Professional Documents
Culture Documents
22, 2005)
(Various) 'Productivity, Labor & the Business Cycle' FRB St. Louis Review July/Aug.
05
Accardi Luigi 'Ito calculus versus white noise calculus' Abel Symposium Stochastic
Analysis..Honor of Kiyosi Ito 2005 Norway
Achdou Yves, Olivier Pironneau 'Computational Methods for Option Pricing' 2005 SIAM
Press
Adams Andrew, Philip Booth, David Bowie, Della Freeth 'Investment Mathematics'
Wiley 2003
Airoldi Marco 'A moment expansion approach to option pricing' QF 2/05 <option-
numeric>
Aït-Sahalia Yacine, Per Mykland, Lan Zhang 'How Often to Sample a Continuous-Time
Process in the Presence of Market Microstructure Noise' RFS Summer 05
Ait-Sahalia Yacine, Per Mykland, Lan Zhang 'Ultra High Frequency Volatility
Estimation with Dependent Microstructure Noise' 5/05 NBER
Albanese Claudio, Alexey Kuznetsov 'Transformations of Markov Processes &
Classification Scheme for Solvable Driftless Diffusions'
Albanese Claudio, Oliver X. Chen 'Discrete credit barrier models' QF 6/05
ALBRECHER H., M. PREDOTA 'Bounds and approximations for discrete Asian options in a
variance-gamma model' Grazer Math. Ber. 2002, 345, 35-57.
Alexander Carol, Leonardo Noqueira ‘A Taxonomy of Option Pricing Models: Scale
Invariant Volatility and Minimum Variance Hedging’ SSRN 8/05
Ali Ashraf, Charles Rajakumar 'The Boundary Element Method' 2004 CRC Press
Aliprantis C.D., M. Florenzano, V. F. Martins-da-Rocha, R. Tourky ‘Equilibrium
analysis in financial markets with countably many securities’ 9/04 Journal of
Mathematical Economics
Almendral A., C.W. Oosterlee 'On American options under the Variance Gamma process'
Technical Report, Delft University of Technology
Almgren Robert, Chee Thum, Emmanuel Hauptmann and Hong Li 'Equity Market Impact'
<3/5 power law, transaction costs, large trades> RISK 7/05
Alti Aydogan 'IPO Market Timing' RFS Fall 2005
Amzal Billy, Yonathan Ebguy, Sebastien Roland 'Joint Calibration of Option Pricing
Models via Particle Methods' 2005 <Calibration, option pricing, jump-diffusion
model, Particle Systems, Markov Chain Monte-Carlo>
Anderson Evan, Eric Ghysels, Jennifer Juergens 'Do Heterogeneous Beliefs Matter for
Asset Pricing?' RFS Fall 2005
Andreasen Jesper 'Back to the future' <stochastic volatility multi-factor yield
curve models, quick calibration/efficient Monte Carlo simulation> RISK 9/05
Andrews Donald W.K. 'Cross-Section Regression with Common Shocks' Econometrica 9/05
Andricopoulos Ari, Martin Widdicks, Peter Duck, David Newton 'Extending Quadrature
Methods to Value Multi-Asset & Complex Path Dependent Options' tobe 2005 JFE
Arcidiacono Peter 'Affirmative Action in Higher Education: How Do Admission and
Financial Aid Rules Affect Future Earnings?' Econometrica 9/05
Athey Susan, Andrew Atkeson, Patrick Kehoe 'The Optimal Degree of Discretion in
Monetary Policy' Econometrica 9/05
Atkisnon Kendall, Weimin Han 'Theoretical Numerical Analysis' Springer 2005
Atlan Marc, Boris Leblanc 'Hybrid Equity-Credit Modelling' <CEV for CDS equity
options> RISK 8/05
ATTARI Mukarram, ANTONIO S. MELLO, MARTIN E. RUCKES 'Arbitraging Arbitrageurs' JofF
10/05
Avramidis Athanassios, Pierre L'Ecuyer 'Efficient Monte Carlo & Quasi-Monte Carlo
Option Pricing Under the Variance-Gamma Model' 8/05 <option-numeric> <path
dependent, gamma bridge>
Awanou Gerard 'Multiscale Asymptotics of Partial Hedging' <two factor> IMA wp 7/05
Back Kerry 'A Course in Derivative Securities:Introduction to Theory and
Computation' Springer Finance 2005
Bahlalia Khaled, Saý¨d Hamadènec, Brahim Mezerdid 'Backward stochastic differential
equations with two reflecting barriers and continuous with quadratic growth
coefficient' SP&A 7/05
Baker G., R. Beneder, A. Zilber 'FX Barriers with Smile Dynamics' wp Erasmus U.
2004
Bakshi G., C. Cao 'Risk-Neutral Kurtosis, Jumps, and Option Pricing:Evidence from
100 Most Actviely Traded Firms on the CBOE' 2002
Bali Turan, David Weinbaum 'A comparative study of alternative extreme-value
volatility estimators' J. Futures Markets 9/05
Banerjee Priyodorshi 'Information Acquisition Under Uncertainty in Credit Markets'
RFS Fall 2005
Bansal Ravi, Robert Dittmar, Christian Lundblad 'Consumption, Dividends, and the
Cross Section of Equity Returns' JofF 8/05
Baptista Alexandre 'OPTIONS AND EFFICIENCY IN MULTIDATE SECURITY MARKETS' MF 10/05
Barndorff-Nielsen Ole 'Volatility and Intermittency' Abel Symposium Stochastic
Analysis..Honor of Kiyosi Ito 2005 Norway
Barndorff-Nielsen Ole, Neil Shephard 'Variation, Jumps, Market Frictions and High
Frequency Data in Financial Econometrics' 6/05 <non-parametric>
Barndorff-Nielsen Ole, S. Thorbjorsen 'The Lévy-Itô decomposition in free
probability' Prob. Theory & Related Fields 2/05
Barton D.E., K.E.R. Dennis 'The Conditions under which Gram-Charlier & Edgeworth
Curves are Positive Definite & Unimodal' Biometrika 1952
Beattie Christoper, Mark Embree, D.C. Sorensen 'Convergence of Polynomial Restart
Krylov Methods for Eigenvalue Computations' SIAM Review 8/05
Beilis A., Jan Dash 'A Multivariated Yield-Curve Lognormal Model' CNRS 1989
Beilis A., Jan Dash 'A Strongly Mean-Reverting Yield Curve Model CNRS 1989
Beja A. 'Capital Markets with Delayed Learning' PhD Stanford 1967
Beja A. 'The Structure of the Cost of Capital under Uncertainity' Review of
Economic Studies 1971
Bensoussan Alain, Nizar Touzi, Menaldi Jose Luis 'Penalty approximation and
analytical characterization of the problem of super-replication under portfolio
constraints' 12/4/04
Benth Fred Espen, Thilo Meyer-Brandis 'The density process of the minimal entropy
martingale measure in a stochastic volatility model with jumps' F&S 10/05
<Levy, subordinators, incomplete market,integro-partial differential>
<volatility>
Bernard Carole, Olivier Le Courtois, Francois Quittard-Pinon 'A New Procedure for
Pricing Parisian Options' J. Derivatives Summer 05 <option-Paris>
Bernard Carole, Olivier Le Courtois, Francois Quittard-Pinon 'A Study of the Mutual
Insuarnce of Bank Deposits' Geveva Risk & Insurance Review
Berry Michael, Murray Browne 'Understanding Search Engines:Mathematical Modeling &
Text Retrieval' SIAM Press 2005
Betcke Timo, Lloyd Trefethen 'Reviving the Method of Particular Solutions' SIAM
Review 8/05
Bhar Ramaprasad, Shigeyuki Hamori 'Empirical Techniques in Finance' Springer 2005
Biagini Sara, Marco Frittelli 'Utility maximization in incomplete markets for
unbounded processes' F&S 10/05
Bialkowski Jedrzej, Dobromil Serwa 'Financial contagion, spillovers and causality
in the Markov switching framework' QF 2/05
Bielecki Tomasz, Monique Jeanblanc, Marek Rutkowski 'PDE approach to valuation and
hedging of credit derivatives' QF 6/05
Bierbrauer Juergen 'Introduction to Coding Theory' 1/05 CRC Press
Bierens Herman 'Introduction to the Mathematical & Statistical Foundations of
Econometrics' 2005 Cambridge Press
BLANCO Roberto, SIMON BRENNAN, IAN W. MARSH 'An Empirical Analysis of the Dynamic
Relation between Investment-Grade Bonds and Credit Default Swaps' JofF 10/05
Bleher Pavel, et al (ed) 'Random Matrix Models & Their Applications' Cambridge
Press 2001
Bluhm Christian, Ludger Overbeck 'Co-Monotonic Default Quote Paths for Basket
Evaluation' <one variable approach> RISK 8/05
Bollen Nicolas P. B., Jeffrey A. Busse 'Short-Term Persistence in Mutual Fund
Performance' RFS Summer 05
Bolsinov A.V., A.T. Fomenko 'Integrable Hamiltonian Systems:Geometry, Topology,
Classification' 2004 CRC Press
Bonneau G., J. Faraut, G. Valent 'Self-Adjoint Extensions of Operators & the
Teaching of Quantum Mechanics' Am. J. Physics 2001
Borowiak Dale 'Financial & Actuarial Statistics' 2003 CRC Press
Borwein P., T. Erdelyi 'Polynomials & Polynomial Inequalities' Springer 1995
Boyd John 'Hyperasymptotics and the Linear Boundary Layer Problem: Why Asymptotic
Series Diverge' SIAM Review 8/05
Brandt Michael, Amit Goyal, Pedro Santa-Clara, Jonathan Stroud 'A Simulation
Approach to Dynamic Portfolio Choice with an Application to Learning About
Return Predictability' RFS Fall 2005
Bris Arturo, Ivo Welch 'The Optimal Concentration of Creditors' JofF 10/05
Broadie Mark, Paul Glasserman, Z. Ha 'Pricing American Options by Simulation Using
a Stochastic Mesh with Optimized Weights' in S. Uryasev (ed) Probabilistic
Constrained Optimization:Methodology & Applications Kluwer 2000
Brunner Hermann, Ningning Yan 'Finite element methods for optimal control problems
governed by integral equations and integro-differential equations' Numerische
Mathematik 7/05
Brunnermeier Markus 'Information Leakage and Market Efficiency' RFS Summer 05
Brunnermeier Markus, Lasse Heje Pedersen 'Predatory Trading' JofF 8/05
Bucur Dorin, Giuseppe Buttazzo 'Variational Methods in Shape Optimization Problems'
2005 Birkhauser
Buhler Wofgang, Olaf Korn, Rainer Schobel 'Hedging Long-Term Forwards with Short-
Term Futures: A Two-Regime Approach' Review Deriv. Research 12/04
Busch Lutz-Alexander, Srihari Govindan ‘Robust nonexistence of equilibrium with
incomplete markets’ 9/04 Journal of Mathematical Economics
Cagnol John 'Control & Boundary Analysis' 3/05 CRC Press
CanÉ De Estrada Mariano, Elsa Cortina, Constantino Ferro FontÁn, et al. 'Pricing of
Defaultable Bonds with Log-Normal Spread: Development of the Model and an
Application to Argentinean and Brazilian Bonds During the Argentine Crisis'
Review Deriv. Research 6/05
Caputo Michael 'Foundations of Dynamic Economic Analysis:Optimal Control Theory &
Applications' Cambridge Press 2005
Carr Peter, Helyette Geman, Dilip Madan, Marc Yor 'Pricing options on realized
variance' F&S 10/05 <volatility>
Carrier George, Max Krook, Carl Pearson 'Functions of a Complex Variable:Theory &
Technique' 2005 SIAM Press
CASASSUS Jaime, PIERRE COLLIN-DUFRESNE 'Stochastic Convenience Yield Implied from
Commodity Futures and Interest Rates' JofF 10/05
Chaichian M. 'Path Integrals in Physics: Vol. 1, Stochastic Processes & Quantum
Mechanics' Institute of Physics, Bristol 2001
Chang Yan, Douglas McManus 'Does Mortgage Hedging Raise Long-Term Interest Rate
Volatility' J. Fixed Income 3/05
Chao John C., Norman Swanson 'Consistent Estimation with a Large Number of Weak
Instruments' Econometrica 9/05
Chaudhary Suneal 'American options and the LSM algorithm: quasi-random sequences
and Brownian bridges' J. Comp. Finance Summer 05
Chavez-Demoulin V., A.C. Davison, A.J. McNeil 'Estimating value-at-risk: a point
process approach' QF 4/05
Cheng Shijun, Venky Nagar, Madhav V. Rajan 'Identifying Control Motives in
Managerial Ownership:Evidence from Antitakeover Legislation' RFS Summer 05
Cheridito Patrick, C. Summer 'Utility maximization under increasing risk aversion
in one-period models' F&S tobe 2005
Cheridito Patrick, Freddy Delbaen, Michael Kupper 'Coherent and convex monetary
risk measures for unbounded cádlág processes' F&S 7/05
Chesher Andrew 'Nonparametric Identification under Discrete Variation' Econometrica
9/05
Chevalier Etienne 'CRITICAL PRICE NEAR MATURITY FOR AN AMERICAN OPTION ON A
DIVIDEND-PAYING STOCK IN A LOCAL VOLATILITY MODEL' MF 7/05
Chick S., P.J. Sanchez, D. Ferrin, D.J. Morrice 'EFFICIENT SIMULATION OF GAMMA AND
VARIANCE-GAMMA PROCESSES'portal.acm.org
Choe Hyuk, Bong-Chan Kho, René M. Stulz 'Do Domestic Investors Have an Edge? The
Trading Experience of Foreign Investors in Korea' RFS Fall 2005
Choudhury G., D. Lucantoni, W. Whitt 'Multidimensional Transform Inversion with
Applications to the Transient M/M/1 Queue' annals of Applied Prob. 1994
Choulli Tahir, Christophe Stricker 'MINIMAL ENTROPYHELLINGER MARTINGALE MEASURE IN
INCOMPLETE MARKETS' MF 7/05
Christie Michael 'Uncertainty Estimation & Porous Media Flows' SIAM News 6/05
Cipra Barry 'A Healthy Kind of Heartburn' <ablation destroy tissue> SIAM News 9/05
Cipra Barry 'Equation-Free Computing Gets Something from (Almost) Nothing' SIAM
News 6/05
Clark Andrew 'The use of Hurst and effective return in investing' QF 2/05
Clark J.M.C., D. Crisan 'On a robust version of the integral representation formula
of nonlinear filtering' Prob. Theory & Related Fields 9/05
Cocco João F. 'Portfolio Choice in the Presence of Housing' RFS Summer 05
Cocco João F., Francisco J. Gomes, Pascal J. Maenhout 'Consumption and Portfolio
Choice over the Life Cycle' RFS Summer 05
Cohen Henri, Gerhard Frey, et al 'Handbook of Elliptic & Hyperelliptic Curve
Cryptography' 7/05 CRC Press
Coleman Thomas, Y. Li 'An Interior Trust Region Approach for Nonlinear Minimization
Subject to Bounds' SIAM J. Optim. 1996
Consiglio Andrea, Valerio Lacagnina, Annalisa Russino 'A simulation analysis of the
microstructure of an order driven financial market with multiple securities and
portfolio choices' QF 2/05
Consul Prem, Felix Famove 'Lagrangian Probability Distributions' 2005 Birkhauser
Cont Rama, Ekaterina Voltchkova 'Integro-differential equations for option prices
in exponential Lévy models' F&S 7/05
Cooper F., A. Khare, U. Sukhatme 'Sypersymmetry & Quantum Mechanics'
Costabile Massimo 'A Combinatorial Approach for Pricing Parisian Options' Decisions
in Economics & Finance 2002
Cox Alexander, David Hobson 'Local martingales, bubbles and option prices' F&S
10/05
Cox David, D. Oakes 'Analysis of Survival Data' Chapman & Hall 1984
Cramer H. 'On Some Classes of Series Used Mathematical Statistics' Proc. 6th
Scandinavian Congress of Math. 1925
Crassidis John, John Junkins 'Optimal Estimation of Dynamic Systems' 2004 CRC Press
Creutz M., L. Jacobs, C. Rebbi 'Monte Carlo Computations in Lattice Gauge Theories'
Physics Reports 1983
Da Prato Giuseppe 'Some results on Kolmogorov equations for stochastic PDEs' Abel
Symposium Stochastic Analysis..Honor of Kiyosi Ito 2005 Norway
Dahlgren M. 'A Continuous Time Model to Price Commodity-Based Swing Options' Review
Deriv. Research 6/05
Dai Min, Yue Kuen Kwok 'Valuing employee reload options under the time vesting
requirement' QF 2/05
Dana Rose-Anne 'A REPRESENTATION RESULT FOR CONCAVE SCHUR CONCAVE FUNCTIONS' MF
10/05
Daniluk Andrej, Darius Gatarek 'A fully lognormal Libor market model' <HJM, BGM>
RISK 9/05
Danis Michelle, Anthony Pennington 'A Dynamic Look at Subprime Loan Performance'
Journal of Fixed Income 6/05
Das Sanmay 'A learning market-maker in the Glosten–Milgrom model' QF 4/05
d'Aspremont Alexandre 'Risk-management methods for the Libor market model using
semidefinite programming' J. Comp. Finance Summer 05
DATTA Sudip, MAI ISKANDAR-DATTA, KARTIK RAMAN 'Managerial Stock Ownership and the
Maturity Structure of Corporate Debt' JofF 10/05
Delianedis G., Robert Geske 'Credit Risk & Risk Neutral Default
Probabilities:Information about Rating Migrations & Defaults' wp UCLA 1998
Derman Emmanuel, P. Karasinski, J.S. Wecker 'Understanding Exchange Rate Contracts
in Foreign Stock Investments' Goldman Sachs 1990
Dessein Wouter 'Information and Control in Ventures and Alliances' JofF 10/05
Detemple Jerome, Marcel Rindisbacher 'CLOSED-FORM SOLUTIONS FOR OPTIMAL PORTFOLIO
SELECTION WITH STOCHASTIC INTEREST RATE AND INVESTMENT CONSTRAINTS' MF 10/05