1. A new technique for simulating the likelihood of stochastic differential equations. (2002). Nicolau, João.
   In: Econometrics Journal.
   RePEc:ect:emjrnl:v:5:y:2002:i:1:p:91-103.

   Full description at Econpapers || Download paper

1. AIT-SAHALIA, Y. (1992): The Delta and Bootstrap Methods for Nonparametric Kernel Functionals, MIT Mimeo, January.
   Paper not yet in RePEc: Add citation now
   
2. AMES, W.F. (1977): Numerical Methods for Partial Differential Equations, Academic Press, New-York.
   Paper not yet in RePEc: Add citation now
   
3. BANON, G. (1978): Nonparametric Identification for Diffusion Processes, S.l.A.M.
   Paper not yet in RePEc: Add citation now
   

4. BLACK, F. AND M. SCHOLES (1973): The Pricing of Options and Corporate Liabilities, Journal of Political Economy, 3, 133-155.

5. BRENNAN, M.J. AND E.S. SCHWARTZ (1979), A Continuous-Time Approach to the Pricing of Bonds, Journal of Banking and Finance, Vol. 3, 133-155.

6. BROWN, S.J. AND P.H. DYBVIG (1986): The Empirical Implications of the Cox, Ingersoll, Ross Theory of the Term Structure of Interest Rates, Journal of Finance, 41, 3, 617-630.

7. CHAMBERLAIN, G. (1987): Asymptotic Efficiency in Estimation with Conditional Moment Restrictions, Journal of Econometrics, 34, 305-334.

8. CHAN, K.C., G.A. KAROLYI, F.A. LONGSTAFF AND A.B. SANDERS (1992): An Empirical Comparison of Alternative Models of the Short-Term Interest Rate, Journal of Finance, 47, 3, 1209-1227.

9. CONSTANTINIDES, G.M. (1992): A Theory of the Nominal Term Structure of Interest Rates, Review of Financial Studies, 5, 4, 531-552.

10. COURTADON, G. (1982): The Pricing of Options on Default-Free Bonds, Journal of Financial and Quantitative Analysis, 17, 1, 75-100.

11. COX, J.C. (1975): Notes on Option Pricing I: Constant Elasticity of Diffusions, Stanford University Mimeo, September 1975.
    Paper not yet in RePEc: Add citation now
    

12. COX, J.C., J.E. INGERSOLL AND S.A. ROSS (1980): An Analysis of Variable Rate Loan Contracts, Journal of Finance, 35, 2, 389-403.

13. DOTHAN, L.U. (1978): On the Term Structure of Interest Rates, Journal of Financial Economics, 6, 59-69.

14. DUFFIE, D. AND K. SINGLETON (1993): Simulated Moments Estimation of Markov Models of Asset Prices, Econometrica, 61, 4, 929-952.

15. DUFFIE, D. AND R. KAN (1993): A Yield Factor Model of Interest Rates, Stanford University Mimeo.
    Paper not yet in RePEc: Add citation now
    
16. Exploratory Investigation, Journal of Financial Economics, 8, 323-361. ------------------- (1973): Theory of Rational Option Pricing, Bell Journal of Economics and Management Science, 4, 141 - 183.
    Paper not yet in RePEc: Add citation now
    
17. FELLER, W. (1951): Two Singular Diffusion Problems, Annals of Mathematics, 54, 2, 173-182.
    Paper not yet in RePEc: Add citation now
    
18. FLORENS-ZMIROU, D. (1993): On Estimating the Diffusion Coeff~cient from Discrete Observations, Journal of Applied Probability, 30, 790-804.
    Paper not yet in RePEc: Add citation now
    
19. FREIDLIN, M. (1985): Functional Integration and Partial Differential Equations, Annals of Mathematics Studies, Number 109, Princeton, N.J.: Princeton University Press.
    Paper not yet in RePEc: Add citation now
    
20. FRIEDMAN, A. (1964): Partial Differential Equations of Parabolic Type, Englewood Cliff, N.J.: Prentice-Hall.
    Paper not yet in RePEc: Add citation now
    

21. GIBBONS, M.R. AND K. RAMASWAMY (1993): A Test of the Cox, Ingersoll and Ross Model of the Term Structure, The Review of Financial Studies, 6, 3, 619-658.

22. GOURIEROUX, C., A. MONFORT AND E. RENAULT (1993): Indirect Inference, Journal of Applied Econometrics, Vol. 8, S85-S118.

23. HANSEN, L.P. (1982): Large Sample Properties of Generalized Method of Moments Estimators, Econometrica, 50, 1029-1054.

24. HASMINSKII, R.Z. (1980): Stochastic Stability of Differential Equations, Alphen aan den Rijn, The Netherlands: Sijthoff and Noordhoff Publishers.
    Paper not yet in RePEc: Add citation now
    
25. Heteroskedasticity of Unknown Form, Econometrica, 55, 4, 875-891. SAID, E.S. AND D.A. DICKEY (1984): Testing for Unit Roots in Autoregressive- Moving Average Models of Unknown Order, Biometrika, 71, 3, 599-607.
    Paper not yet in RePEc: Add citation now
    

26. HULL, J. AND A. WHITE (1990): Pricing Interest-Rate-Derivative Securities, The Review of Financial Studies, 3, 4, 573-592.

27. Journal of Control and Optimization, 16, 380-395. BASAWA, I.V. AND B.L.S. PRAKASA-RAO (1980): Statistical Inference for Stochastic Processes, New York: Academic Press.
    Paper not yet in RePEc: Add citation now
    
28. KARATZAS, I. AND S.E. SHREVE (1991): Brownian Motion and Stochastic Calculus, Second Edition, New York: Springer-Verlag.
    Paper not yet in RePEc: Add citation now
    
29. KARLIN, S. AND H.M. TAYLOR (1981): A Second Course in Stochastic Processes, New York Academic Press.
    Paper not yet in RePEc: Add citation now
    
30. KUNSCH; H.R (1989): The Jacknife and the Bootstrap for General Stationary Observations, Annals of Statistics, 17, 3, 1217-1241.
    Paper not yet in RePEc: Add citation now
    
31. LIU, R.Y. AND K. SINGH (1992): Moving Blocks Jacknife and Bootstrap Capture Weak Dependence, in LePage R. and Billard, Y., eds, Exploring the Limits of Bootstrap, New York: Wiley.
    Paper not yet in RePEc: Add citation now
    

32. LO, A.W. (1988): Maximum Likelihood Estimation of Generalized It8 Processes with Discretely Sampled Data, Econometric Theory, 4, 231-247.

33. MARSH, T.A. AND E.R. ROSENFELD (1983): Stochastic Processes for Interest Rates and Equilibrium Bond Prices, Journal of Finance, 38, 2, 635-646.

34. MERTON, R.C. (1990): Continuous-Time Finance, Cambridge, MA: Blackwell.
    Paper not yet in RePEc: Add citation now
    
35. Method, The Journal of Financial and Quantitative Analysis, 25, 1, 87-100. JAMSHIDIAN, F. (1989): An Exact Bond Option Formula, Journal of Finance, 44, 1, 205-209.
    Paper not yet in RePEc: Add citation now
    
36. Model of Asset Prices, Econometrica, 53, 2, 363-384. ---------------------------------------------- (1985b): A Theory of the Term Structure of Interest Rates, Econometrica, 53, 2, 385-407.
    Paper not yet in RePEc: Add citation now
    

37. NELSON, D.B. (1990): ARCH Models as Diffusion Approximations, Journal of Econometrics, 45, 1/2, 7-38.

38. PHILLIPS, P.C.B. (1987): Time Series Regression with a Unit Root, Econometrica, 55, 2, 277-310.

39. PRAKASA-RAO, B.L.S. (1987): On Mixing for Flows of 6-Algebras, Technical Report No. 95, University of California, Davis.
    Paper not yet in RePEc: Add citation now
    

40. ROBINSON, P.M. (1983): Nonparametric Estimators for Time Series, Journal of Time Series Analysis, 4, 3, 185-207.

41. SCOTT, D.W. (1992): Multivariate Density Estimation: Theory, Practice and Visualization, New York: Wiley.
    Paper not yet in RePEc: Add citation now
    
42. SILVERMAN, B.W. (1986): Density Estimation for Statistical and Data Analysis, London: Chapman-Hall.
    Paper not yet in RePEc: Add citation now
    

43. Springer-Verlag. PEARSON, N.D. AND T.-S. SUN (1994): Exploiting the Conditional Density in Estimating the Term Structure: An Application to the Cox, Ingersoll, and Ross Model, Journal of Finance, 49, 4, 1279-1304.

44. VASICEK, O. (1977): An Equilibrium Characterization of the Term Structure, Journal of Financial Economics, 5, 177-188.

45. WONG, E. (1964): The Construction of a Class of Stationary Markov Processes, in Stochastic Processes in Mathematical Physics and Engineering, Proceedings of Symposia in Applied Mathematics, Vol. XVI.
    Paper not yet in RePEc: Add citation now
    

1. Option-Based Estimation of the Price of Co-Skewness and Co-Kurtosis Risk. (2015). Christoffersen, Peter ; Karoui, Mehdi ; Jacobs, Kris ; Fournier, Mathieu .
   In: CREATES Research Papers.
   RePEc:aah:create:2015-54.

   Full description at Econpapers || Download paper

2. The Modigliani-Miller Theorems: A Cornerstone of Finance. (2005). Pagano, Marco.
   In: CSEF Working Papers.
   RePEc:sef:csefwp:139.

   Full description at Econpapers || Download paper

3. A real options approach to tender offers and acquisitions processes. (2003). Dapena, Jose ; Fidalgo, Santiago.
   In: CEMA Working Papers: Serie Documentos de Trabajo..
   RePEc:cem:doctra:232.

   Full description at Econpapers || Download paper

4. The Valuation of Corporate Liabilities: Theory and Tests. (2002). Ericsson, Jan ; Reneby, Joel .
   In: SSE/EFI Working Paper Series in Economics and Finance.
   RePEc:hhs:hastef:0445.

   Full description at Econpapers || Download paper

5. The Influence of Heterogeneous Preferences on Asset Prices in an Incomplete Market Model. (2001). Niehaus, Frank.
   In: Computing in Economics and Finance 2001.
   RePEc:sce:scecf1:60.

   Full description at Econpapers || Download paper

6. Heterogeneous Expectations, Currency Options and the Euro / Dollar Exchange Rate. (2001). Rzepkowski, Bronka .
   In: Working Papers.
   RePEc:cii:cepidt:2001-03.

   Full description at Econpapers || Download paper

7. Bayesian Forecasting of Options Prices: A Natural Framework for Pooling Historical and Implied Volatiltiy Information. (2001). Darsinos, Theofanis ; Satchell, Stephen.
   In: Cambridge Working Papers in Economics.
   RePEc:cam:camdae:0116.

   Full description at Econpapers || Download paper

8. Bayesian Analysis of the Black-Scholes Option Price. (2001). Darsinos, Theofanis ; Satchell, S..
   In: Cambridge Working Papers in Economics.
   RePEc:cam:camdae:0102.

   Full description at Econpapers || Download paper

9. A SIMPLE OPTION PRICING MODEL WITH HETEROGENEOUS AGENTS. (2000). Niehaus, Frank.
   In: Computing in Economics and Finance 2000.
   RePEc:sce:scecf0:342.

   Full description at Econpapers || Download paper

10. Forecasting Crashes: Trading Volume, Past Returns and Conditional Skewness in Stock Prices. (2000). Stein, Jeremy ; Hong, Harrison ; Chen, Joseph.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:7687.

    Full description at Econpapers || Download paper

11. Margin requirements, margin loans, and margin rates: practice and principles. (2000). Fortune, Peter .
    In: New England Economic Review.
    RePEc:fip:fedbne:y:2000:i:sep:p:19-44.

    Full description at Econpapers || Download paper

12. The Expectations of Hong Kong Dollar Devaluation and Their Determinants. (2000). Rzepkowski, Bronka .
    In: Working Papers.
    RePEc:cii:cepidt:2000-04.

    Full description at Econpapers || Download paper

13. The Big Players in the Foreign Exchange Market: Do They Trade on Information or Noise?. (1999). Wei, Shang-Jin ; Kim, Jungshik.
    In: CID Working Papers.
    RePEc:wop:cidhav:5.

    Full description at Econpapers || Download paper

14. Executive Compensation: Six Questions that Need Answering. (1999). Kaplan, David ; Abowd, John.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:7124.

    Full description at Econpapers || Download paper

15. Optimal Compensation Contracts with Pay-For-Performance and Termination Incentives. (1999). Hallman, Greg ; Hartzell, Jay C..
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
    RePEc:fth:nystfi:99-053.

    Full description at Econpapers || Download paper

16. Viability and Equilibrium in Securities Markets with Frictions. (1999). Jouini, Elyès ; Kallal, Hedi ; hedi, Hachani.
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
    RePEc:fth:nystfi:99-036.

    Full description at Econpapers || Download paper

17. Arbitrage and Viability in Securities Markets with Fixed Trading Costs. (1999). NAPP, Clotilde ; Jouini, Elyès ; Kallal, Hedi .
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
    RePEc:fth:nystfi:99-033.

    Full description at Econpapers || Download paper

18. Semiparametric Pricing of Multivariate Contingent Claims. (1999). Rosenberg, Joshua.
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
    RePEc:fth:nystfi:99-028.

    Full description at Econpapers || Download paper

19. Implied Volatility Functions: A Reprise. (1999). Rosenberg, Joshua.
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
    RePEc:fth:nystfi:99-027.

    Full description at Econpapers || Download paper

20. Continuous Time Equilibrium Pricing of Nonredundant Assets. (1999). NAPP, Clotilde ; Jouini, Elyès.
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
    RePEc:fth:nystfi:99-008.

    Full description at Econpapers || Download paper

21. The Valuation of American Barrier Options Using the Decomposition Technique. (1999). B. Gao J. Huang, .
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
    RePEc:fth:nystfi:99-002.

    Full description at Econpapers || Download paper

22. Product mix and earnings volatility at commercial banks: evidence from a degree of leverage model. (1999). Roland, Karin P. ; Deyoung, Robert ; De Young, Robert.
    In: Working Paper Series.
    RePEc:fip:fedhwp:wp-99-6.

    Full description at Econpapers || Download paper

23. Extracting market expectations from option prices: case studies in Japanese option markets. (1999). Shiratsuka, Shigenori ; Nakamura, Hisashi .
    In: Working Paper Series.
    RePEc:fip:fedhwp:wp-99-1.

    Full description at Econpapers || Download paper

24. Evaluating the forecasts of risk models. (1999). Berkowitz, Jeremy .
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:1999-11.

    Full description at Econpapers || Download paper

25. Efficiency in index options markets and trading in stock baskets. (1999). Ackert, Lucy ; Tian, Yisong S..
    In: FRB Atlanta Working Paper.
    RePEc:fip:fedawp:99-5.

    Full description at Econpapers || Download paper

26. Pricing Derivatives the Martingale Way.. (1998). Ross, Michael P. ; Pierre Collin Dufresne William Keirstead, .
    In: Research Program in Finance Working Papers.
    RePEc:ucb:calbrf:rpf-279.

    Full description at Econpapers || Download paper

27. Agency Costs, Risk Management, and Capital Structure.. (1998). Leland, Hayne.
    In: Research Program in Finance Working Papers.
    RePEc:ucb:calbrf:rpf-278.

    Full description at Econpapers || Download paper

28. Bank Capital and Portfolio Management: The 1930s Capital Crunch and Scramble to Shed Risk. (1998). Calomiris, Charles ; Wilson, Berry ; Calormiris, Charles W..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:6649.

    Full description at Econpapers || Download paper

29. Investment Ramifications of Distortionary Tax Subsidies. (1998). Hines, James.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:6615.

    Full description at Econpapers || Download paper

30. Valuing the Futures Market Clearinghouses Default Exposure During the 1987 Crash. (1998). Bates, David ; Craine, Roger .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:6505.

    Full description at Econpapers || Download paper

31. A Direct Approach to Arbitrage-Free Pricing of Derivatives. (1998). Das, Sanjiv ; Sundaram, Rangarajan K..
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
    RePEc:fth:nystfi:99-013.

    Full description at Econpapers || Download paper

32. An Adaptive Evolutionary Approach to Option Pricing via Genetic Programming. (1998). Lee, Chi-Wen Jevons ; Chidambaran, N. K. ; Trigueros, Joaguin R..
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
    RePEc:fth:nystfi:98-086.

    Full description at Econpapers || Download paper

33. Testing the Volatility Term Structure using Option Hedging Criteria. (1998). Rosenberg, Joshua ; Engle, Robert.
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
    RePEc:fth:nystfi:98-031.

    Full description at Econpapers || Download paper

34. The FDICIA and bank CEOs pay-performance relationship: an empirical investigation. (1998). Yan, Ying.
    In: Working Papers (Old Series).
    RePEc:fip:fedcwp:9805.

    Full description at Econpapers || Download paper

35. Preference-free option pricing with path-dependent volatility: A closed-form approach. (1998). Nandi, Saikat ; Heston, Steven L..
    In: FRB Atlanta Working Paper.
    RePEc:fip:fedawp:98-20.

    Full description at Econpapers || Download paper

36. The Big Players in the Foreign Exchange Market: Do They Trade on Information or Noise?. (1997). Wei, Shang-Jin ; Kim, Jungshik.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:6256.

    Full description at Econpapers || Download paper

37. Pricing and Hedging Derivative Securities in Incomplete Markets: An E-Aritrage Model. (1997). Lo, Andrew ; Kogan, Leonid ; Bertsimas, Dimitris.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:6250.

    Full description at Econpapers || Download paper

38. Average Interest. (1997). Das, Sanjiv ; Chacko, George .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:6045.

    Full description at Econpapers || Download paper

39. Heterogeneous Information Arrival and Option Pricing. (1997). Ncube, Mthuli ; Asea, Patrick K..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:5950.

    Full description at Econpapers || Download paper

40. Post-87 Crash Fears in S&P 500 Futures Options. (1997). Bates, Robert.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:5894.

    Full description at Econpapers || Download paper

41. A closed-form GARCH option pricing model. (1997). Nandi, Saikat ; Heston, Steven L..
    In: FRB Atlanta Working Paper.
    RePEc:fip:fedawp:97-9.

    Full description at Econpapers || Download paper

42. Numerical analysis of strategic contingent claims models. (1997). Tu, Cheng ; Anderson, Ronald W..
    In: Discussion Papers (IRES - Institut de Recherches Economiques et Sociales).
    RePEc:ctl:louvir:1997004.

    Full description at Econpapers || Download paper

43. Implied risk-neutral probability density functions from option prices: theory and application. (1997). Bahra, Bhupinder.
    In: Bank of England working papers.
    RePEc:boe:boeewp:66.

    Full description at Econpapers || Download paper

44. Beyond Mean-Variance: Performance Measurement of Portfolios Using Options or Dynamic Strategies.. (1996). Leland, Hayne.
    In: Research Program in Finance Working Papers.
    RePEc:ucb:calbrf:rpf-263-rev.

    Full description at Econpapers || Download paper

45. Arbitrage Opportunities in Arbitrage-Free Models of Bond Pricing. (1996). Zin, Stanley ; Backus, David ; Foresi, Silverio .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:5638.

    Full description at Econpapers || Download paper

46. Investor Reaction to Salient News in Closed-End Country Funds. (1996). Lamont, Owen ; Wizman, Thierry A. ; Klibanoff, Peter.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:5588.

    Full description at Econpapers || Download paper

47. Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices. (1995). Lo, Andrew ; Ait-Sahalia, Yacine.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:5351.

    Full description at Econpapers || Download paper

48. Nonparametric Pricing of Interest Rate Derivative Securities. (1995). Ait-Sahalia, Yacine.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:5345.

    Full description at Econpapers || Download paper

49. The Exchange Rate Under Target Zones. (). Vajanne, Laura .
    In: ETLA A.
    RePEc:rif:abooks:16.

    Full description at Econpapers || Download paper

50. Short-term options with stochastic volatility: Estimation and empirical performance. (). Fiorentini, Gabriele ; Angel León, ; Rubio, Gonzalo.
    In: Studies on the Spanish Economy.
    RePEc:fda:fdaeee:02.

    Full description at Econpapers || Download paper

Report date: 2025-02-19 02:14:24 || Missing content? Let us know