Parametric Model Against a Nonparametric Alternative
with Identification Through Instrumental Variables' Econometrica Volume
74, Issue 2, March 2006
Howell Kenneth 'Principles of Fourier Analysis' 2001 Chapman & Hall/CRC
Hu Yaozhong, David Nualart 'Renormalized Self-Intersection in Local Time for
Fractional Brownian Motion'
Hu Yaozhong, David Nualart 'Some Processes Associated with Fractional Bessel
Processes'
Hundsdorfer W., J.G. Verwer 'Numerical Solution Of Time-Dependent Advection-
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Scholes>
Hurst Simon, Eckhard Platen, Svetlozar Rachev 'Option Pricing for a Logstable
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Ibragimov Nail, Rafail Gazizov 'Lie Symmetry Analysis of Differential
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Idzorek Thomas 'A Step-By-Step Guide To The Black-Litterman
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Idzorek Thomas 'A Step-by-Step Guide to the Black-Litterman Model' wp 2002
Ikonen S., J. Toivanen 'Operator Splitting Methods For American Options With
Stochastic Volatility' <Volatility> <American Option Pricing,
Stochastic Volatility Models, Operator Splitting Methods, Time
Discretization, Heston Model, Parabolic PDE, Early Exercise> European
Congress On Computational Methods In Applied Sciences And Engineering
2004
Imanuvilov Oleg, Guenter Leugering, Roberto Triggiani, Bing-Yu Zhang (ed)
'Control Theory of Partial Differential Equations' 2005 Chapman &
Hall/CRC
Imkeller P., I. Pavlyukevich 'First Exit Times Of SDEs Driven By Stable Lévy
Processes' SP&A 4/06
in 't Hout Karel, B.D. Welfert 'Stability of ADI Schemes Applied to
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<initial-boundary, splitting, von Neumann stability, Fourier transform>
same ver. in "Applied Numerical Mathematics">
Ivanov A.V., M.N. Rozhkova 'Properties of the Statistical Estimate of the
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Transmission 1981
Iwasawa Kazuhiro 'Analytic Formula for the European Normal Black Scholes
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Jackson Andrew Jackson, Timothy Johnson 'Unifying Underreaction Anomalies'
JofB 1/06
Jaimungal Sebastian 'Pricing & Hedging Equity Index Annuities with Variance-
Gamma Deviates' 11/04 <V-G, Point-to-Point and Cliquet instruments>
Jamshidian Farshid 'A Note on Analytical Valuation of Double Barrier Options'
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Janenko N.N. 'Meìthode aÌ pas Fractionnaires, Reìsolutions De Probleìmes
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Janenko N.N. 'Zwishcenschrittmethode zur Losung Mehrdimensionaler' <English
'The Method of Fractional Steps' Springer 1969, outof print>
Janicki Aleksander, Aleksander Weron 'Simulation & Chaotic Behavior of alpha-
Stable Stochastic Processes' Marcel Decker 1994
Janso Svate, Johan Tysk 'Feynman-Kac Formulas for Black-Scholes Type
Operators' wp Uppsala 2004
Javaheri Alireza 'Inside Volatility Arbitrage:The Secrets of Skewness' Wiley
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Jiang George J., Yisong, S. Tian 'The Model-Free Implied Volatility and Its
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Jiang George, John Knight 'Efficient Estimation of Continuous-Time Stochastic
Volatility Process via Empirical Characteristic Function' York U. 2002
Jiang Lishang, Baojun Bian, Fahuai Yi 'A Parabolic Variational Inequality
Arising From The Valuation Of Fixed Rate Mortgages' Euro. J. Applied
Math 6/05
Jin Hanqing, Harry Markowitz, Xun Yu Zhou 'A Note On Semivariance' MF 1/06
Jobert Arnaud, L.C.G. Rogers 'Option Pricing With Markov-Modulated Dynamics'
SIAM J. Control & Opt. 1/06
Jobst Norbert, Arnaud de Servigny 'An Empirical Analysis of Equity Default
Swaps (II):Multivariate Insights' RISK 1/06
Jonathan H. Ingersoll 'The Subjective and Objective Evaluation of Incentive
Stock Options' JofB 3/06
Joshi Chandrashekhar 'Plasma Accelerators' SA 2/06
Jostova Gergana, Alexander Philipov 'Bayesian Analysis of Stochastic Betas'
JF&QA 12/05
Kandori Michihiro, Ichiro Obara 'Efficiency in Repeated Games Revisited: The
Role of Private Strategies' Econometrica Volume 74, Issue 2, March 2006
Kang Joseph Choongseok 'A Model for Convexity-Based Cross-Hedges with
Treasury Futures' J. Fixed Income 12/05
Karch Andreas, Lisa Randall 'Relaxing to Three Dimensions' 10/05 <physics-
strings>
Kerkhof Jeroen, Bertrand Melenberg, J. M. Schumacher 'Testing Hedge
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Kim In Joon, Jangkoo Kang, Geunhyuk Chang, Hwa-Sung Kim 'An Efficient
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Draft <Floating Strike Look-Back, Quadratic Approximation Barone-Adesi
& Whaley, Barrier Option Formula>
Kimmel Robert 'Complex Times: Asset Pricing and Conditional Moments under
Non-Affine Diffusions' January 2006
King Thomas, Daniel Nuxoll, Timothy Yeager 'Are the Causes of Bank Distress
Changing? Can Researchers Keep Up?' FRB St. Louis Review Jan/Feb 06
Kloppel Susanne, Martin Schweizer 'Dynamic Utility Indifference Valuation Via
Convex Risk Measures' 8/05
Klos Alexander, Elke Weber, Martin Weber 'Investment Decisions & Time
Horizon:Risk Perception & Risk Behavior in Repeated Gambles' MS 12/05
Kogan Leonid,Stephen A. Ross, Jiang Wang, Mark M. Westerfield 'The Price
Impact And Survival Of Irrational Traders' JofF 2/06
Kohatsu-Higa Arturo, Agnès Sulem 'Utility Maximization In An Insider
Influenced Market' MF 1/06
Kokotovic Petar, Hassan Khalil 'Singular Perturbation Methods in
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Korn Ralf, L.C.G. Rogers 'Stocks Paying Discrete Dividends: Modeling and
Option Pricing' J. of Derivatives Winter 2005
Kostadinov Krassimir 'Tail Approximation for Credit Risk Portfolios with
Heavy-Tailed Risk Factors' J. Risk V. 8 #2 2006
Kozhemiakin Alexander V. 'Cyclical Considerations in Valuing Emerging Markets
Debt' J. Fixed Income 12/05
Koziol Christian 'Optimal Exercise Strategies For Corporate Warrants' QF 2/06
Kuijlaars Arno 'Convergence Analysis of Krylov Subspace Iterations with
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Kuo Hui-Hsiung 'Introduction to Stochastic Integration' 2006 Springer
Kusuoka Shigeo, Daniel Stroock 'Applications of the Malliavin Calculus. I.'
In Stochastic Analysis (Katata/Kyoto, 1982) North-Holland, Amsterdam,
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Kythe Prem, Michael Schaferkotter 'Handbook of Computational Methods for
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Lamoureux Christopher, Alex Paseka 'Information In Option Prices And The
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Joint Transition Density Of Returns And Volatilities>
Laprise Scott, Michael Fu, Steven Marcus, Andrew Lim, Huiju Zhang 'Pricing
American-Style Derivatives with European Call Options' MS 1/06
<options-American><any Markov setting, not just geometric Brownian,
upper/lower bounds, interpolation function>
Larsen Kasper 'Optimal Portfolio Delegation when Parties Have Different
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Laurence Peter, Tai-Ho Wang 'Closed Form Solutions For Quadratic And Inverse
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Le Gall Jean-Francois 'A Conditional Limit Theorem For Tree-Indexed Random
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Lee Hsiang-Tai, Jonathan K. Yoder, Ron Mittelhammer, Jill Mccluskey 'A Random
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Leleux Benoit 'Post-IPO Performance:A French Appraisal' Finance 12/93
Levendorskii Sergei, Oleg Kudryavtsev, Vadim Zherder 'The Relative Efficiency
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J. Computational Finance 2006, V.9 #2
Levine William, Caroline Essex-Torcaso, Maureen Stone, Emi Murano, Jerry
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of the Human Tongue' SIAM News 3/06
Li Duan, Xiaoling Sun, Jun Wang 'Optimal Lot Solution To Cardinality
Constrained Mean-Variance Formulation For Portfolio Selection' MF 1/06
Li Haitao, Feng Zhao 'Unspanned Stochastic Volatility:Evidence From Hedging
Interest Rate Derivatives' JofF 2/06 <quadratic term structure>
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Returns Are Autocorrelated' J. Futures Markets 1/06
Liao Szu-Lang, Hsing-Hua Huang 'Pricing Black-Scholes Options with Correlated
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Lien Donald 'A Note on The Superiority Of The OLS Hedge Ratio' Volatilities'
J. Futures Markets 11/05
Lim Andrew 'Mean-Variance Hedging When There Are Jumps' SIAM J. Control &
Opt. 12/05
Lin S.J. 'Stochastic Analysis of Fractional Brownian Motion' S&SR 1995
Linaras Charilaos, George Skiadopoulos 'Implied Volatility Trees And Pricing
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Lindermann Andreas, Christian Dunis, Paulo Lisboa 'Probability Distributions
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Lindsey J.K. 'Statistical Analysis of Stochastic Processes in Time' 2004
Cambridge Press
Ljungqvist Alexander, Felicia Marston, William Wilhelm 'Competing For
Securities Underwriting Mandates: Banking Relationships And Analyst
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Loewenstein Mark, Gregory Willard 'The Limits Of Investor Behavior' JofF
2/06
Low Buen Sin, Shaojun Zhang 'The Volatility Risk Premium Embedded in Currency
Options' JF&QA 12/05
Lundtofte Frederik 'Uncertain Fundamentals and Naïve Applications of Option
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Luschgy Harald, Gilles Pages 'Functional Quantization Of A Class Of Brownian
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MacKay Peter, Gordon M. Phillips 'How Does Industry Affect Firm Financial
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Mallier R., A.S. Deakin 'A Green's Function For a Convertible Bond Using The
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Vasicek model, Mellin transform in the stock price>
Mandelbrot Benoit, J.W. Van Ness 'Fractional Brownian Motions, Fractional
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Mangasarian Llvi 'Nonlinear Programming' 1994 SIAM Books
Marchuk G.I. 'Methods of Numerical Mathematics' Springer 1982
Marchuk G.I., V.V. Shaidurov 'Difference Methods and Their Extrapolations'
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Matia Kaushik, Kazuko Yamasaki 'Statistical Properties Of Demand Fluctuation
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Mattheij R., S. Rienstra, J. ten Thije Boonkkamp 'Partial Differential
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Matthej Robert, Jaap Molenaar 'Ordinary Differential Equations in Theory &
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Maulik Krishanu, Bert Zwart 'Tail Asymptotics For Exponential Functionals Of
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McCulloch J. Huston 'The Risk-Neutral Measure and Option Pricing under Log-
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of negatively skewed stable and exponentially tilted positively skewed
stable, FFT, pricing kernal, equity premium puzzle, Romberg
integration>
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Normally Distributed Markets' RISK 2/06
Meucci Attilio 'Beyond Black-Litterman:Views on Non-Normal Markets' 11/05
Mezic Igor 'Nominal Dynamics in Control: A Theory for Hamiltonian Systems &
Nonoscale Applications' SIAM News 3/06
Mezzadri Francesco, Nina Smith 'Recent Perspectives in Random Matrix Theory &
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Mikosch Thomas, Sidney Resnick 'Activity Rates With Very Heavy Tails' SP&A
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Milstein Grigori, John Schoenmakers 'Numerical Construction of a Hedging
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stochastic differential equations, variance reduction>
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Miyahara Yoshio 'Martingale Measures for the Geometric Levy Process Models'
11/05
Mohanty R.K., M.K. Jain 'High Accuracy Difference Schemes for the System of
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Mathematics1996 <numerical methods> <ADI, Polar coordinates, Navier-
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Incomplete Market Model' 2005
Moreno Carlos 'Sum of Squares of Integers' 2005 Chapman & Hall/CRC
Mueller Carl, Leonid Mytnik, Aurel Stan 'The Heat Equation with Time-
Independent Multiplicative Stable Lévy Noise' SP&A 1/06
Mukherjee Subrata, Yu Xie Mukherjee 'Boundary Methods:Elements, Contours, &
Nodes' 2005 Chapman & Hall/CRC
Muller Alfred, Marco Scarsini 'Stochastic Order Relations and Lattices of
Probability Measures' SIAM J. Optim. 2/06 <copula, zonoid, lattice,
univariate stochastic orders, multivariate stochastic orders,
optimization with stochastic dominance constraints>
Murdock James 'Pertubations:Theory & Methods' 1999 SIAM Books
Nadal Jean-Pierre, Denis Phan, Mirta Gordon, Jean Vannimenus 'Multiple
Equilibria In A Monopoly Market With Heterogeneous Agents And
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Naicker V., k. Andripoulos, PGL Leach 'Symmetry Reductions of a Hamilton-
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Mathematical Physics V. 12, #2 2005 <option-numeric><Lie points,
Schrodinger equation>
Nam Jouahn, Alan Tucker, Jason Wei 'Price Hedging with Local and Aggregate
Quantity Risk' J. of Derivatives Winter 2005
Nappo Giovanna, Barbara Tortil 'Continuous Time Random Walks And Queues:
Explicit Forms And Approximations Of The Conditional Law With Respect
To Local Times' SP&A 4/06
Nappo Giovanna, Barbara Tortil 'Filtering Of A Reflected Brownian Motion With
Respect To Its Local Time' SP&A 4/06
Neely Christopher, Drew Winters ‘Year-End Seasonality in One-Month LIBOR
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Ng Andrew, Hailiang Yang 'On The Joint Distribution Of Surplus Before And
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Norberg Ragnar 'Interest Guarantees in Banking' Applied Math. Finance 12/05
Nualart David 'Levy Market Models: Completion, Hedging and Portfolio
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Nualart David, Giovanni Peccati 'Convergence in Law of Multiple Stochastic
Integrals'
Nualart David, Wim Schoutens 'Backward Stochastic Differential Equations &
Feynman-Kac Formula for Levy Processes, with Applications in Finance'
<Option Pricing, Clark-Ocone, PDIE, Black-Scholes> Bernoulli 2001 <SDE>
Odders-White Elizabeth, Mark Ready 'Credit Ratings and Stock Liquidity' RFS
Spring 06
Officer Micah 'The Market Pricing of Implicit Options in Merger Collars' JofB
1/06
Øksendal Bernt 'A Universal Optimal Consumption Rate For An Insider' MF 1/06
Ortobelli Sergio, Svetlozar T. Rachev, Stoyan Stoyanov, Frank J. Fabozzi,
Almira Biglova 'The Proper Use Of Risk Measures In Portfolio Theory'
IJT&AF 12/05
Ouknine Youssef 'Reflected Backward Stochastic Differential Equations with
Jumps' S&SR 1998
Ou-Yang Hui 'An Equilibrium Model of Asset Pricing and Moral Hazard' RFS
Winter 2005
Patras Frederic 'A Reflection Principle For Correlated Defaults' SP&A 4/06
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Peng Shige, Xuehong Zhu 'Necessary and Sufficient Condition For Comparison
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Percival Donald, Andrew Walden 'Wavelet Methods for Time Series Analysis'
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Pergamenshchikov Serguei, Omar Zeitouny 'Ruin Probability In The Presence Of
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Pian Theodore, Chang-Chun Wu 'Hybrid & Incompatible Finite Element Methods'
2005 Chapman & Hall/CRC
Pirrong Craig 'The Valuation of Power Options in a Pirrong-Jermakyan Model'
SSRN 12/05
Pitman Jim 'The Distribution of Local Times of a Brownian Bridge' 1999
<Brownian>
Platen Eckhard 'A Benchmark Approach To Finance' MF 1/06
Plerou Vasiliki, Parameswaran Gopikrishnan, H. Eugene Stanley 'Two Phase
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Pliska Stanley 'Controlled Jump Processes' SP&A 1975
Polkovnichenko Valery 'Household Portfolio Diversification: A Case for Rank-
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Poole William 'The Fed's Monetary Policy Rule' FRB St. Louis Review Jan/Feb
06
Porta Rafael, Florencio Lopez-De-Silanes, Andrei Shleifer 'What Works In
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Post Thierry, Pim Van Vliet, Haim Levy 'Risk Aversion And Skewness
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Printems Jacques 'On the Discretization in Time of Parabolic Stochastic
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Proske Frank 'The Stochastic Transport Equation Driven by Levy White Noise'
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Psychoyios Dimitris, George Skiadopoulos 'Volatility Options: Hedging
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Queiros S.M. Duarte 'Empirical Estimation of Tail Dependence using
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Rabehasaina Landy 'Monotonicity Properties Of Multi-Dimensional Reflected
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Rauh Joshua 'Investment And Financing Constraints:Evidence From The Funding
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Realdon Marco 'Quadratic Models in Discrete Time' SSRN 1/06 <quadratic term
structure, Ahn-Dittmar-Gallant, macroeconomic data>
Reisz Alexander, Claudia Perlich 'Temporal Resolution of Uncertainty and
Corporate Debt Yields: An Empirical Investigation' JofB 3/06
Rogers L.C.G., Surbjeet Singh 'Modelling Liquidity and its Effects on Price'
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Rossi Alessandro, Giampiero Gallo 'Volatility Estimation Via Hidden Markov
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Sade Orly, Charles Schnitzlein, Jaime F. Zender 'Competition and Cooperation
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Samperi Dominick 'Model Selection Using Entropy and Geometry: Complements to
the Six-Author Paper' <information geometry, exponential hedging,
Tsallis entropy, replicator equation>
Samperi Dominick 'On the Evolution of Strategy: Ito Vector Fields and
Replicator Flows' SSRN paper 12/05
Sancetta Alessio, Stephen Satchell 'New Test Statistics For Market Timing
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Spring 06
Satchell Steven, Alan Scowcroft 'A Demystification of the Black-Litterman
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Savani Rahul, Bernhard Stengel 'Hard-to-Solve Bimatrix Games' Econometrica
Volume 74, Issue 2, March 2006
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Shapira Yair 'Solving PDEs in C++' 2006 SIAM books
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Silberberg Gheorghe 'Discrete Symmetries Of The Black-Scholes Equation' <Lie
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Sobehart Jorge, Sean Keenan 'Capital Structure Arbitrage And Market Timing
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Solín Pavel 'Partial Differential Equations and the Finite Element Method'
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Sornette Didier, Wei-Xing Zhou 'Non-Parametric Determination Of Real-Time Lag
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Turnbull Stuart 'The Pricing Implications Of Counterparty Risk For Non-Linear
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Usadki Adam, Clint Dawson '50 Years of ADI Methods:Celebrating the
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3/06 <Stone Strongly Implicit Proceedure (SIP), line successive
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Vecer Jan 'Crash Options, Rally Options' wp 2005
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Wei Steven X., Chu Zhang 'Why Did Individual Stocks Become More Volatile?'
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Xia Jianming, Jia-An Yan 'Markowitz's Portfolio Optimization In An Incomplete
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Yamamoto Yusaku 'Double-Exponential Fast Gauss Transform Algorithms For
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Yin G., Q. Zhang, F. Liu, R.H. Liu, Y. Cheng 'Stock Liquidation Via
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Yushkevich A.A. 'Continuous-Time Markov Decision Processes with
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