Update Mar 07

Acciaio Beatrice ‘Optimal Risk Sharing with Non-Monotone Monetary Functionals’
Finance and Stochastics Volume 11, Number 2, April, 2007

Acharya Viral, Lasse Pedersen ‘Asset Pricing with Liquidity Risk’ JFE 2005
Acharya Viral, Timothy Johnson ‘Insider Trading in Credit Derivatives’ JFE to be
Achdou Yves, Indragoby Govindaraj, Olivier Pironneau 'Volatility Calibration with
American Options' 2004 European Congress on Computational Methods in Applied
Sciences & Engineering, wp 1/05 <variational inequalities, automatic
differentiation, finite element methods>
Adams Renee, Daniel Ferreira ‘A Theory of Friendly Boards’ Journal of Finance
Volume 62: Issue 1, February 2007
Adler R.J., Jonathan Taylor ‘Random Fields & Geometry’ 2007 Springer
Aguirregabiria Victor, Pedro Mira ‘Sequential Estimation of Dynamic Discrete Games’
Econometrica Jan. 2007 Vol. 75 Issue 1
Ahcan Ales, Saao Polanec, Igor Masten, Mihael Perman ‘Analytical Approximation for
a Multi-Period Portfolio Problem with Vector Autoregressive Returns’ SSRN 3/07
Ahlin Christian, Robert Townsend ‘Selection Into and Across Credit Contracts:
Theory and Field Research’ 2/07 Journal of Econometrics
Ahn Hyungsok, Varqa Khadem, Paul Wilmott ‘The Pricing Of Risky Bonds: Current
Models and Future Directions’ 1999 Oxford Financial Research Center
Ahoniemi Katja ‘Multiplicative Models for Implied Volatility’ SSRN 3/07
Aihara Shinichi ‘Adaptive Parameter Identification for Infinite-Dimensional Factor
Model By Using Particle Filter’ Bachelier Conference 2006
Aït-Sahalia Yacine ‘Volatility Estimators for Discretely Sampled Lévy Processes’
Bachelier Conference 2006
Aït-Sahalia Yacine, Jianqing Fan, Heng Peng ‘Nonparametric Transition-Based Tests
for Jump-Diffusions’ SSRN 1/07
Aït-Sahalia Yacine, Per Mykland, Lan Zhang ‘Ultra High Frequency Volatility
Estimation with Dependent Microstructure Noise’ TR 554, Dept of
Statistics, Univ. of Chicago 2005
Aiyagari S. Rao, Mark Gertler ‘Asset Returns with Transactions Cost and Uninsured
Risk: A Stage III Exercise’ NBER Working Paper No. W3481 SSRN 1/07
Albeverio Sergio, Frederik Herzberg ‘A Combinatorial Infinitesimal Representation
of Lévy Processes and an Application to Incomplete Markets’ Stochastics Volume
78 Issue 5, 2006
Albrecher Hansjorg, Sophie Ladoucette, Wim Schoutens ‘A Generic One-Factor Lévy
Model for Pricing Synthetic CDOs’ Advances in Mathematical Finance (ed. M. Fu,
et all) 2007
Alevy Jonathan, Michael Haigh, John List ‘Information Cascades: Evidence From A
Field Experiment with Financial Market Professionals’ Journal of Finance Volume
62: Issue 1, February 2007
Alexander Gordon, Alexandre Baptista ‘Portfolio Selection with A Drawdown
Constraint’ Nov 2006 Journal of Banking and Finance
Alexander Gordon, Gjergji Cici, Scott Gibson ‘Does Motivation Matter When Assessing
Trade Performance? An Analysis of Mutual Funds’ Review of Financial Studies,
Volume 20, Issue 1, January 2007
Aliprantis Charalambos, Gabriele Camera, Daniela Puzzello ‘Contagion Equilibria in
a Monetary Model’ Econometrica Jan. 2007 Vol. 75 Issue 1
Almendral Ariel, Cornelis W. Oosterlee 'Accurate Evaluation of European and
American Options Under the CGMY Process' SIAM J. Sci. Computing 2007 < Volterra
Equations, finite-difference method, Lévy driven asset processes, discretized in
space by the collocation method, time explicit backward differentiation formula,
second-order accurate for a relevant parameter range determining the degree of
the singularity in the Lévy measure, integration by parts technique, the fast
Fourier transform O(N_t N\log N), partial integro-differential equations;
collocation method> <options-American>
Altman Rachel ‘Mixed Hidden Markov Models: An Extension of the Hidden Markov Model
to the Longitudinal Data Setting’ JASA 3/07
Amerio Emanuele ‘Forward Start Option Pricing with Stochastic Volatility: A General
Framework’ Bachelier Conference 2006
Ammann Manuel, Axel Kind, Ralf Seiz ‘What Drives the Performance of Convertible
Bond Funds?’ SSRN 3/07
Anand Amber, Sugato Chakravarty ‘Stealth Trading in Options Markets’ Journal of

Financial and Quantitative Analysis Vol. 42, No. 1, March 2007
Anderluh Jasper, J.A.M. van der Weide 'Double Sided Parisian Options' Aug. 2006 wp
<stock spends time above or below a level>
Andersen Leif ‘Portfolio Losses in Factor Models: Term Structures and Intertemporal
Loss Dependence’ Journal of Credit Risk Vol.2, #4 Winter 2006/2007
Andersen Torben, Luca Benzoni ‘Can Bonds Hedge Volatility Risk in the U.S. Treasury
Market? A Specification Test for Affine Term Structure Models’ 2006
Andersen Torben, Per Frederiksen, Arne Staal ‘The Information Content of Realized
Volatility Forecasts’ 2006
Andersen Torben, Tim Bollerslev, Dobrislav Dobrev ‘No-Arbitrage Semi-Martingale
Restrictions for Continuous-Time Volatility Models subject to Leverage Effects,
Jumps and i.i.d. Noise: Theory and Testable Distributional Assumptions’ Journal
of Econometrics 2006
Andersen Torben, Tim Bollerslev, Francis Diebold ‘Roughing It Up: Including Jump
Components in Measuring, Modeling and Forecasting Asset Return Volatility’
Review of Economics and Statistics 2006
Andersen Torben, Tim Bollerslev, Francis Diebold, Paul Labys ‘The Distribution of
Exchange Rate Realized Volatility’ Journal of the American Statistical
Association, 96, 42–55, 2001
Andersen Torben, Tim Bollerslev, Per Frederiksen, Morten Ø. Nielsen ‘Comment (on
Peter R. Hansen and Asger Lunde: “Realized Variance and Market Microstructure
Noise) (Journal of Business & Economic Statistics)’ 2006
Andersen Torben, Tim Bollerslev, Per Frederiksen, Morten Ø. Nielsen ‘Continuous-
Time Models, Realized Volatilities and Testable Distributional Implications for
Daily Stock Returns’ 2006
Anderson T.W. ‘An Introduction to Multivariate Statistical Analysis’ 2003 Wiley
Press
Andrikopoulos Andreas ‘On the Valuation of American Exchange Options: An Analytical
Approximation’ SSRN 1/07
Andritzky Jochen, Manmohan Singh ‘The Pricing of Credit Default Swaps During
Distress’ SSRN Jan 07
Androshchuk Taras, Yuliya Mishura ‘Mixed Brownian-Fractional Brownian Model:
Absence of Arbitrage and Related Topics’ Stochastics Volume 78 Issue 5, 2006
Ankirchner Stefan ‘Metrics on the Set of Semimartingale Filtrations’ Stochastics
Volume 78 Issue 2, 2006
Antonino Zanette ‘A Mixed PDE-Monte Carlo Approach for Pricing Credit Default Swaps
Portfolio Options’ Bachelier Conference 2006
Appasamy Bernd, Stefan Hengstmann, Georg Stapper, Egbert Schark ‘Validation of
Rating Models’ Wilmott (May 2004)
Applebaum David ' Lévy Processes and Stochastic Calculus' 2004 (Cambridge Studies
in Advanced Mathematics)
Applegate David, Robert Bixby, Vasek Chvátal, William Cook ‘The Traveling Salesman
Problem:A Computational Study’ Princeton Press 2007
Aragon George ‘Share Restrictions and Asset Pricing: Evidence From the Hedge Fund
Industry’ Journal of Financial Economics 1/07
Arai Takuji ‘LP-Projections of Random Variables and Its Application to Finance’
Araújo Tanya, Francisco Louçã ‘The Geometry of Crashes. A Measure of the Dynamics
of Stock Market Crises’ Quantitative Finance, Volume 7 Issue 1 2007 agent-based
modeling, complexity
Arkina Svetlana ‘Investment Timing Problem under Tax Exemptions’ Bachelier
Conference 2006
Armitage V., W. Eberlein ‘Elliptic Functions’ 2006 Cambridge Press
Arnaud Porchet ‘Valuation of A Power Plant under Production Constraints’ Bachelier
Conference 2006
Arnold Tom, Raymond Fishe, David North ‘The Effects of “Risk Factor” Disclosure on
the Pricing of IPOs and Long Run Returns’ SSRN 3/07
Arnold Tom, Timothy Falcon Crack, Adam Schwartz ‘Valuing Real Options Using Implied
Binomial Trees and Commodity Futures Options’ Journal of Futures Markets March
2007
Aspremont Alexandre ‘A Market Test for the Positivity of Arrow Debreu Prices’
Athanasoulis Stefano ‘Asset Prices and Consumption in a Model of Perpetual Youth’
Journal of Business Vol 79, #6, Nov 2006
Atlan Marc ‘Localizing Volatility’ Bachelier Conference 2006
Babilua P., I. Bokuchava, B. Dochviri, M. Shashiashvili ‘The American Put Option in
a One-Dimensional Diffusion Model with Level-Dependent Volatility’ Stochastics
Volume 79 Issue 1 & 2 2007
Bae Kee-Hong, Chanwoo Lim, K.C. John Wei ‘Corporate Governance and Conditional
Skewness in the World's Stock Markets’ Journal of Business Vol 79, #6, Nov 2006
Bajeux-Besnainou Isabelle, Riadh Belhaj, Didier Maillard, Roland Portait ‘Portfolio
Optimization under Tracking Error and Weights Constraints’ SSRN 2/07
Baker Glyn, Reimer Beneder, Alex Zilber ‘FX Barriers with Smile Dynamics’ SSRN 2/07
Bakshi Gurdip, Dilip Madan 'The Distribution of Risk Aversion' wp 2006
Bakstein David ‘The Pricing of Derivatives in Illiquid Markets’ 2001 Oxford
Financial Research Center
Bakstein David, Sam Howison ‘A Risk-Neutral Parametric Liquidity Model for
Derivatives’ 2002 Oxford Financial Research Center
Bakstein David, Sam Howison ‘Using Options on Greeks as Liquidity Protection’ 2003
Oxford Financial Research Center
Balan R.M. ‘Markov Jump Random C.D.F.’s and their Posterior Distributions’ SP&A
3/07
Bali Turan ‘An Extreme Value Approach to Estimating Interest-Rate Volatility:
Pricing Implications for Interest-Rate Options’ Management Science Feb 2007
53(2)
Bali Turan, David Weinbaum ‘A Conditional Extreme Value Volatility Estimator Based
on High-Frequency Returns’ Journal of Economic Dynamics and Control Feb. 07
Balvers Ronald, Douglas Mitchell ‘Reducing the Dimensionality of Linear Quadratic
Control Problems’ Journal of Economic Dynamics and Control January 07
Bandi Federico, Claudia Moise, Jeffrey R. Russell ‘Market Volatility, Market
Frictions and the Cross-Section of Stock Returns’ SSRN 3/07
Bandi Federico, Jeffrey Russell ‘Microstructure Noise, Realized Volatility and
Optimal Sampling’ technical report, University of Chicago, Graduate School of
Business. 2003
Banerjee Anurag ‘A Method of Estimating the Average Derivative’ 1/07 Journal of
Econometrics
Bank Peter ‘Pricing and Hedging In Illiquid Financial Markets’ Bachelier Conference
2006
Barndorff-Nielsen Ole, Neil Shephard ‘Impact of Jumps on Returns and Realised
Variances: Econometric Analysis of Time-Deformed Lévy Processes’ March/April
2006 Journal of Econometrics
Barnsley Michael ‘SuperFractals’ 2006 Cambridge Press
Barone-Adesi Giovanni, Nicola Fusari, John Theal ‘Barrier Option Pricing Using
Adjusted Transition Probabilities’ SSRN 2/07
Barrieu Pauline ‘Hybrid Cat-Bonds’ Bachelier Conference 2006
Bartram Söhnke, Gregory W. Brown, Jennifer Conrad ‘The Effects of Derivatives on
Firm Risk and Value’ SSRN 2/07
Bass Richard, Zhen-Oing Chen ‘Systems of Equations Driven by Stable Processes’
Probability Theory and Related Fields Volume 134, Number 2 / February, 2006
Basu Devraj, Chi-Hsiou Hung, Alexander Stremme ‘International Asset Pricing and
Time-Varying Risk Premiums’ SSRN 2/07
Bäuerle Nicole, Ulrich Rieder ‘Portfolio Optimization with Jumps and Unobservable
Intensity Process’ Mathematical Finance April 2007 - Vol. 17 Issue 2
Bavouzet Marie Pierre ‘Pricing and Sensitivity Computations of American Options in
Jump Type Market Models’ Bachelier Conference 2006
Bayraktar Erhan , Virginia Young ‘Correspondence between Lifetime Minimum Wealth
And Utility Of Consumption’ Finance and Stochastics Volume 11, Number 2, April,
2007
Bayraktar Erhan, Masahiko Egami ‘The Effects of Implementation Delay on Decision-
Making under Uncertainty’ SP&A 3/07
Bayraktar Erhan, Ulrick Horst, Ronnie Sircar 'A Limit Theorem for Financial Markets
with Inert Investors' Mathematics of Operations Research Vol 31,#4 Nov. 2006
Bazaraa Mokhtar ‘Nonlinear Programming:Theory & Algorithms’ 2006 Wiley Press
Bazdarich Michael ‘Separability and Pension Optimization’ Journal of Fixed Income
Winter 2006
Becherer Dirk ‘Bounded Solutions to Backward SDE with Jumps for Utility
Optimization and Indifference Hedging’ Bachelier Conference 2006
Becker Katrin, Melanie Becker, John Schwarz ‘String Theory & M-Theory’ 2006
Cambridge Press
Bekaert Geert, Eric Engstrom, Yuhang Xing Risk ‘Uncertainty and Asset Prices’ CEPR
Discussion Paper No. 5947 SSRN 1/07
Beliaeva Natalia, Sanjay Nawalkha ‘Pricing American Interest Rate Options Under the
Jump-Extended Vasicek Model’ SSRN 3/07
Beliaeva Natalia, Sanjay Nawalkha ‘Pricing American Interest Rate Options under the
Jump-Extended Vasicek Model’ <double-exponential-jumps> SSRN 2/07
Beltratti Andrea, Claudio Morana ‘Breaks and Persistency: Macroeconomic Causes of
Stock Market Volatility’ March/April 2006 Journal of Econometrics
Bender Christian, John Schoenmakers ‘An Iterative Method for Multiple Stopping:
Convergence and Stability’ Advances in Applied Probability V. 38,3 2006
Bennani Norddine ‘Indifference Price for Unbounded Semimartingales: An Orlicz Space
Approach’ Bachelier Conference 2006
Bennemann Christoph, Christop Burmester, Andreas Werner ‘Random Walk auf dem
Börsenparkett’ Physikalische Blätter 56 (2000)
Bennett Andrew ‘Lagrangian Fluid Dynamics’ 2006 Cambridge Press
Benninga Simon, Zvi Wiener 'Value-at-Risk' (VaR) Mathematica in Education &
Research Vol. 7, #4 1998 <Risk>
Ben-Rephael Azi, Ohad Kadan, Avi Wohl ‘The Diminishing Price Effects of
Idiosyncratic Liquidity and Idiosyncratic Volatility’ SSRN 3/07
Ben-Tal Aharon, Arkadi Nemirovski ‘Lectures on Modern Convex Optimization’ 2001
SIAM Press
Benth Fred Espen ‘Option Theory with Stochastic Analysis’ 2004 Springer Press
Benzoni Luca ‘Do Bonds Span Volatility Risk in the U.S. Treasury Market? A
Specification test for Affine Term Structure Models’ SSRN 3/07
Benzoni Luca, Pierre Collin-Dufresne, Robert Goldstein ‘Explaining Pre- and Post-
1987 Crash Prices of Equity and Options within a Unified General Equilibrium
Framework’ SSRN 2/07
Berti Patrizia, Luca Pratelli, Pietro Rigo ‘Almost Sure Weak Convergence of Random
Probability Measures’ Stochastics Volume 78 Issue 2, 2006
Berti Patrizia, Luca Pratelli, Pietro Rigo ‘Skorohod Representation on a Given
Probability Space’ Probability Theory and Related Fields Volume 137, Numbers 3-4
/ March, 2007
Bhansal Ishu, S.Srinivasan ‘Portfolio Selection Using Evolutinary Computational
Techniques’ SSRN 3/07
Bhansali R.J., L. Giraitis, P.S. Kokoszka ‘Approximations and Limit Theory for
Quadratic Forms of Linear Processes’ SP&A 1/07
Bhattacharjee Ranjit, Branislav Radak, Robert Russell ‘Volatility Skew and the
Valuation of Mortgages’ Journal of Fixed Income Winter 2006
Bhattacharya Rabi, Mukul Majumdar ‘Random Dynamical Systems:Theory and
Applications’ 2006 Cambridge Press
Biagini Francesca, Tomas Björk ‘On the Timing Option in a Futures Contract’
Mathematical Finance April 2007 - Vol. 17 Issue 2
Biagini Sara, Marco Frittelli ‘The Supermartingale Property of The Optimal Wealth
Process For General Semimartingales’ Finance and Stochastics Volume 11, Number
2, April, 2007
Bick Avi ‘The Law of One Futures Price’ Bachelier Conference 2006
Bidarkota Prasad, Brice Dupoyet ‘The Impact of Fat Tails on Equilibrium Rates of
Return and Term Premia’ Journal of Economic Dynamics and Control March 07
Bion-Nadal Jocelyne ‘Pricing and Risk Measuring In Incomplete Markets and Context
of Uncertainty with Extension to A Dynamic Framework’ Bachelier Conference 2006
Birbil S. Ilker, Gül Gürkan, Ovidiu Listes 'Solving Stochastic Mathematical
Programs with Complementarity Constraints Using Simulation' <stability,
equilibrium constraints> Mathematics of Operations Research Vol 31,#4 Nov. 2006
Blundell Richard, Amanda Gosling, Hidehiko Ichimura, Costas Meghir ‘Changes in the
Distribution of Male and Female Wages Accounting for Employment Composition
Using Bounds’ Econometrica V. 75, #2 March 2007
Bobrowski Adam ‘Functional Analysis for Probability and Stochastic Processes’ 2005
Cambridge Press
Böcker Klaus, Jacob Sprittulla 'Operational VAR:Meaningful Means' RISK 12/06
<severity, finite mean>
Boehmer Ekkehart, Robert Jennings, Li Wei ‘Public Disclosure and Private Decisions:
Equity Market Execution Quality and Order Routing’ Review of Financial Studies,
V. 20, # 2, March 2007
Bollen Nicolas, Robert Whaley ‘Hedge Fund Risk Dynamics: Implications for
Performance Appraisal’ SSRN 3/07
Bollerslev Tim, Hao Zhou ‘Volatility Puzzles: A Simple Framework for Gauging
Return-Volatility Regressions’ March/April 2006 Journal of Econometrics
Bollobas Bela ‘The Art of Mathematics’ 2006 Cambridge Press
Bonti Gabriel, Michael Kalkbrener, Christopher Lotz, Gerhard Stahl ‘Credit Risk
Concentrations Under Stress’ Journal of Credit Risk Volume 2 /Number 3, Fall
2006
Boone Audra, J. Harold Mulherin ‘Do Termination Provisions Truncate the Takeover
Bidding Process?’ Review of Financial Studies, V. 20, # 2,March 2007
Bordag L.A., A. Y. Chmakova ‘Explicit Solutions for a Nonlinear Model of Financial
Derivatives’ Feb 2007 IJT&AF
Bordo Michael, David Wheelock 'Stock Market Booms & Monetary Policy in the
Twentieth Century' FRB St. Louis Review March/April 2007
Borodin Alexei, Grigori Olshanski ‘Markov Processes on Partitions’ Probability
Theory and Related Fields Volume 135, Number 1 / May, 2006
Borovkova Svetlana ‘A Closed Form Approach to Valuation and Hedging of Basket
Options’ Bachelier Conference 2006
Bos Charles, Phillip Gould ‘Dynamic Correlations and Optimal Hedge Ratios’ SSRN
2/07
Boufoussi Brahim, Marco Dozzi, Raby Guerbaz ‘On the Local Time of Multifractional
Brownian Motion’ Stochastics Volume 78 Issue 1, 2006
Boyle Katharyn, Thomas Coleman, Yuying Li ‘Hedging a Portfolio of Derivatives by
Modeling Cost’ January 2003
Boyle Phelim, Feidhilm Boyle 'Derivatives: the Tools that Changed Finance' Risk
Books 2001
Brandimarte Paolo ‘Numerical Methods in Finance & Economics:MATLAB’ 2006 Wiley
Press
Brannan James ‘Differential Equations’ 2006 Wiley Press
Breton Michele, Hatem Ben-Ameur ‘Numerical Methods in Finance’ 2005 Springer Press
Breuer Thomas, Martin Jandacka ‘Temporal Aggregation of GARCH Models: Conditional
Kurtosis and Optimal Frequency’ SSRN 3/07
Briand Philippe, Ying Hu ‘BSDE With Quadratic Growth and Unbounded Terminal Value’
Probability Theory and Related Fields Volume 136, Number 4 December, 2006
Bridger Mark ‘Real Analysis’ 2006 Wiley Press
Briec Walter, Kristiaan Kerstens, Octave Jokung 'Mean-Variance-Skewness Portfolio
Performance Gauging: AGeneral Shortage Function and Dual Approach' Management
Science Jan. 2007
Brigo Damiano, Andrea Pallavicini, Roberto Torresetti ‘Default Correlation, Cluster
Dynamics and Single Names: the GPCL Dynamical Loss Model’ SSRN 1/07
Brody Dorje, Lane Hughston, Andrea Macrina ‘Beyond Hazard Rates: A New Framework
for Credit-Risk Modelling’ Advances in Mathematical Finance (ed. M. Fu, et all)
2007
Broman Erik, Olle Häggström, Jeffrey Steif ‘Refinements of Stochastic Domination’
Probability Theory and Related Fields Volume 136, Number 4 December, 2006
Bronstein Anne Laure, Lane Hughston, Martijn Pistorius, Mihail Zervos
‘Discretionary Stopping of One-Dimensional Itô Diffusions with a Staircase
Reward Function’ J. Applied Probability V. 43,4 12/2006
Bronstein Anne Laure, Mihail Zervos ‘Sequential Entry and Exit Decisions with an
Ergodic Performance Criterion’ Stochastics Volume 78 Issue 2, 2006
Brown Emery ‘Signal Processing & Statistical Challenges in Neuroscience Data
Analysis’ SIAM News March 2007
Brown Gregory, Peter Crabb, David Haushalter ‘Are Firms Successful at Selective
Hedging?’ Journal of Business Vol 79, #6, Nov 2006
Brunner Hermann ‘Collocation Methods for Volterra Integral and Related Functional
Differential Equations’ Cambridge Monogr. Appl. Comput. Math. 15, Cambridge
University Press, Cambridge UK , 2004.
Brunner Hermann, P. J. van der Houwen ‘The Numerical Solution of Volterra
Equations’ CWI Monogr. 3, North–Holland, Amsterdam, 1986
Brunnermeier Markus, Christian Gollier ‘Optimal Beliefs, Asset Prices, and the
Preference for Skewed Returns’ SSRN 2/07
Bruti-Liberati ‘Weak Approximations of Jump Diffusions with Applications in
Finance’ Bachelier Conference 2006
Buckle David ‘Nobel Prize Versus No Bells and Whistles: An Assessment of Two Active
Portfolio Construction Techniques’ Quantitative Finance, Volume 7 Issue 1 2007
Byström Hans ‘Back to the Future: Futures Margins In A Future Credit Default Swap
Index Futures Market’ Journal of Futures Markets Jan 2007
Byun Suk Joon ‘Closed-Form Upper Bounds for the Optimal Exercise Boundary of
American Put’ Bachelier Conference 2006
Cadenillas Abel ‘Stock Options with Unknown Executive Type’ Bachelier Conference
2006
Cai Jun ‘How Dangerous It Will Be If An Insurer Invests Its Surplus Into A Stock
Market’ Bachelier Conference 2006
Calvet Laurent, Adlai Fisher ‘Multifrequency Jump-Diffusions: An Equilibrium
Approach’ NBER Working Paper No. W12797 2007
Calvet Laurent, Adlai Fisher, Samuel Thompson ‘Volatility Comovement: A
Multifrequency Approach’ March/April 2006 Journal of Econometrics
Campanale Claudio, Rui Luís de Castro, Gian Luca Clementi ‘Asset Pricing in a
General Equilibrium Production Economy With Chew-Dekel Risk Preferences’ SSRN
3/07
Campolieti Giuseppe, Roman Makarov ‘Pricing Path-Dependent Options on State
Dependent Volatility Models with a Bessel Bridge’ Feb 2007 IJT&AF
Canchi Devendra, Sachin Mehta ‘Estimating the Value of Structuring in Segmented
Markets Case of Collateralized Mortgage Obligations’ SSRN 3/07
Cao Yanzhao ‘On Convergence Rate of Wiener-Ito Expansion for Generalized Random
Variables’ Stochastics Volume 78 Issue 3, 2006
Capelle-Blancard Gunther, Mo Chaudhury ‘Spider Options and the S&P 500 Index
Options Market’ SSRN 2/07
Capinski Marek, P.E. Kopp ‘Measure, Integral and Probability’ 2004 Springer Press
Carmona Rene, Erhan Cinlar, et al ‘Paris-Princeton Lectures on Mathematical Finance
2002’ 2003 Springer Press
Carmona Rene, Erhan Cinlar, et al ‘Paris-Princeton Lectures on Mathematical Finance
2003’ 2003 Springer Press
Carr Peter, Ali Hirsa ‘Forward Evolution Equations for Knock-Out Options’ Advances
in Mathematical Finance (ed. M. Fu, et all) 2007
Carr Peter, Apollo Hogan, Harvey Stein ‘Time for a Change: the Variance Gamma Model
and Option Pricing’ SSRN 1/07
Carriero Andrea, Carlo Favero, Iryna Kaminska ‘Financial Factors, Macroeconomic
Information and the Expectations Theory of the Term Structure of Interest Rates’
Journal of Econometrics
Cartea Álvaro ‘Dynamic Hedging of Financial Instruments When the Underlying Follows
a Non-Gaussian Process’ <non-local information, P&L, Carr/Wu> Birkbeck U. London
2005
Cartier Pierre, Cecile DeWitt-Morette ‘Functional Integration’ 2006 Cambridge Press
Castagna Antonio, Fabio Mercurio 'The Vanna-Volga Method for Implied Volatilities'
RISK Jan 07
Ceci Claudia ‘Risk Minimizing Hedging for a Partially Observed High Frequency Data
Model’ Stochastics Volume 78 Issue 1, 2006
Centanni Silvia, Marco Minozzo ‘A Monte Carlo Approach to Filtering for a Class of
Marked Doubly Stochastic Poisson Processes’ JASA 12/06 <Cox Process, Monte
Carlo EM, Reversible-jump Markov Chain Monte Carlo, MCMC, ultra-high frequency
data>
Cerny Ales ‘Optimal Continuous-Time Hedging with Leptokurtic Returns’ Bachelier
Conference 2006
Cerný Aleš ‘Optimal Continuous-Time Hedging With Leptokurtic Returns’ Mathematical
Finance April 2007 - Vol. 17 Issue 2
Cerný Jirí 'Moments and Distribution of the Local Time of a Two-Dimensional Random
Walk' SP&A 2/07
Cespedes Juan Carlos Garcia, Juan Antonio De Juan Herrero, Alex Kreinin, Dan Rosen
‘A Simple Multifactor “Factor Adjustment” for the Treatment of Credit Capital
Diversification’ Journal of Credit Risk Volume 2 /Number 3, Fall 2006
Çetin Umut ‘An Equilibrium Model for Default Risk (A Detailed Summary of Results
Without Proofs)’ Bachelier Conference 2006
Chae Joon, Cheol-Won Yang ‘Failure of Asset Pricing Models: Transaction Cost,
Irrationality, or Missing Factors’ SSRN Jan 07
Chambers Marcus, J. Roderick McCrorie ‘Frequency Domain Estimation of Temporally
Aggregated Gaussian Cointegrated Systems’ 1/07 Journal of Econometrics
Chance Don ‘A Synthesis of Binomial Option Pricing Models for Lognormally
Distributed Assets’ SSRN 3/07
Chang Geunhyuk, Jangkoo Kang, Hwa-Sung Kim, In Joon Kim ‘An Efficient Approximation
Method for American Exotic Options’ Journal of Futures Markets Jan 2007
Chang Lo-Bin, Ken Palmer ‘Smooth Convergence in the Binomial Model’ Finance and
Stochastic Jan 2007, Vol 11 #1
Chapman S.J. ‘The Kelly Criterion for Spread Bets’ <gambling; strategy; optimal
bankruptcy; expectation>IMA J. Applied Math. Volume 72, Number 1, February 2007
Cheang Gerald ‘American-Style Options on Two Assets Under Jump-Diffusion Processes’
Chen An ‘Loss Analysis of A Life Insurance Company Applying Discrete-Time
Riskminimizing Hedging Strategies’ Bachelier Conference 2006
Chen Long, David Lesmond, Jason Wei ‘Corporate Yield Spreads and Bond
Liquidity’ Journal of Finance Volume 62: Issue 1, February 2007
Chen Nan, Paul Glasserman ‘Additive and Multiplicative Duals for American Option
Pricing’ Finance and Stochastics Volume 11, Number 2, April, 2007 <Haugh and
Kogan, variance reduction>
Chen Nan, Paul Glasserman 'Malliavin Greeks without Malliavin Calculus' 7/06
Chen Ren-Raw, Frank Fabozzi, Ging-Ging Pan, Ronald Sverdlove ‘Sources of Credit
Risk: Evidence from Credit Default Swaps’ Journal of Fixed Income Winter 2006
Chen Te-Feng, Ming-In Lin, Kehluh Wang ‘The Information Content of the Implied
Convenience Yield: Using American Call Option Based Structural Model’ SSRN Jan
07
Chen Xiaohong, Yanqin Fan ‘Estimation and Model Selection of Semiparametric Copula-
Based Multivariate Dynamic Models Under Copula Misspecification’ Nov/Dec 2006
Chen Xinliang ‘Static Super-Replicating Strategies for Exotic Options’ Bachelier
Conference 2006
Chen Zhiyong, Paul Glasserman 'Fast Pricing of Basket Default Swaps' 9/06
Cherchye Laurens, Bram De Rock, Frederic Vermeulen ‘The Collective Model of
Household Consumption: A Nonparametric Characterization’ Econometrica V. 75, #2
March 2007
Cheridito Patrick, Damir Filipovic, Robert Kimmel ‘A Note on the Dai-Singleton
Canonical Representation of Affine Term Structure Models’ Oct 2006
Cherny Alexander ‘Pricing Optimality and Equilibrium Based On Coherent Risk
Measures’ Bachelier Conference 2006
Cherny Alexander, Pavel Grigoriev ‘Dilatation Monotone Risk Measures Are Law
Invariant’ Finance and Stochastics Volume 11, Number 2, April, 2007
Cherubini Umberto ‘Accounting Fraud and the Pricing of Corporate Liabilities:
Structural Models with Garbling’ Bachelier Conference 2006
Chiarella Carl ‘Pricing American Options under Stochastic Volatility’ Bachelier
Conference 2006
Chiarella Carl, Chih-Ying Hsiao ‘The Impact of Short-Sale Constraints on Asset
Allocation Strategies via the Backward Markov Chain Approximation Method’ Sept.
2006 Computational Economics
Chiarella Carl, Christina Nikitopoulos Sklibosios, Erik Schlögl ‘A Markovian
Defaultable Term Structure Model with State Dependent Volatilities’ Feb 2007
IJT&AF
Chib Siddhartha, Federico Nardari, Neil Shephard ‘Analysis of High Dimensional
Multivariate Stochastic Volatility Models’ Oct 2006 Journal of Econometrics
<Bayesian inference; Markov chain Monte Carlo, MCMC; Marginal likelihood;
Metropolis-Hastings algorithm; Particle filter; Simulation; State space model;
Stochastic jumps; Student-t distribution; Volatility; Value-at-Risk; Risk
measurement; Forecasting; Time-varying correlations>
Chollete Loran, Randi Naes, Johannes Skjeltorp ‘Pricing Implications of Shared
Variance in Liquidity Measures’ SSRN 3/07
Choulli Tahir ‘Minimal Hellinger Martingale Measure of Order Q’ Bachelier
Conference 2006
Chourdakis Kyriakos ‘Pricing of Interest Rate Sensitive Instruments under Markovian
Interest Rate Models’ 2007
Chourdakis Kyriakos ‘Regime Switching Lévy Models: Finite Distributions and Option
Pricing’ Bachelier Conference 2006
Christie Steve ‘Beware the Sharpe Ratio’ SSRN 1/07
Christoffersen Peter, Redouane Elkamhi, Bruno Feunou, Kris Jacobs ‘Option Valuation
with Conditional Heteroskedasticity and Non-Normality’ SSRN 2/07
Christoffersen Peter, Steve Heston, Kris Jacobs ‘Option Valuation with Conditional
Skewness’ March/April 2006 Journal of Econometrics
Christoffersen Peter, Steve Heston, Kris Jacobs ‘The Shape and Term Structure of
the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work so
Well’ SSRN 2/07
Chung San-Lin, Hsieh-Chung Chang ‘Generalized Analytical Upper Bounds for American
Option Prices’ stochastic interest rates, stochastic volatility, and jumps>
Journal of Financial and Quantitative Analysis Vol. 42, No. 1, March 2007
Cipra Barry ‘IMA Hosts 2006 Blackwell-Tapia Conference’ <Spanish Flu Pandemic> SIAM
News Jan/Feb 2007
Cipra Barry ‘Invasion of the Shapeshifters’ < topology> SIAM News March 2007
Cipra Barry ‘The Long and the Short of It:Queueing Theory Goes Dynamic’ SIAM News
Jan/Feb 2007
Clark Todd, Kenneth West ‘Using Out-Of-Sample Mean Squared Prediction Errors to
Test the Martingale Difference Hypothesis’ Nov/Dec 2006 Journal of Econometrics
Cleary Sean, Paul Povel, Michael Raith ‘The U-Shaped Investment Curve: Theory and
Evidence’ Journal of Financial and Quantitative Analysis Vol. 42, No. 1, March
2007
Cochrane John ‘A Cross-Sectional Test of a Production-Based Asset Pricing Model’
NBER Working Paper No. W4025 SSRN 1/07
Coeurdacier Nicolas, Robert Kollmann, Philippe Martin ‘Return Volatility and
International Portfolio Choice’ SSRN 3/07
Cojocaru Alina, M. Murty ‘An Introduction to Sieve Methods & Their Applications’
<Goldbach’s conjecture> 2006 Cambridge Press
Coleman Thomas, Dmitriy Levchenkov, Yuying Li ‘Discrete Hedging of American Options
using Local Risk Minimization’ 6/06
Coleman Thomas, Yuying Li, Jay Henniger ‘Minimizing Tracking Error While
Restricting the Number of Assets’ May 2006
Coleman Thomas, Yuying Li, Maria Cristina Patron ‘Total Risk Minimization using
Monte-Carlo Simulations’ April 2005
Coleman Thomas, Yuying Li, Maria-Cristina Patron ‘Discrete Hedging under Piecewise
linear Risk Minimization’ December 2002
Colino Jesus ‘Weak Convergence in Credit Risk’ Bachelier Conference 2006
Collevecchio Andrea ‘Limit Theorems for Reinforced Random Walks on Certain Trees’
Probability Theory and Related Fields Volume 136, Number 1 / September, 2006
Cont Rama, Jean-Philippe Bouchaud, Marc Potters 'Scaling in Financial Data:Stable
Laws & Beyond' in Scaling Invariance and Beyond Springer 1997
Corcuera José Manuel ‘The Martingale Method In A Lévy Market’ Bachelier Conference
2006
Cornuejols Gerard, Reha Tutuncu 'Optimization Methods in Finance (Mathematics,
Finance and Risk)' Cambridge Press 2007
Corradi Valentina, Norman Swanson ‘Evaluation of Dynamic Stochastic General
Equilibrium Models Based On Distributional Comparison of Simulated and
Historical Data’ 2/07 Journal of Econometrics
Cox D.R. ‘Principles of Statistical Inference’ 2006 Cambridge Press
Cremers Martijn, David Weinbaum ‘Deviations from Put-Call Parity and Stock Returns’
SSRN 3/07
Crépey Stéphane ‘Valuation and Hedging of Convertible Bonds In the Standard Market
Model’ Bachelier Conference 2006
Cretarola Alessandra ‘Quadratic Hedging Methods for Defaultable Claims’ Bachelier
Conference 2006
Cuñat Vicente ‘Trade Credit: Suppliers as Debt Collectors and Insurance Providers’
Review of Financial Studies, V. 20, # 2, March 2007
d’Addona Stefano, Axel Kind ‘International Stock–Bond Correlations In A Simple
Affine Asset Pricing Model’ Oct 2006 Journal of Banking and Finance
Dagpunar J.S. ‘Simulation and Monte Carlo:with Applications in Finance & MCMC’ 2007
Wiley Press
Daníelsson Jón, Jean-Pierre Zigrand ‘On Time-Scaling of Risk and the Square-Root-
Of-Time Rule’ Oct 2006 Journal of Banking and Finance
Das Sanjiv, Darrell Duffie, Nikunj Kapadia, Leandro Saita ‘Common Failings: How
Corporate Defaults Are Correlated’ Journal of Finance Volume 62: Issue 1,
February 2007
Dassios Angelos ‘Parisian Barrier Options and Ruin Probabilities’ Bachelier
Conference 2006
Davis Mark, Vicente Mataix-Pastor ‘Negative Libor Rates in the Swap Market Model’
Finance and Stochastics Volume 11, Number 2, April, 2007
Davison A.C., Richard Smith ‘Models for Exceedences of High Thresholds’ Journal of
the Royal Statistical Society’ 1990
De Goeij Peter, Wessel Marquering ‘Macroeconomic Announcements and Asymmetric
Volatility in Bond Returns’ Oct 2006 Journal of Banking and Finance
de Haan Laurens, Ana Ferreira ‘Extreme Value Theory:An Introduction’ 2006 Springer
De Vallière Dimitri,Yuri Kabanov, Christophe Stricker ‘No-Arbitrage Criteria for
Financial Markets With Transaction Costs and Incomplete Information’ Finance and
Stochastics Volume 11, Number 2, April, 2007
Décamps Jean-Paul, Stéphane Villeneuve ‘Optimal Dividend Policy and Growth Option’
Finance and Stochastic Jan 2007, Vol 11 #1
Dekel Eddie, Barton L Lipman, Aldo Rustichini, Todd Sarver ‘Representing
Preferences with a Unique Subjective State Space: A Corrigendum’ Econometrica V.
75, #2 March 2007
Delong Gayle, Robert Deyong ‘Learning By Observing: Information Spillovers in the
Execution and Valuation of Commercial Bank M&As’ Journal of Finance Volume 62:
Issue 1, February 2007
DeMarzo Peter, Michael Fishman ‘Agency and Optimal Investment Dynamics’ Review of
Financial Studies, Volume 20, Issue 1, January 2007
Demchuk Andriy, Rajna Gibson ‘Stock Market Performance and the Term Structure of
Credit Spreads’ <two factor default model> JF&QA 12/06
Den Iseger P. 'Numerical Transform Inversion Using Gaussian Quadrature'
Probability in the Eng. & Inform. Sciences 20(1) 2006
Derrien Francois, Ambrus Kecskés ‘The Initial Public Offerings of Listed Firms’
Journal of Finance Volume 62: Issue 1, February 2007
Detemple Jérôme ‘Dynamic Asset Allocation: A Portfolio Decomposition Formula and
Applications’ Bachelier Conference 2006
Detemple Jérôme, René Garcia, Marcel Rindisbacher ‘Asymptotic Properties of Monte
Carlo Estimators of Diffusion Processes’ Sept 2006 Journal of Econometrics
<Diffusion processes; Simulation-based estimation; Doss transformation,
Mihlstein scheme, Euler scheme>
Deutsch Hans-Peter ‘Computational Methods in the Pricing and Risk Management of
Modern Financial Derivatives’ Comp. Physics Com. 121-122 (1999)
Deutsch Hans-Peter ‘Portfolio Theory with a Drift’ Wilmott (September 2004)
Di Giacinto Marina ‘Stochastic Consumption Investment Problem with Labor Income: An
Asymptotic Expansion Approach’ Bachelier Conference 2006
Di Matteo Tiziana ‘Multi-Scaling in Finance’ Quantitative Finance, Volume 7 Issue 1
2007 <generalize Hurst exponent>
Diavatopoulos Dean, James Doran, David Peterson ‘Idiosyncratic Implied Volatility
and the Cross-Section of Stock Returns’ 2007
Diavatopoulos Dean, James Doran, David Peterson ‘Implied Idiosyncratic Volatility
and the Cross-Section of Stock Returns’ SSRN 1/07
Diebold Francis X., Glenn Rudebusch, S. BoragAn Aruoba ‘The Macroeconomy and the
Yield Curve: A Dynamic Latent Factor Approach’ March/April 2006 Journal of
Econometrics
Dikos George ‘Option Implied PDFs':A Moment Problem Approach’ Bachelier Conference
2006
Dine Michael ‘Supersymmetry & String Theory’ 2006 Cambridge Press
Dittmann Ingolf, Ernst Maug ‘Lower Salaries and No Options? On the Optimal
Structure of Executive Pay’ Journal of Finance Volume 62: Issue 1, February 2007
Dittmar Amy, Anjan Thakor ‘Why Do Firms Issue Equity?’ Journal of Finance Volume
62: Issue 1, February 2007
Dokuchaev Nikolai ‘Mean-Revering Discrete Time Market Models’ SSRN Jan 07
Dong Gang ‘Improving Risk-Adjusted Returns of Fixed-Portfolios with VIX
Derivatives’ SSRN 1/07
Doran James, Ehud Ronn ‘The Bias In Black-Scholes/Black Implied Volatility: An
Analysis of Equity and Energy Markets’ 12/05 Review of Derivatives Research
Dotsis George, Dimitris Psychoyios, George Skiadopoulos ‘An Empirical Comparison of
Continuous-Time Models of Implied Volatility Indices’ tobe Journal of Banking
and Finance 2007
Douady Raphael ‘The Nonlinearities of Hedge Fund Returns’ Bachelier Conference 2006
Dowd Kevin ‘Using Order Statistics to Estimate Confidence Intervals for
Probabilistic Risk Measures’ Journal of Derivatives Winter 2006
Downing Chris, Stephen Oliner ‘The Term Structure of Commercial Paper Rates’
Journal of Financial Economics 1/07
Dubner H., J. Abate 'Numerical Inversion of Laplace Transforms by Relating them to
the Finite Fourier Cosine Transform' J. ACM 15(1) 1998
Duffie Darrel, Rui Kan ‘Universal State Prices and Asymmetric Information’ Journal
of Mathematical Economics, 2002
Duffie Darrell, Leandro Saita, Ke Wang 'Multi-period Corporate Default Prediction
with Stochastic Covariates' Journal of Financial Economics 3/07
Dupire Bruno ‘Arbitrage Bounds for Volatility Derivatives’ Bachelier Conference
2006
Durand Robert, Dominic Lim, J. Kenton Zumwalt ‘Fear and the Fama-French Factors’
SSRN 2/07
Durham Garland ‘Monte Carlo Methods for Estimating, Smoothing, and Filtering One-
and Two-Factor Stochastic Volatility Models’ July 2006 Journal of Econometrics
Ebenfeld Stefan, Damaris Hilzinger ‘Approximation of Continuous Monitoring with
Discrete Monitoring Applied to Down—and—Out Options’ Willmott (July 2006)
Eberlein Ernst ‘Lévy Driven Market Models’ Bachelier Conference 2006
Eberlein Ernst, Wolfgang Kluge ‘Calibration of Lévy Term Structure Models’ Advances
Eckner Andreas ‘A Multivariate GARCH Model with Volatility Spill-Over and Time-
Varying Correlations’ SSRN 2/07
Edelsbrunner Herbert ‘Geometry & Topology for Mesh Generation’ 2006 Cambridge Press
Ederington Louis, Wei Guan ‘Volatility Forecasts for Option Valuation’ SSRN 1/07
Efthimiou C.J., M.D. Johnson ‘Domino Waves’ SIAM Review 3/07 V. 49 #1
Egami Masahiko ‘A Direct Method for Solving Optimal Switching Problems of One-
Dimensional Diffusions’ Bachelier Conference 2006
Egelkraut Thorsten, Philip Garcia, Bruce Sherrick ‘The Term Structure of Implied
Forward Volatility’ American Journal of Agricultural Economics, Vol. 89, Issue
1, pp. 1-11, February 2007
Eggermont P. ‘Stability and Robustness of Collocation Methods for Abel-Type
Integral Equations’ Numer. Math., 45 (1984), Pp. 431–445.
Egorov Alexei, Yongmiao Hong, Haitao Li ‘Validating Forecasts of the Joint
Probability Density of Bond Yields: Can Affine Models Beat Random Walk?’ Nov/Dec
2006 Journal of Econometrics
Ehlers Philippe ‘Dynamic Credit Portfolio Derivatives Pricing’ Bachelier Conference
2006
Ehlers Philippe, Philipp Schönbucher ‘Pricing Interest Rate-Sensitive Credit
Portfolio Derivatives’ SSRN Jan 07
Ehrlichman Samuel, Shane Henderson 'Adaptive Control Variates for Pricing Multi-
Dimensional American Options' 6/06 <Options-American>
Ekern Steinar ‘Simplifying and Generalizing Some Efficient Frontier and CAPM
Related Results’ SSRN 2/07
Ekström Erik ‘Properties of Option Prices In Models with Jumps’ Bachelier
Conference 2006
El-Bachir Naoufel ‘Options Pricing with A Jump Diffusion Intensity Model’ Bachelier
Conference 2006
Elder John, Hyun Jin ‘Long Memory in Commodity Futures Volatility: A Wavelet
Perspective’ Journal of Futures Markets May 2007
Elerian Ola, Siddhartha Chib, Neil Shephard ‘Likelihood Inference for Discretely
Observed Non-Linear Diffusions’ 2000 Oxford Financial Research Center
Elhouar Mikael ‘Heath-Jarrow-Morton Models with Regime-Switching Volatility’
Elie Romuald ‘Optimal Greek Weights By Kernel Estimation’ Bachelier Conference 2006
Elliott Robert ‘Ito Formulas for Fractional Brownian Motions’ Bachelier Conference
2006
Elliott Robert, Hong Miao, Jin Yu ‘General Equilibrium Asset Pricing Under Regime
Switching’ SSRN 3/07
Elliott Robert, John van der Hoek ‘Ito Formulas for Fractional Brownian Motion’
Advances in Mathematical Finance (ed. M. Fu, et all) 2007
Embrechts Paul ‘Some Issues Underlying the AMA Modeling of Operational Risk’
Epstein David, Paul Wilmott ‘The Yield Envelope: Price Ranges For Fixed Income
Products’ 1999 Oxford Financial Research Center
Epstein Larry, Angelo Melino ‘A Revealed Preference Analysis of Asset Pricing Under
Recursive Utility’ NBER Working Paper No. W4524 SSRN 1/07
Ermentroout Bard, David Pinto ‘Neurophysiology & Waves’ SIAM News March 2007
Escanciano J. Carlos, Carlos Velasco ‘Generalized Spectral Tests for the Martingale
Difference Hypothesis’ Sept 2006 Journal of Econometrics
Evans David, A.R. Ahmad ‘The Numerical Solution of Multidimensional Partial
Differential Equations By the Explicit Alternating Direction (Ead) Method’
<Explicit Alternating Direction Method, 2/3 dimensions> International Journal of
Computer Mathematics 1995, vol. 57, no1-2
Ewald Christian-Olivier, Klaus Reiner Schenk-Hoppé, Zhaojun Yang ‘Model and Their
Relation to Locally R-Minimizing and Delta Hedges’ SSRN Jan 07
Ewald Christian-Olivier, Rolf Poulsen, Klaus Reiner Schenk-Hoppé ‘Stochastic
Volatility: Risk Minimization and Model Risk’ SSRN 2/07
Ewlad Christian-Olivier, Zhaojun Yang, Yajun Xiao ‘Implied Volatility from Asian
Options Via Monte Carlo Methods’ SSRN Jan 07
Faff Robert, Philip Gray ‘On the Estimation and Comparison of Short-Rate Models
Using the Generalised Method of Moments’ Nov 2006 Journal of Banking and Finance
Fahrner Ingo ‘Modern Logarithms for the Heston Model’ Feb 2007 IJT&AF ,
<volatility><Lewis-Lipton formula, branch-cut complex logarithm not needed> wp
Jan 2007
Fajardo Jose ‘Duality and Derivative Pricing with Time-Changed Lévy Processes’
Fan G., G.H. Liu 'Fast Fourier Transform for Discontinuous Functions' IEEE Trans.
Antennas & Propagation 52(2) 2004
Fan Jianqing, Loriano Mancini ‘Option Pricing with Aggregation of Physical Models
and Nonparametric Statistical Learning’ SSRN 2/07
Fan Jianqing, Qiwei Yao ‘Nonlinear Time Series’ 2003 Springer Press
Fan Wei ‘On the Relationship Between Call Price and the Probability of the Call
Ending in the Money’ SSRN 2/07
Fang Sihai ‘The Risk-Neutral Hedging Strategy Based on Market-Index, Index-Futures
and Index-Options—a Case Study’ SSRN 2/07
Fathi Albert, J.-C. Yoccoz ‘Dynamical Systems’ 2006 Cambridge Press
Fehr Ernst, Alexander Klein, Klaus M Schmidt ‘Fairness and Contract Design’
Feller M.N. ‘The Lévy Laplacian’ 2006 Cambridge Press
Fernández-Rodríguez Fernando ‘Interest Rate Term Structure Modeling Using Free-Knot
Splines’ Journal of Business Vol 79, #6, Nov 2006
Ferris Stephen, Tomas Jandik, Robert Lawless, Anil Makhija ‘Derivative Lawsuits as
a Corporate Governance Mechanism: Empirical Evidence on Board Changes
Surrounding Filings’ Journal of Financial and Quantitative Analysis Vol. 42, No.
1, March 2007
Fink Jason, Michael Albert ‘Adaptive Mesh Modeling and Barrier Option Pricing Under
a Jump-Diffusion Process’ SSRN 2/07
Firpo Sergio ‘Efficient Semiparametric Estimation of Quantile Treatment Effects’
Firth Neil, Jeff Dewynne, S. Chapman ‘An Asymptotic Analysis of an American Call
Option with Small Volatility’ 2004 Oxford Financial Research Center
Fischer Tom ‘Consumption Processes and Positively Homogeneous Projection
Properties’ Bachelier Conference 2006
Fonseca Irene, Giovanni Leoni ‘Modern Methods in Calculus of Variations:in Lp
Spaces’ 2007 Springer
Fornari Fabio ‘Compensation for Volatility Risk in Interest Rate Derivatives’ SSRN
Jan 07
Frahm Gabriel ‘Applicability of Random Matrix Theory Given the Stylized Facts of
Empirical Finance’ Bachelier Conference 2006
Frey Ruediger ‘Portfolio Credit Risk Under Incomplete Information: A Nonlinear
Filtering Approach’ Bachelier Conference 2006
Fridson Martin, Karen Sterling ‘Fallen Angels: A Separate and Superior Asset Class’
Journal of Fixed Income Winter 2006
Friedmann Ralph, Walter Sanddorf-Köhle ‘A Conditional Distribution Model for
Limited Stock Index Returns’ Journal of Economic Dynamics and Control March 07
Frijns Bart, Thorsten Lehnert, Remco Zwinkels ‘Behavioral Heterogeneity in the
Option Market’ SSRN 3/07
Frittelli Marco, Sara Biagini, Giacomo Scandolo ‘Duality in Mathematical Finance’
2007 Springer Press
Frittelli Marco, Wolfgang Runggaldier ‘Stochastics Methods in Finance’ 2004
Springer Press
Fu Michael ‘Variance-Gamma and Monte Carlo ’ Advances in Mathematical Finance (ed.
M. Fu, et all) 2007
Fu Michael, Robert Jarrow, Ju-Yi Yen, Robert Elliott ‘Advances in Mathematical
Finance’ Birkhauser 2007
Funaki T., Y. Hariya, F. Hirsch, Marc Yor ‘On Some Fourier Aspects of the
Construction of Certain Wiener Integrals’ SP&A 1/07
Fusai Gianluca, Andrea Roncoroni ‘Implementing Models in Quantitative
Finance:Methods and Cases’ 2006 Springer Press
Fusai Gianluca, Maria Cristina Recchioni ‘Analysis of Quadrature Methods for
Pricing Discrete Barrier Options’ Journal of Economic Dynamics and Control March
07
Galluccio Stefano ‘Constructive Theory of General Market Models for IR
Derivatives:Graph Theory Admissible Sets of Swap Rates and Smile Modeling’
Gapeev Pavel ‘Pricing and Hedging Perpetual American Options In Jump-Diffusion
Models:Barrier Lookback Switching and Credit Options’ Bachelier Conference 2006
Garg Rahul, Sanjiv Kappor 'Auction Algorithms for Market Equilibrium' Mathematics
of Operations Research Vol 31,#4 Nov. 2006
Garlappi Lorenzo, Raman Uppal, Tan Wang ‘Portfolio Selection with Parameter and
Model Uncertainty: A Multi-Prior Approach’ Review of Financial Studies, Volume
20, Issue 1, January 2007
Gaul Juergen, Erik Theissen ‘A Partially Linear Approach to Modelling the Dynamics
of Spot and Futures Prices’ SSRN 2/07
Geman Hélyette ‘Mean Reversion versus Random Walk in Oil and Natural Gas Prices’
Gerber Anke, Thorsten Hens ‘Modelling Alpha-Opportunities within the CAPM’ SSRN
3/07
Geske Robert, Yi Zhou ‘Predicting the Volatility of the S&P 500 Equity Index’ SSRN
3/07
Geske Robert, Yi Zhou ‘Pricing S&P 500 Index Put Options: Smiles, Skews, and
Leverage’ SSRN 3/07
Geske Robert, Yi Zhou ‘The Effects of Leverage on the Pricing of S&P 500 Index Call
Options’ SSRN 1/07
Giaccotto Carmelo, Gerson Goldberg, Shantaram Hegde ‘The Value of Embedded Real
Options: Evidence From Consumer Automobile Lease Contracts’ Journal of Finance
Volume 62: Issue 1, February 2007
Giamouridis Daniel, Ioannis Vrontos ‘Hedge Fund Portfolio Construction: A
Comparison of Static and Dynamic Approaches’ Jan 2007 Journal of Banking and
Finance
Giesecke Kay, Pascal Tomecek, Xiaowei Ding ‘Time-Changed Birth Processes and Multi-
Name Credit’ SSRN 1/07
Gikhman Ilya ‘Fixed-Income Instruments Pricing’ SSRN 2/07
Giles Michael, Niles Pierce ‘An Introduction to the Adjoint Approach’ Flow,
Turbulence & Control 65, 2000
Giot Pierre, Sébastien Laurent ‘The Information Content of Implied Volatility in
Light of the Jump/Continuous Decomposition of Realized Volatility’ Journal of
Futures Markets April 2007
Glasserman Paul, Jesus Ruiz-Mata ‘Computing the Credit Loss Distribution in the
Gaussian Copula Model: A Comparison of Methods’ Journal of Credit Risk Vol.2, #4
Winter 2006/2007
Glasserman Paul, Sandeep Juneja 'Uniformly Efficient Importance Sampling for the
Tail Distribution of Sums of Random Variables' 12/06
Glasserman Paul, Sira Suchintabandid 'Correlation Expansion for CDO Pricing'
Journal of Banking and Finance to appear 2007 <normal copula, factor models>
Golden Kevin, Stylianos G. Paganopoulos, Peter Taylor ‘Mean-Variance Spanning and
OLS Regression Portfolio Return Models’ SSRN 2/07
Goldstein Daniel, Nassim Taleb ‘We Don't Quite Know What We are Talking About when
We Talk About Volatility’ SSRN 3/07
Goldstein Michael, Edith Hotchkiss, Erik Sirri ‘Transparency and Liquidity: A
Controlled Experiment on Corporate Bonds’ Review of Financial Studies, V. 20, #
2, March 2007
Gourieroux Christian, Alain Monfort ‘Econometric Specification of Stochastic
Discount Factor Models’ 2/07 Journal of Econometrics
Gradojevic Nikola ‘Non-Linear, Hybrid Exchange Rate Modeling and Trading
Profitability in the Foreign Exchange Market’ Journal of Economic Dynamics and
Control Feb. 07
Granger Clive, Mark Machina ‘Structural Attribution of Observed Volatility
Clustering’ Nov/Dec 2006 Journal of Econometrics
Grasselli Martino ‘Multidimensional Stochastic Volatility Models’ Bachelier
Conference 2006
Grasselli Matheus ‘Indifference Price for Unbounded Semimartingales: An Orlicz
Space Approach’ Bachelier Conference 2006
Graziano Giuseppe Di ‘The Bayesian Agent and the Co-Movement of Security Prices’
Green Richard, Burton Hollifield, Norman Schürhoff ‘Financial Intermediation and
the Costs of Trading in an Opaque Market’ Review of Financial Studies, V. 20, #
2, March 2007
Greenspan Donald ‘Numerical Solution of Ordinary Differential Equations’ 2006 Wiley
Press
Griewank Andreas ‘Evaluating Derivatives:Principles & Techniques of Algorithmic
Differentiation’ SIAM 2000
Griffin James, Mark ‘Inference with Non-Gaussian Ornstein–Uhlenbeck Processes for
Stochastic Volatility’ Oct 2006 Journal of Econometrics
Grigg Olivia, David Spiegelhalter ‘Simple Risk-Adjusted Exponentially Weighted
Moving Average’ JASA 3/07
Grigoriev Pavel ‘Dilatation Monotonous and Comonotonic Additive Risk Measures
Represented As Choquet Integral’ Bachelier Conference 2006
Grishchenko Olesya, Marco Rossi ‘Incomplete Markets and Asset Prices: How Well Can
We Aggregate?’ SSRN 3/07
Groth Martin ‘The Minimal Entropy Martingale Measure and Numerical Option Pricing
for the Barndorff-Nielsen & Shephard Stochastic Volatility Model’ Bachelier
Conference 2006
Guasoni Paolo ‘Continuous Processes with Full Support Are Arbitrage-Free Under
Transaction Costs’ Bachelier Conference 2006
Gubner John ‘Probability and Random Processes for Electrical and Computer
Engineers’ 2006 Cambridge Press
Guidolin Massimo, Allan Timmermann ‘Term Structure of Risk Under Alternative
Econometric Specifications’ March/April 2006 Journal of Econometrics
Gulisashvili Archil, Elias M. Stein Asymptotic Behavior of the Distribution of the
Stock Price In Models with Stochastic Volatility: the Hull–White Model Oct. 06
Comptes Rendus Mathematique
Guo Chen ‘Dynamic Bond Pricing as Boundary Value Problem and Gaussian Solution with
Predictable Risk Free Return’ SSRN 3/07
Guo Xin ‘Intensity Process and Compensator: A New Computation Approach Via Jeulin-
Yor ‘Formula/Generalized Lando's Formula: A Filtration Expansion’ Bachelier
Conference 2006
Guvenen Fatih, Hanno Lustig ‘Consumption Based Asset Pricing Models: Empirical
Performance’ SSRN 3/07
Guvenen Fatih, Hanno Lustig ‘Consumption Based Asset Pricing Models: Theory’ SSRN
3/07
Gyöngy István, Teresa Martínez ‘On Numerical Solution of Stochastic Partial
Differential Equations of Elliptic Type’ Stochastics Volume 78 Issue 4, 2006
Habib Michel, Pierre Mella-Barral ‘The Role of Knowhow Acquisition in the Formation
and Duration of Joint Ventures’ Review of Financial Studies, Volume 20, Issue 1,
January 2007
Hairer E., C. Lubich, M. Schlichte ‘Fast Numerical Solution of Weakly Singular
Volterra Integral Equations’ J. Comput. Appl. Math., 23 (1988), Pp. 87–98.
Haldrup Niels, Morten Ørregaard Nielsen ‘A Regime Switching Long Memory Model for
Electricity Prices’ Nov/Dec 2006 Journal of Econometrics
Halevy Yoram ‘Ellsberg Revisited: An Experimental Study’ Econometrica V. 75, #2
March 2007
Hameed Allaudeen, Yuanto Kusnadi ‘Stock Return Cross-Autocorrelations and Market
Conditions in Japan’ Journal of Business Vol 79, #6, Nov 2006
Hamerle Alfred, Daniel Rösch ‘Parameterizing Credit Risk Models’ Journal of Credit
Risk Vol.2, #4 Winter 2006/2007
Hamerle Alfred, Michael Knapp, Nicole Wildenauer 'Default and Recovery
Correlations--A Dynamic Econometric Approach' <LGD, loss given defaults> RISK
Jan 07
Hanke Martin ‘Credit Risk, Capital Structure & the Pricing of Equity Options’ 2003
Springer Press
Hanqing Jin ‘Behavioral Portfolio Selection in Continuous Time Market’ Bachelier
Conference 2006
Hansen Peter Reinhard, Asger Lunde ‘Consistent Ranking of Volatility Models’
March/April 2006 Journal of Econometrics
Hansen Peter, Asger Lunde ‘An Unbiased Measure of Realized Variance’ technical
report, Brown University, Dept. of Economics. 2004
Hansen Peter, Asger Lunde ‘Realized Variance and IID Market Microstructure Noise’
technical report, Brown University, Dept. of Economics. 2004
Hanson Floyd ‘American Put Option Pricing for Stochastic-Volatility Jump-Diffusion
Models’ Bachelier Conference 2006
Hanzon Bernard ‘An Arbitrage Analysis for Exchange Rates with Bid-Ask Spread /An
Algebraic Optimization Approach To the Estimation of Zero-Beta Pricing Models’
Harmantzis Fotios ‘Pricing Corporate Bonds Using Dynamic Default Barriers’
Harrington Scott, David Shrider ‘All Events Induce Variance: Analyzing Abnormal
Returns When Effects Vary across Firms’ Journal of Financial and Quantitative
Analysis Vol. 42, No. 1, March 2007
Harrision Glenn, John List, Charles Towe ‘Naturally Occurring Preferences and
Exogenous Laboratory Experiments: A Case Study of Risk Aversion’ Econometrica V.
75, #2 March 2007
Hartman Philip ‘Ordinary Differential Equations’ 2002 SIAM Press
Hautsch Nikolaus, Dieter Hess ‘Bayesian Learning in Financial Markets: Testing for
the Relevance of Information Precision in Price Discovery’ Journal of Financial
and Quantitative Analysis Vol. 42, No. 1, March 2007
Haven Emmanuel, Xiaoquan Liu, Chenghu Ma, Liya Shen ‘Revealling the Implied Risk-
Neutral MGF with the Wavelet Method’ SSRN 2/07
Hayashi Takaki ‘Nonsynchronously Observed Diffusions and Covariance Estimation’
Heidari Massoud, Ali Hirsa, Dilip B. Madan ‘Pricing of Swaptions in Affine Term
Structures with Stochastic Volatility’ Advances in Mathematical Finance (ed. M.
Fu, et all) 2007
Heij Christiaan, André Ran, Freek van Schagen 'Introduction to Mathematical Systems
Theory:Linear Systems, Identification and Control' <business, econometrics,
computer, engineering students> 2007 Birkhäuser
Heitfield Erik, Steve Burton, Souphala Chomsiseng ‘Systematic and Idiosyncratic
Risk in Syndicated Loan Portfolios’ Journal of Credit Risk Volume 2 /Number 3,
Fall 2006
Henard Marc ‘Skewed Libor Market Model and Gaussian HJM Explicit Approaches to
Rolled Deposit Options’ SSRN 1/07
Henderson Vicky, David Hobson, Tino Kluge ‘Is There An Informationally Passive
Benchmark for Option Pricing Incorporating Maturity?’ Quantitative Finance,
Volume 7 Issue 1 2007
Hendry David, Bent Nielsen 'Econometric Modeling:A Likelihood Approach' Princeton
Press Feb/07
Henrad Marc ‘The Irony in the Derivatives Discounting’ SSRN 3/07
Herbertsson Alexander ‘Pricing Synthetic CDO Tranches in a Model with Default
Contagion Using the Matrix-Analytic Approach’ SSRN 2/07
Herbertsson Alexander, Holger Rootzén ‘Pricing k-th-to-Default Swaps under Default
Contagion: The Matrix-Analytic Approach’ SSRN 2/07
Herkommer Dirk ‘Correlation Effects In Credit Risk Models with Incomplete
Accounting Information’ Bachelier Conference 2006
Herkommer Dirk ‘Recovery Rates in Credit Default Models Theory and Application to
Corporate Bonds’ SSRN 3/07
Herzberg Frederik, Christoph Bennemann ‘Order Statistics for Value at Risk
Estimation and Option Pricing’ Willmott (November 2006)
Hesthaven Jan, Sigal Gottlieb, David Gottlieb ‘Spectral Methods for Time-Dependent
Problems’ 2006 Cambridge Press
Heston Steven, Mark Loewenstein, Gregory Willard ‘Options and Bubbles’ Review of
Financial Studies, V. 20, # 2, March 2007
Higham Desmond ‘A Matrix Perturbation View of the Small World Phenomenon’ SIAM
Review 3/07 V. 49 #1
Higham Nicholas ‘Accuracy and Stability of Numerical Algorithms’ 2002 SIAM Press
Hille Christian, Christoph Burmester, Matthias Otto ‘Modelle zur risikoadjustierten
Kapitalallokation’ Die Bank (March 2000)
Hillen Thomas ‘A Classification of Spikes and Plateaus’ SIAM Review 3/07 V. 49 #1
Hinnerich Mia ‘Pricing Equity Swaps In An Economy with Jumps’ Bachelier
Conference2006
Hinz Juri ‘Storage Costs In Commodity Option Pricing’ Bachelier Conference 2006
Hirsa Ali ‘Swaption Pricing In Affine Framework Both In Continous and Discrete-
Time’ Bachelier Conference 2006
Hirukawa Junichi ‘Discriminant and Cluster Analysis for Multivariate Non-Gaussian
Locally Stationary Processes’ Bachelier Conference 2006
Ho Giang, Anthony Pennington-Cross ‘The Varying Effects of Predatory Lending Laws
on High-Cost Mortgage Applications’ FRB St. Louis Jan/Feb 2007
Hobson David ‘A Short Proof of an Identity for a Brownian Bridge Due to Donati-
Martin, Matsumoto and Yor’ Statistics and Probability Letters 77 (#2) 148-150
2007.
Hobson David ‘Optimal Stopping of the Maximum Process: A Converse to the Results of
Peskir’ Stochastics Volume 79 Issue 1 & 2 2007
Hobson David, A.M.G. Cox ‘A Unifying Class of Skorokhod Embeddings: Connecting the
Azema-Yor and Vallois Embeddings’ tobe Bernoulli.
Hobson David, A.M.G. Cox, Jan Obloj ‘Pathwise Inequalities of the Local Time:
Applications to Skorokhod Embeddings and Optimal Stopping’
Hobson David, Jonathan Evans, Vicky Henderson ‘Optimal Timing for an Asset Sale in
an Incomplete Market’
Hobson David, Jonathan Evans, Vicky Henderson ‘The Curious Incident of the
Investment in the Market: Real Options and a Fair Gamble’
Hobson David, Vicky Henderson ‘Horizon Unbiased Utility Functions’
Hobson David, Vicky Henderson ‘Perpetual American Options in Incomplete Markets:
The Infinitely Divisible Case’
Hobson David, Vicky Henderson ‘Utility Indifference Pricing:an Overview’ To Appear
in Utility Indifference Pricing Editor: R. Carmona, Princeton University Press.
Hobson David, Vicky Henderson, William Shaw, Rafal Wojakowski ‘Bounds for In-
Progress Floating-Strike Asian Options Using Symmetry’ Annals of Operations
Research
Hochberg Yael, Alexander Ljungqvist, Yang Lu ‘Whom You Know Matters: Venture
Capital Networks and Investment Performance’ Journal of Finance Volume 62: Issue
1, February 2007
Hochreiter Ronald, Georg Ch. Pflug ‘Polynomial Algorithms for Pricing Path-
Dependent Interest Rate Instruments’ <recombining trees> Oct. 2006 Computational
Economics
Hodder James, Jens Carsten Jackwerth ‘Incentive Contracts and Hedge Fund
Management: a Numerical Evaluation Procedure’ SSRN 3/07
Hodges Stewart, Naru Parekh ‘Term Structure Slope Risk: Convexity Revisited’
Journal of Fixed Income Winter 2006
Hoerdahl Peter, Oreste Tristani ‘Inflation Risk Premia in the Term Structure of
Interest Rates’ SSRN 2/07
Honda Toshiki ‘An Application of Multiperiod Optimization Methods To Currency
Hedging Strategies’ Bachelier Conference 2006
Hopman Carl ‘Do Supply and Demand Drive Stock Prices?’ Quantitative Finance, Volume
7 Issue 1 2007
Hördahl Peter, Oreste Tristani, David Vestin ‘A Joint Econometric Model of
Macroeconomic and Term-Structure Dynamics’ March/April 2006 Journal of
Econometrics
Horst Ulrich ‘Climate Risk Securitization and Equilibrium Bond Pricing’ Bachelier
Conference 2006
Howison Sam ‘Matched Asymptotic Expansions in Financial Engineering’ 2005 Oxford
Howison Sam 'A Matched Asymptotic Expansions Approach to Continuity Corrections for
Discretely Sampled Options:Part 2:Bermuda Options' wp 2005
Howison Sam, Avraam Rafailidis, Henrik. Rasmussen ‘A Note on the Pricing and
Hedging of Volatility Derivatives’ 2001 Oxford Financial Research Center
Howison Sam, Mario Steinberg ‘A Matched Asymptotic Expansions Approach to
Continuity Corrections for Discretely Sampled Options. Part 1: Barrier Options’
2005 Oxford Financial Research Center
Hua Philip, Paul Wilmott ‘Crash Modelling, Value at Risk and Optimal Hedging’ 1999
Oxford Financial Research Center
Hua Philip, Paul Wilmott ‘Value-At-Risk and Market Crashes’ 1999 Oxford Financial
Research Center
Huang Jingzhi ‘Stochastic Volatility Models for Asset Returns with Jump Leverage
Effect and Heavy-Tails: A Specification Analysis Based On Mcmc’ Bachelier
Conference 2006
Huang Ying, Salih Neftci ‘What Drives Swap Spreads, Credit or Liquidity?’ SSRN 3/07
Hughston Lane ‘Information-Based Asset Pricing’ Bachelier Conference 2006
Huisman Ronald, Ronald Mahieu, Arjen Mulder ‘Do Exchange Rates Move in Line with
Uncovered Interest Parity?’ SSRN 1/07
Hujer Reinhard, Sandra Vuleti? ‘Econometric Analysis of Financial Trade Processes
by Discrete Mixture Duration Models’ Journal of Economic Dynamics and Control
Feb. 07
Hull John, Alan White ‘Valuing Credit Derivatives Using an Implied Copula Approach’
<alternative to Gaussian, CDO tranches> Journal of Derivatives Winter 2006
Hung Chi-Hsiou ‘Momentum, Size and Value Factors Versus Systematic Co-Moments in
Stock Returns’ SSRN 2/07
Hyejin Ku ‘Liquidity Risk with Coherent Risk Measures’ Bachelier Conference 2006
Hyvärinen Aapo 'A Fast and Robust Fixed-Point Algorithms for Independent Component
Analysis' IEEE Trans. Neural Networks 1999 <statistics> <ICA>
Ilhan Aytac ‘Risk Minimizing Static-Dynamic Hedges for Exotic Options’ Bachelier
Conference 2006
Imai Junichi ‘Enhancing the Dimension Reduction Technique Using the Effective
Dimension Distribution’ Bachelier Conference 2006
In Francis ‘Can the Risk Factors Explain the Cross-Sectional Variation of Stock
Returns In the Long Run?’ Bachelier Conference 2006
Indragoby Govindaraj, Olivier Pironneau 'Calibration by Automatic Differentiation'
<Black-Scholes, Dupire models> 2004
Ioannidis Christos, Julian M. Williams ‘A Black Box Approach to Copulas: the Non-
Parametric Empirical Copula Approach’ SSRN 1/07
Ioannou Petros, Baris Fidan ‘Adaptive Control Tutorial’ 2006 SIAM Press
Irle Albrecht, Jörn Sass ‘Optimal Portfolio Policies Under Fixed and Proportional
Transaction Costs’ Advances In Applied Probability V. 38.4 Dec. 2006
Ishimura Naoyuki ‘On the Solvability of Nonlinear Black-Scholes Equations
Incorporating Transaction Costs’ Bachelier Conference 2006
Jacka Saul, Andreas Kyprianou, Goran Peskir ‘Optimal Stopping with Applications: An
Editorial Prelude’ Stochastics Volume 79 Issue 1 & 2 2007
Jackson Matthew, Hugo Sonnenschein ‘Overcoming Incentive Constraints by Linking
Decisions’ Econometrica Jan. 2007 Vol. 75 Issue 1
Jackwerth Jens ‘Mispricing of S&P 500 Index Options’ Bachelier Conference 2006
Jacoby Gady, Rose Liao, Jonathan Batten ‘Testing for the Elasticity of Corporate
Yield Spreads’ SSRN 3/07
Jain Sachin ‘Efficient Importance Sampling for Reduced Form Models In Credit Risk’
Jamshidian Farshid ‘The Duality f Optimal Exercise and Domineering Claims: A Doob-
Meyer Decomposition Approach To the Snell Envelope’ <American Options>
Stochastics Volume 79 Issue 1 & 2 2007
Janecek Karel ‘Optimal Investments with Proportional Profit-Share Fee: Analysis of
the Highwater-Mark Fee Structure’ Bachelier Conference 2006
Jang Bong, Kum-Hwan Roh ‘Valuing Qualitative Options with Stochastic Volatility’
SSRN 3/07
Jarrow Robert ‘A Tutorial on Zero Volatility and Option Adjusted Spreads’ Advances
Jarrow Robert, Haitao Li, Feng Zhao ‘Interest Rate Caps "Smile" Too! But Can the
Libor Market Models Capture the Smile?’ Journal of Finance Volume 62: Issue 1,
February 2007
Jarrow Robert, Philip Protter, A. Deniz Sezer ‘Information Reduction via Level
Crossings in a Credit Risk Model’ Finance and Stochastics Volume 11, Number 2,
April, 2007
Jarrow Robert, Philip Protter, Kazuhiro Shimbo ‘Asset Price Bubbles in Complete
Markets’ Advances in Mathematical Finance (ed. M. Fu, et all) 2007
Jeannin Marc ‘Stock Pinning: Theory and Simulations’ Bachelier Conference 2006
Jean-Sebastien Roy ‘Kernel-Based Stochastic Gradient Algorithms for Option Pricing’
Jerrum Mark ‘On The Approximation of One Markov Chain by Another’ Probability
Theory and Related Fields Volume 135, Number 1 / May, 2006
Jiang George, Tong Yao ‘The Cross-Section of Stock Price Jumps and Return
Predictability’ SSRN 3/07
Jiang Jennifer, John Birge 'Comparisons of Alternative Quasi-Monte Carlo Sequences
for American Option Pricing' <numerical integration, option pricing, low
discrepancy sequences> U. Chicago 11/04
Jin Xing, Frank Milne ‘Taxation and Transaction Costs in a General Equilibrium
Asset Economy’ Advances in Mathematical Finance (ed. M. Fu, et all) 2007
Jiwook Jang ‘Jump Diffusion Processes and Their Applications in Insurance and
Finance’ Bachelier Conference 2006
Jobert Arnaud ‘Pricing Operators and Dynamic Convex Risk Measures’ Bachelier
Conference 2006
Johannes Michael, Suresh Sundaresan ‘The Impact of Collateralization on Swap Rates’
Journal of Finance Volume 62: Issue 1, February 2007
Johnson Neil, David Lamper, Paul Jefferies, Michael L. Hart, Sam Howison
‘Application of Multi-Agent Games to the Prediction of Financial Time-Series’
Oxford Financial Research Center 2001
Jondeau Eric, Ser-Huang Poon, Michael Rockinger ‘Financial Modeling Under Non-
Gaussian Distributions’ Series: Springer Finance 2007
Jones David, V. Vance Roley ‘Bliss Points in Mean-Variance Portfolio Models’ NBER
Working Paper No. T0019 SSRN 1/07
Jounin Elyès, Clotilde Napp ‘Arbitrage with Fixed Costs and Interest Rate Models’ >
JF&QA 12/06
Ju Nengjiu, Hui Ou-Yang ‘Capital Structure, Debt Maturity and Stochastic Interest
Rates’ Journal of Business Sept 2006
Jurczenko Emmanuel, Bertrand Maillet, Ghislain Yanou ‘Portfolio Selection with
Higher-Order L-Moments: A Robust Non-Parametric Multi-Moment Efficient Frontier’
SSRN 3/07
Kalbfleisch John ‘The Statistical Analysis of Failure Time Data’ 2002 Wiley Press
Kall Peter, Janos Mayer ‘Stochastic Linear Programming’ 2005 Springer Press
Kamimura Shoji ‘Numerical Results for Rank Processes’ Bachelier Conference 2006
Kampen Joerg ‘Evaluation of Greeks In Continuous Diffusion Models Via Higher Order
Weak Schemes Based On Analytic Expansions of Probability Densities’ Bachelier
Conference 2006
Kan Raymond, Cesare Robotti ‘Model Comparison Using the Hansen-Jagannathan
Distance’ SSRN 2/07
Kanamura Takashi ‘A Time-Varying Volatility Model for Energy Prices’ Bachelier
Conference 2006
Kang Choongoh ‘Restructuring Risk In Credit Default Swaps: An Empirical Analysis’
Kang Qiang, Canlin Li ‘Can a Risk-Based Factor Generate Momentum?’ SSRN 3/07
Karatzas Ioannis, Constantinos Kardaras ‘The Numeraire Portfolio In Semimartingale
Financial Models’ 2006
Karatzas Ioannis, Ingrid-Mona Zamfirescu ‘Martingale Methods for Stochastic
Differential Games of Control and Stopping’ 2007
Karatzas Ioannis, William Sudderth ‘Stochastic Games of Control and Stopping for A
Linear Diffusion’ 2005
Karoui Lotfi ‘Modeling the Term Structure of Defaultable Bonds Under Recovery Risk’
Kashiwabara Akira ‘Utility Indifference Pricing and Reserving of Untradable Risks
in Insurance Contracts Via Backward Stochastic Differential Equation’ Bachelier
Conference 2006
Kassberger Stefan ‘A Lévy-Driven Structural Model for the Valuation of
Collateralized Debt Obligations and Other Credit Derivatives’ Bachelier
Conference 2006
Kawai Reiichiro ‘An Importance Sampling Method Based On the Density Transformation
of Lévy Processes’ Bachelier Conference 2006
Kawanishi Yasuhiro ‘A New Type of Barrier Options: Lizard Option’ Bachelier
Conference 2006
Kawazu Kiyoshi, Yuki Suzuki ‘Limit Theorems for a Diffusion Process with a One-
Sided Brownian Potential’ J. Applied Probability V. 43,4 12/2006
Kearns Jonathan ‘Commodity Currencies: Why Are Exchange Rate Futures Biased If
Commodity Futures Are Not?’ Economic Record, Vol. 83, Issue 260, pp. 60-73,
March 2007
Kellerhals B. Philipp ‘Asset Pricing:Modeling and Estimation’ 2004 Springer Press
Kelley C.T. ‘Solving Nonlinear Equations with Newton’s Method’ 2003 SIAM Press
Khadem Varqa, William Perraudin ‘Default Hazards and the Term Structure of Credit
Spreads in a Duopoly’ 2001 Oxford Financial Research Center
Khuri Andre ‘Advanced Calculus with Applications in Statistics’ 2002 Wiley Press
Kiefer Nicholas, C. Erik Larson ‘A Simulation Estimator for Testing the Time
Homogeneity of Credit Rating Transitions’ SSRN 1/07
Kilin Fiodar ‘Accelerating Calibration of the Stochastic Volatility Models’ SSRN
2/07
Kim Jin Gyo, Ulrich Menzefricke, Fred Feinberg ‘Capturing Flexible Heterogeneous
Utility Curves: A Bayesian Spline Approach’ Management Science Feb 2007 53(2)
Kimmel Robert ‘Complex Times: Asset Pricing and Conditional Moments Under Non-
Affine Diffusions’ Bachelier Conference 2006
Kimura Toshikazu ‘Valuing Continuous-Installment Options’ Bachelier Conference 2006
Kjaer Mats ‘Fast Pricing of Cliquet Options with Global Floor’ Journal of
Derivatives Winter 2006
Klein Irene, L.C.G. Rogers ‘Duality in Optimal Investment and Consumption Problems
with Market Frictions’ Mathematical Finance April 2007 - Vol. 17 Issue 2
Kleinow Torsten ‘Fair Valuation of Participating Insurance Policies Under
Management Discretion’ Bachelier Conference 2006
Kling Jeffrey, Jeffrey Liebman, Lawrence Katz ‘Experimental Analysis of
Neighborhood Effects’ Econometrica Jan. 2007 Vol. 75 Issue 1
Klöppel Susanne ‘Utility Based Good Deal Bounds’ Bachelier Conference 2006
Kluge Wolfgang ‘The Lévy Libor Model with Default Risk’ Bachelier Conference 2006
Kogan Jacob ‘Introduction to Clustering Large & High-Dimensional Data’ 2006
Cambridge Press
Koopman Siem Jan, Marius Ooms, Angeles Carnero’ Periodic Seasonal Reg-ARFIMA-GARCH
Models for Daily Electricity Spot Prices’ JASA 3/07
Korn Ralf, Paul Wilmott ‘Room for a View’ 1999 Oxford Financial Research Center
Kouretas Georgios ‘Autoregressive Value At Risk By Regression Quantiles:Estimating
Market Risk for Major Stock Markets’ Bachelier Conference 2006
Kozhemiakin Alexander ‘Non-Idiosyncratic Alpha: A Case of the Corporate Bond
Market’ Journal of Fixed Income Winter 2006
Kraft Holger ‘How To Invest Optimally In Corporate Bonds: A Reduced-Form Approach’
Krekel Martin ‘Optimal Portfolios with Loan-Depending Credit Spread’ Bachelier
Conference 2006
Krepely Pool Veronika, Hans Stoll, Robert Whaley ‘Failure to Exercise Call Options:
An Anomaly and a Trading Game’ SSRN 3/07
Krishnan C.N.V., Peter Ritchken, James Thomson ‘On Forecasting the Term Structure
of Credit Spreads’ SSRN 3/07
Krueger Dirk, Hanno Lustig ‘The Irrelevance of Market Incompleteness for the Price
of Aggregate Risk’ CEPR Discussion Paper No. 5936 SSRN 1/07
Kruse Susanne ‘Forward Starting Option In the Heston Model and Application To the
Pricing of Year- On Year- Inflation Options’ Bachelier Conference 2006
Krzesinski Anthony, Andre Costa, Maya Ramakrishnan, Peter Taylor ‘A Comment on Two-
Phase Behavior of Financial Markets’ Feb 2007 IJT&AF
Kumar Praveen, Sorin Sorescu, Rodney Boehme, Bartley Danielsen ‘Estimation Risk,
Information and the Conditional CAPM: Theory and Evidence’ SSRN 1/07
Kumar Sunil, Kumar Muthuraman 'A Numerical Method for Solving Stochastic Singular
Control Problems' Operations Research 52(4) 2004
Kunitomo Naoto ‘The General Evaluation Method of Guaranteed Annuity Options Based
On Malliavin-Watanabe Calculus’ Bachelier Conference 2006
Kunitomo Naoto, Yong-Jin Kim ‘Effects Of Stochastic Interest Rates and Volatility
on Contingent Claims’ Japanese Economic Review, Vol. 58, Issue 1, pp. 71-106,
March 2007
Kuo Hui-Hsiung ‘Introduction to Stochastic Integration’ 2006 Springer Press
Kupper Michael ‘Optimal Capital and Risk Transfers for Group Diversification’
Kurt Noemi ‘Entropic Repulsion for a Class of Gaussian Interface Models in High
Dimensions’ SP&A 1/07
Kushner Harold ‘Numerical Approximations for Stochastic Systems with Delays in the
State and Control’ Stochastics Volume 78 Issue 5, 2006
Kwok Yue Kuen ‘Intensity Based Framework for Optimal Stopping Problems’ Bachelier
Conference 2006
Kwok Yue Kuen ‘Mathematical Models of Financial Derivatives’ 2006 Springer Press
Kwok Yue Kuen, Kwai Sun Leung, Seng Yuen Leung ‘Finite Time Dividend-Ruin Models’
SSRN 2/07
Kyprianou Andreas ‘Introductory Lectures on Fluctuations of Lévy Processes with
Applications’ 2006 Springer Press
Kyprianou Andreas, Budhi Atra Surya ‘Principles of Smooth and Continuous Fit in the
Determination of Endogenous Bankruptcy Levels’ Finance and Stochastic Jan 2007,
Vol 11 #1
Laeven Roger ‘Knightian Measures of Risk’ Bachelier Conference 2006
Laforge Christophe ‘Construction of Multivariate Copulas and the Compatibility
Problem’ SSRN 1/07
Larose Daniel ‘Data Mining Methods & Models’ 2006 Wiley Press
Larsen Kasper ‘On the Semimartingale Property Via Bounded Logarithmic Utility’
Larsen Kristian Stegenborg, Michael Sørensen ‘Diffusion Models for Exchange Rates
in aTarget Zone’ Mathematical Finance April 2007 - Vol. 17 Issue 2
Le Courtois Olivier ‘Assessing the Market Value of Safety Loadings’ Bachelier
Conference 2006
Lee Bong-Soo, Oliver Meng Rui ‘Time-Series Behavior of Share Repurchases and
Dividends’ Journal of Financial and Quantitative Analysis Vol. 42, No. 1, March
2007
Lee Cheng-Few, Haim Riesman, Simaan Yusif 'A note on the multi-beta CAPM' Journal
of Mathematical Finance, Vol. 4, No. 1, , pp 67-68, January 1994
Lee Hsiang-Tai, Jonathan Yoder ‘Optimal Hedging With A Regime-Switching Time-
Varying Correlation GARCH Model’ Journal of Futures Markets May 2007
Lefebvre Mario ‘Applied Stochastic Processes’ 2007 Springer
Lettau Martin, Jessica Wachter ‘Why Is Long-Horizon Equity Less Risky? A Duration-
Based Explanation of the Value Premium’ Journal of Finance Volume 62: Issue 1,
February 2007
Leung Kwai Sun, Yue Kuen Kwok ‘Distribution of Occupation Times for Constant
Elasticity of Variance Diffusion and the Pricing of -Quantile Options’
Quantitative Finance, Volume 7 Issue 1 2007
Levy Haim ‘Stochastic Dominance’ 2006 Springer Press
Lewbel Arthur ‘Estimation of Average Treatment Effects with Misclassification’
Econometrica V. 75, #2 March 2007
Lewis John, S. Lakshmivarahan, Sudarshan Dhall ‘Dynamic Data Assimilation’ 2006
Cambridge Press
Li George ‘Time-Varying Risk Aversion and Asset Prices’ Jan 2007 Journal of Banking
and Finance
Li Jinliang, Chunchi Wu ‘Daily Return Volatility, Bid-Ask Spread and Information
Flow:Analyzing the Information Content of Volume’ Journal of Business Sept 2006
Li Ying, Hossein Kazemi ‘Conditional Performance of Hedge Funds: Evidence from
Daily Returns’ SSRN 1/07
Li Yingying, Per Mykland ‘Are Volatility Estimators Robust With Respect To Modeling
Assumptions’ TR 564, Dept of Statistics, Univ. of Chicago . 2006
Liang Faming, Chuanhai Liu, Chuanhai, Raymond Carroll ‘ Stochastic Approximation in
Monte Carlo Computation’ JASA 3/07
Liebmann Thomas ‘Fair Valuation of Insurance Contracts Under Lévy Process
Specifications’ Bachelier Conference 2006
Lien Donald, Keshab Shrestha ‘An Empirical Analysis of the Relationship Between
Hedge Ratio and Hedging Horizon Using Wavelet Analysis’ Journal of Futures
Markets Feb 2007
Lillestöl Jostein ‘On Some Bivariate Models with Nig-Marginals In Finance’
Lim Andrew ‘A Benchmarking Approach to Robust Asset Allocation When There Is Model
Ambiguity’ Bachelier Conference 2006
Lim Tiong Wee ‘A New Approach to Pricing and Hedging Options with Transaction
Costs’ Bachelier Conference 2006
Lin Fangxia ‘Pricing Credit Default Swaps when Interest Rate Process and Hazard
Rate Process are Stochastic’ SSRN 2/07
Lin Junze, Peter Ritchken ‘On Pricing Derivatives in the Presence of Auxiliary
State Variables’ Journal of Derivatives Winter 2006
Lindberg Carl ‘Portfolio Optimization and a Factor Model In A Stochastic Volatility
Market’ Stochastics Volume 78 Issue 5, 2006
Lindset Snorre ‘A Generalization of the Formulas for Options on the Maximum or the
Minimum of Several Assets’ European Journal of Finance Vol 12 #8 2006
Lindset Snorre ‘Pricing American Exchange Options in a Jump-Diffusion Model’
Journal of Futures Markets March 2007
Linz P. ‘Analytical and Numerical Methods for Volterra Equations’ SIAM Stud. Appl.
Math. 7, SIAM 1985
Lipster Robert ‘Statistics of Random Processes:Applications’ 2001 Springer Press
Lipster Robert ‘Statistics of Random Processes:General Theory’ 2001 Springer Press
Liu Jun ‘Portfolio Selection in Stochastic Environments’ Review of Financial
Studies, Volume 20, Issue 1, January 2007
Liu Jun, Francis Longstaff, Ravit Mandell ‘The Market Price of Risk in Interest
Rate Swaps:The Roles of Default and Liquidity Risk’ Journal of Business Sept
2006
Liu Qiang ‘Options' Prices Under Arithmetic Brownian Motion and Their Implication
for Modern Derivatives Pricing’ SSRN Jan 07
Liu Qiang ‘The M Out of N Provisional Call: An Auxiliary Reversed Binomial Tree
Approximation’ SSRN Jan 07
Liu Weimin ‘A Liquidity-Augmented Capital Asset Pricing Model’ Journal of Financial
Economics 12/06
Lobato Ignacio, Carlos Velasco ‘Efficient Wald Tests for Fractional Unit Roots’
Logan J. David ‘Applied Mathematics’ 2006 Wiley Press
Londo Jaime ‘State Dependent Utility’ Bachelier Conference 2006
Lord Roger, Fang Fang, Frank Bervoets, Cornelis Oosterlee 'A Fast and Accurate FFT-
Based Method for Pricing Early-Exercise Options under Lévy Processes' 2/07
<option-American> <Bermuda, convolution, VG, CGMY, KoBoL, EAJD>
Los Cornelis ‘Persistence Characteristics of the Chinese Stock Markets’ Bachelier
Conference 2006
Lu Di, Shuming Du ‘The Effect of Size-Based Regulation on an Economic System
Exhibiting Self-Organized Criticality’ Quantitative Finance, Volume 7 Issue 1
2007
Ludkovski Michael ‘Financial Hedging of Operational Risk’ Bachelier Conference 2006
Ludvigson Sydney, Serena Ng ‘The Empirical Risk–Return Relation: A Factor Analysis
Approach’ Journal of Financial Economics 1/07
Lutgens Frank, Jos Sturm, Antoon Kolen 'Robust One-Period Option Hedging'
<portfolio, nonnegative cones> Operations Research Vol. 54, # 6 Nov/Dec 2006
Macci Claudio ‘Large Deviations for Risk Models in Which Each Main Claim Induces a
Delayed Claim’ Stochastics Volume 78 Issue 2, 2006
Macrina Andrea ‘Beyond Hazard Rates: A New Framework for Credit Risk Modelling’
Madan Dilip ‘Representing the CGMY and Meixner Lévy Processes as Time Changed
Brownian Motions’ Bachelier Conference 2006
Madan Dilip, J. Yen 'Asset Alocation for CARA Utility with Multivariate Lévy
Returns' in Handbook of Financial Engineering ed. Birge/Linetsky forthcoming
Maghsoodi Y. ‘Exact Solution of a Martingale Stochastic Volatility Option Problem
and Its Empirical Evaluation’ Mathematical Finance April 2007 - Vol. 17 Issue 2
Mahayni Antje Brigitte, Nicole Branger ‘Tractable Hedging With Additional
Instruments’ SSRN 3/07
Malamud Semyon ‘The Davis-Varaiya Multiplicity and Branching Numbers of a
Filtration’ <stochastic integrals, family of martingales, direct integral of
Hilbert spaces, event tree, complete markets, spanning number> SSRN 3/07
Malamud Semyon, Eugene Trubowitz, Mario Wuethrich ‘Market Consistent Pricing of
Insurance Products’ SSRN 3/07
Malcolm W.P. ‘Estimating Mean Returns Via M-Ary Detection’ Bachelier Conference
2006
Malevergne Yannick, Didier Sornette ‘A Two-Factor Asset Pricing Model and the Fat
Tail Distribution of Firm Sizes’ SSRN 2/07
Malevergne Yannick, Didier Sornette ‘Extreme Financial Risks:From Dependence to
Risk Management’ 2006 Springer Press
Mallier Roland, Ghada Alobaidi ‘Pricing Equity-linked Debt using the Vasicek Model’
Acta Mathematica Universitatis Comenianae Vol. LXXI, 2(2002)
Mamon Rogemar 'Three Ways to Solve for Bond Prices in the Vasicek Model' Journal of
Applied Mathematics & Decision Sciences 2004, Vol. 8, No. 1 <term structure>
Mandelbrot Benoit ‘Fractals & Scaling in Finance’ 1997 Springer Press
Mannor Shie, Duncan Simester, Peng Sun, John Tsitsiklis ‘Bias and Variance
Approximation in Value Function Estimates’ Management Science Feb 2007 53(2)
Mansuy Roger, Marc Yor ‘Aspects of Brownian Motion’ 2006 Springer Press
Maringer Dietmar ‘Portfolio Management with Heuristic Optimization’ 2005 Springer
Press
Markov Zdravko, Daniel Larose ‘Data Mining the Web’ 2007 Wiley Press
Marquardt Tina, Robert Stelzer ‘Multivariate CARMA Processes’ SP&A 1/07
Martin Richard 'The Saddlepoint Method & Portfolio Optionalities' RISK 12/06
<tranche payouts, expected shortfall>
Martin Richard, Dirk Tasche 'Shortfall:a Tail of Two Parts' <systematic,
unsystematic> RISK 3/07
Masuda Hiroki ‘Ergodicity and Exponential Beta-Mixing Bounds for Multidimensional
Diffusions with Jumps’ SP&A 1/07
Mataix-Pastor Vicente ‘Arbitrage Free Interpolation of the Swap Curve’ Bachelier
Conference 2006
Matsumoto Koichi ‘Optimal Growth Rate with Liquidity Risk’ Bachelier Conference
2006
Matsumura Marco, Ajax Moreira ‘Comparing Models for Forecasting the Yield Curve’
IPEA Discussion Paper No. 1245a SSRN 1/07
Matsushita Tomo ‘Static Hedging In Supermarkets’ Bachelier Conference 2006
Mayer Philipp ‘Model Independent Bounds for the Price of Arithmetic Asian Options’
Mayor N., P. Schonbucher, PaulWilmott, A.E. Whalley, David Epstein ‘The Value Of
Market Research When A Firm Is Learning: Real Option Pricing And Optimal
Filtering’ 1999 Oxford Financial Research Center
Mccausland William ‘Time Reversibility of Stationary Regular Finite-State Markov
Chains’ 1/07 Journal of Econometrics
McCulloch James ‘Relative Volume as a Doubly Stochastic Binomial Point Process’
Quantitative Finance, Volume 7 Issue 1 2007 <Cox process, intrad-day cummulative
volume, re-scaling>
Mcneil Alexander, Jonathan Wendin ‘Dependent Credit Migrations’ Journal of Credit
Risk Volume 2 /Number 3, Fall 2006
Medeiros Carlos, Parmeshwar Ramlogan ‘A Primer on Sovereign Debt Buybacks and
Swaps’ SSRN 3/07
Medvedev Alexey, Olivier Scaillet ‘Approximation and Calibration of Short-Term
Implied Volatilities Under Jump-Diffusion Stochastic Volatility’ Review of
Financial Studies, V. 20, # 2, March 2007
Medvedev Alexey, Olivier Scaillet ‘Pricing American Options under Stochastic
Volatility and Stochastic Interest Rates’ SSRN 2/07
Mello Antonio, Unyong Pyo ‘Minimax Asset Price Bounds in Incomplete Markets’ SSRN
2/07
Mercurio Fabio ‘Swaption Smiles and Convexity Adjustments’ Bachelier Conference
2006
Messaoud Marouen ‘Malliavin Calculus for the Libor Market Model’ Bachelier
Conference 2006
Mikhailov Sergei, Ulrich Nögel 'Heston's Stochastic Volatility Model
Implementation, Calibration and Some Extensions' Wilmott Magazine July 2002
Milstein Gregori, M.V. Tretyakov ‘Discretization Of Forward–Backward Stochastic
Differential Equations and Related Quasi-Linear Parabolic Equations’ IMA J.
Numerical Analysis Jan 07 <numerical integration, mean square convergence, Ma,
Protter and Yong>
Minenna Marcello ‘A Guide to Quantitative Finance: Tools and Techniques for
Understanding and Implementing Financial Analytics’ RISK Books 2006
Minenna Marcello ‘The Detection of Market Abuse on Financial Markets: A
Quantitative Approach’ Bachelier Conference 2006
Mingxin Xu ‘Risk Measure Pricing and Hedging In Incomplete Markets’ Bachelier
Conference 2006
Miyahara Yoshio ‘Variance Minimal Martingale Measures for Geometric Lévy Processes’
Miyazaki Koichi ‘Option Pricing Models for Illiquid Assets’ Bachelier Conference
2006
Miyazaki Koichi, Satoshi Nomura 'When Did the JGB Market Become Efficient?' RISK
3/07 <1996 when Japanese repo market born>
Mnif Mohamed ‘Portfolio Optimization Under Constraints with An Application In High
Dimension’ Bachelier Conference 2006
Moise Claudia ‘Stochastic Volatility Risk and the Size Anomaly’ SSRN 11/06 <Size
and value anomalies, Volatility premium, Cross-sectional returns, IGARCH model,
Asymmetric Student-GARCH model>
Molchanov Ilya ‘Theory of Random Sets’ Springer Press 2005
Molgedey Lutz, Elvis Galic ‘Beliefs and Stochastic Modelling of Interest Rate
Scenario Risk’ Eur. Phys. J. B (2001)
Molgedey Lutz, Elvis Galic ‘Extracting Factors for Interest Rate Scenarios’ Eur.
Phys. J. B (2001)
Molgedey Lutz, Werner Ebeling ‘Intraday Patterns and Local Predictability of High-
Frequency Financial Time Series’ Physica A287 (2000)
Morimune Kimio ‘Volatility Models’ Japanese Economic Review, Vol. 58, Issue 1, pp.
1-23, March 2007
Moriwaki Naruhiko ‘Volatility Smile/Smirk Properties of <GLP & MEMM> Models’
Mrad Moez, Nizar Touzi, Amina Zeghal ‘Monte Carlo Estimation of a Joint Density
Using Malliavin Calculus, and Application to American Options’ June 2006
Computational Economics
Muroi Yoshifumi ‘Pricing Lookback Options with Knock-Out Boundaries’ Bachelier
Conference 2006
Musiela Marek, Thaleia Zariphopoulou ‘Investment and Valuation under Backward and
Forward Dynamic Exponential Utilities in a Stochastic Factor Model’ Advances in
Mathematical Finance (ed. M. Fu, et all) 2007
Muthuraman Kumar ‘A Computational Scheme for Optimal Investment-Consumption with
Proportional Transaction Costs’ accepted for publication in Journal of Economic
Dynamics and Control
Muthuraman Kumar ‘A Moving Boundary Approach to American Option Pricing’
<stochastic control, Hamilton-Jacobi-Bellman>
Muthuraman Kumar 'Multidimensional American Option Pricing' 2007
Muthuraman Kumar, Haining Zha ‘Simulation Based Portfolio Optimization for Large
Portfolios with Transaction Costs ‘ to be Mathematical Finance 2007 ?
Mykland Per ‘Financial Data and the Hidden Semimartingale Model’ 2007
Mykland Per, Lan Zhang ‘ANOVA for Diffusions and Ito Processes’ Ann. Statist. 2006,
34
Nakatsuma Teruo ‘A Bayesian Model Averaging Approach for Portfolio Selection’
Narayan Paresh Kumar ‘Are Nominal Exchange Rates and Price Levels Co-Integrated?
New Evidence from Threshold Autoregressive and Momentum-Threshold Autoregressive
Models’ Economic Record, Vol. 83, Issue 260, pp. 74-85, March 2007
Nashikkar Armrut, Lasse Heje Pedersen ‘Corporate Bond Specialness’ SSRN 3/07
Naundorf Björn, Jörg Raufeisen, Christoph Bennemann ‘You Can’t Always Get What You
Want — Estimating the Value at Risk from Historical Data with Limited
Statistics’ Willmott (November 2006)
Nawalkha Sanjay, Natalia Beliaeva ‘Pricing American Interest Rate Options Under
Jump-Extended CIR and CEV Short Rate Models’ <exponential jumps, and efficient
lattice-based solutions for both exponential jumps and lognormal jumps> SSRN
3/07
Nesmith Travis, Barry Jones ‘Linear Cointegration of Nonlinear Time Series with an
Application to Interest Rate Dynamics’ FRB NY SSRN 3/07
Nguyen XuanLong ‘Hedging of Contingent Claims in Incomplete Markets’ Berkeley 2002
Nica Alexandru, Roland Speicher ‘Lectures on the Combinatorics of Free Probability’
2006 Cambridge Press
Nicolo Antonio, Loriana Pelizzon ‘Credit Derivatives, Capital Requirements and
Opaque OTC Markets’ SSRN 2/07
Ninomiya Mariko ‘A New Weak Approximation Scheme of Stochastic Differential
Equations By Using Extended Runge-Kutta Method’ Bachelier Conference 2006
Nocedal Jorge ‘Numerical Optimization’ 2006 Springer
Nourdin Ivan, Ciprian Tudor ‘Some Linear Fractional Stochastic Equations’
Stochastics Volume 78 Issue 2, 2006
Nowman Ben ‘Estimating the Dynamics of Interest Rates In the Japanese Economy’
Nunes Joao Pedro Vidal ‘A General Characterization of the Early Exercise Premium’
Nunes João Pedro Vidal, Luís Alberto Ferreira De Oliveira ‘Multifactor and
Analytical Valuation of Treasury Bond Futures with an Embedded Quality Option’
Journal of Futures Markets March 2007
O’Shea Donal ‘The Poincare Conjecture: In Search of the Shape of the Universe’
Walker and Co. 2007
Odening Martin, Oliver Mußhoff, Norbert Hirschauer, Alfons Balma ‘Investment Under
Uncertainty—Does Competition Matter?’ Journal of Economic Dynamics and Control
March 07
Oehler Christian, Egbert Schark, Ulrike Volmar ‘Gemeinschaftliche Lösungen mit
individuellen verbinden’ Bankmagazin (10-2003)
Oehler Christian, Ulrike Volmar, Egbert Schark ‘Fluch oder Segen: Datenpools für
interne Ratings’ Zeitschrift für das gesamte Kreditwesen (9-2003)
Ohashi Kazuhiko ‘A Structural Model for Electricity Prices with Spikes Measurement
of Jump Risk and Optimal Policies for Hydropower Plant Operation’ Bachelier
Conference 2006
Ok Efe 'Real Analysis with Economic Applications' Princeton Press 2007 <order
theory, convex analysis, functional analysis, fixed point, calculus of
variations>
Okhrin Yarema, Wolfgang Schmid ‘Distributional Properties of Portfolio Weights’
Sept 2006 Journal of Econometrics
Olivieri Enzo ‘Large Deviations & Metastability’ 2005 Cambridge Press
Olofsson Peter ‘Probability, Statistics & Stochastic Processes’ 2005 Wiley Press
Ono Sadayuki ‘Equilibrium Bull and Bear Equity Market Cycles In An Incomplete
Information Monetary Economy’ Bachelier Conference 2006
Oomen Role ‘Properties of Realized Variance for a Pure Jump Process: Calendar Time
Sampling versus Business Time Sampling’ 2004 technical report, University of
Warwick, Warwick Business School.
Ortu Fulvio ‘Multi-Period Arbitrage and the Marginal Utility of Optimal Inter-
Temporal Wealth’ Bachelier Conference 2006
Osajima Yasufumi ‘The Asymptotic Expansion Formula of Implied Volatility for
Dynamic SABR Model and FX Hybrid Model’ SSRN 2/07
Osajima Yasufumi ‘The Asymptotic Expansion of Implied Volatility for Long-Term
Cross-Currency Hybrid Model’ Bachelier Conference 2006
Osterrieder Joerg ‘A Theoretical Model of the Limit Order Book and Some
Applications’ Bachelier Conference 2006
Owen Mark ‘Optimal Investment with An Unbounded Random Bequest’ Bachelier
Conference 2006
Ozdenoren Emre, Kathy Yuan ‘Feedback Effects and Asset Prices’ SSRN 3/07
Oztukel A., Paul Wilmott ‘Uncertain Parameters, an Empirical Stochastic Volatility
Model and Confidence Limits’ 1999 Oxford Financial Research Center
Palma Wilfredo ‘Long-Memory Time Series’ 2007 Wiley Press
Panjer Harry ‘Operational Risk’ 2006 Wiley Press
Papapantoleon Antonis ‘Valuation of Exotic and Credit Derivatives In Lévy Models’
Pasquariello Paolo ‘Imperfect Competition, Information Heterogeneity, and Financial
Contagion’ Review of Financial Studies, V. 20, # 2, March 2007
Paul Wolfgang, Jörg Baschnagel ‘Stochastic Processes:From Physics to Finance’ 1999
Springer Press
Pauwels Arnd ‘Variance-Optimal Hedging In Affine Stochastic Volatility Models’
Pearlman Joseph ‘Is There More than One Way to be E-Stable?’ <Rational
Expectations> CDMA Working Paper No. 0701 SSRN 1/07
Pearson Neil, Allen Poteshman, Joshua White ‘Does Option Trading Have a Pervasive
Impact on Underlying Stock Prices?’ SSRN 3/07
Perignon Christophe ‘Testing the Monotonicity Property of Option Prices’ Journal of
Derivatives Winter 2006
Peydró-Alcalde José Luis ‘The Impact of A Large Creditor and Its Capital Structure
On the Financial Distress of Its Borrower’ Bachelier Conference 2006
Phillips Peter ‘A Study of the Diffusion of Asset Prices’ SSRN Jan 07
Phillips Peter ‘Computing the Probability of Equilibrium Existence’ SSRN 1/07
Phillips Peter ‘Potential Theory, Harmonic Functions and Volatility Surfaces: An
Analysis of the Relationship between Implied Volatility, Strike Price and
Expiration in Equilibrium’ 2007
Phillips Peter, Jun Yu ‘Information Loss in Volatility Measurement with Flat Price
Trading’ Cowles Foundation Discussion Paper No. 1598 SSRN 1/07
Phillips Peter, Jun Yu ‘Maximum Likelihood and Gaussian Estimation of Continuous
Time Models in Finance’ Yale U. Cowles Foundation 2007
Phillips Peter, Jun Yu ‘Simulation-based Estimation of Contingent-claims Prices’
Cowles Foundation Discussion Paper No. 1596 2007
Piazzesi Monika, Martin Schneider ‘Inflation Illusion, Credit, and Asset Pricing’
NBER SSRN 3/07
Pickands James ‘Statistical Inference Using Extreme Order Statistics’ Annals of
Statistics 1975
Pilz Kay Frederik ‘A New Method for Nonparametric Option Pricing Under Constraints’
Pintus Patrick ‘Local Determinacy with Non-Separable Utility’ Journal of Economic
Dynamics and Control Feb. 07
Piqueira Natalia Scotto ‘Marketwide Liquidity and Another Look at Liquidity Risk’
SSRN 2/07
Pironneau Olivier ‘Dupire-Like Identities for Complex Options’ Jan 07 Comptes
Rendus Mathematique
Pironneau Olivier 'Calibration of Options on a Reduced Basis' 7/06
Pironneau Olivier 'Dupire Identities for Complex Options' 2006
Pirvu Traian ‘Maximizing Portfolio Growth Rate Under Risk Constraints’ Bachelier
Conference 2006
Platen Eckhard, David Heath ‘A Benchmark Approach to Quantitative Finance’ 2006
Springer Press
Polkovnichenko Valery ‘Life-Cycle Portfolio Choice with Additive Habit Formation
Preferences and Uninsurable Labor Income Risk’ Review of Financial Studies,
Volume 20, Issue 1, January 2007
Poti Valerio ‘Arbitrage, Good Deals and Stochastic Discount Factor Restrictions on
Multi-Factor Models with Coskewness’ SSRN 3/07
Prestele Clemens ‘Elliptical Distribution Model for the Pricing of Cdos’ Bachelier
Conference 2006
Prestini Elena ‘The Evolution of Applied Harmonic Analysis:Models of the Real
World’ Birkhauser Press 2003 <FFT, compression>
Prigent Jean-Luc ‘Generalized Option Based Portfolio Insurance’ Bachelier
Conference 2006
Qiang Liu ‘Closed-Form Solutions for European and Digital Calls in the Hull and
White Stochastic Volatility’ SSRN Jan 07
Qiao Huijie, Xicheng Zhang ‘Homeomorphism of Solutions to Backward SDEs and
Applications’ SP&A 3/07
Qu Zhongjun, Pierre Perron ‘Estimating and Testing Structural Changes in
Multivariate Regressions’ Econometrica V. 75, #2 March 2007
Quah John K.-H. ‘The Comparative Statics of Constrained Optimization Problems’
Raczynski Stanislaw ‘Modeling & Simulation’ 2006 Wiley Press
Rank Jörn ‘Copulas: From Theory to Application in Finance’ RISK Publications
Rapisarda Francesco ‘Barrier Options On Underlyings with Time--Dependent
Parameters: A Perturbation Expansion Approach’ Bachelier Conference 2006
Rasmussen Kourosh Marjani, Jens Clausen ‘Mortgage Loan Portfolio Optimization Using
Multi-Stage Stochastic Programming’ Journal of Economic Dynamics and Control
March 07
Realdon Marco ‘Credit Default Swap Rates and Stock Prices’ SSRN Jan 07
Realdon Marco ‘Mixed-Gaussian Term Structure Models’ SSRN 1/07
Realdon Marco ‘Sovereign Credit Default Swap Pricing’ SSRN 3/07
Reisinger Christoph ‘Numerical Algorithms for Incomplete Commodity Markets’
Reiß Oliver, John Schoenmakers, Martin Schweizer ‘From Structural Assumptions to a
Link Between Assets And Interest Rates’ Journal of Economic Dynamics and Control
Feb. 07
Reiswich Dimitri ‘A Structured Products Pricing Tool’ <The Financial Engineering
Tool found at http://longvega.com/index.php, free tool replicate and price any
non path-dependent, continuous piecewise linear payoff function on a stock>
Remolona Eli, Michela Scatigna, Eliza Wu ‘The Pricing of Sovereign Risk in Emerging
Markets: Fundamentals and Risk Aversion’ SSRN 3/07
Renegar James ‘A Mathematical View of Interior-Point Methods in Convex
Optimization’ 2001 SIAM Press
Reno Roberto ‘Threshold Estimation of Jump-Diffusion Models and Interest Rate
Modeling’ Bachelier Conference 2006
Resnick Sidney ‘Heavy-Tail Phenomena:Probabilistic & Statistical Modeling’ 2007
2006 Springer
Ribakova Elina, Renzo Avesani, Antonio Garcia Pascual ‘The Use of Mortgage Covered
Bonds’ IMF Working Paper No. 07/20 SSRN 2/07
Rieder Ulrich ‘Portfolio Optimization Under A Conditional Value-At-Risk Constraint’
Rincó-Zapatero Juan Pablo ‘Optimal Asset Allocation for Aggregated Defined Benefit
Pension Funds with Stochastic Interest Rates’ Bachelier Conference 2006
Rindisbacher Marcel ‘Monte Carlo Methods for Derivatives of Options with
Discontinuous Payoffs’ Bachelier Conference 2006
Ripley Brian ‘Stochastic Simulation’ 2006 Wiley Press
Robertson Scott ‘Optimal Importance Sampling for Pricing Rare Event Derivatives in
Diffusion Models’ Bachelier Conference 2006
Rogers L.C.G., Larry Shepp ‘The Correlation of The Maxima of Correlated Brownian
Motions’ J. Applied Probability V.43,3 2006
Rosenow Bernd, Rafael Weissbach, Frank Altrock ‘Modelling Correlations in Credit
Portfolio Risk’ SSRN 2/07
Rossi Richard ‘Theorems, Corollaries, Lemmas & Methods of Proof’ 2006 Wiley Press
Rostek Stefan ‘Risk Preference Based Option Pricing In A Fractional Brownian
Market’ Bachelier Conference 2006
Rothschild Michael ‘Asset Pricing Theories’ NBER SSRN 1/07
Rousseau Nicolas ‘The Revisited Jarrow-Rudd and Corrado-Su Models’ Bachelier
Conference 2006
Rubinstein Mark 'The Fundamental Theorem of Parameter-Preference Security
Valuation' JF&QA 1973
Runggaldier Wolfgang ‘Estimating Instantaneous Rates and Their Volatilities From
Observed Discretely Compounded Rates - A Stochastic Filtering Approach’
Ruschendorf Ludger ‘On the Optimal Risk Allocation Problem’ Bachelier Conference
2006
Sahi Gurprett ‘Influence of Commodity Derivatives on Volatility of Underlying’ 2007
Samperi Dominick ‘The Mind of the Market: From Fractal Networks to Intelligent
Agents’ SSRN 1/07
Sanders Jan ‘Averaging Methods in Nonlinear Dynamical Systems’ 2007 Springer
Sandmann Klaus, Philipp Schonbucher ‘Advances in Finance and Stochastics:Essays in
Honor of Dieter Sondermann’ 2002 Springer Press
Sanfelici Simona ‘Calibration of a Nonlinear Feedback Option Pricing Model’
Quantitative Finance, Volume 7 Issue 1 2007 <Mancino/Ogawa model, dynamic hedge,
jump-diffusion model, Heston model>
Sapiro Guillermo ‘Geometry, Partial Differential Equations and the Brain’ SIAM News
March 2007
Sarno Lucio, Daniel L. Thornton, Giorgio Valente ‘The Empirical Failure of the
Expectations Hypothesis of the Term Structure of Bond Yields’ Journal of
Financial and Quantitative Analysis Vol. 42, No. 1, March 2007
Sass Jörn Ricam ‘Portfolio Optimization Under Partial Information: A Hidden Markov
Model for Stock Returns with Jumps’ Bachelier Conference 2006
Sato Ken 'Basic Results on Lévy Processes' in Lévy Processes Birkhäuser 2001
Satterthwaite Mark, Artyom Shneyerov ‘Dynamic Matching, Two-Sided Incomplete
Information, and Participation Costs: Existence and Convergence to Perfect
Competition’ Econometrica Jan. 2007 Vol. 75 Issue 1
Savas Dayanik Savas, Michael Ludkovski ‘Filling the Gap Between American and
Russian Options: Adjustable Regret’ Stochastics Volume 79 Issue 1 & 2 2007
Sbuelz Alessandro, Anna Battauz ‘Closed-Form Optimal Investment when Present Values
and Costs are Jump-Diffusions’ SSRN 3/07
Scaillet Olivier ‘Structure Equations and Options Pricing’ Bachelier Conference
2006
Schelter B., M. Winterhalder, J. Timmer ‘Handbook of Time Series Analysis’ 2007
Wiley Press
Schennach Susanne ‘Instrumental Variable Estimation of Nonlinear Errors-in-
Variables Models’ Econometrica Jan. 2007 Vol. 75 Issue 1
Scherer Matthias ‘A Structural Credit-Risk Model with Jumps; A Unified Model for
Bond CDs and CDO Pricing’ Bachelier Conference 2006
Schied Alexander ‘Optimal Investments for Risk- and Ambiguity-Averse Preferences: a
Duality Approach’ Finance and Stochastic Jan 2007, Vol 11 #1
Schilling René ‘Measures, Integrals and Martingales’ 2006 Cambridge Press
Schmidt Thorsten ‘Pricing Corporate Securities Under Noisy Asset Information’
Schneider Paul, Leopold Sögner, Tanja Veza ‘Jumps and Recovery Rates Inferred from
Corporate CDS Premia’ SSRN 2/07
Schneider Paul, Leopold Sögner, Tanja Veza ‘Jumps and Recovery Rates Inferred from
Corporate CDS Premia’ SSRN 2/07
Schoenbucher Philipp ‘Portfolio Losses and the Term Structure of Loss Transition
Rates: A New Methodology for the Pricing of Portfolio Credit Derivatives’
Schoenmakers John ‘A Jump-Diffusion Libor Model and Its Robust Calibration’
Searle Shayle ‘Variance Components’ 2006 Wiley Press
Sei Tomonari ‘Local Asymptotic Mixed Normality of Transformed Gaussian Models for
Random Fields’ SP&A 3/07
Sekine Jun ‘A Note on Long-Term Optimal Portfolios Under Drawdown Constraints’
Advances in Applied Probability V. 38,3 2006
Sekine Jun ‘An Asymptotic Analysis for Utility Indifference Price’ Bachelier
Conference 2006
Selivanov Andrey ‘Insurance Premiums Based On Coherent Risk Measures’ Bachelier
Conference 2006
Sellami Afef ‘Quantization of the Filter Process and Application To Optimal
Stopping Problems Under Partial Observation’ Bachelier Conference 2006
Semenov Andrei ‘High-Order Consumption Moments and Asset Pricing’ SSRN 2/07
Seneta Eugene ‘The Early Years of the Variance-Gamma Process’ Advances in
Mathematical Finance (ed. M. Fu, et all) 2007
Sethi Suresh ‘Optimal Control Theory:Applications to Management Science &
Economics’ 2000 Springer Press
Shackleton Mark ‘A Multi-Horizon Comparison of Density Forecasts for the S&P 500
Using Index Returns and Option Prices’ Bachelier Conference 2006
Shao Xiaofeng, Wei Biao Wu ‘Local Asymptotic Powers of Nonparametric and
Semiparametric Tests or Fractional Integration’ SP&A 2/07
Sharp Nicholas ‘An Improved Fixed-Rate Mortgage Valuation Methodology with
Interacting Prepayment and Default Options’ Bachelier Conference 2006
Shelyazhenko Pavlo ‘The Notion of Bounded Arbitrage for the Multi-Period Market
with Discrete Time’ Bachelier Conference 2006
Shin Dong Wan, Oesook Lee ‘Asymmetry and Nonstationarity for A Seasonal Time Series
Model’ 1/07 Journal of Econometrics
Shin Yong Hyun ‘Optimal Portfolio Consumption-Leisure and Retirement Choice Problem
with A CES Utility’ Bachelier Conference 2006
Shiraishi Hiroshi, Masanobu Taniguchi ‘Statistical Estimation of Optimal Portfolios
for Locally Stationary Returns of Assets’ Feb 2007 IJT&AF
Shirikyan Armen ‘Law of Large Numbers and Central Limit Theorem for Randomly Forced
PDE's’ Probability Theory and Related Fields Volume 134, Number 2 / February,
2006
Shiryaev Albert ‘Stochastic Finance’ 2006 Springer Press
Shoup Victor ‘A Computational Introduction to Number Theory and Algebra’ 2005
Cambridge Press
Shreve Steven ‘Futures Trading with Transaction Costs’ Bachelier Conference 2006
Simaan Yusif 'Estimation Risk in Portfolio Selection:The Mean Variance Model Versus
the Mean Absolute Deviation Model' Management Science Vol. 43, #10 Oct. 1997
Simaan Yusif 'Portfolio Selection & Asset Pricing-Three Parameter Framework'
Management Science Vol.39, #5 1993
Simaan Yusif, Cheng-Few Lee 'Alternative approach to unify CAPM and APT' Review of
Quantitative Finance and Accounting, (2), pp 391-408 , December 1992,
Singpurwalla Nozer ‘Reliability & Risk:a Bayesian Perspective’ 2006 Wiley Press
Sirbu Mihai ‘Sensitivity Analysis of Utility Based Prices and Risk-Tolerance Wealth
Processes’ Bachelier Conference 2006
Sircar Ronnie, Thaleia Zariphopoulou ‘Utility Valuation of Credit Derivatives:
Single and Two-Name Cases’ Advances in Mathematical Finance (ed. M. Fu, et all)
2007
Slinko Irima ‘Correlation Between Intensity and Recovery In Credit Risk Models’
Smedts Kristien, Jan Smedts ‘Dynamic Investment Strategies of Hedge Funds’ SSRN
2/07
Smith Richard ‘Estimating Tails of Probability Distributions’ Annals of Statistics
1987
Solé Josep Lluís, Frederic Utzet, Josep Vives ‘Canonical Lévy Process and Malliavin
Calculus’ <Skorohod Integral> SP&A 2/07
Solin Pavel ‘Partial Differential Equations & the Finite Element Method’ 2005 Wiley
Press
Somersalo Erkki ‘The Inverse Problem of Magnetoencephalography:Source Localization
& the Shape of a Ball’ SIAM News March 2007
Soreff Alexander ‘Cubature On Wiener Space From A Numerical Point of View’
Sørensen Carsten ‘Interest Rate Uncertainty and Strategic Asset Allocation with
Borrowing and Short Sales Constraints’ Review of Futures Market, Vol. 14, No. 4,
2006
Stace Antony ‘A Moment Matching Approach to the Valuation of a Volume Weighted
Average Price Option’ Feb 2007 IJT&AF
Startz Richard, Kwok Ping Tsang ‘The Yield Curve Through Time and Across
Maturities’ SSRN 3/07
Stefanov Valeri ‘Exact Distributions for Reward Functions on Semi-Markov And Markov
Additive Processes’ J. Applied Probability V. 43,4 12/2006
Stefanova Denitsa ‘Dependence Modeling of Joint Extremes via Copulas: A Dynamic
Portfolio Allocation Perspective’ SSRN 3/07
Steiger Gallus ‘Jump-Diffusion Processes and Optimal Hedging & the Minimal Entropy
Martingale Measure for General Barndorff-Nielsen/Shephard Models’ Bachelier
Conference 2006
Stein Harvey ‘Mortgage Backed Valuation’ Bloomberg Financial Markets SSRN 1/07
Stein Harvey ‘Risky Measures of Risk: Error Analysis of Numerical Differentiation’
Bloomberg Financial Markets SSRN 1/07
Stein Harvey, Alexander Belikoff, Kirill Levin, Xusheng Tian ‘Analysis of Mortgage
Backed Securities’ SSRN 1/07
Stoikov Sasha ‘Making Markets in Options’ Bachelier Conference 2006
Stojanovic Srdjan ‘Higher Dimensional Fair Option Pricing and Hedging Under HARA
and CARAUtilities’ Bachelier Conference 2006
Ströjby Jonas ‘Adaptive Calibration of Risk Neutral Parameters with Applications to
Option Valuation’ Bachelier Conference 2006
Stulajter Frantisek ‘Predictions in Time Series Using Regression Models’ 2002
Springer Press
Su Xia ‘On Irreversible Investment’ Bachelier Conference 2006
Suchanecki Michael ‘Default Risk Bankruptcy Procedures and the Market Value of Life
Insurance Liabilities’ Bachelier Conference 2006
Suh Daniel ‘Term Structure of Interest Rates: Has the Expectations Theory Recently
Become More Valid?’ SSRN 3/07
Suzuki Atsuo ‘The Pricing of Callable Russian Options’ Bachelier Conference 2006
Switzer Lorne, Mario El-Khoury ‘Extreme Volatility, Speculative Efficiency, and the
Hedging Effectiveness of the Oil Futures Markets’ Journal of Futures Markets Jan
2007
Szimayer Alex ‘Discrete Time Finite State Space Almost Sure and L_1 Approximation
Schemes for Lévy Processes’ Bachelier Conference 2006
Tahani Nabil ‘Exotic Options Pricing Under Stochastic Volatility’ Bachelier
Conference 2006, wp 2006
Tahani Nabil, Xiaofei Li ‘Pricing Interest Rate Derivatives under Stochastic
Volatility’ SSRN 3/07
Takamizawa Hideyuki ‘Interest Rate Volatility Implicit In Term Structure Data’
Takaoka Koichiro ‘A Complete-Market Generalization of the Black-Scholes Model’
Takhtamyshev George, Bart Vandewoestyne, Ronald Cools 'Quasi-random Integration in
High Dimensions Jan 2007 Mathematics and Computers in Simulation Vol 73,#5
Talbot John, Dominic Welsh ‘Complexity & Cryptography:An Introduction’ 2006
Tamaki Kenichiro ‘Higher Order Asymptotic Option Valuation for Non-Gaussian
Dependent Returns’ Bachelier Conference 2006
Tanaka Keiichi ‘Credit Derivatives with Recovery of Market Value for Multiple
Firms’ Bachelier Conference 2006
Tang Huarong, Yihong Xia ‘An International Examination of Affine Term Structure
Models and the Expectations Hypothesis’ Journal of Financial and Quantitative
Analysis Vol. 42, No. 1, March 2007
Tankov Peter ‘Optimal Quadratic Hedging In Models with Jumps’ Bachelier Conference
2006
Tarashev Nikoa, Zhu Haibin ‘The Pricing of Correlated Default Risk: Evidence from
the Credit Derivatives Market’ SSRN 3/07
Tasche Dirk ‘Measuring Sectoral Diversification in an Asymptotic Multifactor
Framework’ Journal of Credit Risk Volume 2 /Number 3, Fall 2006
Taylor Nicholas ‘A New Econometric Model of Index Arbitrage’ European Financial
Management, Vol. 13, Issue 1, pp. 159-183, January 2007
Tebaldi Claudio ‘Affine Term Structure Models on Symmetric Cone Domains’ Bachelier
Conference 2006
Tel Tamas, Marton Gruiz ‘Chaotic Dynamics:An Introduction Based on Classical
Mechanics’ 2006 Cambridge Press
Thompson James ‘Simulation:A Modelers Approach’ 1999 Wiley Press
Thompson Kevin, Alistair Mcleod ‘Analytic Calculation of Conditional Default
Statistics and Risk Contributions Using the Ensemble Method’ Journal of Credit
Risk Vol.2, #4 Winter 2006/2007
Todinov Michael ‘Reliability & Risk Models’ 2005 Wiley Press
Tomecek Pascal ‘Viscosity Solutions Approach to Reversible Investment Under
Uncertainty with General Production Function’ Bachelier Conference 2006
Topper Jürgen ‘Probability Density Functions and Related Tools’ in Jürgen Hakala
und Uwe Wystup Foreign Exchange Risk, Risk Books (2002)
Topper Jürgen ‘Taking a Corporate View: Zero-Cost Structures’ in Jürgen Hakala und
Uwe Wystup Foreign Exchange Risk, Risk Books (2002)
Tsuda Hiroshi ‘Corporate Bonds Ratings Via A Bond Pricing Model:Prediction of Bond
Rating Changes’ Bachelier Conference 2006
Tsukahara Hideatsu ‘One-Parameter Families of Distortion Risk Measures’ Bachelier
Conference 2006
Tysk Johan ‘Convexity Preserving Jump Diffusion Models for Option Pricing’
Uberti Mariacristina ‘Interest Rate Dynamics with Monetary Policy Founded On Taylor
Rule:Extensions and Performances’ Bachelier Conference 2006
Uchida Yoshihiko ‘A New Computational Scheme for Computing Greeks by the Asymptotic
Expansion’ Bachelier Conference 2006
Vaihekoski Mika ‘A Note on the Calculation of the Risk Free Rate for Tests of Asset
Pricing Models’ SSRN Jan 07
Vaillancourt Jean, Francois Watier 'On an Optimal Multivariate Multiperiod Mean-
Variance Portfolio' C. R. Math. Rep. Acad. Sci. Canada 27,3 92-96. 2005
Van Assche Gilles ‘Quantum Cryptography & Secret-Key Distillation’ 2006 Cambridge
Press
van Binsbergen Jules, Michael Brandt ‘Optimal Asset Allocation in Asset Liability
Management’ NBER SSRN 3/07
Van der Hoek John ‘Binomial Models in Finance’ 2006 Springer Press
Van Kijk Nico, Karel Sladký ‘On The Total Reward Variance for Continuous-Time
Markov Reward Chains’ J. Applied Probability V. 43,4 12/2006
Van Loan C. ‘Computational Frameworks for the Fast Fourier Transform’ Frontiers
Appl. Math. 10, SIAM 1992
Vandenberghe Lieven, Stephen Boyd, Katherine Comanor ‘Generalized Chebyshev Bounds
via Semidefinite Programming’ SIAM Review 3/07 V. 49 #1
Vath Vathana Ly, Mohamed Mnif, Huyên Pham ‘A Model of Optimal Portfolio Selection
Under Liquidity Risk and Price Impact’ Finance and Stochastic Jan 2007, Vol 11
#1
Vecer Jan 'Maximum Draw-Down and Directional Trading' RISK 12/06 , wp 9/06 <Risk>
<replication, momentum or contrarian trading>
Vedder Richard 'Going Broke by Degree: Why College Costs Too Much' AEI Press (June
2004)
Vorst Ton 'Optimal Portfolios under a Value at Risk Constraint' wp 2000
Wada Ryosuke ‘Stochastic Structure of Brokered Foreign Exchange Auction’ Bachelier
Conference 2006
Wageber Wulfgar ‘Ökonomisches Makro-Hedging unter IAS 39’ Zeitschrift für das
gesamte Kreditwesen (11-2003)
Wallin Olli ‘A Semilinear Partial Integro-Differential Equation for American
Options’ Bachelier Conference 2006
Wang Xiaoqun 'On the Effects of Dimension Reduction Techniques on Some High-
Dimensional Problems in Finance' <simulation, quasi-Monte Carlo, asset pricing,
bond value, analysis of variance, Brownian Bridge, Principal Components>
Operations Research Vol. 54, # 6 Nov/Dec 2006
Wang Yaw-Huei ‘The Impact of Jump Dynamics on Density Prediction’ SSRN 2/07
Warren Jon ‘Dynamics and Endogeny for Recursive Processes On Trees’ Stochastics
Volume 78 Issue 5, 2006
Watson Joel ‘Contract, Mechanism Design, and Technological Detail’ Econometrica
Jan. 2007 Vol. 75 Issue 1
Wegner Torsten, Uwe Dörr, Andreas Werner ‘Risikomanagement mit Schwung’
Zeitschrift für Energie, Markt, Wettbewerb (12-2003)
Weinstein Jonathan, Muhamet Yildiz ‘A Structure Theorem for Rationalizability with
Application to Robust Predictions of Refinements’ Econometrica V. 75, #2 March
2007
Whalley A., Paul Wilmott ‘Optimal Hedging of Options with Small But Arbitrary
Transaction Cost Structure’ 1999 Oxford Financial Research Center
Whalley Elizabeth ‘Optimal Partial Hedging of Options with Transaction Costs’
Wheeler Christopher 'Trends in Neighborhood-Level Unemployment in the United
States:1980 to 2000' FRB St. Louis Review March/April 2007
Wiese Anke ‘Efficient Strong Integrators for Linear Stochastic Systems’ Bachelier
Conference 2006
Williams Julian, Christos Ioannidis ‘Multivariate Asset Price Dynamics with
Stochastic Covariation’ SSRN Jan 07
Woerner Jeannette ‘On the Fine Structure of Price Processes: Model Choice and
Market Microstructure’ Bachelier Conference 2006
Woerner Jeannette ‘Purely Discontinuous Levy Processes and Power Variation:
Inference for Integrated Volatility and the Scale Parameter’ 2003 Oxford
Woerner Jeannette ‘Variational Sums and Power Variation: A Unifying Approach to
Model Selection and Estimation in Semimartingale Models’ 2002 Oxford Financial
Research Center
Wolters C.H. ‘The Finite Element Method in EEG/MEG Source Analysis’ SIAM News March
2007
Wong Bernard ‘Arbitrage and Approximate Arbitrage: the Fundamental Theorem of Asset
Pricing’ Bachelier Conference 2006
Wong Hoi Ying ‘Analytical Valuation of Dynamic Fund Protection under CEV’
Transactions on Mathematics, Vol. 6, No. 2, pp. 324-329, 2007
Wystup Uwe 'FX Options and Structured Products' Wiley Press 2007
Xia Jianming, Xun Yu Zhou ‘Stock Loans’ Mathematical Finance April 2007 - Vol. 17
Issue 2
Xing Yuhang, Rui Zhao, Xiaoyan Zhang ‘What Does Individual Option Volatility Smirk
Tell Us About Future Equity Returns?’ SSRN 3/07
Xing Yuhang, Rui Zhao, Xiaoyan Zhang ‘What Does Individual Option Volatility Smirk
Tell Us About Future Equity Returns?’ SSRN 3/07
Xiong Wei, Hongjun Yan ‘Heterogeneous Expectations and Bond Markets’ SSRN 1/07
Xun Yu Zhou ‘Convex Stochastic Optimization Associated with Portfolio Selection’
Yagi Kyoko ‘On the Valuation of Callable Convertible Bonds with Reset Clauses of
Conversion Prices’ Bachelier Conference 2006
Yamauchi Hiroaki ‘On A Method for Selection of Financial Ratios for Credit Risk
Models Using Multi-Objective Genetic Algorithm’ Bachelier Conference 2006
Yan Li ‘Theoretical and Numerical Study On Continuous-Time Mean-Variance Efficient
Strategies’ Bachelier Conference 2006
Yang Hongtao ‘A New Finite Element Method for Pricing of Bond Options Under Time
Inhomogeneous Affine Term Structure Models of Interest Rates’ Feb 2007 IJT&AF
Yang Jun ‘A No-Arbitrage Analysis of Macroeconomic Determinants of Term Structures
and the Exchange Rate’ SSRN 2/07
Yang Lijian, Byeong U. Park, Lan Xue, Wolfang Härdle ’Estimation and Testing for
Varying Coefficients in Additive Models With Marginal Integration’ JASA 9/06
Yao David, Hanqin Zhang, Xun Zhou ‘Stochastic Modeling & Optimization:With
Applications in Queues, Finance & Supply Chains’ 2003 Springer Press
Ye George ‘Asian Options versus Vanilla Options’ SSRN 1/07
Yong Jiongmin ‘Linear Forward-Backward Stochastic Differential Equations with
Random Coefficients’ Probability Theory and Related Fields V.135, #1 5/06
Yor Marc ‘A Note about Selberg's Integrals in Relation with the Beta-Gamma Algebra’
Yor Marc ‘Some Remarkable Properties of Gamma Processes’ Advances in Mathematical
Finance (ed. M. Fu, et all) 2007
Yu Fan ‘Correlated Defaults in Intensity-Based Models’ Mathematical Finance April
2007 - Vol. 17 Issue 2
Zaffaroni Paolo ‘Aggregation and Memory of Models of Changing Volatility’ 1/07
Zakamouline Valeri ‘Optimal Hedging of Option Portfolios with Transaction Costs’
Zauderer Erich ‘Partial Differential Equations of Applied Mathematics’ 2006 Wiley
Press
Zhang C., J. Jin ‘Computation of Special Functions’ John Wiley & Sons, New York
1996
Zhang Lan ‘Estimate Covariation: Epps Effect Microstructure Noise’ Bachelier
Conference 2006
Zhang Lan, Per Mykland, Yacine Aït-Sahalia ‘A Tale of Two Time Scales: Determining
Integrated Volatility with Noisy High-Frequency Data’ J. Amer. Statist. Assoc.
2005, 100 1394-1411
Zhang Xicheng 'Variational Approximation for Fokker–Planck Equation on Riemannian
Manifold’ Probability Theory and Related Fields Volume 137, Numbers 3-4 / March,
2007
Zhang Yuzhao ‘Does the Early Exercise Premium Contain Information about Future
Underlying Returns’ Bachelier Conference 2006
Zheng Harry ‘Jump Liquidty Risk Measures’ Bachelier Conference 2006
Zheng Yao ‘Analytical Approximate Solutions for Vasicek Equation’ SSRN 3/07
Zhou B. ‘High-Frequency Data and Volatility in Foreign-Exchange Rates’ Journal of
Business & Economic Statistics, 14, 45–52. 1996
Zhu Jianwei ‘An Extended Libor Market Model with Nested Stochastic Volatility
Dynamics’ SSRN 1/07
Zhu Yingzi, Jin Zhang ‘Variance Term Structure and VIX Futures Pricing’ Feb 2007
IJT&AF
Zhu Zhongyan ‘Pricing Corporate Coupon Bonds with Stochastic Volatility of Asset
Return’ 2007
Ziegler Alexandre ‘A Game Theory Analysis of Options’ 2004 Springer Press
Ziegler Alexandre ‘Incomplete Information & Heterogeneous Beliefs in Continuous
Time Finance’ 2003 Springer Press
Zilber Alex ‘A Market Model for Stochastic Smile: A Conditional Density Approach’
Ziogas Andrew ‘The Valuation of American Spread Options Under Jump Diffusion
Processes’ Bachelier Conference 2006, SSRN 8/06
Zitkovic Gordan ‘Are Option-Pricing and Utility-Maximization Problems Well-Posed’
Zumbach Gilles, Fulvio Corsi, Adrian Trapletti ‘Efficient Estimation of Volatility
Using High-Frequency Data’ technical report, Olsen & Associates. 2002
Zurek Paul ‘Momentum and Long Run Risks’ SSRN 3/07

Update Mar 07

Uploaded by

Copyright:

Available Formats

Update Mar 07

Uploaded by

Document Information

Original Title

Copyright

Available Formats

Share this document

Share or Embed Document

Sharing Options

Did you find this document useful?

Is this content inappropriate?

Copyright:

Available Formats

Update Mar 07

Uploaded by

Copyright:

Available Formats

Acciaio Beatrice ‘Optimal Risk Sharing with Non-Monotone Monetary Functionals’

Finance and Stochastics Volume 11, Number 2, April, 2007

Anand Amber, Sugato Chakravarty ‘Stealth Trading in Options Markets’ Journal of

You might also like