Update Sept 07

Abaffy Jozsef, Marida Bertocchi, Jitka Dupacová, Vittorio Moriggia, Giorgio
Consigli ‘Pricing Nondiversifiable Credit Risk in the Corporate

Eurobond Market’ Journal of Banking and Finance V31 #8, Aug. 2007
Aboura Sofiane, Niklas Wagner ‘Systematic Credit Risk: CDX Index Correlation
and Extreme Dependence’ SSRN 9/07
Acemoglu Daron ‘Equilibrium Bias of Technology’ Econometrica Volume 75,
Issue 5, September 2007
Acerbi Carlo ‘Coherent Measures of Risk in Everyday Market Practice’
Quantitative Finance Volume 7 Issue 4 2007
Achdou Yves 'An Inverse Problem for a Parabolic Variational Inequality with
an Integro-Differential Operator Arising in the Calibration of Lévy
Processes with American Options' 2006 in press
Acklam Peter ‘An Algorithm for Computing the Inverse Normal Cumulative
Distribution Function’ http://home.online.no/~pjacklam/notes/invnorm/
2004
Adam Tim, Sudipto Dasgupta, Sheridan Titman ‘Financial Constraints,
Competition, and Hedging in Industry Equilibrium’ JofF Volume 62: Issue
5, October 2007
Adler Timothy, Mark Kritzman ‘Mean-Variance Analysis versus Full-Scale
Optimization:Out of Sample’ J. of Asset Management 11/06
Ahn Chang Mo, D. Chinhyung Cho, Keehwan Park ‘The Pricing of Foreign
Currency Options under Jump-Diffusion Processes’ (p 669-695) Journal of
Futures Markets Volume 27, Issue 7 (July 2007)
Ahn Soohan, Andrei Badescu ‘On the Analysis of the Gerber–Shiu Discounted
Penalty Function for Risk Processes with Markovian Arrivals’ Insurance:
Mathematics and Economics V. 41, #2 Sept. 2007
Ahrend Rudiger, Pietro Catte, Robert Price ‘Factors Behind Low Long-Term
Interest Rates’ OECD Working Paper No. 2006/18
Alanen J.D., Donald Knuth ‘Tables of Finite Fields’ Sankhya, the Indian
Journal of Statistics Series A 26 no 4 12/64
Albanese Claudio, Antonio Dalessandro ‘Dynamic Credit Correlation Modeling’
2005
Albrecher Hansjörg, Onno Boxma ‘On the Discounted Penalty Function in a
Markov-Dependent Risk Model’ V.37, #3 Dec. 05 Insurance: Mathematics
and Economics
Alexander Carol, Aanand Venkatramanan ‘Analytic Approximations for Spread
Options’ SSRN 9/07
Alexander Carol, Leonardo Nogueira ‘Model-Free Hedge Ratios and Scale-
Invariant Models’ Journal of Banking and Finance V. 31 #6 June 2007
Alfonsi Aurélien, Benjamin Jourdain ‘A Call-Put Duality for Perpetual
American Options. Preprint Cermics 2006-307
Aliber Robert ‘New Techniques for Asessing International Risk: Discussion’
JofF May 1979 Volume 34: Issue 2
Allen Beth ‘Distinguishing Beliefs and Preferences in Equilibrium Prices:
Discussion’ JofF May 1980 Volume 35: Issue 2,
Allen David, Zdravetz Lazarov, Michael Mcaleer ‘Modeling Intra-Day
Seasonality and Forecasting Densities in Financial Duration Data’ J.
Financial Forecasting V.1,#1 2007
Almeida Heitor, Murillo Campello ‘Financial Constraints, Asset Tangibility,
and Corporate Investment’ RFS 9/07 Vol 20, #5
Almendral Ariel, Cornelis Oosterlee ‘On American Options under the Variance
Gamma Process’ Applied Mathematical Finance, Volume 14 Issue 2 2007
Alois Geyer, Michael Hanke, Alex Weissensteiner ‘Life-cycle Asset Allocation
and Optimal Consumption Using Stochastic Linear Programming’ 3/07
Alòs Elisa, Jorge León, Josep Vives ‘On the Short-Time Behavior of the
Implied Volatility for Jump-Diffusion Models with Stochastic
Volatility’ Finance and Stochastics Volume 11, Number 4 / October, 2007
Alparslan Gur Tuncay, Gennady Samorodnitsky ‘Ruin Probability with Certain
Stationary Stable Claims Generated by Conservative Flows’ p.360-384
Advances in Applied Probability Volume 39, Number 2 , June 2007
Alves C.J.S., A.B. Cruzeiro ‘Monte-Carlo Simulation of Stochastic
Differential Systems-A Geometrical Approach’ SP&A tobe 2007
Amin Ahsan ‘Calibrating Multi-Factor Libor Market Models: A New Approach’
2005
Amin Ahsan ‘Multi-factor Cross Currency LIBOR Market Models: Implementation,
Calibration and Examples’ working paper, unpublished. 2003
Amin Ahsan ‘Pricing Bermudan Fixed Income Derivatives in Multi-Factor
Extended Libor Market Model’ 2005?
Amin Gaurav, Harry Kat ‘Stocks, Bonds and Hedge Funds:Not a Free Lunch’ J.
Portfolio Management 29,4 2003
Ammann Manuel, Axel Kind, Christian Wilde ‘Simulation-Based Pricing of
Convertible Bonds’ Journal of Empirical Finance, 2007
Ammann Manuel, Michael Verhofen ‘Testing Conditional Asset Pricing Models
Using a Markov Chain Monte Carlo Approach’ European Financial
Management, Vol. 13, 2007
Anderson Hamish, Christopher Malone, Ben Marshall ‘Time in the Market and
the Long-Horizon Risk of Stocks and Bonds’ SSRN 7/07
Anderson James, Jess Yawitz ‘The Effect of Bond Refunding on Shareholder
Wealth: Reply’ JofF June 1979 V. 34, #3
Anderson Matthew, Jung-Han Kimn ‘Basket Implied Volatility from Geodesics’
<SABR, multiple assets, stochastic volatility, Varadhan asymptotics>
March 07
Andreasen Jesper ‘Stochastic Volatility for Real’ SSRN March 2006 <combine
separable volatility structures in HJM framework with calibration SV,
multi-factor SV term structure models, Libor, Markov property>
Androshchuk Taras ‘Approximation of a Stochastic Integral With Respect to
Fractional Brownian Motion by Integrals with Respect to Absolutely
Continuous Processes’ Theor. Probability and Math. Statist. No. 73
(2006), 19-29.
Androshchuk Taras ‘The Local Asymptotic Normality of a Family of Measures
Generated by Solutions of Stochastic Differential Equations with a
Small Fractional Brownian Motion’ Theor. Probability and Math. Statist.
No. 71 (2005), 1-15.
Angeletos George-Marios, Alessandro Pavan ‘Efficient Use of Information and
Social Value of Information’ Econometrica July 2007 - Volume 75 Issue 4
Antonio Katrien, Jan Beirlant ‘Actuarial Statistics with Generalized Linear
Mixed Models’ Insurance: Mathematics and Economics V. 40, #1 Jan 2007
Antonov Alexandre, Dimitri Raevsky ‘Effective Solutions of the Quasi-Multi
Period Model for Large Credit and ABS Portfolios’ Numerix Quantitative
Research Working Paper No. 4 2003
Antonov Alexandre, Han Lee ‘Interest Rate Modelling Framework in Discrete
Rolling Spot Measure’ 2004
Antonov Alexandre, Serguei Mechkov, Timur Misirpashaev ‘Analytical
Techniques for Synthetic CDSs and Credit Default Measures’ NumeriX 2005
Antonov Alexandre, Timur Misirpashaev, Vladimir Piterbarg ‘Markovian
Projection onto a Heston Model’ <reduction of dimensionality of smile-
enabled models projecting to displaced two-dimensional Heston process,
efficient, analytical approximations to European option prices in such
models, stochastic volatility, Gyöngy lemma, index options, basket
options, spread options> SSRN 7/07
Apreda Rodolfo ‘Differential Rates, Residual Information Sets and
Transactional Algebras’ Documento de Trabajo nro. 256 SSRN 9/07
Arisoy Yakup Eser, Aslihan Altay Salih, Mustafa Pinar ‘Nonnegative Wealth,
Options, and C-CAPM’ SSRN 8/2007
Armerin Fredrik, Bjarne Astrup Jensen, Tomas Björk ‘Term Structure Models
with Parallel and Proportional Shifts’ Applied Mathematical Finance,
Volume 14 Issue 3 2007
Asimit Alexandru, Bruce Jones ‘Extreme Behavior of Bivariate Elliptical
Distributions’ Insurance: Mathematics and Economics V. 41, #1 July 07
Asimit Alexandru, Bruce Jones ‘Extreme Behavior of Multivariate Phase-Type
Distributions’ Insurance: Mathematics and Economics V. 41, #2 Sept.
2007
Asness Clifford, John Liew, Ross Stevens ‘Parallels between The Cross-
Sectional Predictability Of Stock And Country Returns’ The Journal Of
Portfolio Management Spring 1997
Astic Fabian, Nizar Touzi ‘No Arbitrage Conditions and Liquidity’ Journal of
Mathematical Economics V. 43, #6 Aug. 07
Athreya Krishna, Soumendra Lahir ‘Measure Theory and Probability Theory’
Springer 2006
Audrino Francesco, Fabio Trojani ‘Accurate Short-Term Yield Curve
Forecasting Using Functional Gradient Descent’ University of St.Gallen,
Department of Economics, Discussion Paper No. 2007-24 SSRN 7/07
Avanzi Benjamin, Hans Gerber, Elias Shiu ‘Optimal Dividends in the Dual
Model’ Insurance: Mathematics and Economics V. 41, #1 July 07
Avouyi-Dovi Sanvi, Sébastien Morin, David Neto ‘Optimal Asset Allocation
with Omega Function’ w. Banque de France 2004
Avramov Doron, Tarun Chordia, Gergana Jostova, Alexander Philipov ‘Momentum
and Credit Rating’ JofF Volume 62: Issue 5, October 2007
Ayres Herbert, John Barry ‘Prologue to a Unified Portfolio Theory’ JofF May
1982 Volume 37: Issue 2,
Azeredo Francisco, Viral Shah ‘Asset Pricing in an Exchange Economy with
Bayesian Agents’ SSRN 8/07
Bacchetta Philippe, Eric van Wincoop ‘Incomplete Information Processing: A
Solution to the Forward Discount Puzzle’ SSRN 8/07
Bacchetta Philippe, Eric van Wincoop ‘Random Walk Expectations and the
Forward Discount Puzzle’ NBER Working Paper No. W13205 SSRN 7/07
Back Kerry, Shumuel Baruch ‘Working Orders in Limit Order Markets and Floor
Exchanges’ Journal of Finance Aug. 2007 Vol. 62 Issue 4
Baev A.V., B.V. Bondarev ‘On the Ruin Probability of an Insurance Company
Dealing in a $BS$-Market’ Theor. Probability and Math. Statist. No. 74
(2007), 11-23.
Baiman Stanley ‘Issues in Financial Accounting: Discussion’ JofF May 1980
Volume 35: Issue 2,
Bajari Patrick, C. Lanier Benkard, Jonathan Levin ‘Estimating Dynamic Models
of Imperfect Competition’ Econometrica Volume 75, Issue 5, September
2007
Bajlum Claus, Peter Tind Larsen ‘Accounting Transparency and the Term
Structure of Credit Default Swap Spreads’ SSRN 8/07
Bakhtin Yuri ‘Exit Asymptotics for Small Diffusion about an Unstable
Equilibrium’ SP&A tobe 2007
Bali Turan, Susan Hume, Terrence Martell ‘A New Look at Hedging With
Derivatives: Will Firms Reduce Market Risk Exposure?’ Journal of
Futures Markets Volume 27, Issue 11 (November 2007)
Balland Philippe ‘Markov LIBOR Models' Risk Conference 2002
Balland Philippe 'Semi-Analytic Mesh:from S to M' Merrill Lynch 1999
Bandi Federico, Jeff Russell ‘Volatility Estimation’ Handbooks in Operations
Research and Management Science—Financial Engineering V. 15, 2007
Bansal Ravi, A. Ronald Gallant, George Tauchen ‘Rational Pessimism, Rational
Exuberance, and Asset Pricing Models’ Review of Economic Studies, Vol.
74, Issue 4 10/07
Banz Rolf ‘The Relative Efficiency of Various Portfolios: Some Further
Evidence: Discussion’ JofF May 1980 Volume 35: Issue 2,
Baquero Guillermo, Marno Verbeek ‘Do Sophisticated Investors Believe in the
Law of Small Numbers?’ AFA 2007 Chicago Meetings Paper SSRN 7/07
Baran Michal ‘Asymptotic Pricing in Large Financial Markets’ Volume 66,
Number 1 / August, 2007 Journal Mathematical Methods of Operations
Research
Barbe Philippe, William Mccormick, Chenhua Zhang ‘Tail Expansions for the
Distribution of the Maximum of a Random Walk With Negative Drift and
Regularly Varying Increments’ SP&A tobe 2007
Barber Sarah, Timothy Chartier ‘Bending a Soccer Ball with CDF’
<computational fluid dynamics> SIAM News July/Aug 2007
Barco Michael ‘Going Downturn’ <downturn loss given default (LGD)> RISK
August 2007
Bardou Olivier, Sandrine Bouthemy, Gilles Pagès ‘Optimal Quantization for
the Pricing of Swing Options’ 4/07 <stochastic control, optimal
quantization, energy>
Bardou Olivier, Sandrine Bouthemy, Gilles Pagès ‘When Are Swing Options
Bang-Bang And How To Use It?’ 4/07 <pay-off, stochastic control,
optimal quantization, energy>
Barrieu Pauline, Nadine Bellamy ‘Optimal Hitting Time and Perpetual Option
in a Non-Lévy Model: Application to Real Options’ p.510-530 Advances in
Applied Probability Volume 39, Number 2 , June 2007
Baruch Shmeul, G. Andrew Karolyi, Michael Lemmon ‘Multimarket Trading and
Liquidity: Theory and Evidence’ JofF Volume 62: Issue 5, October 2007
Basak Suleyman, Anna Pavlova, Alexander Shapiro ‘Optimal Asset Allocation
and Risk Shifting in Money Management’ RFS 9/07 Vol 20, #5
Batta George, George Chacko, Bala Dharan ‘Valuation Consequences of
Convertible Debt Issuance’ SSRN 9/07
Baudoin Fabrice, Josef Teichmann ‘Hypoellipticity in Infinite Dimensions and
an Application to Interest Rate Theory’ (arXiv/0508452), Annals of
Applied Probability 15 (3), 1765-1777, 2005.
Bauer Christian ‘A Better Asymmetric Model of Changing Volatility in Stock
Returns: Trend-GARCH’ Universität Bayreuth Diskussionspapier No. 03-05
SSRN 7/07
Bauer Christian, Sebastian Horlemann ‘Modeling the Term Structure of
Exchange Rate Expectations’ SSRN 7/07
Bauwens Luc, Arie Preminger, Jeroen Rombouts ‘Theory and Inference for a
Markov Switching GARCH Model’ SSRN 9/07
Bauwens Luc, Fausto Galli ‘Efficient Importance Sampling for ML Estimation
of SCD Models’ CORE Discussion Paper No. 2007/53
Bauwens Luc, Giuseppe Storti ‘A Component GARCH Model with Time Varying
Weights’ CORE Discussion Paper No. 2007/19
Baviera Roberto ‘A Simple Solution for Sticky Cap and Sticky Floor’
Quantitative Finance, Volume 7 Issue 3 June 2007
Baxter Martin ‘Lévy Simple Structural Models’ International Journal of
Theoretical and Applied Finance Vol. 10, No. 4 (June 2007)
Bayraktar Erhan, Ulrich Horst, Ronnie Sircar ‘Queuing-Theoretic Approaches
to Financial Price Fluctuations’ Handbooks in Operations Research and
Management Science—Financial Engineering V. 15, 2007
Bayraktar Erhan, Virginia Young ‘Hedging Life Insurance with Pure
Endowments’ Insurance: Mathematics and Economics V. 40 #3 May 2007
Bayraktar Erhan, Virginia Young ‘Minimizing the Probability of Lifetime Ruin
under Borrowing Constraints’ Insurance: Mathematics and Economics V.
41, #1 July 07
Becker Ralf, Adam E. Clements, Scott I. White ‘Does Implied Volatility
Provide Any Information Beyond that Captured In Model-Based Volatility
Forecasts?’ Journal of Banking and Finance V31 #8, Aug. 2007
Bégyn Arnaud ‘Functional Limit Theorems for Generalized Quadratic Variations
of Gaussian Processes’ SP&A tobe 2007
Beja Avraham, M. Barry Goldman ‘Market Prices vs. Equilibrium Prices:
Returns’ Variance, Serial Correlation, and the Role of the Specialist’
JofF June 1979 V. 34, #3
Beja Avraham, M. Barry Goldman ‘On the Dynamic Behavior of Prices in
Disequilibrium’ JofF May 1980 Volume 35: Issue 2,
Belzunce Félix, Eva-María Ortega, José Ruiz ‘On Non-Monotonic Ageing
Properties from the Laplace Transform, with Actuarial Applications’
Insurance: Mathematics and Economics V. 40, #1 Jan 2007
Bender Christian, Robert Denk ‘A Forward Scheme for Backward SDEs’ SP&A tobe
2007
Benito Juan José, Francisco Ureña, Luis Gavete 'Solving Parabolic and
Hyperbolic Equations by the Generalized Finite Difference Method'
Journal of Computational and Applied Mathematics Vol 209, #2 12/07
Benninga Simon ‘An Immunization Strategy is a Minimax Strategy: Discussion’
Benninga Simon ‘General Equilibrium with Financial Markets: Existence,
Uniqueness, and Implications for Corporate Finance’ JofF May 1979
Volume 34: Issue 2
Benth Fred Espen, Jan Kallsen, Thilo Meyer-Brandis ‘A Non-Gaussian Ornstein-
Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives
Pricing’ Applied Mathematical Finance, Volume 14 Issue 2 2007
Benth Fred Espen, Steen Koekebakker, Fridthjof Ollmar ‘Extracting and
Applying Smooth Forward Curves From Average-Based Commodity Contracts
with Seasonal Variation’ Journal of Derivatives. New York : Fall 2007.
Vol. 15, Iss. 1
Benzoni Luca, Pierre Collin-Dufresne, Robert Goldstein ‘Portfolio Choice
over the Life-Cycle when the Stock and Labor Markets Are Cointegrated’
JofF Volume 62: Issue 5, October 2007
Berd Berd, Robert Engle, Artem Voronov ‘The Underlying Dynamics Of Credit
Correlations’ Journal of Credit Risk Volume 3 / Number 2 2007
Berndt Antje, Robert Jarrow, Choongoh Kang ‘Restructuring Risk in Credit
Default Swaps: An Empirical Analysis’ SP&A tobe 2007
Berrospide Jose, Amiyatosh Purnanandam, Uday Rajan ‘The Financial Effects of
Real Hedging’ SSRN 9/07
Bester Alan, Christian Hansen ‘Identification of Marginal Effects in a
Nonparametric Correlated Random Effects Model’ SSRN 9/07
Bhattacharya Sudipto ‘Aspects of Monetary and Banking Theory and Moral
Hazard’ JofF May 1982 Volume 37: Issue 2,
Bhattacharya Sudipto ‘General Equilibrium with Financial Markets: Existence,
Uniqueness, and Implications for Corporate Finance: Discussion’ JofF
May 1979 Volume 34: Issue 2
Bhattacharya Sudipto ‘Imperfect Information, Dividend Policy, and "The Bird
in the Hand" Fallacy’ Bell Journal of Economics. Spring 1979, TVI V. II
Bianchi Sergio, Augusto Pianese ‘Modelling Stock Price Movements:
Multifractality or Multifractionality?’ Quantitative Finance, Volume 7
Issue 3 June 2007
Bielecki Tomasz, Stephane Crépey, Monique Jeanblanc, Marek Rutkowski
‘Valuation of Basket Credit Derivatives in the Credit Migrations
Environment’ Handbooks in Operations Research and Management Science—
Financial Engineering V. 15, 2007
Bienstock Daniel ‘Histogram Models for Robust Portfolio Optimization’ J.
Computational Finance V. 11, #1 2007
Billett Mathew, Hui Xue ‘The Takeover Deterrent Effect of Open Market Share
Repurchases’ Journal of Finance Aug. 2007 Vol. 62 Issue 4
Binay Murat, Vladimir Gatchev, Christo Pirinsky ‘The Role of Underwriter-
Investor Relationships in the IPO Process’ JF&QA Vol. 42, No. 3,
September 2007
Birge John ‘Optimization Methods in Portfolio Management’ Handbooks in
Operations Research and Management Science—Financial Engineering V. 15,
2007
Bizid Abdelhamid, Elyes Jouini, Pierre-François Koehl ‘Pricing of Non-
Redundant Derivatives in a Complete Market’ SSRN 8/2007
Björk Tomas ‘Topics in Interest Rate Theory’ Handbooks in Operations
Blitz David, Pim van Vliet ‘The Volatility Effect: Lower Risk without Lower
Return’ ERIM Report Series Reference No. ERS-2007-044-F&A 9/07
Blume Marshall ‘The Relative Efficiency of Various Portfolios: Some Further
Evidence’ JofF May 1980 Volume 35: Issue 2,
Bochet Olivier ‘Switching from Complete to Incomplete Information’ Journal
of Mathematical Economics V. 43, #6 Aug. 07
Boguth Oliver, Murray Carlson, Adlai J. Fisher, Mikhail Simutin ‘Conditional
Risk, Overconditioning, and the Performance of Momentum Strategies’
SSRN 7/07
Bollen Nicolas ‘Mutual Fund Attributes and Investor Behavior’ JF&QA Vol. 42,
No. 3, September 2007
Bondarenko Oleg, I. Rodriguez Longarela ‘Benchmark Good-Deal Bounds: An
Application to Stochastic Volatility Models of Option Pricing’ SSRN
9/07
Bookstaber Richard ‘Global Risk Management: Are We Missing the Point?’
Journal of Portfolio Management, 1997
Bookstaber Richard ‘Observed Option Mispricing and the Nonsimultaneity of
Stock and Option Quotations’ The Journal of Business, 1981
Bookstaber Richard ‘Risk Management in Complex Organizations’ Financial
Analysts Journal 55, #2 (March/April 1999) p. 18-20
Bookstaber Richard ‘Understanding and Monitoring the Liquidity Crisis Cycle’
Financial Analysts Journal, 2000
Bookstaber Richard, David Jacob ‘The Composite Hedge: Controlling The Credit
Risk Of High-Yield Bonds’ Financial Analysts Journal, March/April 1986
Bookstaber Richard, Joseph Langsam ‘On the Optimality of Coarse Behavior
Rules’ Journal of Theoretical Biology 116, 1985 p. 161-193
Bookstaber Richard, Roger Clarke ‘Options Can Alter Portfolio Return
Distributions’ Journal of Portfolio Management, 1981
Bookstaber Richard, Steven Pomerantz ‘An Information-Based Model Of Market
Volatility’ Financial Analysts Journal, 1989
Borden Sara, Asani Sakar ‘Securitizing Property Catastrophe Risk’ Current
Issues in Economics and Finance, Vol. 2, No. 9, August 1996
Borisov A.V. ‘State Analysis of Hidden Markov Models Governed by Special
Jump Processes’ Theory of Probability and Its Applications Volume 51,
Issue 3 2007
Bossaerts Peter, Charles Plott, William Zame ‘Prices and Portfolio Choices
in Financial Markets: Theory, Econometrics, Experiments’ Econometrica
July 2007 - Volume 75 Issue 4
Bossy Mireille, Emmanuel Gobet, Denis Talay ‘A Symmetrized Euler Scheme for
an Efficient Approximation of Reflected Diffusions’ J. Appl. Probab.,
41 (2004), Pp. 877–889.
Bouchard Bruno, Romuald Elie ‘Discrete-Time Approximation of Decoupled
Forward–Backward SDE with Jumps’ SP&A tobe 2007
Bouezmarni Taoufik, Jeroen Rombouts 'Semiparametric Multivariate Density
Estimation for Positive Data Using Copulas’ CORE Discussion Paper No.
2007/54
Bower Richard ‘Admissible Rate Bases, Fair Rates of Return, and the
Structure of Regulation: Discussion’ JofF May 1980 Volume 35: Issue 2,
Bowman Robert ‘The Theoretical Relationship Between Systematic Risk and
Financial (Accounting) Variables’ JofF June 1979 V. 34, #3
Boyarchenko Nina, Sergei Levendorskii ‘American Options in Regime-Switching
Models with Stochastic Interest Rates’ Computational Methods in Finance
U. Waterloo 7/07
Boyarchenko Nina, Sergei Levendorskii ‘The Eigenfunction Expansion Method in
Multi-Factor Quadratic Term Structure Models’ Mathematical Finance
10/07 V. 17, #4
Boyarchenko Svetlana, Sergei Levendorski ‘American Options in Lévy: Models
with Stochastic Interest Rates’ SSRN 9/07
Boyarchenko Svetlana, Sergei Levendorski ‘American Options in Regime-
Switching Lévy Models With Non-Semibounded Stochastic Interest Rates’
SSRN 9/07
Boyarchenko Svetlana, Sergei Levendorskii ‘Optimal Stopping Made Easy’
Journal of Mathematical Economics V. 43, #2 Feb.07
Boyle Phelim, Carole Bernard ‘Les Méthodes De Monte Carlo Sont Plus Que
Jamais D’actualité’ Computational Methods in Finance U. Waterloo 7/07
Boyle Phelim, Mary Hardy ‘Financial Engineering: Applications in Insurance’
Handbooks in Operations Research and Management Science—Financial
Engineering V. 15, 2007
Boyle Phelim, Shui Feng, Weidong Tian ‘Large Deviation Techniques and
Financial Applications’ Handbooks in Operations Research and Management
Science—Financial Engineering V. 15, 2007
Boyle Phelim, Thangaradj Draviam ‘Pricing Exotic Options under Regime
Switching’ Insurance: Mathematics and Economics V. 40, #2 March 2007
Braga Maria Debora Debora, Francesco Paolo Natale ‘TEV Sensitivity to Views
in Black-Litterman Model’ SSRN 9/07
Brandt Michael Kenneth Kavajecz, Shane Underwood ‘Price Discovery in the
Treasury Futures Market’ Journal of Futures Markets Volume 27, Issue 11
(November 2007)
Bratiychuk M.S., D. Derfla ‘On a Modification of the Classical Risk Process’
Insurance: Mathematics and Economics V. 41, #1 July 07
Breeden Douglas ‘Consumption Risk in Futures Markets’ JofF May 1980 Volume
35: Issue 2,
Breeden Douglas ‘The Term Structure: Discussion’ JofF May 1980 Volume 35:
Issue 2,
Brenner Menachem, Marti Subrahmanyam ‘A Simple Formula to Compute the
Implied Standard Deviation’ Financial Analyst Journal, 5:80–83, 1988.
Briand Philippe, Fulvia Confortola ‘BSDEs with Stochastic Lipschitz
Condition and Quadratic PDEs in Hilbert Spaces’ SP&A tobe 2007
Briani Maya, Roberto Natalini, Giovanni. Russo ‘Implicit-Explicit Numerical
Schemes for Jump-Diffusion Processes’ IAC Report 38 2004
Brigo Damiano, Andrea Pallavicini, Roberto Torresetti ‘Cluster-Based
Extension of the Generalized Poisson Loss Dynamics and Consistency with
Single Names’ International Journal of Theoretical and Applied Finance
Vol. 10, No. 4 (June 2007)
Brinson Gary, L. Randolph Hood, Gilbert Beebower ‘Determinants of Portfolio
Performance’ FAJ July/Aug 1986
Brooks Robert, Xibin Zhang, Emawtee Bissoondoyal Bheenick ‘Country Risk and
the Estimation of Asset Return Distributions’ Quantitative Finance,
Volume 7 Issue 3 June 2007
Brown Jeffrey, Nellie Liang, Scott Weisbenner ‘Executive Financial
Incentives and Payout Policy: Firm Responses to the 2003 Dividend Tax
Cut’ Journal of Finance Aug. 2007 Vol. 62 Issue 4
Brusco Sandro, Fabio Castiglionesi ‘Liquidity Coinsurance, Moral Hazard, and
Financial Contagion’ JofF Volume 62: Issue 5, October 2007
Buchmann F.M., W. P. Petersen ‘Solving Dirichlet Problems Numerically Using
the Feynman–Kac Representation’ BIT, 43 (2003), Pp. 519–540.
Buckman Gregory, James Ohlson ‘Toward a Theory of Financial Accounting’ JofF
May 1980 Volume 35: Issue 2,
Buescu Cristin, Abel Cadenillas, Stanley Pliska ‘A Note on the Effects of
Taxes on Optimal Investment’ Mathematical Finance 10/07 V. 17, #4
Buraschi Andrea, Paolo Porchia, Fabio Trojani ‘Correlation Risk and Optimal
Portfolio Choice’ 5/06
Burgert Christian, Ludger Rüschendorf ‘Consistent Risk Measures for
Portfolio Vectors’ V38 #2 April 06 Insurance: Mathematics and Economics
Burnside A. Craig ‘Empirical Asset Pricing and Statistical Power in the
Presence of Weak Risk Factors’ NBER Working Paper No. W13357 9/07
Buser Stephen ‘Anti-Diversification or Optimal Programmes for Infrequently
Revised Portfolios: Discussion’ JofF May 1979 Volume 34: Issue 2
Cadsby Charles ‘Performance Hypothesis Testing with the Sharpe and Treynor
Measures: A Comment’ JofF Volume 41: Issue 5, December 86
Cai Jie, Anand Vijh ‘Incentive Effects of Stock and Option Holdings of
Target and Acquirer CEOs’ Journal of Finance Aug. 2007 Vol. 62 Issue 4
Cai Jun ‘On the Time Value of Absolute Ruin with Debit Interest’ p. 343-359
Advances in Applied Probability Volume 39, Number 2 , June 2007
Calvet Laurent, Adlai Fisher ‘Multifrequency News and Stock Returns’ J.
Financial Economics Vol 86, # 1 Oct. 2007
Camara Antonio, Chung San-Lin, Yaw-Huei Wang ‘The Cost of Equity Capital
Implied by Option Market Prices’ SSRN 8/07
Camara Antonio, Weiping Li ‘Role of Jumps in Equilibrium Option Prices’ SSRN
7/07
Campi Luciano, Umut Çetin ‘Insider Trading in an Equilibrium Model with
Default: A Passage from Reduced-Form to Structural Modelling’ Finance
and Stochastics Volume 11, Number 4 / October, 2007
Campolieti Giuseppe, Roman Makarov ‘Option Pricing Under Solvable
Multivariate Diffusion Models’ Computational Methods in Finance U.
Waterloo 7/07
Cantor Richard, David Hamilton ‘Adjusting Corporate Default Rates for Rating
Withdrawals’ Journal of Credit Risk Volume 3 / Number 2 2007
Cao Melanie, Anlong Li, Jason Zhanshun Wei ‘Weather Derivatives: A New Class
of Financial Instruments’ SSRN 9/07
Caporale Guglielmo Maria, Luis A. Gil-Alana ‘Long-Range Forecasting of the
S&P 500 Stock Market Index Using Fractional Integration Techniques’ J.
Carassus Laurence, Elyes Jouini ‘A Discrete Stochastic Model for Investment
with a Discrete Stochastic Model for Investment with an Application to
the Transaction Costs Case’ Journal of Mathematical Economics, Vol. 33,
pp. 57-80, 2000
Cariboni Jessica, Wim Schoutens ‘Pricing Credit Default Swaps under Lévy
Models’ Journal of Computational Finance 2007 Volume 10 / Number 4
Carlier G., R.-A. Dana ‘Are Generalized Call-Spreads Efficient?’ <Insurance>
Journal of Mathematical Economics V. 43, #5 June 07
Carlin Bruce Ian, Miguel Sousa Lobo, S. Viswanathan ‘Episodic Liquidity
Crises: Cooperative and Predatory Trading’ JofF Volume 62: Issue 5,
October 2007
Carlson Murray, Zeigham Khokher, Sheridan Titman ‘Equilibrium Exhaustible
Resource Price Dynamics’ Journal of Finance Aug. 2007 Vol. 62 Issue 4
Carr Peter, Liuren Wu ‘Stochastic Skew in Currency Options’ <Time-changed
Lévy processes> J. Financial Economics Vol 86, # 1 Oct. 2007
Carr Peter, Liuren Wu ‘Theory and Evidence on the Dynamic Interactions
between Sovereign Credit Default Swaps and Currency Options’ Journal of
Banking and Finance V31 #8, Aug. 2007
Carr Peter, Liuren Wu 'Variance Risk Premia' Review of Financial Studies to
be 2007?
Carr Peter, Roger Lee ‘At-the-Money Implied as A Robust Approximation of the
Volatility Swap Rate’ working paper, Bloomberg LP
Carr Peter, Roger Lee ‘Robust Replication of Volatility Derivatives’ June 2,
2007
Carr Peter, Wim Schoutens ‘Hedging Under the Heston Model with Jump-to-
Default’ <variance swaps, CDS> SSRN 9/07
Cascon Ana, Con Keating, William Shadwick ‘The Omega Function’ 3/03
Castanias Richard ‘Macroinformation and the Variability of Stock Market
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Giacometti Rosella, Marida Bertocchi, Svetlozar Rachev, Frank Fabozzi
‘Stable Distributions in the Black-Litterman Approach to Asset
Allocation’ Quantitative Finance Volume 7 Issue 4 2007
Gibbons Michael ‘Dividend Policy and Valuation: Theory and Tests:
Discussions’ JofF May 1982 Volume 37: Issue 2,
Giesecke Kay, Baeho Kim ‘Estimating Tranche Spreads by Loss Process
Simulation’ SSRN 7/07
Giesecke Kay, Lisa Goldberg ‘A Top Down Approach to Multi-name Credit’ 2005
Gil Amparo, Javier Segura, Nico Temme ‘Numerical Methods for Special
Functions’ SIAM Press 2007
Giles Mike, F. Kuo, B. Waterhouse ‘Multilevel Quasi Monte Carlo Path
Simulation’ Computational Methods in Finance U. Waterloo 7/07
Givo Dror ‘Strong Convergence Rate for Two-Time-Scale Jump-Diffusion
Stochastic Differential Systems’ <ergodicity assumption, Lyapunov
function, multiscale; averaging; mixing> SIAM Journal of Multiscale
Modeling & Simulation V. 6, #2 7/07
Givry Philippe, Patrick Topsacalian ‘A Barrier Synthetic Calls Approach to a
Stock and Equity’s Valuation when Stockholders Refer to a Heterogeneous
Valuation’s Framework’ GSCM-Montpellier Business School and University
of Lyon 3 SSRN 7/07
Glasserman Paul ‘Calculating Portfolio Credit Risk’ Handbooks in Operations
Glonti O., P. Harremoës, Z. Khechinashvili, F. Topsøe ‘Nash Equilibrium in a
Game of Calibration’ Theory of Probability and Its Applications Volume
51, Issue 3 2007
Gloter Arnaud ‘Efficient Estimation of Drift Parameters in Stochastic
Volatility Models’ Finance and Stochastics Volume 11, Number 4 /
October, 2007
Glover Fred ‘A Parametric (Scaled Penalty) TS Method for a Linear
Complementary Problem’ U. Colorado 2005 <TS=Tabu Search>
Goard Joanna ‘Using Utility Functions to Model Risky Bonds’ Applied
Mathematical Finance, Volume 14 Issue 3 2007
Gobet Emmanuel ‘Weak Approximation of Killed Diffusion Using Euler Schemes’
Stochastic Process. Appl., 87 (2000), Pp. 167–197.
Gobet Emmanuel, Stephane Menozzi ‘Exact Approximation Rate of Killed
Hypoelliptic Diffusions Using the Discrete Euler Scheme’ Stochastic
Process. Appl., 112 (2004), Pp. 201–223.
Godbey Jonathan, Jimmy Hilliard ‘Adjusting Stacked-Hedge Ratios for
Stochastic Convenience Yield: a Minimum Variance Approach’ Quantitative
Finance, Volume 7 Issue 3 June 2007
Goldman M. Barry ‘Anti-Diversification or Optimal Programmes for
Infrequently Revised Portfolios’ JofF May 1979 Volume 34: Issue 2
Goldstein Alice, Barbara Markowitz ‘SOFASIM: A Dynamic Insurance Model with
Investment Structure, Policy Benefits and Taxes’ JofF May 1982 Volume
37: Issue 2,
Goldstein Daniel, Nassim Taleb ‘We Don't Quite Know What We Are Talking
About’ Journal of Portfolio Management Summer 2007 <absolute deviation
vrs standard deviation>
Golosov Mikhail, Larry E. Jones, Michele Tertilt ‘Efficiency with Endogenous
Population Growth’ Econometrica July 2007 - Volume 75 Issue 4
Gong Q., W. Kang, L.M. Ross 'A Pseudo-Spectral Method for the Optimal
Control of Constrained Feedback Linearizable Systems' IEEE Trans.
Automat. Control 51:7 (2006)
Gonzalez Ana, Gonzalo Rubio ‘Portfolio Choice and the Effects of Liquidity’
SSRN 7/07
Goodman Stephen ‘Foreign Exchange Rate Forecasting Techniques: Implications
for Business and Policy’ JofF May 1979 Volume 34: Issue 2
Gorenflo Rudolf, Francesco Mainardi, Enrico Scalas, Marco Raberto
‘Fractional Calculus and Continuous-Time Finance III: The Diffusion
Limit’ In M Kohlmann, S Tang. Mathematical Finance. (Pp. 171-180) 2001
Gorovoy Vyacheslav, Vadim Linetsky ‘Intensity-Based Valuation of Residential
Mortgages: An Analytically Tractable Model’ Mathematical Finance 10/07
V. 17, #4
Gorovyi S.O. ‘The Limit Value of the Price of a European Call Option in the
Binomial Model’ Theor. Probability and Math. Statist. No. 74 (2007),
25-28.
Gorton Gary, Fumio Hayashi, K. Geert Rouwenhorst ‘The Fundamentals of
Commodity Futures Returns’ NBER Working Paper No. W13249 SSRN 7/07
Gourieroux Christian, Razvan Sufana ‘Pricing with Wishart Risk Factors’
Goyenko Ruslan, Avanidhar Subrahmanyam, Andrey Ukhov ‘The Term Structure of
Bond Market Liquidity’ SSRN 8/07
Grandits Peter, Christopher Summer ‘Risk Averse Asymptotics and the Optional
Decomposition’ Theory of Probability and its Application Volume 51,
Issue 2 (2006-2007)
Grasselli Matheus, Tom Hurd ‘Indifference Pricing and Hedging for Volatility
Derivatives’ p.303 – 317 Applied Mathematical Finance, Volume 14 Issue
4 2007
Gray Philip, Shane Edwards, Egon Kalotay ‘Canonical Valuation and Hedging of
Index Options’ Journal of Futures Markets Volume 27, Issue 8 (Aug.
2007)
Green Richard ‘Positively Weighted Portfolios on the Minimum-Variance
Frontier’ JofF Volume 41: Issue 5, December 86
Green Richard ‘Presidential Address: Issuers, Underwriter Syndicates, and
Aftermarket Transparency’ Journal of Finance Aug. 2007 Vol. 62 Issue 4
Greenwald Bruce ‘Admissible Rate Bases, Fair Rates of Return and the
Structure of Regulation’ JofF May 1980 Volume 35: Issue 2,
Grinold Richard, Ronald Kahn ‘Active Portfolio Management’ McGraw Hill 2000
Grinols Earl ‘Production and Risk Leveling in the Intertemporal Capital
Asset Pricing Model’ JofF Volume 39: Issue 5, Dec. 1984
Guidolin Massimo, Allan Timmermann ‘Asset Allocation under Multivariate
Regime Switching’ JED&C 11/07 V. 31, #11
Gulpinar Nalan, Berc Rustem ‘Worst-Case Robust Decisions for Multi-period
Mean-Variance Portfolio Optimization’ 2/06 <stochastic programming,
nonlinear programming, risk management, scenario tree>
Gundel Anne, Stefan Weber ‘Robust Utility Maximization with Limited Downside
Risk in Incomplete Markets’ SP&A tobe 2007
Guo Hui, Jason Higbee ‘Market Timing with Aggregate and Idiosyncratic Stock
Volatilities’ Journal of Portfolio Management Summer 2007
Guo Jia-Hau ‘Pricing American Options on Foreign Currency with Stochastic
Volatility, Jumps, and Stochastic Interest Rates’ Journal of Futures
Markets Volume 27, Issue 9 (Sept. 2007)
Guo Jia-Hau, Mao-Wei Hung ‘A Note on the Discontinuity Problem in Heston's
Stochastic Volatility Model’ p.339 – 345 Applied Mathematical Finance,
Gupta Aparna, Zhisheng Li ‘Integrating Optimal Annuity Planning With
Consumption–Investment Selections in Retirement Planning’ Insurance:
Mathematics and Economics V. 41, #1 July 07
Gusak D.V. ‘Versions of a Compound Poisson Process’ Theor. Probability and
Math. Statist. No. 69 (2004), 27-38.
Gustafson Mark, Gauray Jetley ‘A Hybrid Approach to Valuing American
Parisian Options’ SSRN 7/07
Guthrie Graeme, Lewis T. Evans ‘Commodity Price Behavior with Storage
Frictions’ SSRN 7/07
Hackbarth Dirk, Christopher Hennessy, Hayne Leland ‘Can the Trade-off Theory
Explain Debt Structure?’ RFS 9/07 Vol 20, #5
Hakansson Nils ‘To Pay or Not to Pay Dividend’ JofF May 1982 Volume 37:
Issue 2,
Hall A., M.G. Temido ‘On the Maximum Term of MA and Max-AR Models with
Margins in Anderson's Class’ Theory of Probability and its Application
Volume 51, Issue 2 (2006-2007)
Hamada Robert ‘Financial Theory and Taxation in an Inflationary World: Some
Public Policy Issues’ JofF May 1979 Volume 34: Issue 2
Han Chuan-Hsiang, Yongzeng Lai ‘A Generalized Control Variate Method for
Pricing Asian Options Under Stochastic Volatility Models’ Computational
Hansen Bruce ‘Least Squares Model Averaging’ Econometrica July 2007 - Volume
75 Issue 4
Hanson Floyd ‘Applied Stochastic Processes and Control for Jump
Diffusions:Modeling, Analysis and Computation’ SIAM Press 2007
Hao Tao ‘Option Pricing and Hedging Bounds in Incomplete Markets’ SSRN 9/07
Hart Oliver ‘Take-over Bids and Stock Market Equilibrium’ JET 10/77 , TVI V.
II
Hart Oliver, Sanford Grossman ‘Disclosure Laws and Takeover Bids’ JofF May
Hashorva Enkelejd ‘On the Asymptotic Distribution of Certain Bivariate
Reinsurance Treaties’ Insurance: Mathematics and Economics V. 40, #2
March 2007
Hatchondo Juan Carlos, Leonardo Martinez, Horacio Sapriza ‘The Economics of
Sovereign Defaults’ FRB Richmond Economic Quarterly Spring 2007 Vol. 93
No. 2
Haug Especn Gaarder, Nassim Taleb ‘Why We Have Never Used the Black-Scholes-
Merton Option Pricing Formula’ SSRN 9/07
Haugh Martin, Leonid Kogan ‘Duality Theory and Approximate Dynamic
Programming for Pricing American Options and Portfolio Optimization’
He Chang, J. S. Kennedy, Thomas Coleman, Peter Forsyth, Y. Li, Kenneth
Vetzal ‘Calibration and Hedging under Jump Diffusion’ Review of
Derivative Research Volume 9, Number 1, January, 2006
He Ping ‘A Theory of IPO Waves’ Review of Financial Studies Volume 20,
Number 4 July 2007
He Zhongzhi (Lawrence), Sahn-Wook Huh, Bong-Soo Lee ‘Dynamic Factors and
Asset Pricing’ SSRN 9/07
Hennessy Christopher, Toni Whited ‘How Costly Is External Financing?
Evidence from a Structural Estimation’ Journal of Finance Aug. 2007
Vol. 62 Issue 4
Hennessy David, Harvey E. Lapan ‘On the Nature of Certainty Equivalent
Functionals’ Journal of Mathematical Economics V. 43, #6 Dec. 06
Hernández-Murillo Ruben ‘Experiments in Financial Liberalization: The
Mexican Banking Sector’ Review St. Louis September/October 2007 Vol.
89, No. 5
Herz Bernhard, Christian Bauer ‘Technical Trading and the Volatility of
Exchange Rates’ Review of Quantitative Finance and Accounting, Vol. 4,
No. 4, 2004
Hess Patrick ‘Dividends, Short Selling Restrictions, Tax-Induced Investor
Clienteles and Market Equilibrium: Discussion’ JofF May 1980 Volume 35:
Issue 2,
Hess Patrick ‘The Ex-Dividend Day Behavior of Stock Returns: Further
Evidence on Tax Effects’ JofF May 1982 Volume 37: Issue 2,
Hester D.D. ‘Aspects of Monetary and Banking Theory and Moral Hazard:
Hilliard Jimmy ‘Hedging Interest Rate Risk with Futures Portfolios under
Term Structure Effects’ JofF Volume 39: Issue 5, Dec. 1984
Hillman Robert, Mark Salmon ‘Intrinsic Stationarity: Investigating
Predictability in Real-Time Forex Transactions’ J. Financial
Forecasting V.1,#1 2007
Hinrichsen H. ‘Non-Equilibrium Critical Phenomena and Phase Transitions into
Absorbing States’ Adv. In Phys., 49 (2000), Pp. 815–958.
Hoag James ‘Towards Indices of Real Estate Value and Return’ JofF May 1980
Volume 35: Issue 2,
Hobson David, Peter Laurence, Tai-Ho Wang ‘Static-Arbitrage Optimal
Subreplicating Strategies for Basket Options’ V.37, #3 Dec. 05
Insurance: Mathematics and Economics
Hoderlein Stefan, Enno Mammen ‘Identification of Marginal Effects in
Nonseparable Models without Monotonicity’ Econometrica Volume 75, Issue
5, September 2007
Hoerdahl Peter, Oreste Tristani ‘Inflation Risk Premia in the Term Structure
of Interest Rates’ BIS Working Paper No. 228 SSRN 9/07
Holod Dmytro, Joe Peek ‘Asymmetric Information and Liquidity Constraints: A
New Test’ Journal of Banking and Finance V31 #8, Aug. 2007
Holowczak Ricjard, Yusif Simaan, Liuren Wu ‘Price Discovery in the U.S.
Stock and Stock Options Markets: A Portfolio Approach’ Review of
Derivative Research Volume 9, Number 1, January, 2006
Hong Yongmiao, Jun Tu, Guofu Zhou ‘Asymmetries in Stock Returns: Statistical
Tests and Economic Evaluation’ RFS 9/07 Vol 20, #5
Horowitz Joel, Sokbae Lee ‘Nonparametric Instrumental Variables Estimation
of a Quantile Regression Model’ Econometrica July 2007 - Volume 75
Issue 4
Hou Kewei ‘Industry Information Diffusion and the Lead-lag Effect in Stock
Returns’ Review of Financial Studies Volume 20, Number 4 July 2007
Houdré Christian, Philippe Marchal ‘Median, Concentration and Fluctuations
for Lévy Processes’ SP&A tobe 2007
Houthakker Hendrik ‘The Regulation of Financial and Other Futures Markets’
JofF May 1982 Volume 37: Issue 2,
Hsieh K.C., Peter Ritchken ‘An Empirical Comparison of GARCH Option Pricing
Models’ Review of Derivative Research Volume 8, Number 3 / December,
2005
Hu Jian ‘Assessing the Credit Risk of CDOs Backed by Structured Finance
Securities: Rating Analysts' Challenges and Solutions’ SSRN 9/07
Huang Lixin, Hong Liu ‘Rational Inattention and Portfolio Selection’ Journal
of Finance Aug. 2007 Vol. 62 Issue 4
Huang Teng-Hao, Yaw-Huei Wang ‘The Volatility and Density Prediction
Performance of Alternative GARCH Models’ SSRN 8/07
Huang Xinzheng, Cornelis Oosterlee, Hans Van Der Weide ‘Higher Order
Saddlepoint Approximations in the Vasicek Portfolio Credit Loss Model’
J. Computational Finance V. 11, #1 2007
Hubalek Friedrich, Josef Teichmann, Robert Tompkins ‘Flexible Complete
Stochastic Volatility Models Generalising Hobson-Rogers’ Working Paper,
2004.
Hubbard Carl, J. Louis Heck, Philip L. Cooley ‘Contributing Authors and
Institutions to the Journal of Finance: 1946-1985’ JofF Volume 41:
Issue 5, December 86
Hubner Georges ‘How Do Performance Measures Perform?’ Journal of Portfolio
Management Summer 2007
Hubrich Stefan ‘An Alpha Unleashed: Optimal Derivative Portfolios for
Portable Alpha Strategies’ SSRN 9/07
Hull John, Alan White ‘Forwards And European Options On CDO Tranches’
Journal of Credit Risk Volume 3 / Number 2 2007
Hung Chi-Hsiou ‘Return Explanatory Ability and Predictability of Non-Linear
Market Models’ SSRN 8/07
Hung Lin, Ark Hackleton ‘Generalised Geske--Johnson Interpolation of Option
Prices’ Journal of Business Finance & Accounting, Vol. 34, Issue 5-6,
pp. 976-1001, June/July 2007
Husmann Sven, Andreas Stephan ‘On Estimating an Asset's Implicit Beta’
Journal of Futures Markets Volume 27, Issue 10 (Oct. 2007)
Hwang Soosung, Stephen Satchell ‘Modeling Emerging Risk Premia Using Higher
Moments’ International J. of Finance and Economics 1999
Ibbotson Roger, Paul Kaplan ‘Does Asset Allocation Policy Explain 40, 90 or
100 Percent of Performance’ FAJ Jan/Feb. 2000
Ibragimov Rustam, Johan Walden ‘The Limits of Diversification When Losses
May Be Large’ Journal of Banking and Finance V31 #8, Aug. 2007
Ihaela Erban, Nthony Rockwell, Ohn Ehoczky, Anjay Rivastava ‘Modelling the
Dynamic Dependence Structure in Multivariate Financial Time Series’
Journal of Time Series Analysis, Vol. 28, Issue 5, pp. 763-782,
September 2007
Ikeda Ryoichi, Takao Kobayashi ‘A Structural Approach without Path
Dependency’ SSRN 7/07
Iksanov O., P. Negadailov ‘The Supremum of a Martingale Related to a
Branching Random Walk’ Theor. Probability and Math. Statist. No. 74
(2007), 49-57.
Il’chenko O.V. ‘Stochastically Bounded Solutions of a Linear Nonhomogeneous
Stochastic Differential Equation’ Theor. Probability and Math. Statist.
No. 68 (2004), 41-48.
Inderst Roman, Holger Mueller, Felix Münnich ‘Financing a Portfolio of
Projects’ Review of Financial Studies Volume 20, Number 4 July 2007
Ingersoll Jonathan ‘Dynamics of Borrower-lender Interaction: Partitioning
Final Payoff in Venture Capital Finance: Discussion’ JofF May 1979
Volume 34: Issue 2
Ingersoll Jonathan ‘The Pricing of Commodity-Linked Bonds: Discussion’ JofF
Ingersoll Jonathan ‘Valuing Reload Options’ Review of Derivative Research
Volume 9, Number 1, January, 2006
Ingersoll Jonathan, Matthew Spiegel, William Goetzmann, Ivo Welch ‘Portfolio
Performance Manipulation and Manipulation-proof Performance Measures’
RFS 9/07 Vol 20, #5
Iscoe Ian, Ken Jackson, Alex Kreinin, Xiaofang Ma ‘Pricing Correlation-
Dependent Derivatives Based on Exponential Approximations to the Hockey
Stick Function’ Jan. 24, 2007 <ABS, CDO>
Itkin Andrey ‘Pricing Options with VG Model using FFT’ 3/31/07 <VG can blow
up but A. Lewis method works>
Itkin Andrey, Peter Carr ‘New Splitting Finite-Difference Method to
Efficiently Price Barrier Options Under Stochastic Skew Model’
Computational Methods in Finance U. Waterloo 7/07 <option-pricing>
Ivanov Anatoli, Anatoliy Swishchuk ‘Optimal Control of Stochastic
Differential Delay Equations with Application In Economics’ December 6,
2004 (submitted to SIAM J. on Control and Optimization)
Ivanov Anatoli, Anatoliy Swishchuk ‘Optimal Control of Stochastic
Differential Delay Equations’ December 10, 2003 (submitted to Applied
Mathematics Letters)
Ivanov Roman ‘On the Pricing of American Options in Exponential Lévy
Markets’ p. 409-419 Journal of Applied Probability Volume 44, Number 2
,, June 2007
Ivkovic Zoran, Scott Weisbenner ‘Information Diffusion Effects in
Individual Investors' Common Stock Purchases: Covet Thy Neighbors'
Investment Choices’ Review of Financial Studies Volume 20, Number 4
July 2007
Jackson Kenneth, Sebastian Jaimungal, Vladimir Surkov ‘Shout Options via
Fourier Transforms’ wp 2007
Jackson Kenneth, Sebastian Jaimungalb, Vladimir Surkovc ‘Fourier Space Time-
stepping for Option Pricing with Lévy Models’ <option-pricing> <jump
diffusion, PIDE, multi-asset options> 3/07
Jackson Kenneth, Sebastian Jaimungalb, Vladimir Surkovc 'Option Pricing with
Regime Switching Lévy Processes Using Fourier Space Time Stepping' 4/07
<option-pricing> <American, Catastrophe>
Jacobs Bruce, Kenneth Levy ‘Alpha Transport with Derivatives’ The Journal of
Portfolio Management, May 1999
Jacobs Bruce, Kenneth Levy ‘Disentangling Equity Return Regularities: New
Insights and Investment Opportunities’ Financial Analysts Journal,
May/June 1988
Jacobs Bruce, Kenneth Levy ‘Engineering Portfolios: A Unified Approach’
Journal of Investing, Winter 1995
Jacobs Bruce, Kenneth Levy ‘Enhanced Active Equity Portfolios Are Trim
Equitized Long-Short Portfolios’ Journal of Portfolio Management Summer
2007
Jacobs Bruce, Kenneth Levy ‘Residual Risk: How Much is Too Much?’ Journal of
Portfolio Management, Spring 1996
Jacobs Bruce, Kenneth Levy ‘The Complexity of the Stock Market’ Journal of
Portfolio Management, Fall 1989
Jacobs Bruce, Kenneth Levy ‘The Law of One Alpha’ The Journal of Portfolio
Management, Summer 1995
Jacobs Bruce, Kenneth Levy, Harry Markowitz ‘Financial Market Simulation’
Journal of Portfolio Management, 30th Anniversary Issue, September 2004
Jacobsen Jon ‘As Flat As Possible’ SIAM Review V. 49,#3 0/07
Jacobsen Martin, Anders Tolver Jensen ‘Exit Times for a Class of Piecewise
Exponential Markov Processes with Two-Sided Jumps’ SP&A tobe 2007
Jacod Jean ‘Asymptotic Properties of Realized Power Variations and Related
Functionals of Semimartingales’ SP&A tobe 2007
Jacquier Antoine ‘Asymptotic Skew Under Stochastic Volatility’ Birkbeck
Working Paper in Economics & Finance No. 0703 SSRN 7/07
Jacquier Antoine ‘Variance Dispersion and Correlation Swaps’ SSRN 7/07
<correlation exposure, dispersion trade>
Jagannathan Ravi, Yong Wang ‘Lazy Investors, Discretionary Consumption, and
the Cross-Section of Stock Returns’ Journal of Finance Aug. 2007 Vol.
62 Issue 4
Jaimungal Sebastian, Tao Wang ‘Catastrophe Options With Stochastic Interest
Rates and Compound Poisson Losses’ V. 38 #3, June 06 Insurance:
Jang Bong-Gyu, Hyeng Keun Koo, Hong Liu, Mark Loewenstein ‘Liquidity Premia
and Transaction Costs’ JofF Volume 62: Issue 5, October 2007
Jang Bong-Gyu, Mi Ae Kim, Ho-Seok Lee ‘A First-Passage-Time Model under
Regime-Switching Market Environment’ SSRN 8/07
Jang Jiwook ‘Jump Diffusion Processes and Their Applications in Insurance
and Finance’ Insurance: Mathematics and Economics V. 41, #1 July 07
Janssen A.J.E.M., J.S.H. Van Leeuwaarden ‘Cumulants of the Maximum of the
Gaussian Random Walk’ SP&A tobe 2007
Jarrow Robert, Li Li, Mark Mesler, Donald Van Deventer ‘The Determinants of
Corporate Credit Spreads’ <CDS> RISK 9/07
Jarrow Robert, Philip Protter ‘A Partial Introduction to Financial Asset
Pricing Theory’ Handbooks in Operations Research and Management Science
—Financial Engineering V. 15, 2007
Jarrow Robert, Phillip Protter ‘Liquidity Risk and Option Pricing Theory’
Ji Shaolin, Shige Peng ‘Terminal Perturbation Method for the Backward
Approach to Continuous-Time Mean-Variance Portfolio Selection’ SP&A
tobe 2007
Jin Hui, Jun-ya Gotoh, Ushio Sumita ‘A New Approach for Computing Option
Prices of the Hull-White Type with Stepwise Reversion and Volatility
Functions’ Journal of Derivatives. New York : Fall 2007. Vol. 15, Iss.
1
Joe Stephen, Frances Kuo ‘Remark on Algorithm 659:Implementing Sobol’s
Quasirandom Sequence Generator’ ACM Trans. Math. Software 29, no 1 2003
Johnson Paul, Nick Sharp, Peter Duck, David Newton ‘Enhanced Finite-
Difference Techniques for Early-Exercise Options on Single and Multiple
Underlyings’ SSRN 8/07
Johnson Seanna, Ronald N. Kahn, Dean Petrich ‘Optimal Gearing’ Journal of
Jolis Maria, Noèlia Viles ‘Continuity with Respect to the Hurst Parameter of
the Laws of the Multiple Fractional Integrals’ SP&A tobe 2007
Jondeau Eric, Michael Rockinger ‘Optimal Portfolio Allocation under Higher
Moments’ European Financial Management 12, 1 2006
Jones Bruce, Ricardas Zitikis ‘Risk Measures, Distortion Parameters, and
Their Empirical Estimation’ Insurance: Mathematics and Economics V. 41,
#2 Sept. 2007
Jönsson H., A. G. Kukush, D. S. Silvestrov ‘Threshold Structure of Optimal
Stopping Strategies for American Type Option. II’ Theor. Probability
and Math. Statist. No. 72 (2006), 47-58.
Jönsson H., A. G. Kukush, D. S. Silvestrov ‘Threshold Structure of Optimal
Stopping Strategies for American Type Option. I’ Theor. Probability and
Math. Statist. No. 71 (2005), 93-103.
Jordan James ‘Term Structure Modeling Using Exponential Splines: Discussion’
Jordan Jerry ‘Monetary Policy: Assessing the Burns Year: Discussion’ JofF
Jorion Philippe, Gaiyan Zhang ‘Good and Bad Credit Contagion: Evidence From
Credit Default Swaps’ Journal of Financial Economics Volume 84, Issue
3, (June 2007)
Joshi Mark ‘A Simple Derivation of and Improvements to Jamshidian’s and
Rogers’ Upper Bound Methods for Bermudan Options’ Applied Mathematical
Finance, Volume 14 Issue 3 2007
Joshi Mark, Terence Leung ‘Using Monte Carlo Simulation and Importance
Sampling to Rapidly Obtain Jump-Diffusion Prices of Continuous Barrier
Options’ Journal of Computational Finance 2007 Volume 10 / Number 4
Jouini Elyes ‘Arbitrage and Control Problems in Finance. Presentation’ SSRN
8/2007
Jouini Elyes ‘Convergence of the Equilibrium Prices in a Family of Financial
Models’ SSRN 8/2007
Jouini Elyes ‘Market Imperfections, Equilibrium and Arbitrage’ SSRN 8/2007
Jouini Elyes, Clotilde Napp ‘Arbitrage Pricing and Equilibrium Pricing:
Compatibility Conditions’ SSRN 8/2007
Jouini Elyès, Clotilde Napp ‘Consensus Consumer and Intertemporal Asset
Pricing With Heterogeneous Beliefs’ Review of Economic Studies, Vol.
74, Issue 4 10/07
Jouini Elyes, Pierre-François Koehl, Nizar Touzi ‘Incomplete Markets,
Transaction Costs and Liquidity Effects’ The European Journal of
Finance, Vol. 3, pp. 325-347, 1997
Jouini Elyes, Vincent Porte ‘Efficient Trading Strategies’ SSRN 7/07
Jourdain Benjamin ‘Stochastic Flow Approach to Dupire’s Formula’ Finance and
Stochastics Volume 11, Number 4 / October, 2007 <Option-Pricing> <put-
call duality, local volatility>
Jumarie Guy ‘Merton’s Model of Optimal Portfolio in a Black-Scholes Market
Driven by a Fractional Brownian Motion with Short-Range Dependence’
V.37, #3 Dec. 05 Insurance: Mathematics and Economics
K.-H. Indlekofer, O.I. Klesov ‘The Complete Convergence in the Strong Law of
Large Numbers for Double Sums Indexed by a Sector with Function
Boundaries’ Theor. Probability and Math. Statist. No. 68 (2004), 49-53.
Kabanov Yuri, Masaaki Kijima, Sofiane Rinaz ‘A Positive Interest Rate Model
with Sticky Barrier’ Quantitative Finance, Volume 7 Issue 3 June 2007
<Short-term interest rate models; Partial integro-differential
equation, PIDE; Zero-interest rate; Finite difference methods>
Kadankova T.V. ‘On the Joint Distribution of the Supremum, Infimum, and the
Value of a Semicontinuous Process with Independent Increments’ Theor.
Kadankova T.V. ‘Two-Boundary Problems for a Random Walk With Negative
Geometric Jumps’ Theor. Probability and Math. Statist. No. 68 (2004),
55-66.
Kaen Fred, G. Geoffrey Booth, John Burt ‘Foreign Exchange Market Efficiency
Under Flexible Exchange Rates: Reply’ JofF June 1979 V. 34, #3
Kahn Ronald, J Scott Shaffer ‘The Surprisingly Small Effect of Asset Growth
on Expected Alpha’ J. Portfolio Management Fall 2005
Kahn Ronald, Roland Lochoff ‘Convexity and Exceptional Returns’ J. Portfolio
Management Winter 1990
Kalay Avner ‘Regulation of Financial Markets: Principles and Application:
Kalay Avner, Kose John ‘Costly Contracting and Optimal Payout Constraints’
Kalcheva Ivalina, Karl Lins ‘International Evidence on Cash Holdings and
Expected Managerial Agency Problems’ Review of Financial Studies Volume
20, Number 4 July 2007
Kallio Markku, William Ziemba ‘Using Tucker’s Theorem of the Alternative to
Simplify, Review and Expand Discrete Arbitrage Theory’ Journal of
Kalnina Ilze, Oliver Linton ‘Inference About Realized Volatility Using
Infill Subsampling’ SSRN 9/07
Kaminski M. ‘Central Limit Theorem for Certain Classes of Dependent Random
Variables’ Theory of Probability and its Application Volume 51, Issue 2
(2006-2007)
Kanagawa S., Y. Saisho ‘Strong Approximation of Reflecting Brownian Motion
Using Penalty Method and its Application to Computer Simulation’ Monte
Carlo Methods Appl., 6 (2000), Pp. 105–114.
Kane Edward ‘Market Incompleteness and Divergences Between Forward and
Futures Interest Rates’ JofF May 1980 Volume 35: Issue 2,
Kang Wei, Naz Bedrossian ‘Pseudospectral Optimal Control Theory Makes Debut
Flight, Saves NASA $1M in under Three Hours’ SIAM News V. 40, #7 Sept.
2007
Kaniovski Y.M., G.Ch. Pflug ‘Risk Assessment for Credit Portfolios: A
Coupled Markov Chain Model’ Journal of Banking and Finance V31 #8, Aug.
2007
Kaplan Paul, James Knowles ‘A Generalized Downside-Risk Performance Measure’
wp Morningstar 2003
Kapustyan O.V., J. Valero, O. V. Pereguda ‘Random Attractor for the
Reaction-Diffusion Equation Perturbed by a Stochastic Càdlàg Process’
Theor. Probability and Math. Statist. No. 73 (2006), 57-69.
Karatzas Ioannis, Constantinos Kardaras ‘The Numéraire Portfolio in
Semimartingale Financial Models’ Finance and Stochastics Volume 11,
Number 4 / October, 2007
Karpeev Dmitry ‘Self-Organization of Complex Biological Phenomena’ SIAM News
V. 40, #7 Sept. 2007
Karpoff Jonathan ‘A Theory of Trading Volume’ JofF Volume 41: Issue 5,
December 86
Kassberger Stefan, Hanno Schmidt ‘Efficient Calibration of Time-Changed Lévy
Models to Forward Implied Volatility Surfaces’ <forward implied
volatilities undetermined for model calibrated only to vanilla options>
2006
Kaut Michal, Hercules Vladimirou, Stein W. Wallace, Stavros Zenios
‘Stability Analysis of Portfolio Management with Conditional Value-At-
Risk’ Quantitative Finance Volume 7 Issue 4 2007
Kazemi Hossein, Thomas Schneeweis, Raj Gupta ‘Omega as a Performance
Measure’ 6/03
Kazmerchuk Yuriy, Anatoliy Swishchuk, Jianhong Wu ‘The Pricing of Options
for Securities Markets with Delayed Response’ Mathematics and Computers
in Simulation V. 75, #3-4 July 2007
Keating Con, William Shadwick ‘An Introduction to Omega’
Keppo Jussi, Xu Meng, Michael G. Sullivan ‘A Computational Scheme for the
Optimal Strategy in an Incomplete Market’ JED&C 11/07 V. 31, #11
Khaliq Abdul, Bruce Wade, Muhammad Yousuf, Jesús Vigo-Aguiar ‘High Order
Smoothing Schemes for Inhomogeneous Parabolic Problems with
Applications in Option Pricing’ Numerical Methods for Partial
Differential Equations, An International Journal, to appear in 2007
Khaliq Abdul, Dale Voss, Muhammad Yousuf ‘Pricing Exotic Options with L-
Stable Padé Schemes’ Journal of Banking and Finance, to appear in 2007
Khandani Amir, Andrew Lo ‘What Happened to the Quants in August 2007?’
<Quant funds> SSRN 9/07
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Koch Inge, Ann De Schepper ‘An Application of Comonotonicity and Convex
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Lamba Harbir, Jonathan Mattingly, Andrew Stuart ‘An Adaptive Euler–Maruyama
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Leentvaar Coen, Cornelis Oosterlee, Fang Fang ‘Fast Pricing Techniques for
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Lehnert Nicole, Frank Altrock, Svetlozar Rachev, Stefan Trück, Andre Wilch
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2007 - Volume 75 Issue 4
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Lioui Abraham ‘Stochastic Dividend Yields and Derivatives Pricing in
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Vectors in the Compound Binomial Model’ Insurance: Mathematics and
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Liu Shijun ‘Currency Derivative and International Term Structure Pricing in
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Lo C.F., C.H. Hui ‘Valuing Double Barrier Options With Time-Dependent
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Lord Roger, Antoon Pelsser ‘Level-Slope-Curvature - Fact or Artifact?’
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Lucia Julio, Hipòlit Torró ‘Short-Term Electricity Futures Prices: Evidence
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Ma Zhongtai, Guochun Wen ‘Iterative Approximation of Solutions for
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Macbeth James, Larry Merville ‘Tests of the Black-Scholes and Cox Call
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Marsh Terry ‘Equilibrium Term Structure Models: Test Methodology’ JofF May
Marshall William ‘The Effect of Fuel Adjustment Clauses on the Systematic
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Martellini Lionel, Jean-Christophe Meyfredi ‘A Copula Approach to Value-at-
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Martijn Cremers K.J., Vinay B. Nair, Chenyang Wei ‘Governance Mechanisms and
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Financial Studies Volume 20, Number 4 July 2007
Mausser Helmut, Dan Rosen ‘Economic Credit Capital Allocation and Risk
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McLean R. David ‘Momentum and Long-Term Reversals: A Costly Arbitrage
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40, #1 Jan 2007
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Milidonis Andreas, Shaun Wang ‘Estimation of Distress Costs Associated with
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Poskitt Russell ‘Benchmark Tipping and the Role of the Swap Market in Price
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Computational Methods in Finance U. Waterloo 7/07
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JofF June 1979 V. 34, #3
Prévôt Claudia, Michael Röckner 'A Concise Course on Stochastic Partial
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2004
Raberto Marco, Enrico Scalas, Gianaurelio Cuniberti, Massimo Riani
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Ramaswamy Krishna, Robert Litzenberger ‘Dividends, Short Selling
Restrictions, Tax-Induced Investor Clienteles and Market Equilibrium’
Ramaswamy Krishna, Robert Litzenberger ‘The Effects of Dividends on Common
Stock Prices Tax Effects or Information Effects?’ JofF May 1982 Volume
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RFS 9/07 Vol 20, #5
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Reinhart Walter ‘The Channels of Influence of Tobin-Brainard’s `Q’ on
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Ren Yong, Dilip Madan, Michael Qian Qian ‘Calibrating and Pricing with
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stochastic, quanto correction in local volt. Models, Dupire, Derman-
Kani, Gyöngy> RISK 9/07
Renaud Jean-François, Xiaowen Zhou ‘Distribution of the Present Value of
Dividend Payments in a Lévy Risk Model’ p. 420-427 Journal of Applied
Probability Volume 44, Number 2 , June 2007
Renwick F.B. ‘Valuation Model Bias and the Scale Structure of Dividend
Discount Returns: Discussion’ JofF May 1982 Volume 37: Issue 2,
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35: Issue 2,
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Roberts Gordon, Jerry Viscione ‘The Impact of Seniority and Security
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Rockafellar R. Terry, Roger J-B. Wets ‘Nonanticipative and L1 Martingales in
Stochastic Optimization Problems’ Math. Programming Stud. 6, 1976
Rockafellar R. Tyrrell, Stanislav Uryasev, Michael Zabarankin ‘Equilibrium
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1984
Rogers L.C.G. ‘Pathwise Stochastic Optimal Control’ SIAM Journal on Control
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options, multi-dimensional problems, dynamic programming>
Rogers L.C.G., John Aquilina Èquilibrium Models for Dependent Defaults' In
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Roland Rocky, George Xiang 'Portfolio Selection and Omega as a Performance
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Issue 5, October 2007
Roman Diana, Kenneth Darby-Dowman, Gautam Mitra ‘Mean-Risk Models Using Two
Risk Measures: A Multi-Objective Approach’ Quantitative Finance Volume
7 Issue 4 2007
Roorda Berend, J.M. Schumacher ‘Time Consistency Conditions for
Acceptability Measures, with an Application to Tail Value At Risk’
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the Individual Risk Model’ Insurance: Mathematics and Economics V. 40
#3 May 2007
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Implied Volatility Close to Expiry’ 8/07
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Economics: Was The Baby Thrown Out With The Bathwater?’ JED&C V.31, #
10 Oct. 2007
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Option over a Finite Holding Period’ JofF Volume 39: Issue 5, Dec. 1984
Rudd Andrew, Barr Rosenberg ‘Factor-Related and Specific Returns of Common
Stocks: Serial Correlation and Market Inefficiency’ JofF May 1982
Volume 37: Issue 2,
Rudd Andrew, Barr Rosenberg ‘The "Market Model" In Investment Management’
Sadka Ronnie, Anna Scherbina ‘Analyst Disagreement, Mispricing, and
Liquidity’ JofF Volume 62: Issue 5, October 2007
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u. Portig K.-D. (1984) (Translated from Russian)
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April/May 1963
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Sancetta Alessio, Stephen Satchell ‘Changing Correlation and Equity
Portfolio Diversification Failure for Linear Factor Models during
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Time’ Econometrica Volume 75, Issue 5, September 2007
Santomero Anthony, Jeremy Siegel ‘A General Equilibrium Money and Banking
Paradigm’ JofF May 1982 Volume 37: Issue 2,
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Proportional Transaction Costs’ Computational Methods in Finance U.
Waterloo 7/07
Sawyer Nick 'SG CIB Launches Timer Options' RISK 7/07 <option
extends/contracts on diff. of Realized and Implied Volt>
Sbuelz Alessandro, Fabio Trojani ‘Asset Prices with Locally-Constrained-
Entropy Recursive Multiple Priors Utility’ SSRN 7/07
Sbuelz Alessandro, Luciano Campi, Simon Polbennikov ‘Systematic Equity-Based
Credit Risk: A CEV Model with Jump to Default’ SSRN 7/07
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Lévy Stable Distributions,’ 2006 MPRA Paper 336, University Library of
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Scalas Enrico, Rudolf Gorenflo, Hugh Luckock, Francesco Mainardi, Maurizio
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Finance Letters, 3, 38-43 2005
Scalas Enrico, Silvano Cincotti ‘A Double-Auction Artificial Market with
Time-Irregularly Spaced Orders,’ Computing In Economics and Finance
2004 225, Society For Computational Economics
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Formulas of Bachelier and Black-Merton-Scholes?’ tobe, 2006.
Schaefer Stephen ‘Conditional Predictions of Bond Prices and Returns:
Scherer Bernd, Xiaodong Xu ‘The Impact of Constraints on Value-Added’
Journal of Portfolio Management Summer 2007
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Numerical Methods for Stochastic Differential Equations and
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Schwartz Eduardo ‘The Pricing of Commodity-Linked Bonds’ JofF May 1982
Volume 37: Issue 2,
Schwartz Eduardo ‘Theories of Corporate Debt Policy: A Synthesis:
Discussion’ JofF May 1979 Volume 34: Issue 2
Schwartz Eduardo ‘Who Should Buy Portfolio Insurance?: Discussion’ JofF May
Schwartz Eduardo, John Long ‘Financial Theory and Taxation in an
Inflationary World: Some Public Policy Issues: Discussion’ JofF May
Schwartz Eduardo, Michael Brennan ‘Conditional Predictions of Bond Prices
and Returns’ JofF May 1980 Volume 35: Issue 2,
Schwartz Eduardo, Michael Brennan ‘Regulation and Corporate Investment
Policy’ JofF May 1982 Volume 37: Issue 2,
Scott James ‘The Tax Effects of Investment in Marketable Securities on Firm
Valuation’ JofF May 1979 Volume 34: Issue 2
Sealey C. William ‘Credit Rationing in the Commercial Loan Market: Estimates
of a Structural Model Under Conditions of Disequilibrium’ JofF June
1979 V. 34, #3
Sen Rituparna ‘Hedging Options in the Incomplete Market with Stochastic
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Senbet Lemma, Robert Haugen ‘The Role of Options in the Resolution of Agency
Problems: A Reply’ JofF Volume 41: Issue 5, December 86
Sepp Artur ‘Pricing Options on Realized Volatility in Heston Model with
Jumps’ 2007
Sepp Artur ‘Universal Pricing under Time-Dependent Affine Mode’ 2006
Shadwick William ‘From Alpha to Omega:New Performance Measurement Tools’
2002
Shalit Haim, Shlomo Yitzhaki ‘Mean-Gini, Portfolio Theory, and the Pricing
of Risky Assets’ JofF Volume 39: Issue 5, Dec. 1984
Sharpe William ‘An Algorithm for Portfolio Improvement’ Advances in
Mathematical Programming and Financial Planning, 1 1987
Sharpe William ‘Plasm: Pension Liability and Asset Simulation Model:
Shay Brian, Robert Fernholz ‘Stochastic Portfolio Theory and Stock Market
Equilibrium’ JofF May 1982 Volume 37: Issue 2,
Shboul Mohammad ‘The Impact of the Use of Derivatives and Operational
Hedging on Foreign Currency Risk Exposure’ SSRN 9/07
Sheppard Roelof 'Pricing Equity Derivatives under Stochastic Volatility :A
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White, ADI and Hopscotch, Soviet splitting, Ikonen & Toivanen,
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Stochastic Differential Equations in a Hilbert Space’ Theor.
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27:529-549
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Sipics Michellet ‘Unknown Naonostructures Give Up Secrets to
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Skiadas Costis ‘Dynamic Portfolio Choice and Risk Aversion’ Handbooks in
2007
Slade G. ‘Scaling Limits and Super-Brownian Motion’ Notices Amer. Math.
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2,
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Issue 2
Speight Adam ‘Multilevel Approach to Control Variates’ Computational Methods
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Stanhouse Bryan ‘Commercial Bank Portfolio Behavior and Endogenous
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CreditGrades and Trinomial Trees’ SSRN 8/2007
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Volume 35: Issue 2,
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Journal of Finance Aug. 2007 Vol. 62 Issue 4
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Information and Control 41, 1979
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Taggart Robert ‘Issues in Corporate Finance: Discussion’ JofF May 1982
Volume 37: Issue 2,
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Taplin Ross, Huong Minh To, Jarrad Hee ‘Modeling Exposure At Default, Credit
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Tepper Irwin ‘Plasm: Pension Liability and Asset Simulation Model:
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with Quadratic Growth’ SP&A tobe 2007
Tew Bernard, Donald Reid ‘Mean-Variance versus Direct Utility Maximization:
A Comment’ JofF Volume 41: Issue 5, December 86
Thijssen Jacco ‘A Computational Study on General Equilibrium Pricing of
Derivative Securities’ SSRN 7/07
Thompson Rex ‘The Tax Effects of Investment in Marketable Securities on Firm
Valuation: Discussion’ JofF May 1979 Volume 34: Issue 2
Thonhauser Stefan, Hansjörg Albrecher ‘Dividend Maximization under
Consideration of the Time Value of Ruin’ Insurance: Mathematics and
Todorov Viktor, Tim Bollerslev ‘Jumps and Betas:A New Framework for
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Toevs Alden, G. O. Bierwag, George Kaufman ‘Single Factor Duration Models in
a Discrete General Equilibrium Framework’ JofF May 1982 Volume 37:
Issue 2,
Toivanen Jari ‘Numerical Valuation of European and American Options under
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Torresetti Roberto, Damiano Brigo, Andreas Pallavicini ‘Implied Expected
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University Library of Munich Germany
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Issue 3 2007
Tramer O., G. Obrets ‘On Bayesian Analysis of Nonlinear Continuous-Time
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Trefethen Lloyd ‘Is Gauss Quadrature Better Than Clenshaw-Curtis?’ <Newton-
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Ullrich Carl ‘Continuous-Time Models of Currency Volatility’ SSRN 9/07
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Van Den Goorbergh Rob, Christian Genest, Bas J.M. Werker ‘Bivariate Option
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Van Horne James ‘On Dealer Markets Under Competition: Discussion’ JofF May
Vasicek Oldrich ‘The Economics of Interest Rates’ Journal of Financial
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Venkatesh P.C., R. Chiang ‘Information Asymmetry and the Dealer’s Bid-Ask
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Volume 41: Issue 5, December 86
Villamil Jaime ‘Models of Valuation of European Options in Continuous Time’
SSRN 8/07
Vink Dennis, André Thibeault ‘An Empirical Analysis of Asset-Backed
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Wade Bruce, Abdul Khaliq, Muhammad Yousuf, Jesús Vigo-Aguiar, R. Deininger
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Wagner Wolfgang, Eckhard Platen ‘Approximation of Ito Integral Equations’
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Walker Michael ‘CDO Models. Towards the Next Generation:Incomplete Markets
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Walter Bernd ‘The Equity Volatility Smile and Default Risk’ SSRN 7/07
Wan Ning ‘Dividend Payments with a Threshold Strategy in the Compound
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Wang David ‘Pricing Callable Bonds with Stochastic Interest Rate and
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<defaultable bond, embedded Options>
Wang Iris, Justin Wan, Peter Forsyth ‘Robust Numerical Valuation of European
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Wang Nan ‘Optimal Investment for an Insurer with Exponential Utility
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March 2007
Wang Zengwu, Jianming Xia, Lihong Zhang ‘Optimal Investment for an Insurer:
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March 2007
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Whitehead Tyson, Matt Davison, R. Mark Reesor ‘A Bias Reduction Technique
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Wiedmann Jens ‘Tests of Covariance Matrices’ <Maximum-Likelihood-test, 2 and
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Winklevoss Howard ‘Plasm: Pension Liability and Asset Simulation Model’ JofF
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Problems: A Comment’ JofF Volume 41: Issue 5, December 86
Woerner Jeannette ‘Inference in Lévy-Type Stochastic Volatility Models’ p.
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Wolter Hans-Jürgen ‘Risk-based Capital Models in Life Insurance’
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Wong Hoi Ying, Chun Man Chan ‘Lookback Options and Dynamic Fund Protection
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Wu Liuren ‘Modeling Financial Security Returns Using Levy Processes’
Wu Ting-Pin, Son Nan Chen ‘Equity Swaps in a LIBOR Market Model’ Journal of
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