Sie sind auf Seite 1von 22

(Various) 'Energy's Future and Beyond Carbon' SA 9/06 <coal, nuclear, fusion,

wind, hydrogen, biomass, photovoltaic>


Acemoglu Daron, Michael Golosov, Aleh Tsyvinski 'Political Economy of
Mechanisms' Econometrica V.76, #3, May 2008
Acharya Sankarshan 'Safe Banking to Avoid Moral Hazard' Journal of Risk
Management in Financial Institutions V1.,#3 2008
Aghion Philippe, Jeremy Stein 'Growth versus Margins: Destabilizing
Consequences of Giving the Stock Market What It Wants' JofF V.63,# 3
June 2008
Ahlip Rehez 'Foreign Exchange Options under Stochastic Volatility and
Stochastic Interest Rates' IJT&AF V.11, #3 5/08
Ahmed M. 'An Exploration of Compact Finite Difference Methods for Numerical
Solution of PDE' PhD U. Western Ontario 1997
Albanese Claudio, Alicia Vidler 'Dynamic Conditioning and Credit Correlation
Baskets' in The Complete Guide to CDOs - Market, Application,
Valuation, And Hedging, Risk Books, Forthcoming
Albrecher Hansjörg, Philipp Mayer, Wim Schoutens 'General Lower Bounds for
Arithmetic Asian Option Prices' Applied Math. Finance V.15,#2 2008
Alessandri Piergiorgio 'Miller and Modigliani, Predictive Return Regressions
and Cointegration' Oxford Bulletin of Economics and Statistics, V. 70,
Issue 2, April 2008
Alexander Carol, Andreas Kaeck 'Regime Dependent Determinants of Credit
Default Swap Spreads' Journal of Banking and Finance V.32, #6 June 2008
Alexander Gordon, Alexandre Baptista 'Active Portfolio Management with
Benchmarking: Adding a Value-at-Risk Constraint' JED&C V.32, #3 March
2008
Alghalith Moawia 'Alternative Expected Utility Theory' SSRN 6/08
Allaart Pieter, Michael Monticino 'Optimal Buy/Sell Rules for Correlated
Random Walks' Journal of Applied Probability V.45, #1 3/08
Almazan Andres, Sanjay Banerji, Adolfo De Motta 'Attracting Attention: Cheap
Managerial Talk and Costly Market Monitoring' JofF V.63,# 3 June 2008
Al-Najjar Nabil, Jonathan Weinstein 'Comparative Testing of Experts'
Econometrica V.76, #3, May 2008
Alòs Elisa, Christian-Oliver Ewald 'Malliavin Differentiability of the Heston
Volatility and Applications to Option Pricing' <Novikov condition,
assure second Malliavin derivative of Heston volatility, Hull-White
formula>Advances in Applied Probability V.40,#1 3/08
Andersen Leif 'Markov Models for Commodity Futures: Theory and Practice' SSRN
5/08
Andersen Leif 'Option Pricing with Quadratic Volatility: A Revisit' SSRN 4/08
Andersen Steffen, Glenn Harrison, Morten Lau, E. Elisabet Rutström 'Eliciting
Risk and Time Preferences' Econometrica V.76, #3, May 2008
Andersen Torben, Tim Bollerslev, Per Houmann Frederiksen, Morten Ørregaard
'Continuous-Time Models, Realized Volatilities, and Testable
Distributional Implications for Daily Stock Returns' SSRN 6/08
Andersen Torben, Tim Bollerslev, Xin Huang 'A Reduced Form Framework for
Modeling Volatility of Speculative Prices Based on Realized Variation
Measures' SSRN 6/08
Anderson Brian D.O. 'Reverse-Time Diffusion Equation Models' SP&A 12, 1982
Ang Andrew, Geert Bekaert, Min Wei ‘The Term Structure of Real Rates and
Expected Inflation’ JofF 4/08 V.63,#2
Angelelli Enrico, Renata Mansini, M. Grazia Speranza 'A Comparison of MAD and
CVaR Models with Real Features' J. Banking and Finance V.32,#7 July
2008
Applebaum David 'A Lévy-Cielsielski Expansion for Quantum Brownian Motion and
the Construction of Quantum Brownian Bridges' Journal of Applied
Analysis, 13, 275-90 (2007)
Applebaum David 'Brownian Motion and Lévy Processes on Locally Compact
Groups' Methods Of Functional Analysis And Topology 12, 2006
Applebaum David 'Covariant Mehler Semigroups in Hilbert Space' Markov
Processes and Related Fields 13, 159-69 (2007)
Applebaum David 'Lévy Processes - From Probability Theory to Finance And
Quantum Groups' Notices of the American Math Soc. 51, 1336-47 (2004)
Applebaum David 'Lévy Processes and Stochastic Integrals in Banach Spaces'
Probability and Mathematical Statistics 27, 75-88 (2007)
Applebaum David 'Lévy-Type Stochastic Integrals with Regularly Varying Tails'
Stochastic Analysis and its Applications, 23, 1-18 (2005)
Applebaum David 'Martingale-Valued Measures, Ornstein-Uhlenbeck Processes
with Jumps and Operator Self-Decomposability in Hilbert Space'
Seminaire de Probabilites 39 171-97 (2005)
Applebaum David 'On the Infinitesimal Generators of Ornstein-Uhlenbeck
Processes with Jumps in Hilbert Space' Potential Analysis 26 79-100
(2007)
Applebaum David 'Probability Measures on Compact Lie Groups which Have
Square-Integrable Densities'
Applebaum David 'Universal Malliavin Calculus in Fock and Lévy-Ito Spaces'
Appllebaum David 'Lectures on Lévy Processes, Stochastic Calculus and
Financial Applications' 9/05 <Stochastics>
Arnott Robert, Jason Hsu 'Noise, CAPM and the Size and Value Effects' Journal
of Investment Management 1Q 2008
Asai Manabu, Michael Mcaleer, Bernardo De Veiga 'Portfolio Single Index (PSI)
Multivariate Conditional and Stochastic Volatility Models' Math. &
Computers in Simulation V.78, #2-3 July 2008
Ascher Uri 'Numerical Methods for Evolutionary Differential Equations' SIAM
Press 2008
Ashta Arvind ‘How Can Beta be Saved in the Face of Loss Aversion?’ SSRN 4/08
Åström Karl Johan, Richard Murray 'Feedback Systems: An Introduction for
Scientists and Engineers' Princeton Press 2008
Athey Susan, Kyle Bagwell 'Collusion with Persistent Cost Shocks'
Econometrica V.76, #3, May 2008
Athreya Kartik 'Credit Access, Labor Supply, and Consumer Welfare' FRB
Richmond Winter 2008 V. 94 # 1
Avellaneda Marco, Sasha Stoikov 'High-Frequency Trading in a Limit Order
Book' QF V.8, #3 2008
Avellaneda Marco, Dash Boyer-Olson, Jérôme Busca; Peter Friz 'Application of
Large Deviation Methods to the Pricing of Index Options in Finance' C.
R. Math. Acad. Sci. Paris 336 (2003), no. 3
Bain Alan, Dan Crisan 'Fundamentals of Stochastic Filtering' Springer 2008
Bajlum Claus, Peter Tind Larsen 'Capital Structure Arbitrage: Model Choice
and Volatility Calibration' Centre for Analytical Finance 2007
Bajlum Claus, Peter Tind Larsen, 'Accounting Transparency and the Term
Structure of Credit Default Swap Spreads' Centre For Analytical Finance
2007
Baker Malcolm, Johnathan Wang, Jeffrey Wurgler 'How Does Investor Sentiment
Affect the Cross-Section of Stock Returns?' J. Investment Management 2Q
2008
Bali Turan, K. Ozgur Demirtas, Haim Levy 'Nonlinear Mean Reversion in Stock
Prices' Journal of Banking and Finance V.32, #5 May 2008
Ballotta Laura 'Efficient Pricing of Ratchet Equity Indexed Annuities in a VG
Economy' SSRN 5/08
Bandi Federico, Benoit Perron 'Long-Run Risk-Return Trade-Offs' Journal of
Econometrics V.143,#2 April 2008
Baptista Alexandre 'Optimal Delegated Portfolio Management with Background
Risk' Journal of Banking and Finance V.32, #6 June 2008
Barone-Adesi Giovanni, Robert Engle, Loriano Mancini 'A GARCH Option Pricing
Model with Filtered Historical Simulation' RFS May 2008 V.21, #3
Barone-Adesi Giovanni, Robert Engle, Loriano Mancini 'A GARCH Option Pricing
Model with Filtered Historical Simulation' Swiss Finance Institute
Research Paper No. 07-03 SSRN 4/08
Bartz Kevin, David Kane 'Matching Portfolios' SSRN 5/08
Basov Suren, Xiangkang Yin 'Nonlinear Pricing by Risk-Averse Principals' SSRN
6/08
Bastide Dorinel, Eric Benhamou, Marian Ciuca 'A Comparative Analysis of
Basket Default Swaps Pricing Using the Stein Method' Icfai Journal of
Derivatives Markets, V. 5, No. 2, April 2008
Basu Parantap, Andrei Semenov, Kenji Wada 'Uninsurable Risk and
Financial Market Puzzles' SSRN 6/08
Bekaert Geert, Eric Engstrom ‘Inflation and the Stock Market: Understanding
the 'Fed Model'' SSRN 4/08
Bellini Fabio, Emanuela Rosazza Gianin 'On Haezendonck Risk Measures' Journal
of Banking and Finance V.32, #6 June 2008
Benaim Shalom, Peter Friz 'Regular Variation and Smile Asymptotics' tobe
Mathematical Finance 2008 , 5/06 <Volatility> <Roger Lee>
Benaim Shalom, Peter Friz 'Smile Asymptotics II: Models with Known Moment
Generating Functions' <Heston model, NIG and CIR time change, VG,
Variance Gamma> Journal of Applied Probability V.45, #1 3/08
<Volatility> <Wing-Behavior, Tauberian Theorem, Lévy, Heston>
Benaim Shalom, Peter Friz, Roger Lee 'On the Black-Scholes Implied Volatility
at Extreme Strikes' Forthcoming in Frontiers in Finance , Jan 08 wp
Benati Luca, Charles Goodhart 'Investigating Time-Variation in the Marginal
Predictive Power of the Yield Spread' JED&C V.32, #4 April 2008
Bender Christian, Christina Niethammer 'On Q -Optimal Martingale Measures in
Exponential Lévy Models' F&S V.12,#3 July 2008
Beneish Messod Daniel, D. Craig Nichols 'Identifying Overvalued Equity' SSRN
5/08
Benth Fred Espen, Steen Koekebakker, Valeri Zakamouline 'The CARMA Interest
Rate Model' SSRN 5/08
Berge Klaus, Giorgio Consigli, William Ziemba 'The Predictive Ability of the
Bond-Stock Earnings Yield Differential Model' Journal of Portfolio
Management Spring 2008
Bertrand Philippe, Jean-Luc Prigent 'Portfolio Insurance Strategies: OBPI
versus CPPI' Finance, V. 26, No.1, 2005
Bhar Ramaprasad, Peipei Wang 'Is Jump Risk in iTraxx Sector Indices
Diversifiable?' Journal of Fixed Income Spring 2008
Bharath Sreedhar, Tyler Shumway 'Forecasting Default with the Merton Distance
to Default Model' RFS May 2008 V.21, #3
Bianconi Ginestra, Andrea De Martino, Fernando Ferreira, Matteo Marsili
'Multi-Asset Minority Games' QF V.8, #3 2008
Bielecki Tomasz, Andrea Vidozzi, Luca Vidozzi 'A Markov Copulae Approach to
Pricing and Hedging of Credit Index Derivatives and Ratings Triggered
Step-Up Bonds' J. Credit Risk V.4,#1 2008
Bingham Nick 'Regular Variation in Probability Theory' Publ. Inst. Math.
Beograd. V.48 #62
Bingham Nick, Goldie, C.M., Jef Teugels 'Regular Variation' Cambridge Press
1987
Bjerksund Petter, Bjarte Myksvoll, Gunnar Stensland 'Exercising Flexible Load
Contracts: Two Simple Strategies' Applied Stochastic Models in Business
& Industry, V. 24, No. 2, March/April 2008
Bjerksund Petter, Gunnar Stensland 'Closed Form Spread Option Valuation' SSRN
6/08
Bliss Richard, Mark Potter, Christopher Schwarz 'Performance Characteristics
of Individual versus Team-Managed Mutual Funds' Journal of Portfolio
Management Spring 2008
Bloch Daniel Alexandre 'Fast Calibration of Options on Variance Swaps' SSRN
3/08
Boehmer Ekkehart, Charles M. Jones, Xiaoyan Zhang ‘Which Shorts Are
Informed?’ JofF 4/08 V.63,#2
Bogle John 'Black Monday and Black Swans' Financial Analysts Journal,
March/April 2008, V. 64, No. 2
Bollerslev Tim, Hao Zhou 'Expected Stock Returns and Variance Risk Premia'
SSRN 6/08
Bollerslev Tim, Michael Gibson, Hao Zhou 'Estimation of Volatility Risk
Premia and Investor Risk Aversion from Option-Implied and Realized
Volatilities' SSRN 6/08
Bollerslev Tim, Tzuo Hann Law, George Tauchen 'Risk, Jumps, and
Diversification' Journal of Econometrics V.144,#1 May 2008
Borovkov A.A., K.A. Borovkov 'Asymptotic Analysis of Random Walks:Heavy-
Tailed Distributions' Cambridge Press 2008
Borovkov A.A., K.A. Borovkov 'Asymptotic Analysis of Random Walks:Heavy
Tailed Distributions' Cambridge Press 2008
Boundt Kris, Christophe Croux, Sébastien Laurent 'Outlyingness Weighted
Quadratic Covariation' SSRN 6/08
Bou-Rabee Nawaf, Jerrold Marsden, Louis Romero 'Dissipation-Induced
Heteroclinic Orbits in Tippe Tops' SIAM Review June 2008 V. 50,#2
Bowsher Clive, Roland Meeks 'The Dynamics of Economic Functions: Modelling
and Forecasting the Yield Curve' Journal of the American Statistical
Association, Forthcoming 2008
Boyarchenko Mitya, Sergei Levendorski 'No-Arbitrage Pricing:Analytical and
Numerical Methods' CRC Press
Boyarchenko Mitya, Sergei Levendorski 'Refined and Enhanced Fast Fourier
Transform Techniques, with an Application to the Pricing of Barrier
Options' SSRN 5/08
Boyarchenko Svetlana, Sergei Levendorski ‘Exit Problems in Regime-Switching
Models’ <Lévy processes, real options, perpetual American, Markov
chain> J. Math. Econ. V44,#2 Jan 2008
Boyle Phelim, Alexander Potapchik 'Prices And Sensitivities of Asian Options:
a Survey' Insurance:Mathematics and Economics V.42,#1 Feb. 2008
Boyle Phelim, Shui Feng, Weidong Tian, Tan Wang 'Robust Stochastic Discount
Factors' RFS May 2008 V.21, #3
Brandes Ari Joshua ‘Toward a New Framework and a Better Understanding of
Credit Default Swaps' SSRN 4/08
Brandt Michael, Alon Brav, John Graham, Alok Kumar 'The Idiosyncratic
Volatility Puzzle: Time Trend or Speculative Episodes?' SSRN 6/08
Branger Nicole, Christian Schlag, Eva Schneider 'Optimal Portfolios When
Volatility Can Jump' Journal of Banking and Finance V.32,#6 June 2008
Braun Matias, Claudio Raddatz 'The Politics of Financial Development:
Evidence from Trade Liberalization' JofF V.63,# 3 June 2008
Bressoud David 'A Radical Approach to Lebesgue's Theory of Integration'
Cambridge Press 2008
Briggs William, Van Emden Henson 'The DFT: An Owners Manual for the Discrete
Fourier Transform' 1995 SIAM Press
Brigo Damiano, Kyriakos Chourdakis, Imane Bakkar ' Counterparty Risk
Valuation for Energy-Commodities Swaps: Impact of Volatilities and
Correlation' SSRN 6/08
Broll Udo, Bernard Michael Gilroy, Elmar Lukas 'Managing Credit Risk with
Credit Derivatives' SSRN 5/08
Brown Jeffrey, Zoran Ivkovih, Paul Smith, Scott Weisbenner 'Neighbors Matter:
Causal Community Effects and Stock Market Participation' JofF V.63,# 3
June 2008
Brown Stephen, Paul Lajbcygier, Bob Li 'Going Negative: What to Do with
Negative Book Equity Stocks' SSRN 6/08
Brüggemann Ralf, Wolfgang Härdle, Julius Mungo, Carsten Trenkler 'VAR
Modeling for Dynamic Loadings Driving Volatility Strings' Journal
of Financial Econometrics, Vol. 6, Issue 3, 2008
Brüggemann Ralf, Wolfgang Härdle, Julius Mungo, Carsten Trenkler 'VAR
Modeling for Dynamic Loadings Driving Volatility Strings' Journal of
Financial Econometrics, V. 6, Issue 3, 2008
Bruyere Richard, Rama Cont, Christophe Jaeck, Loic Fery, Thomas Spitz 'Credit
Derivatives And Structured Credit Products' Wiley Press 2005
Brychkov Yury 'Handbook of Special Functions: Derivatives, Integrals, Series'
2008CRC Press
Brzezniak Zdzislaw, Tomasz Zastawniak 'Basic Stochastic Processes' paperback
Springer 3rd printing edition 9/2000 <advanced undergrad>
Buckdahn Rainer, Jin Ma, Catherine Rainer 'Stochastic Control Problems for
Systems Driven by Normal Martingales' Ann. Appl. Probab. V.18, #2
(2008) <Bellman, HJB,viscosity solution, jump size> \
Buescu Cristin, Abel Cadenillas 'Investors Preference for a Positive Tax Rate
Depends on the Level of the Interest Rate' Mathematics and Financial
Economics V.1, #2 July 2007
Buescu Cristin, Michael Taksar 'Optimal Portfolio Management in Markets with
Asymmetric Taxation' Journal of Computational Finance v>11,#4 2008
Calvet Laurent, Adlai Fisher ‘Multifrequency Jump-Diffusions: An Equilibrium
Approach’ <endogenous jumps, Markov regime-switching, fat tails,
stochastic volatility, time deformation> J. Math. Econ. V44,#2 Jan 2008
Campello Murillo, Long Chen, Lu Zhang 'Expected Returns, Yield Spreads, and
Asset Pricing Tests' RFS May 2008 V.21, #3
Caporale Guglielmo Maria, Juncal Cunado, Luis Gil-Alana 'Modelling Long-Run
Trends and Cycles in Financial Time Series Data' SSRN 6/08
Caporale Guglielmo Maria, Mario Cerrato 'Using Chebyshev Polynomials to
Approximate Partial Differential Equations' CESifo Working Paper Series
No. 2308
Caporin Massimiliano 'Evaluating Value-At-Risk Measures in Presence of Long
Memory Conditional Volatility' J. Risk V.10,#3 2007?
Carbonell Felix, Juan Carlos Jimenez 'Weak Local Linear Discretizations for
Stochastic Differential Equations with Jumps' Journal of Applied
Probability V.45, #1 3/08
Carlen Eric, Ester Gabetta, Eugenio Regazzini 'Probabilistic Investigations
on the Explosion of Solutions of the Kac Equation with Infinite Energy
Initial Distribution' Journal of Applied Probability V.45, #1 3/08
Carlier Guillaume, Ivar Ekeland, Nizar Touzi 'Optimal Derivatives Design for
Mean–Variance Agents under Adverse Selection' Mathematics and Financial
Economics V1., #1 April 2007
Carlstrom Charles, Timothy Fuerst 'Inertial Taylor Rules: The Benefit of
Signaling Future Policy' S.L. FRB Review May/June 2008 V.90,#3, Part 2
Carmona René, Savas Dayanik 'Optimal Multiple-Stopping of Linear Diffusions'
Math. of O.R. May 2008 <Snell envelope, swing options, dynamic
programming, Markov, financial securities>
Carpentier Cecile, Jean-François L'Her, Stephan Smith, Jean-Marc Suret
'Seasoned Equity Offerings, Investment Risk and Financial Constraints'
SSRN 5/08
Carr Peter, Vadim Linetsky, Rafael Mendoza 'Time Changed Markov Processes in
Unified Credit-Equity Modeling <time changed Markov diffusion process,
state-dependent local volatility and killing rate (default intensity),
time change is a Lévy subordinator, stock price process exhibits jumps
state-dependent Lévy measure, jump-to-default extended CEV model
(JDCEV)> FDIC Center for Financial Research Working Paper No. 2008-03
SSRN 3/08
Casas Isabel 'Estimation of Stochastic Volatility with LRD' Math. & Computers
in Simulation V.78, #2-3 July 2008 <long-range dependence>
Casella Bruno, Gareth Roberts 'Exact Monte Carlo Simulation of Killed
Diffusions' Advances in Applied Probability V.40,#1 3/08
Caskey Judson, John Hughes, Jing Liu 'Leverage, Excess Leverage and Future
Stock Returns' SSRN 5/08
Castillo Enrique, Antonio Conejo, Ernesto Aranda 'Sensitivity Analysis in
Calculus of Variations. Some Applications' SIAM Review June 2008 V.
50,#2
Cereceda Jose 'Local Hidden-Variable Models and Negative-Probability
Measures' wp 2000
Cerniglia Joseph, Joshua Livnat 'First Come First Disserved' J. Investment
Management 2Q 2008
Cerný Aleš, Jan Kallsen 'Mean–Variance Hedging and Optimal Investment in
Heston's Model with Correlation' Mathematical Finance July 2008 V.18,#3
Cespa Giovanni ‘Information Sales and Insider Trading with Long-Lived
Information’ JofF 4/08 V.63,#2
Chacko George, Jakub Jurek, Erik Stafford 'The Price of Immediacy' JofF
V.63,# 3 June 2008
Chadwick Richard, Zhijie Liao 'High-Frequency Oscillations of a Sphere in a
Viscous Fluid near a Rigid Plane' SIAM Review June 2008 V. 50,#2
Chan Justin, Dong Hong, Marti Subrahmanyam 'A Tale of Two Prices: Liquidity
and Asset Prices in Multiple Markets' Journal of Banking and Finance
V.32,# 6 June 2008
Chan Louis K.C., David Ikenberry, Josef Lakonishok, Sangwoo Lee 'Are Analysts
All Alike? Identifying Earnings Forecasting Ability' J. Investment
Management 2Q 2008
Chan W.S., S.H. Cheung, L.X. Zhang, K.H. Wu 'Temporal Aggregation of Equity
Return Time-Series Models' Math. & Computers in Simulation V.78, #2-3
July 2008
Chan-Lau Jorge ‘Anticipating Credit Events Using Credit Default Swaps: An
Application to Sovereign Debt Crises' in CREDIT RISK: MODELS,
DERIVATIVES, AND MANAGEMENT, Chapter 9, CRC Press, 2008 SSRN 4/08
Chan-Lau Jorge 'FX-Adjusted Local Currency Spreads' SSRN 5/08
Chazal Marie, Elyès Jouini 'Equilibrium Pricing Bounds on Option Prices'
Mathematics and Financial Economics tobe 2008
Cheang Gerald, Carl Chiarella 'Hedge Portfolios in Markets with Price
Discontinuities' University of Technology Sydney Research Paper No. 218
SSRN 5/08
Chellathurai Thamayanthi, Thangaraj Draviam 'Markowitz Principles for Multi-
Period Portfolio Selection Problems with Moments of Any Order'
Proceedings of the Royal Society A V.464,#2092 4/8/08
Chen Gongmeng, Yoon K. Choi, Yong Zhou 'Detections of Changes in Return by a
Wavelet Smoother with Conditional Heteroscedastic Volatility' Journal
of Econometrics V.143,#2 April 2008
Chen Long, Shelly Zhao ‘What Drives Stock Price Movement?’ SSRN 4/08
Cheung Ka Chun, Hailiang Yang 'Ordering of Optimal Portfolio Allocations in a
Model with a Mixture of Fundamental Risks' Journal of Applied
Probability V.45, #1 3/08
Chevrier Thomas, Robert McCulloch ‘Using Economic Theory to Build Optimal
Portfolios' SSRN 4/08
Chevrier Thomas, Robert McCulloch 'Using Economic Theory to Build Optimal
Portfolios' SSRN April 2008
Chiarella Carl, Boda Kang, Gunter Meyer, Andrew Ziogas 'The Evaluation of
American Option Prices Under Stochastic Volatility and Jump-Diffusion
Dynamics Using the Method of Lines' University of Technology Sydney
Research Paper No. 219 SSRN 5/08
Choi Kyoung Jin, Gyoocheol Shim, Yong Hyun Shin 'Optimal Portfolio,
Consumption-Leisure and Retirement Choice Problem with CES Utility'
Mathematical Finance July 2008 V.18,#3
Chou Ray, Heng-Chih Chou, Nathan Liu 'Range Volatility Models and Their
Applications in Finance' SSRN 6/08
Chow Ying-Foon, Ming Liu, Xinting Fan 'Broad-Market Return Persistence and
Momentum Profits' Math. & Computers in Simulation V.78, #2-3 July 2008
Christensen Bent Jesper, Morten Orregaard Nielsen, Jie Zhu 'Long Memory in
Stock Market Volatility and the Volatility-in-Mean Effect: The
FIEGARCH-M Model' Centre for Analytical Finance 2007
Christoffersen Peter, Christian Dorion, Kris Jacobs, Yintian Wang 'Volatility
Components, Affine Restrictions and Non-Normal Innovations' SSRN April
2008
Christoffersen Peter, Kris Jacobs, Karim Mimouni 'Models for S&P500 Dynamics:
Evidence from Realized Volatility, Daily Returns, and Option Prices'
SSRN 6/08
Chu Eleanor 'Discrete and Continuous Fourier Transforms:Analysis,
Applications and Fast Algorithms' 2008 CRC Press
Chung San-Lin, Yaw-Huei Wang 'Bounds and Prices of Currency Cross-Rate
Options' Journal of Banking and Finance V.32, #5 May 2008
Cohen Henri, Gerhard Frey, Roberto Avanzi, Christophe Doche, Tanja Lange, Kim
Nguyen, Frederik Vercauteren 'Handbook of Ellipic and Hyperelliptic
Curve Cryptography' 2006 CRC Press
Collin-Dufresne Pierre, Robert Goldstein, Christopher Jones ‘Identification
Of Maximal Affine Term Structure Models’ JofF 4/08 V.63,#2
Connor Gregory, Robert Korajczyk 'Factor Models in Portfolio and Asset
Pricing Theory' SSRN 5/08
Cont Rama, Ioana Savescu ‘Forward Equations for Portfolio Credit Derivatives'
SSRN 4/08
Coquet François, Sandrine TOLDO 'Convergence of Values in Optimal Stopping
and Convergence of Optimal Stopping Times' <sequence of càdlàg
processes convergence in optimal stopping times> Electronic Journal of
Probability V.12, 2007
Cortazar Gonzalo, Carlos Milla, Felipe Severino 'A Multicommodity Model of
Futures Prices: Using Futures Prices of One Commodity to Estimate the
Stochastic Process of Another' Journal of Futures Markets V. 28, #6
June 2008
Cosa Cocozza, Di Lorenzo Emilia, Orlando Albina, Sibillo Marilena 'The VaR of
the Mathematical Provision: Critical Issues' Journal of Risk Management
in Financial Institutions V1.,#3 2008
Curtright Thomas, Cosmas Zachos 'Negative Probability and Uncertainty
Relations' Modern Physics Letters A 2001
Cusatis Patrick 'An Analysis of the Failed Municipal Bond and Note Futures
Contracts' Journal of Futures Markets V. 28, #7 July 2008
Cvitanic Jakša, Ali Lazrak, Tan Wang 'Implications of the Sharpe Ratio as a
Performance Measure in Multi-Period Settings' JED&C May 08, V.32,#5
Cvitanic Jakša, Jianfeng Zhang 'Optimal Compensation with Adverse Selection
and Dynamic Actions' Mathematics and Financial Economics V1., #1 April
2007
Da Veiga Bernardo, Felix Chan, Michael Mcaleer 'Modelling the Volatility
Transmission and Conditional Correlations between A and B Shares in
Forecasting Value-at-Risk' Math. & Computers in Simulation V.78, #2-3
July 2008
Dai Zhonglan, Edward Maydew, Douglas Shackelford, Harold Zhang ‘Capital Gains
Taxes and Asset Prices: Capitalization or Lock-In?’ JofF 4/08 V.63,#2
Davi Charles 'In Defense of Credit Default Swaps' SSRN April 2008
Davis Joseph, Roger Aliaga-Diaz 'Real-Time Forecasting of U.S. Bond Yields
and their Excess Returns' SSRN 5/08
Davydenko Sergei, Julian Franks ‘Do Bankruptcy Codes Matter? A Study of
Defaults in France, Germany, and the U.K.’ JofF 4/08 V.63,#2
D'Azevedo Eduardo 'Grand Challenge:Millisecond-Scale Molecular Dynamics
Simulation' SIAM News June 08
de Bondt Gabe 'Determinants of Stock Prices: New International Evidence'
Journal of Portfolio Management Spring 2008
De Giorgi Enrico 'Evolutionary Portfolio Selection with Liquidity Shocks'
JED&C V.32, #4 April 2008
Derman Emanuel, Kun Soo Park , Ward Whitt 'A Stochastic Model for Hedge Fund
Relative Returns' SSRN 5/08
Deuskar Prachi, Anurag Gupta, Marti Subrahmanyam 'The Economic Determinants
of Interest Rate Option Smiles' Journal of Banking and Finance V.32, #5
May 2008
Dionne Georges, Pascal Francois, Olfa Maalaoui 'Detecting Regime Shifts in
Corporate Credit Spreads' SSRN 6/08
Dobrev Dobrislav 'High Frequency Returns and Volatility in Financial Markets:
Generalized Range Theory and Conditional Moment Tests of No-Arbitrage
Semi-Martingale Restrictions' PhD Kellogg NU 2007
Domian Dale, William Reichenstein 'Returns-Based Style Analysis of High-Yield
Bonds' Journal of Fixed Income Spring 2008
Dorn Daniel, Gur Huberman, Paul Sengmueller ‘Correlated Trading and Returns’
JofF 4/08 V.63,#2
Dorn Jochen 'A CDO Option Market Model for Standardized CDS Index Tranches'
Université Paris1 Panthéon-Sorbonne SSRN 5/08
Du Du 'How Bad Will the Potential Economic Disasters Be? Evidences from S&P
500 Index Options Data' SSRN 6/08
Duchin Rabm, Moshe Levy 'Disagreement, Portfolio Optimization, and Excess
Volatility' SSRN 6/08
Duchin Rabm, Moshe Levy 'Portfolio Optimization and the Distribution of Firm
Size' SSRN 6/08
Duffie Darrell, Henry Hu 'Competing for a Share of Global Derivatives
Markets: Trends and Policy Choices for the United States' SSRN 6/08
Duffy Dean 'Mixed Boundary Value Problems' 2008 CRC Press
Duffy Ken, Artem Sapozhnikov 'The Large Deviation Principle for the On-Off
Weibull Sojourn Process' Journal of Applied Probability V.45, #1 3/08
Dunbar Kwamie 'US Corporate Default Swap Valuation: The Market Liquidity
Hypothesis and Autonomous Credit Risk' QF V.8, #3 2008
Durham J. Benson 'Implied Interest Rate Skew, Term Premiums, and the
"Conundrum"' Journal of Fixed Income Spring 2008
Dutt Samir, Gerd Welke 'Just-In-Time Monte Carlo for Path-Dependent American
Options' J. of Derivatives Summer 2008 <option-American>
Dyck Alexander, Natalya Volchkova, Luigi Zingales 'The Corporate Governance
Role of the Media: Evidence from Russia ' JofF V.63,# 3 June 2008
Ederington Louis, Jesus Salas 'Minimum Variance Hedging When Spot Price
Changes are Partially Predictable' Journal of Banking and Finance
V.32,# 5 May 2008
Eisdorfer Assaf ‘Empirical Evidence of Risk Shifting in Financially
Distressed Firms’ JofF 4/08 V.63,#2
Eldor Rafael, Shmuel Hauser, Uzi Yaari 'SPAN Margining of Option Trading: How
Accuracy Promotes Efficiency' SSRN 4/08
Elie Romuald, Nizar Touzi 'Optimal Lifetime Consumption and Investment under
a Drawdown Constraint' F&S V.12,#3 July 2008
Eling Martin 'Does the Measure Matter in the Mutual Fund Industry?' FAJ
May/June 2008 V.64,#3
Engle Robert, Jose Gonzalo Rangel 'The Spline-GARCH Model for Low-Frequency
Volatility and Its Global Macroeconomic Causes' RFS May 2008 V.21, #3
Engsted Tom, Thomas Quistgaard Pedersen 'Return Predictability and
Intertemporal Asset Allocation: Evidence from a Bias-Adjusted VAR
Model' SSRN 5/08
Engstrom Stefan, Richard Grottheim, Peter Norman, Christian Ragnartz 'Alpha-
Beta-Separation: From Theory to Practice' SSRN 5/08
Erdogan Emre, Donald Goldfarb, Garud Iyengar 'Robust Active Portfolio
Management' Journal of Computational Finance v>11,#4 2008
Esteban-Bravo Mercedes 'An Interior-Point Algorithm for Computing Equilibria
in Economies with Incomplete Asset Markets' JED&C V.32, #3 March 2008
Estrada Javier 'Fundamental Indexation and International Diversification'
Journal of Portfolio Management Spring 2008
Fábián Csaba, Anna Veszprémi 'Algorithms for Handling CVaR Constraints in
Dynamic Stochastic Programming Models with Applications to Finance' J.
Risk V.10,#3 2007?
Farinelli Simone 'Geometric Arbitrage Theory and Market Dynamics' SSRN 3/08
Fasano Antonio, Alberto Mancini 'Math from the Pan: Fantastic Voyage through
a French Fry' SIAM News May 08
Fattahi N. 'Problems in Applied Mathematics: Analysis of Bermudan Options,
and Selected Topics in the Analysis of Quantum Field-Theoretical
Perturbative Series' PhD U. Western Ontario 2002
Fayyad Wael 'A Call on Portfolio or Portfolio of Calls: Which is More
Valued?' SSRN 5/08
Feinberg Yossi, Colin Stewart 'Testing Multiple Forecasters' Econometrica
V.76, #3, May 2008
Felsenheimer Jochen, Philip Gisdakis 'Future Trends in the Structured Credit
Market' Journal of Risk Management in Financial Institutions V1.,#3
2008
Feng Liming, Vadim Linetsky 'Pricing Discretely Monitored Barrier Options and
Defaultable Bonds in Lévy Process Models: A Fast Hilbert Transform
Approach' Mathematical Finance July 2008 V.18,#3 <Esscher transform,
first passage time problems, credit risk, defaultable bonds, Fourier
transform, Hilbert transform, Whittaker cardinal series, Sinc
expansion> <option-barrier>
Fengler Matthias, Wolfgang Härdle, Enno Mammen 'A Semiparametric Factor Model
for Implied Volatility Surface Dynamics' Journal of Financial
Econometrics, Vol. 5, Issue 2, 2007
Ferguson Robert 'Some Formulae for Evaluating Two Popular Option Strategies'
SSRN 5/08
Ferland René, Gaston Giroux 'Law of Large Numbers for Dynamic Bargaining
Markets' Journal of Applied Probability V.45, #1 3/08
Fernández Pablo ‘Simulation for Option Valuation’ SSRN 4/08
Filipovic Damir, Gregor Svindl 'Optimal Capital and Risk Allocations for Law-
and Cash-Invariant Convex Functions' F&S V.12,#3 July 2008
Filipovic Damir, Michael Kupper 'Equilibrium Prices for Monetary Utility
Functions' IJT&AF V.11, #3 5/08
Fiorani Filippo 'The Variance-Gamma Process for Option Pricing' <subject and
algorithm from ”Pricing American Options under Variance Gamma”,
forthcoming in Journal of Computational Finance, by Ali Hirsa, Dilip
Madan>
Fischer Tom 'Consumption Processes and Positively Homogeneous Projection
Properties' F&S V.12,#3 July 2008
Florescu Ionu, Frederi Viens 'Stochastic Volatility: Option Pricing using a
Multinomial Recombining Tree' Applied Math. Finance V.15,#2 2008
Fogler H. Russell 'Sharpe's State-Preference Approach and Beyond: A
Practitioner Overview' Journal of Portfolio Management Spring 2008
Fokas Athanassios 'A Unified Approach to Boundary Value Problems' SIAM Books
2008
Föllmer Hans, Alexander Schied, Stefan Weber ‘Robust Preferences and Robust
Portfolio Choice’ wp 2007
Föllmer Hans, Walter Schachermayer 'Asymptotic Arbitrage and Large
Deviations' Mathematics and Financial Economics tobe 2008
Francis Bill, Iftekhar Hasan, Delroy Hunter 'Does Hedging Tell the Full
Story? Reconciling Differences in US Aggregate and Industry-Level
Exchange Rate Risk Premia' Bank of Finland Research Discussion Paper
No. 14/2008
Frederiksen Per, Morten Ørregaard Nielsen 'Bias-Reduced Estimation of Long
Memory Stochastic Volatility' SSRN 6/08
French Craig 'Old Stuff: The Inception of the CAPM' SSRN 3/08
Frey Rüdiger, Monika Popp, Stefan Weber 'An Approximation for Credit
Portfolio Losses' J. Credit Risk V.4,#1 2008
Fridson Martin, Kevin Covey, Karen Sterling 'Performance of Distressed Bonds'
Journal of Portfolio Management Spring 2008
Fries Christian, Mark Joshi 'Conditional Analytic Monte Carlo Pricing Scheme
for Auto-Callable Products' SSRN April 2008
Frydman Halina, Til Schuermann 'Credit Rating Dynamics and Markov Mixture
Models' Journal of Banking and Finance V.32, #6 June 2008
Fung Joseph, Yiuman Tse 'Efficiency of Single-Stock Futures: An Intraday
Analysis' Journal of Futures Markets V. 28, #6 June 2008
Gagnon Joseph 'Inflation Regimes and Inflation Expectations' S.L. FRB Review
May/June 2008 V.90,#3, Part 2
Galluccio Stefano, Andrea Roncoroni, Steven Hutt 'Interest Rate and Credit
Derivatives' Springer Finance 2006
Gavin William, Geetanjali Pande 'FOMC Consensus Forecasts' FRB St. Louis
Review May/June 2008 V. 90, # 3, Part 1
Gavin William, Kevin Kliesen 'Forecasting Inflation and Output: Comparing
Data-Rich Models with Simple Rules' <Dynamic Factor> FRB St. Louis
Review May/June 2008 V. 90, # 3, Part 1
Giacomini Raffaella, Andreas Gottschling, Christian Haefke, Halbert White
'Mixtures of T-Distributions for Finance and Forecasting' Journal of
Econometrics V.144,#1 May 2008
Gibson Michael 'Credit Derivatives and Risk Management' FRB Atlanta Economic
Review 4Q 2007
Giesecke Kay, Shahriar Azizpour 'Self-Exciting Corporate Defaults' SSRN April
2008
Gil-Alana Luis, Antonio Moreno 'Uncovering the U.S. Term Premium: An
Alternative Route' SSRN 3/08
Givoly Dan, Carla Hayn, Reuven Lehavy 'The Quality of Analysts' Cash Flow
Forecasts' SSRN 5/08
Glukhovskoy Krill, Joseph Atangan Tanega 'CDOs under Siege - Part II: IAS
Derecognition and Basel II' SSRN 6/08
Glukhovskoy Krill, Joseph Atangan Tanega 'CDOs under Siege Part I: Compliance
Under the IAS and Basel II' Journal of International Banking Law and
Regulation, Vol. 21, No. 11, November 2006
Godlewski Christophe 'Determinants of Bank Loan Syndication Structures for
Emerging Market Borrowers' Journal of Risk Management in Financial
Institutions V1.,#3 2008
Goldberg Lisa, Guy Miller, Jared Weinstein 'Beyond Value at Risk: Forecasting
Portfolio Loss at Multiple Horizons' J. Investment Management 2Q 2008
Goldreich Oded 'Computational Complexity' Cambridge Press 2008
Gollier Christian ‘Understanding Saving and Portfolio Choices with
Predictable Changes in Assets Returns’ J. Math. Econ. V44,#5-6 April
2008
Gollier Christian 'The Consumption-Based Determinants of the Term Structure
of Discount Rates' Mathematics and Financial Economics V.1, #2 July
2007
Goltz Felix, Lionel Martellini, Koray Simsek 'Optimal Static Allocation
Decisions in the Presence of Portfolio Insurance' J. Investment
Management 2Q 2008
Gómez-Valle Lourdes, Julia Martínez-Rodríguez 'Modelling the Term Structure
of Interest Rates: an Efficient Nonparametric Approach' Journal of
Banking and Finance V.32,#4 April 2008
Gong Guojin, Henock Louis, Amy Sun ‘Earnings Management and Firm Performance
Following Open-Market Repurchases’ JofF 4/08 V.63,#2
Goovaerts Marc, Roger J.A. Laeven 'Actuarial Risk Measures for Financial
Derivative Pricing' Insurance:Mathematics and Economics V.42,#2 April
2008
Graham Bryan 'Identifying Social Interactions through Conditional Variance
Restrictions' Econometrica V.76, #3, May 2008
Greenwood Robin 'Excess Comovement of Stock Returns: Evidence from Cross-
Sectional Variation in Nikkei 225 Weights' RFS May 2008 V.21, #3
Grégoire Philippe 'Insider Trading and Voluntary Disclosure' IJT&AF V.11, #2
3/08
Griewank Andreas, Andrea Walther 'Evaluating Derivatives: Principles and
Techniques of Algorithmic Differentiation' 2nd Ed. SIAM Books 2008
Gu Yonggeng, Jiwu Shu, Xiaotie Deng, Weimin Zheng 'A New Numerical Method for
American Option Pricing' Science in China V.45(3) 2002
Guasoni Paolo, Miklós Rásonyi, Walter Schachermayer ‘The Fundamental Theorem
of Asset Pricing for Continuous Processes under Small Transaction
Costs’ 2008
Guasoni Paolo, Miklós Rásonyi, Walter Schachermayer 'Consistent Price Systems
and Face-Lifting Pricing under Transaction Costs' Annals of Applied
Probability V.18,#2 4/08
Guo Hui, Robert Savickas 'Average Idiosyncratic Volatility in G7 Countries'
RFS May 2008 V.21, #3
Guo Hui, Robert Savickas 'Forecasting Foreign Exchange Rates Using
Idiosyncratic Volatility' J. Banking and Finance V.32, #7 July 2008
Gutierrez Roberto, William Maxwell, Danielle Xu 'Persistence Performance in
Corporate-Bond Mutual Funds' SSRN 5/08
Hackbarth Dirk, Erwan Morellec 'Stock Returns in Mergers and Acquisitions'
JofF V.63,# 3 June 2008
Haddad Wassim, VijaySekar Chellaboina 'Nonlinear Dynamical Systems and
Control: A Lyapunov-Based Approach' Princeton Press 2008
Hafner Reinhold, Martin Wallmeier 'Optimal Investments in Volatility'
Financial Markets and Portfolio Management, V.22, No.2, 2008
Han Houde, Zhongyi Huang 'A Class of Artificial Boundary Conditions for Heat
Equation in Unbounded Domains' Comput. Math. Appl. 43 (2000)
Han Song, Casey Mulligan 'Inflation and the Size of Government' S.L. FRB
Review May/June 2008 V.90,#3, Part 2
Harvey Campbell, John Liechty, Merrill Liechty 'Bayes Vs. Resampling: A
Rematch' Journal of Investment Management 1Q 2008
Hatchondo Juan Carlos 'A Quantitative Study of the Role of Wealth Inequality
on Asset Prices' <Lucas tree model, concave absolute risk tolerance>
FRB Richmond Winter 2008 V. 94 # 1
Haug Espen Gaarder 'Why So Negative to Negative Probabilities?' Wilmott
Magazine 2008 <Volatility>
Haussmann Ulrich, Etienne Pardoux ‘Time Reversal of Diffusions’ The Annals of
Probability 1986, 14
Hayre Lakhbir Hayre, Manish Saraf, Robert Young, Jiakai (David) Chen
'Modeling of Mortgage Defaults' Journal of Fixed Income Spring 2008
Henderson Vicky 'Valuing the Option to Invest in an Incomplete Market'
Mathematics and Financial Economics V.1, #2 July 2007
Henry-Labordere Pierre 'Analysis, Geometry and Modeling in Finance: Advanced
Methods in Options Pricing' 2008 CRC Press
Herzog Sebastian, Christian Koziol, Tim Thabe 'Optimal Credit Ratings' IJT&AF
V.11, #2 3/08
Hirshleifer David, Siew Hong Teoh 'Thought and Behavior Contagion in Capital
Markets' SSRN 6/08
Hong Gwangheon, Sudipto Sarkar 'Commodity Betas with Mean Reverting Output
Prices' J. Banking and Finance V.32,# 7 July 2008
Hörfelt Per 'A Short Cut to the Rainbow' <Option-Min/Max> <multi-asset> RISK
June 08
Horneff Wolfram, Raimond Maurer, Olivia Mitchell, Michael Stamos 'Asset
Allocation and Location Over the Life Cycle with Survival-Contingent
Payouts' NBER Working Paper No. W14055 SSRN 6/08
Hoti Suhejla, Michael Mcaleer, Laurent Pauwels 'Multivariate Volatility in
Environmental Finance' Math. & Computers in Simulation V.78, #2-3 July
2008
Huang Hongming, Yildiray Yildirim 'Valuing Tips Bond Futures with the Jarrow-
Yildirim Model' <closed form> RISK June 08
Huang Jennifer, Jiang Wang 'Market Liquidity, Asset Prices and Welfare' NBER
Working Paper No. W14058 SSRN 6/08
Huang Xiaoxia 'Mean-Semivariance Models for Fuzzy Portfolio Selection' J.
Computational and Applied Mathematics V.217,#1 July 08
Hull John, Alan White 'Dynamic Models of Portfolio Credit Risk: A Simplified
Approach' J. of Derivatives Summer 2008
Hurvich Clifford, Eric Moulines, Philippe Soulier 'Corrigendum to "Estimating
Long Memory in Volatility"' Econometrica V.76, #3, May 2008
Husbands Parry 'Automatic Tuning of High-Performance Numerical Libraries:
State of the Art and Open Problems' SIAM News June 08
Hvidkjaer Soeren 'Small Trades and the Cross-Section of Stock Returns' RFS
May 2008 V.21, #3
Hwang Chuan-Yang, Thomas George 'A Resolution of the Distress Risk and
Leverage Puzzles in the Cross Section of Stock Returns' SSRN April 2008
Iksanov Alex, Martin Möhle 'On the Number of Jumps of Random Walks with a
Barrier' Advances in Applied Probability V.40,#1 3/08
Ilhan Aytaç, Mattias Jonsson, Ronnie Sircar 'Optimal Static-Dynamic Hedges
for Exotic Options under Convex Risk Measures' April 2008
Isaenko Sergei 'On the Super-Replicating Approach when Trading a Derivative
is Limited' QF V.8, #3 2008
Ito Hiroshi, Jari Toivanen 'Lagrange Multiplier Approach with Optimized
Finite Difference Stencils for Pricing American Options Under
Stochastic Volatility' Report B6/2006, Department of Mathematical
Information Technology, U. Jyväskylä 2006
Ito Kazufumi, Karl Kunisch 'Lagrange Multiplier Approach to Variational
Problems and Applications' SIAM Press 2008
Jacob Joshy, Vipul 'Estimation and Forecasting of Stock Volatility with
Range-Based Estimators' Journal of Futures Markets V. 28, #6 June 2008
Jacobs Kris, Lotfi Karoui 'Conditional Volatility in Affine Term Structure
Models: Evidence from Treasury and Swap Markets' Journal of Financial
Economics tobe SSRN April 2008
Jacobs Kris, Xiaofei Li 'Modeling the Dynamics of Credit Spreads with
Stochastic Volatility' Management Science June 2008 V. 54,#6
Jacobs Michael 'Modeling the Time Varying Dynamics of Correlations:
Applications for Forecasting and Risk Management' SSRN 6/08
Jacod Jean, Philip Protter 'Probability Essentials' Springer 2nd Corrected
8/5/04 edition <advanced undergrads, beginning grad.>
Jaffard Stéphane, Yves Meyer, Robert Ryan 'Wavelets: Tools for Science and
Technology' 2001 SIAM Press
Jain Pankaj 'The Profound Effects of Automation on Stock Markets' Journal of
Investment Management 1Q 2008
Jamshidian Farshid 'Bivariate Support of Forward Libor and Swap Rates'
Mathematical Finance July 2008 V.18,#3 <sharpening result of Davis and
Mataix-Pastor (2007), prolific process>
Jamshidian Farshid 'The One-Factor Gaussian Interest Rate Model: Theory and
Implementation' Merrill Lynch 1988
Jankowitsch Rainer, Rainer Pullirsch, Tanja Veža 'The Delivery Option in
Credit Default Swaps' J. Banking and Finance V.32,# 7 July 2008
Janssen A.J.E.M., Johan Van Leeuwaarden, B. Zwart 'Gaussian Expansions and
Bounds for the Poisson Distribution Applied to the Erlang B Formula'
Advances in Applied Probability V.40,#1 3/08
Jarrow Robert, Donald Deventer 'Synthetic CDO Equity: Short or Long
Correlation Risk?' Journal of Fixed Income Spring 2008
Ji Shaolin, Shige Peng 'Terminal Perturbation Method for the Backward
Approach to Continuous Time Mean–Variance Portfolio Selection' SP&A V.
118, #6 June 2008
Jiang Zhengjun, Martijn Pistorius 'On Perpetual American Put Valuation and
First-Passage in a Regime-Switching Model with Jumps' F&S V.12,#3 July
2008
Jin Hanqing, Xun Yu Zhou 'Behavioral Portfolio Selection In Continuous Time'
Mathematical Finance July 2008 V.18,#3
Jones Charles 'Analyzing and Estimating Real Stock Returns' Journal of
Portfolio Management Spring 2008
Joshi Mark 'Applying Importance Sampling to Pricing Single Tranches of CDOs
in a One-Factor Li Model' 2004
Jylha Petri, Jylha, Jussi-Pekka Lyytinen, Matti Suominen ‘Arbitrage Capital
and Currency Carry Trade Returns’
Kalev Petko, Huu Nhan Duong 'A Test of the Samuelson Hypothesis Using
Realized Range' Journal of Futures Markets V. 28, #7 July 2008
Kaplanski Guy, Haim Levy 'Seasonal Affective Disorder (SAD) and Perceived
Market Risk' SSRN 4/08
Katz Jonathan, Yehuda Lindell 'Introduction to Modern Cryptography' 2008 CRC
Press
Kay J. 'Analysis of Multidimensional Bermudan Options' MS U. Western Ontario
2003
Kbanov Yuri 'In Discrete Time A Local Martingale is a Martingale under an
Equivalent Probability Measure' F&S V.12,#3 July 2008
Keiber Karl Ludwig 'Price Discovery in the Presence of Boundedly Rational
Agents' QF V.8, #3 2008
Kim Don 'Zero Bound, Option-Implied PDFs, and Term Structure Models' Federal
Reserve Board - Division of Monetary Affairs SSRN 5/08
Kim Joocheol, WooWhan Kim, KiHyung Kim 'Implied Volatility by Variance
Decomposition Method' Icfai Journal of Derivatives Markets, V. 5, No.
2, April 2008
Kim Young Shin, Svetlozar Rachev, Michele Leonardo Bianchi, Frank Fabozzi
'Financial Market Models with Lévy Processes and Time-Varying
Volatility' J. Banking and Finance V.32, #7 July 2008
Kinnebrock Silja, Mark Podolskij 'A Note on the Central Limit Theorem for
Bipower Variation Of General Functions' SP&A V. 118, #6 June 2008
Klar Jördis, Eva Benz 'Price Discovery and Liquidity in the European CO2
Futures Market: An Intraday Analysis' SSRN 5/08
Kluge Tino, L.C.G. Rogers 'The Potential Approach in Practice' 4/08 <FX,
interest rates>
Klüppelberg Claudia, Radostina Kostadinova 'Integrated Insurance Risk Models
with Exponential Lévy Investment' Insurance:Mathematics and Economics
V.42,#2 April 2008
Klüppelberg Claudia, Sidney Resnick 'The Pareto Copula, Aggregation of Risks,
and the Emperor's Socks' Journal of Applied Probability V.45, #1 3/08
Ko Bangwon, Qihe Tang 'Sums of Dependent Nonnegative Random Variables with
Subexponential Tails' Journal of Applied Probability V.45, #1 3/08
Kogan Leonid, Igor Makarov, Raman Uppal 'The Equity Risk Premium and the
Riskfree Rate in an Economy with Borrowing Constraints' Mathematics and
Financial Economics V1., #1 April 2007
Kornreich Philipp 'Mathematical Models of Information and Stochastic Systems'
2008 CRC Press
Korteweg Arthur, Nick Polson 'Volatility, Liquidity, Credit Spreads and
Bankruptcy Prediction' SSRN 3/08
Kovalov Pavol, Vadim Linetsky, Michael Marcozzi 'Pricing Multi-Asset American
Options: A Finite Element Method-of-Lines with Smooth Penalty' J. Sci.
Comput. 33(3): 209-237 (2007)
Krekel Martin 'Pricing Distressed CDOs with Base Correlation and Stochastic
Recovery' SSRN 5/08
Krstic Miroslav, Andrey Smyshlyaev 'Boundary Control of PDEs:A Course on
Backstepping Designs' SIAM Press 2008
Kruchen Stefan 'Dividend Risk' 2005 ETHZ
Kumar Alok, Sonya Seongyeon Lim 'How Do Decision Frames Influence the Stock
Investment Choices of Individual Investors?' Management Science June
2008 V. 54,#6
Kumar Praveen, K. Sivaramakrishnan 'Who Monitors the Monitor? The Effect of
Board Independence on Executive Compensation and Firm Value' RFS May
2008 V.21, #3
Kumar Praveen, Sorin Sorescu, Rodney Boehme, Bartley Danielsen 'Estimation
Risk, Information, and the Conditional CAPM: Theory and Evidence' RFS
May 2008 V.21, #3
Kwiatkowski Jan, D. James Burridge 'Accurate Allocation of Risk Capital in
Credit Portfolios' J. Credit Risk V.4,#1 2008
Kwok Yue Kuen, Hoi Ying Wong, Ka Wo Lau 'Pricing Algorithms of Multivariate
Path Dependent Options' <similarity variables, discrete monitoring> J.
Complexity 17 (2001)
Lagerås Andreas, Serik Sagitov 'Reduced Branching Processes with Very Heavy
Tails' Journal of Applied Probability V.45, #1 3/08
Lajbcygier Paul 'A Model of Fund Growth for Managed Futures: Evidence of
Managerial Skill' Journal of Investment Management 1Q 2008
Lakner Peter, Weijian Liang 'Optimal Investment in a Defaultable Bond'
Mathematics and Financial Economics tobe 2008
Landskroner Yorma, Alon Raviv 'The Valuation of Inflation-Indexed and FX
Convertible Bonds' Journal of Futures Markets V. 28, #7 July 2008
Lee Jihyun, Tong Suk Kim, Hoe Kyung Lee 'Risk-Return Relationship in High
Frequency Data: Multiscale Analysis and Long Memory Effect' KAIST
Business School Working Paper Series No. 2008-007
Leentvaar Coen, Cornelis Oosterlee 'American Options With Discrete Dividends
Solved by Highly Accurate Discretizations' in Progress in Industrial
Mathematics at ECMI 2004 Springer Press
Leitner Johannes 'Convex Pricing by a Generalized Entropy Penalty' Annals of
Applied Probability V.18,#2 4/08
Lempa Jukka 'On Infinite Horizon Optimal Stopping of General Random Walk'
Math. Methods of O.R. V.67,#2 4/08
Lesnevski Vadim, Barry Nelson, Jeremy Staum 'An Adaptive Procedure for
Estimating Coherent Risk Measures Based on Generalized Scenarios'
Journal of Computational Finance v>11,#4 2008
Leung Pui-Lam, Wing-Keung Wong 'On Testing the Equality of Multiple Sharpe
Ratios, with Application on the Evaluation of IShares' J. Risk V.10,#3
2007?
Leung Tim, Ronnie Sircar 'Accounting for Risk Aversion, Vesting, Job
Termination Risk and Multiple Exercises in Valuation of Employee Stock
Options' August 2007 tobe Mathematical Finance.
Leung Tim, Ronnie Sircar 'Exponential Hedging with Optimal Stopping and
Application to ESO Valuation' SSRN 3/08
Leung Tim, Ronnie Sircar, Thaleia Zariphopoulou 'Credit Derivatives and Risk
Aversion' October 2007 tobe Advances in Econometrics (Eds. T. Fomby,
J.-P. Fouque, K. Solna), Elsevier Science
Levin Alexander, Andrew Davidson 'The Concept of Credit OAS in Valuation of
MBS' Journal of Portfolio Management Spring 2008
Lewis Alan, Ernesto Mordecki 'Wiener-Hopf Factorization for Lévy Processes
Having Positive Jumps with Rational Transforms' Journal of Applied
Probability V.45, #1 3/08
Li Yangrong, Anthony Pakes, Jia Li, Anhui Gu 'The Limit Behavior of Dual
Markov Branching Processes' Journal of Applied Probability V.45, #1
3/08
Lien Donald 'A Note on Estimating the Benefit of a Composite Hedge' Journal
of Futures Markets V. 28, #7 July 2008
Lim Lee 'A Cointegration Analysis of Price Transmission between ADRs and
Dually Listed South Korean Stocks' Math. & Computers in Simulation
V.78, #2-3 July 2008
Lindset Snorre 'Instantaneous Caps and Floors on the Short-Rate' J. Risk
V.10,#3 2007?
Lindsey Laura 'Blurring Firm Boundaries: The Role of Venture Capital in
Strategic Alliances' JofF V.63, #3 June 2008
Linetsky Vadim, Pavlo Kovalov 'Valuing Convertible Bonds with Stock
Price,Volatility, Interest Rate, and Default Risk' FDIC Center for
Financial Research Working Paper Series, 2008-02 <general multi-factor
Markovian models credit risk, variational inequality formulation,
stochastic game between the bondholder and the issuer, penalized
nonlinear partial differential equation, finite element spatial
discretization, adaptive time integrator> SSRN 3/08
Liu Shijun 'A Bridge between Mortgage TBA Options and Swaptions' RISK 5/08
Liu Yi, Samuel Szewczyk, Zaher Zantout ‘Underreaction to Dividend Reductions
and Omissions?’ JofF 4/08 V.63,#2
Livnat Joshua, Germán López-Espinosa 'Quarterly Accruals or Cash Flows in
Portfolio Construction?' FAJ May/June 2008 V.64,#3
Ljung L., Thomas Kailath 'Backwards Markovian Models for Second-Order
Stochastic Processes' IEEE Transactions on Information Theory 22, 1976
Lo Andrew 'Hedge Funds: An Analytic Perspective' Princeton Press 2008
Lo Andrew 'Where Do Alphas Come From?: A New Measure of the Value of Active
Investment Management' SSRN April 2008
Lo Keng-Hsin, Kehluh Wang, Ming-Feng Hsu 'Pricing European Asian Options with
Skewness and Kurtosis in the Underlying Distribution' Journal of
Futures Markets V. 28, #6 June 2008
Longstaff Francis, Arvind Rajan ‘An Empirical Analysis of the Pricing of
Collateralized Debt Obligations’ JofF 4/08 V.63,#2 <CDO>
Longstaff Francis, Jiang Wang 'Asset Pricing and the Credit Market' SSRN 5/08
López José 'Asymptotic Expansions of Mellin Convolution Integrals' SIAM
Review June 2008 V. 50,#2
Los Cornelis 'Measurement of Financial Risk Persistence' The ICFAI Journal of
Financial Risk Management, V. 2, No. 3, pp. 7-33, September 2005
Los Cornelis 'Model Uncertainty, Complexity and Rank in Finance' The ICFAI
Journal of Financial Risk Management, V. 2, No. 2, June 2005
Los Cornelis, Satjaporn Tungsong 'Investment Model Uncertainty and Fair
Pricing' SSRN 5/08
Lu Richard, Yi-Hwa Hsu 'Valuation of Standard Options under the Constant
Elasticity of Variance Model' <binomial model> J. Bus. Econ 4 (2005)
<CEV>
Luschgy Harald, Gilles Pagès 'View Abstract Functional Quantization Rate and
Mean Regularity of Processes with an Application to Lévy Processes'
Annals of Applied Probability V.18,#2 4/08
MacLean Leonard, Yonggan Zhao, William Ziemba 'Currency Regimes and Weak
Interest Rate Parity' SSRN 6/08
Maekawa Koichi, Sangyeol Lee, Takayuki Morimoto, Ken-Ichi Kawai 'Jump
Diffusion Model with Application to the Japanese Stock Market' Math. &
Computers in Simulation V.78, #2-3 July 2008
Maheu John 'Are There Structural Breaks in Realized Volatility?' Journal of
Financial Econometrics, V. 6, Issue 3, 2008
Maksimovic Vojislav, Gordon Phillips ‘The Industry Life Cycle, Acquisitions
and Investment: Does Firm Organization Matter?’ JofF 4/08 V.63,#2
Malamud Semyon 'Universal Bounds For Asset Prices In Heterogeneous Economies'
F&S V.12,#3 July 2008
Malamud Semyon, Eugene Trubowitz 'The Structure of Optimal Consumption
Streams in General Incomplete Markets' Mathematics and Financial
Economics V.1,#2 July 2007
Mamoghli Chokri, Sami Daboussi 'Capital Asset Pricing Models and Performance
Measures in the Downside Risk Framework' SSRN 5/08
Manley Richard, Christian Mueller-Glissmann 'The Market for Dividends and
Related Investment Strategies' FAJ May/June 2008 V.64,#3
Manteuffel Thomas, Andrew White 'The Numerical Solution of Second-Order
Boundary Value Problems on Nonuniform Meshes' Mathematics of
Computation V.47, #176 October 1986
Martens Martin, Thierry Post, Joop Huij 'Return Persistence, Risk Dynamics
and Momentum Exposures of Equity and Bond Mutual Funds' SSRN April 2008
McConnell John, Wei Xu 'Equity Returns at the Turn of the Month' Financial
Analysts Journal, March/April 2008, V. 64, No. 2
McMillan David, Alan Speight 'Long-Memory in High-Frequency Exchange Rate
Volatility under Temporal Aggregation' QF V.8, #3 2008
Mcvinish Ross 'On the Structure and Estimation of Reflection Positive
Processes' <Ornstein-Uhlenbeck> Journal of Applied Probability V.45, #1
3/08
Meindl Peter, James Primbs 'Dynamic Hedging of Single and Multi-Dimensional
Options with Transaction Costs: A Generalized Utility Maximization
Approach' QF V.8, #3 2008
Melnikov Alexander, Yuliya Romanyuk 'Efficient Hedging and Pricing of Equity-
Linked Life Insurance Contracts on Several Risky Assets' IJT&AF V.11,
#3 5/08
Menchero Jose,Vijay Poduri 'Custom Factor Attribution' Financial Analysts
Journal, March/April 2008, V. 64, No. 2
Mengle David 'Credit Derivatives:An Overview' FRB Atlanta Economic Review 4Q
2007
Menoncin Francesco 'The Role Of Longevity Bonds in Optimal Portfolios'
Insurance:Mathematics and Economics V.42,#1 Feb. 2008
Michaud Richard, Robert Michaud 'Estimation Error and Portfolio Optimization:
A Resampling Solution' Journal of Investment Management 1Q 2008
Mierczynski Janusz 'Spectral Theory for Random and Nonautonomous Parabolic
Equations and Applications' 2008 CRC Press
Milevsky Moshe, Vladyslav Kyrychenko 'Portfolio Choice with Puts: Evidence
from Variable Annuities' FAJ May/June 2008 V.64,#3
Mollin Richard 'An Introduction to Cryptography' 2006 CRC Press
Moon Kyoung-Sook, Won-Jung Kim, Hongjoong Kim 'Adaptive Lattice Methods for
Multi-Asset Models' Computers and Math. With Applications V.56,#2 7/08
Mordecki Ernesto, Anders Szepessy, Ratil Tempone, Georgios Zouraris 'Adaptive
Weak Approximation of Diffusions with Jumps' SIAM J. Numer. Analysis V.
46, # 4 April 2008 <error control; Euler–Maruyama method; a posteriori
error estimates; backward dual functions>
Nagae Takeshi, Takashi Akamatsu 'A Generalized Complementarity Approach to
Solving Real Option Problems' JED&C June 08, V. 32,#6
Nakagawa Kenji 'Application of Tauberian Theorem to the Exponential Decay of
the Tail Probability of a Random Variable' 2006
Neale Corinne 'Best Practice and Remaining Challenges for Credit Economic
Capital' Journal of Risk Management in Financial Institutions V1.,#3
2008
Neuenschwander Daniel 'Retrieval Of Black–Scholes and Generalized Erlang
Models by Perturbed Observations at a Fixed Time' Insurance:Mathematics
and Economics V.42,#1 Feb. 2008
Ni Sophie, Jun Pan, Allen Poteshman 'Volatility Information Trading in the
Option Market' JofF V.63,# 3 June 2008
Nielsen Jens Perch, Carsten Tanggaard, M. Chris Jones 'Local Linear Density
Estimation for Filtered Survival Data, with Bias Correction' Centre For
Analytical Finance 2007
Nielsen Morten Ørregaard 'The Effect of Long Memory in Volatility on Stock
Market Fluctuations' SSRN 6/08
Ninomiya Syoiti, Nicolas Victoir 'Weak Approximation of Stochastic
Differential Equations and Application to Derivative Pricing' Applied
Math. Finance V.15,#2 2008
Norden Lars 'Credit Derivatives, Corporate News, and Credit Ratings' SSRN
5/08
Okhrin Yarema, Wolfgang Schmid 'Estimation of Optimal Portfolio Weights'
IJT&AF V.11, #3 5/08
Øksendal Bernt 'The Value of Information in Stochastic Control and Finance'
Australian Economic Papers, V. 44, No. 4, December 2005 <logarithmic
utility, complete info., insider case, partial observation case>
Panloup Fabien 'Recursive Computation of the Invariant Measure of a
Stochastic Differential Equation Driven by a Lévy Process <Euler
Schemes> Ann. Appl. Probab. V.18, #2 (2008)
Pantazopoulos K.N. 'Numerical Methods and Software for the Pricing of
American Financial Derivatives' PhD Purdue U. 1998
Papageorgiou Evan, Ronnie Sircar 'Multiscale Intensity Models and Name
Grouping for Valuation of Multi-Name Credit Derivatives' March 2008
Parlour Christine, Guillaume Plantin 'Loan Sales and Relationship Banking'
JofF V.63,# 3 June 2008
Parsons John, Miguel Herce, Robert Ready 'Using Futures Prices to Filter
Short-Term Volatility and Recover a Latent, Long-Term Price Series for
Oil' MIT SSRN 6/08
Pavlyukevich Ilya 'Simulated Annealing for Lévy-Driven Jump-Diffusions' SP&A
V. 118, #6 June 2008
Pemantle Robin, Mark Wilson 'Twenty Combinatorial Examples of Asymptotics
Derived from Multivariate Generating Functions' SIAM Review June 2008
V. 50,#2
Penaud Antony 'Fast Valuation of a Portfolio of Barrier Options under
Merton's Jump Diffusion Hypothesis' Wilmott Magazine ??/??
Perelló Josep, Ronnie Sircar, Jaume Masoliver 'Option Pricing under
Stochastic Volatility: the Exponential Ornstein-Uhlenbeck Model' April
2008, tobe Journal of Statistical Mechanics
Pérignon Christophe, Zi Yin Deng, Zhi Jun Wang 'Do Banks Overstate Their
Value-At-Risk?' Journal of Banking and Finance V.32,# 5 May 2008
Pesaran M. Hashem, Paolo Zaffaroni 'Optimal Asset Allocation with Factor
Models for Large Portfolios' IEPR Working Paper No. 08.7 SSRN 3/08
Petrassi Myrian, Juan Pablo Torres-Martínez ‘Collateralized Assets and
Asymmetric Information’ J. Math. Econ. V44,#5-6 April 2008
Phalippou Ludovic 'Where Is the Value Premium?' Financial Analysts Journal,
March/April 2008, V. 64, No. 2
Philosophov Leonid, Jonathan Batten, Vladimir Philosophov 'Predicting the
Event and Time Horizon of Bankruptcy Using Financial Ratios and the
Maturity Schedule of Long-Term Debt' Mathematics and Financial
Economics tobe 2008
Pinsky Mark, Bjorn Birnir (ed) 'Probability, Geometry and Integrable Systems'
<dedicated to Henry McKean> Cambridge Press 2008
Pintus Patrick 'Laffer Traps and Monetary Policy' FRB St. Louis Review
May/June 2008 V. 90, # 3, Part 1
Pires Pedro, João Pedro Pereira, Luis Martins ‘The Complete Picture of Credit
Default Swap Spreads - A Quantile Regression Approach' SSRN 4/08
Polyanin Andrei, Alexander Manzhirov 'Handbook of Integral Equations' 2008
CRC Press
Pontiff Jeffrey, Artemiza Woodgate ‘Share Issuance and Cross-Sectional
Returns’ JofF 4/08 V.63,#2
Post Thierry, Pim Van Vliet, Haim Levy 'Risk Aversion and Skewness
Preference' J. Banking and Finance V.32,# 7 July 2008
Prescott Edward 'Should Bank Supervisors Disclose Information About Their
Banks?' FRB Richmond Winter 2008 V. 94 # 1
Psychoyios Dimitris, George Dotsis, Raphael Markellos 'A Jump Diffusion Model
for VIX Volatility Options and Futures' SSRN 5/08
Pukthuanthong-Le Kuntara, Lee R. Thomas, III 'Weak-Form Efficiency in
Currency Markets' FAJ May/June 2008 V.64,#3
Quinn Dennis, A. Maria Toyoda 'Does Capital Account Liberalization Lead to
Growth?' RFS May 2008 V.21, #3
Rainer Buckdahn, Jin Ma, Catherine Rainer 'Stochastic Control Problems for
Systems Driven by Normal Martingales' Annals of Applied Probability
V.18,#2 4/08
Rásonyi Miklós, Walter Schachermayer, Richard Warnung ‘Hiding the Drift’
<Brownian motion with drift> 2008
Reinsberg Rene 'Pricing Options on the Dax - An Empirical Investigation' SSRN
6/08
Remolona Eli, Michela Scatigna, Eliza Wu 'The Dynamic Pricing of Sovereign
Risk in Emerging Markets: Fundamentals and Risk Aversion' Journal of
Fixed Income Spring 2008
Renegar James 'A Mathematical View of Interior-Point Methods in Convex
Analysis' 2001 SIAM Press
Renò Roberto 'Nonparametric Estimation of the Diffusion Coefficient of
Stochastic Volatility Models' 4/07 to be Econometric Theory
Rhodes-Kropf Matthew, David Robinson 'The Market for Mergers and the
Boundaries of the Firm' JofF V.63,# 3 June 2008
Rivicre Béatrice 'Discontinuous Galerkin Methods for Solving Elliptic and
Parabolic Equations:Theory and Implementation' SIAM Books 2008
Robert Evans 'Simple Efficient Contracts in Complex Environments'
Econometrica V.76, #3, May 2008
Rogers L.C.G., Fanyin Zhou 'Estimating Correlation from High, Low, Opening
and Closing Prices' Annals of Applied Probability V.18,#2 4/08
Roncoroni Andrea, Alessandro Moro 'Flexible-Rate Mortgages' International
Journal of Business V.11,#2 2006 <Multiple optimal stopping times,
Dynamic programming>
Ross Sheldon, Zegang Zhu 'On the Structure of a Swing Contract's Optimal
Value and Optimal Strategy' Journal of Applied Probability V.45, #1
3/08
Rötheli Tobias 'Pattern-Based Expectations: International Experimental
Evidence and Applications in Financial Economics' SSRN 5/08
Salamon Peter, Paolo Sibani, Richard Frost 'Facts, Conjectures and
Improvements for Simulated Annealing' 2002 SIAM Press
Santalo Juan, Manuel Becerra ‘Competition From Specialized Firms and the
Diversification–Performance Linkage’ JofF 4/08 V.63,#2
Santos Joao, Andrew Winton 'Bank Loans, Bonds, and Information Monopolies
across the Business Cycle' JofF V.63,# 3 June 2008
Sarker Buhul Amin, Charles Newton 'Optimization Modeling: A Practical
Approach' 2008 CRC Press
Schaller Huntley, Lynda Khalaf 'The Pricing Error Function' SSRN 3/08
Schmidt Thorsten, Alexander Novikov 'A Structural Model with Unobserved
Default Boundary' Applied Math. Finance V.15,#2 2008
Schuehle Niels 'Empirical Asset Pricing; Fixed Income; Credit Risk; Liquidity
in Security Markets' Kellogg NU 2008
Seierstad Atle 'Stochastic Control:Discrete and Continuous Time' Springer
2008
Sen Rahul 'A Multi-State Vasicek Model for Correlated Default Rate and Loss
Severity' <recovery, credit risk capital, multiple loss, heavy tail>
RISK June 08
Sepp Artur ‘VIX Option Pricing In A Jump-Diffusion Model’ <S&P 500 Index>
RISK 4/08
Sepp Artur 'Pricing Options on Realized Variance in the Heston Model with
Jumps in Returns and Volatility' Journal of Computational Finance
v>11,#4 2008
Sidenius Jakob, Vladimir Piterbarg, Leif Andersen 'A New Framework for
Dynamic Credit Portfolio Loss Modelling' IJT&AF V.11, #2 3/08
Sipics Michelle 'Novel Algorithm Speeds Discovery of Electric Power Grid
Vulnerabilities' SIAM News May 08
Sipics Michelle 'The Greening of High-Performance Computing' SIAM News June
08
Smith Daniel 'Evaluating Specification Tests for Markov-Switching Time-Series
Models' Journal of Time Series Analysis, Vol. 29, Issue 4, July 2008
Soklakov Andrei ‘Information Derivatives’ <Volatility risk, Variance/Gamma
Swaps, liquidity> RISK 4/08
Song Qingyi (Freda), J. David Cummins 'Hedge the Hedgers: Usage of
Reinsurance and Derivatives by Property and Casualty Insurance
Companies' SSRN 5/08
Sorensen Michael 'Efficient Estimation for Ergodic Diffusions Sampled at High
Frequency' SSRN 6/08
Souza Sergio, Benjamin Tabak, Daniel Cajueiro 'Long-Range Dependence In
Exchange Rates: The Case Of The European Monetary System' IJT&AF V.11,
#2 3/08
Speyer Jason, Walter Chung 'Stochastic Processes, Estimation and Control'
SIAM Books 2008
Statman Meir, Jonathan Scheid 'Correlation, Return Gaps, and the Benefits of
Diversification' Journal of Portfolio Management Spring 2008
Statman Meir, Kenneth Fisher, Deniz Anginer 'Affect in a Behavioral Asset-
Pricing Model' Financial Analysts Journal, March/April 2008, V. 64, No.
2
Sternberg Philip 'Can Simulations Ever Scale to Millions of Processors?' SIAM
News June 08
Stroock Daniel 'Partial Differential Equations for Probabilists' <Kolmogorov,
non-elliptic, Nash> Cambridge Press 2008
Sun Haiwei, Jun Zhang 'A High Order Compact Boundary Value Method for Solving
One Dimensional Heat Equations' Report U. Kentucky 2002
Surya B.A. 'Evaluating Scale Functions of Spectrally Negative Lévy Processes'
Journal of Applied Probability V.45, #1 3/08
Taboga Marco, Fabio Maccheroni, Massimo Marinacci, Aldo Rustichini 'Portfolio
Selection with Monotone Mean-Variance Preferences' SSRN 6/08
Taniguchi Masanobu, Kenichiro Tamaki 'Optimal Statistical Inference in
Financial Engineering' 2008CRC Press
Tetlock Paul, Maytal Saar-Tsechansky, Sofus Macskassy 'More Than Words:
Quantifying Language to Measure Firms' Fundamentals' JofF V.63, #3 June
2008
Tiwari Manvendra, Rritu Saurabha 'Empirical Study of the Effect of Including
Skewness and Kurtosis in Black-Scholes Option Pricing Formula on S&P
CNX Nifty Index Options' Icfai Journal of Derivatives Markets, V. 5,
No. 2, April 2008
Todorov Viktor, Tim Bollerslev 'Jumps and Betas: A New Framework for
Disentangling and Estimating Systematic Risks' SSRN 6/08
Toivanen Jari 'Numerical Valuation of European and American Options under
Kou's Jump-Diffusion Model' <PIDE, LCP, Rannacher scheme, option
pricing, jump-diffusion model, partial integro-differential equation,
linear complementarity problem, finite difference method, operator
splitting, penalty method> SIAM J. Sci. Computing V.30,#4 May 2008
<option-American>
Tolikas Konstantinos 'Value-At-Risk and Extreme Value Distributions for
Financial Returns' J. Risk V.10,#3 2007?
Tsanakas Andreas 'Risk Measurement in the Presence of Background Risk'
Insurance:Mathematics and Economics V.42,#2 April 2008
Tucker Alan 'Son of Boss' J. of Derivatives Summer 2008 <tax avoidance
derivatives, IRS>
Ucar Bora 'Computing in a Cloudy Petascale Enviornment' SIAM News June 08
Valvonis Vytautas 'Estimating EAD for Retail Exposures for Basel II Purposes'
J. Credit Risk V.4,#1 2008
van Haastrecht Alexander, Roger Lord, Antoon Pelsser, David Schrager
‘Stochastic Interest Rates and Stochastic Volatility: What You Can Do
with Schöbel-Zhu' SSRN 4/08
Vasil’ev Valery, Hans Wiesmeth ‘Equilibrium in a Mixed Economy of Arrow-
Debreu Type’ J. Math. Econ. V44,#2 Jan 2008
Vayanos Dimitri, Pierre-Olivier Weill 'A Search-Based Theory of the On-the-
Run Phenomenon' JofF V.63,# 3 June 2008
Vereda Luciano, Hélio Lopes, Regina Fukuda 'Estimating VAR Models for the
Term Structure of Interest Rates' Insurance:Mathematics and Economics
V.42,#2 April 2008
Vitiello Luiz, Ser-Huang Poon 'General Equilibrium and Risk Neutral Framework
for Option Pricing with a Mixture of Distributions' J. of Derivatives
Summer 2008
Vrontos Spyridon, Ioannis Vrontos, Daniel Giamouridis 'Hedge Fund Pricing and
Model Uncertainty' Journal of Banking and Finance V.32,#5 May 2008
Wagner Niklas 'Credit Risk: Models, Derivatives and Management' 2008 CRC
Press
Wagner Wolf ‘The Risk of Joint Liquidation and Portfolio Choice: Diversity
Instead of Diversification' SSRN 4/08
Walker James 'A Primer on Wavelets and Their Scientific Application' 2008 CRC
Press
Walter John, Patricia Wescott 'Antitrust Analysis in Banking: Goals, Methods,
and Justifications in a Changed Environment' FRB Richmond Winter 2008
V. 94 # 1
Wang Changyun, Wei Zhang, Weng Kit Tan 'American Futures Options Arbitrage:
Evidence from the Nikkei 225 Options Market' QF V.8, #3 2008
Wang J., Peter Forsyth 'Maximal Use of Central Differencing for Hamilton--
Jacobi--Bellman PDEs in Finance' <viscosity solution; stochastic
control; nonlinear HJB> SIAM J. Numerical Analysis V. 46,# 3 April 2008
Wang Kent 'Volatility Linkages of the Equity, Bond and Money Markets: An
Implied Volatility Approach' SSRN 5/08
Waring M. Barton, Sunder Ramkumar 'Forecasting Fund Manager Alphas: The
Impossible Just Takes Longer' Financial Analysts Journal, March/April
2008, V. 64, No. 2
Watkins Clinton, Michael Mcaller 'How Has Volatility in Metals Markets
Changed?' Math. & Computers in Simulation V.78, #2-3 July 2008
Watkins David 'The Matrix Eigenvalue Problem:GR and Krylov Subspace Methods'
SIAM Press 2007
Wehn Carsten 'Looking Forward To Back Testing' <VaR> RISK 5/08
Weithers Tim 'Credit Deriviatives, Macro Risks and Systemic Risks' FRB
Atlanta Economic Review 4Q 2007
Wheelock David 'The Federal Response to Home Mortgage Distress: Lessons from
the Great Depression' FRB St. Louis Review May/June 2008 V. 90, # 3,
Part 1
Wise Richard 'An Arbitrage-based Risk Diagnostic of the Cross-Currency Basis
Swap' Journal of Risk Management in Financial Institutions V.1,#3 2008
Wolf Michael, Erik Boman 'An Increasing Role for Combinatorial Methods in
Large-Scale Parallel Simulations' SIAM News June 08
Wong Hoi Ying, Jing Zhao 'An Artificial Boundary Method for American Option
Pricing under the CEV Model' SIAM J. Numerical Analysis V.46,#4 May
2008 <reduce infinite domain to finite by boundary> <option-American>
Wong Hoi Ying, Ka Yung Lau 'Analytical Valuation of Turbo Warrants under
Double Exponential Jump Diffusion' J. of Derivatives Summer 2008
Wong Hoi Ying, Yu Wai Lo 'Option Pricing with Mean Reversion and Stochastic
Volatility' SSRN 3/08
Wong Shek-Keung Tony 'The Generalized Perpetual American Exchange-Option
Problem'<investment-timing problem of McDonald and Siegel, Optimal
stopping problem; free boundary approach; first passage time approach>
Advances in Applied Probability V.40,#1 3/08
Wong Woon 'Backtesting Trading Risk of Commercial Banks Using Expected
Shortfall' J. Banking and Finance V.32, #7 July 2008
Wu Liuren, Frank Xiaoling Zhang 'A No-Arbitrage Analysis of Macroeconomic
Determinants of the Credit Spread Term Structure' Management Science
June 2008 V. 54,#6
Wu Shu, Yong Zeng ‘An Econometric Model of the Term Structure of Interest
Rates under Regime-Switching Risk’ SSRN 4/08
Wu Ting-Pin, Son-Nan Chen 'Valuation of Floating Range Notes in a LIBOR
Market Model' Journal of Futures Markets V. 28, #7 July 2008
Wu Xiaonan, Zhi-Zhong Sun 'Convergence of Difference Scheme for Heat Equation
in Unbounded Domains using Artificial Boundary Conditions' Appl. Numer.
Math 50 (2004)
Wynne Mark 'Core Inflation: A Review of Some Conceptual Issues' S.L. FRB
Review May/June 2008 V.90,#3, Part 2
Xu Mingyu 'Backward Stochastic Differential Equations with Reflection and
Weak Assumptions on the Coefficients' SP&A V. 118,#6 June 2008
<Reflected Backward Stochastic Differential Equation; Monotonicity;
Non-Lipschitz Condition; Quadratic Increasing; Linear Increasing>
Xu Peter 'Why Have Estimate Revision Measures Not Worked in Recent Years?'
Journal of Portfolio Management Spring 2008
Yang Hongtao 'Numerical Analysis of American Options' PhD U. Alberta 2001
Yang Jian, Xiaojing Su, James Kolari 'Do Euro Exchange Rates Follow A
Martingale? Some Out-of-Sample Evidence' Journal of Banking and Finance
V.32, #5 May 2008
Yi Fahuai, Zhou Yang, Xiaohua Wang 'A Variational Inequality Arising from
European Installment Call Options Pricing' <parabolic, free boundary>
SIAM J. Math. Analysis V.40, #1 April 2008
Zaima Janis 'Portfolio Investing with EVA' Journal of Portfolio Management
Spring 2008
Zakamouline Valeri 'Option Pricing and Hedging in the Presence of Transaction
Costs and Nonlinear Partial Differential Equations' SSRN 5/08
Zakamouline Valeri, Steen Koekebakker 'Analysis of Financial Decision Making
with Loss Aversion' SSRN 3/08
Zerbs Michael, Helmut Mausser, Martin Hansen 'Active Capital Management:
Optimizing Returns in a Multiple Stakeholder Context' Journal of Risk
Management in Financial Institutions V1.,#3 2008
Zhang Jin, Yi Xiang 'The Implied Volatility Smirk' QF V.8, #3 2008
Zohdi T.I. 'An Introduction to Modeling and Simulation of Particulate Flows'
2007 SIAM Press
Zopounidis Constantin, Michael Doumpos, Panos Pardalos 'Handbook of Financial
Engineering' Springer Press 2008

Das könnte Ihnen auch gefallen