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Items where Subject is "G - Financial Economics > G1 - General Financial Markets > G13 - Contingent Pricing; Futures Pricing"

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Number of items at this level: 206.

A

Abramov, Vyacheslav and Klebaner, Fima (2006): Forecasting and testing a non-constant volatility.

Ahoniemi, Katja and Lanne, Markku (2007): Joint Modeling of Call and Put Implied Volatility. Published in:

Albanese, Claudio (2007): CALLABLE SWAPS, SNOWBALLS AND VIDEOGAMES.

Albanese, Claudio (2006): OPERATOR METHODS, ABELIAN PROCESSES AND DYNAMIC CONDITIONING.

Albanese, Claudio and Lo, Harry and Stathis, Tompaidis (2006): A Numerical Method for Pricing Electricity Derivatives for Jump-Diffusion Processes Based on Continuous Time Lattices.

Albanese, Claudio and Mijatovic, Aleksandar (2006): SPECTRAL METHODS FOR VOLATILITY DERIVATIVES.

Albanese, Claudio and Osseiran, Adel (2007): Moment Methods for Exotic Volatility Derivatives.

Albanese, Claudio and Vidler, Alicia (2008): Dynamic Conditioning and Credit Correlation Baskets. Forthcoming in: The Complete Guide to CDOs - Market, Application, Valuation, and Hedging No. Book (1. July 2008)

Albanese, Claudio and Vidler, Alicia (2007): A STRUCTURAL MODEL FOR CREDIT-EQUITY DERIVATIVES AND BESPOKE CDOs. Published in: Wilmott Magazine , Vol. 2007, No. May (1. May 2007)

Alos, Elisa and Ewald, Christian-Oliver (2007): Malliavin differentiability of the Heston volatility and applications to option pricing.

Amira, Khaled and Bennour, Khaled (2010): Borrowing Constraint and the Effect of Option Introduction.

Andrea, Pascucci (2007): Free boundary and optimal stopping problems for American Asian options. Forthcoming in: Finance and Stochastics

Anginer, Deniz and Yildizhan, Celim (2009): Is there a Distress Risk Anomaly? Pricing of Systematic Default Risk in the Cross Section of Equity Returns.

Arayssi, Mahmoud (2013): Price Drivers and Investment Strategies of Gold. Published in: The Business Review Cambridge , Vol. 22, No. 1 (May 2014): pp. 87-92.

Ardia, David (2002): Tests d'arbitrage et surfaces de volatilité : analyse empirique sur données haute fréquence.

Arizmendi, Luis-Felipe (2013): An extended model of currency options applicable as policy tool for central banks with inflation targeting and dollarized economies. Published in: Theoretical Economics Letters , Vol. 3, No. June (7. June 2013): pp. 164-167.

Arvesen, Øystein and Medbø, Vegard and Fleten, Stein-Erik and Tomasgard, Asgeir and Westgaard, Sjur (2012): Linepack storage valuation under price uncertainty.

B

B S, Balakrishna (2013): On multi-particle Brownian survivals and the spherical Laplacian.

Balakrishna, B S (2010): Alpha-root Processes for Derivatives pricing.

Balakrishna, B S (2007): Delayed Default Dependency and Default Contagion.

Balakrishna, B S (2008): Levy Density Based Intensity Modeling of the Correlation Smile.

Balakrishna, B S (2010): Levy Subordinator Model of Default Dependency.

Balakrishna, B S (2006): A Semi-Analytical Parametric Model for Dependent Defaults.

Balakrishna, B. S. (2010): Levy subordinator model: A two parameter model of default dependency.

Bao, Qunfang (2013): Mean-Reverting Logarithmic Modeling of VIX.

Bao, Qunfang and Chen, Si and Liu, Guimei and Li, Shenghong (2010): Unilateral CVA for CDS in Contagion Model_with Volatilities and Correlation of Spread and Interest.

Bao, Qunfang and Chen, Si and Liu, Guimei and Li, Shenghong (2010): Unilateral CVA for CDS in Contagion model: With volatilities and correlation of spread and interest.

Bao, Qunfang and Chen, Si and Liu, Guimei and Li, Shenghong (2010): Unilateral CVA for CDS in contagion model: with volatilities and correlation of spread and interest.

Bao, Qunfang and Li, Shenghong and Liu, Guimei (2010): Survival Measures and Interacting Intensity Model: with Applications in Guaranteed Debt Pricing.

Behera, Harendra (2010): Onshore and offshore market for Indian Rupee: recent evidence on volatility and shock spillover.

Bennani, Norddine and Maetz, Jerome (2009): A Spot Stochastic Recovery Extension of the Gaussian Copula.

Bennour, Khaled (2011): On the demand pressure hypothesis in option markets: the case of a redundant option.

Bianchetti, Marco (2008): Two Curves, One Price :Pricing & Hedging Interest Rate Derivatives Decoupling Forwarding and Discounting Yield Curves.

Bianchetti, Marco and Carlicchi, Mattia (2012): Markets Evolution After the Credit Crunch.

Bicchetti, David and Maystre, Nicolas (2012): The synchronized and long-lasting structural change on commodity markets: evidence from high frequency data. Forthcoming in:

Borak, Szymon and Weron, Rafal (2008): A semiparametric factor model for electricity forward curve dynamics. Forthcoming in: Journal of Energy Markets No. 1 (3) (2008): pp. 3-16.

Brace, Alan and Fabbri, Giorgio and Goldys, Benjamin (2007): An Hilbert space approach for a class of arbitrage free implied volatilities models.

Brogi, Athos (2010): A binomial tree to price European options. Published in: PHD Theses in Statistics and Applications: book of short papers , Vol. 1, No. 1 (February 2010): pp. 111-116.

Bøckman, Thor and Fleten, Stein-Erik and Juliussen, Erik and Langhammer, Håvard and Revdal, Ingemar (2006): Investment timing and optimal capacity choice for small hydropower projects.

C

Cadogan, Godfrey (2010): Canonical Representation Of Option Prices and Greeks with Implications for Market Timing.

Calvo-Garrido, Maria del Carmen and Pascucci, Andrea and Vázquez Cendón, Carlos (2012): Mathematical analysis and numerical methods for pricing pension plans allowing early retirement.

Campbell, Gareth (2010): Bubbles and Leverage.

Caporin, Massimiliano and Pres, Juliusz and Torro, Hipolit (2010): Model based Monte Carlo pricing of energy and temperature quanto options.

Carey, Alexander (2005): Higher-order volatility.

Carey, Alexander (2006): Higher-order volatility: dynamics and sensitivities.

Carey, Alexander (2010): Higher-order volatility: time series.

Carey, Alexander (2008): Natural volatility and option pricing.

Carey, Alexander (2006): Path-conditional forward volatility.

Cartea, Álvaro and Meyer-Brandis, Thilo (2009): How Duration Between Trades of Underlying Securities Affects Option Prices. Forthcoming in: Review of Finance

Cassimon, Danny and Engelen, Peter-Jan and Reyntjens, Filip (2013): Rwanda’s involvement in Eastern DRC: A criminal real options approach. Published in: Crime, Law, and Social Change No. 59 (2013): pp. 39-62.

Cavalcante, Mileno (2010): An Analysis of the relationship between WTI term structure and oil market fundamentals in 2002-2009. Published in: 33rd IAEE International Conference No. Conference Proceedings (June 2010)

Chichilnisky, Graciela (1984): Manipulations and repeated games in future markets. Published in: The Industrial Organization of Futures Markets (1984): pp. 193-214.

Chichilnisky, Graciela (1996): Markets with endogenous uncertainty: theory and policy. Published in: Theory and Decision , Vol. 41, (1996): pp. 99-131.

Cicchetti, Paul and Dale, Charles and Vignola, Anthony (1981): Usefulness of Treasury Bill Futures as Hedging Instruments. Published in: Journal of Futures Markets , Vol. 1, No. 3 (1981): pp. 379-387.

Cifarelli, Giulio and Paladino, Giovanna (2011): Hedging vs. speculative pressures on commodity futures returns.

Ciurlia, Pierangelo and Gheno, Andrea (2008): A model for pricing real estate derivatives with stochastic interest rates.

Cocozza, R and Di Lorenzo, E and Sibillo, M (2004): Methodological problems in solvency assessment of an insurance company. Published in: Investment Management and Financial Innovations , Vol. 1, No. 2 (2004): pp. 95-102.

Cocozza, Rosa and De Simone, Antonio (2011): One numerical procedure for two risk factors modeling.

Cotter, John and Hanly, James (2007): Hedging Effectiveness under Conditions of Asymmetry.

D

Dale, Charles (1991): Economics of Energy Futures Markets. Published in: Petroleum Marketing Monthly (September 1991): pp. 5-18.

Dale, Charles (1981): The Hedging Effectiveness of Currency Futures Markets. Published in: Journal of Futures Markets , Vol. 1, No. 1 (1981): pp. 77-88.

Dale, Charles and Workman, Rosemarie (1981): Measuring patterns of price movements in the Treasury bill futures market. Published in: Journal of Economics and Business , Vol. 33(2), No. Winter (1981): pp. 81-87.

Dale, Charles and Workman, Rosemarie (1980): The arc sine law and the treasury bill futures market. Published in: Financial Analysts Journal , Vol. 36, No. No. 6 (November 1980): pp. 71-74.

Dale, Charles and Zyren, John (1996): Noncommercial Trading in the Energy Futures Market. Published in: Petroleum Marketing Monthly (May 1996): xiii-xxiv.

Dell'Era Mario, M.D. (2008): Pricing of Double Barrier Options by Spectral Theory.

Dell'Era Mario, M.D. (2008): Pricing of the European Options by Spectral Theory.

E

El Qalli, Yassine (2009): Term Structure Equations Under Benchmark Framework.

El-khatib, Youssef and Hatemi-J, Abdulnasser (2013): On option pricing in illiquid markets with random jumps.

Elverhøi, Morten and Fleten, Stein-Erik and Fuss, Sabine and Heggedal, Ane Marte and Szolgayova, Jana and Troland, Ole Christian (2010): Evaluation of hydropower upgrade projects - a real options approach.

F

Fagan, Stephen and Gencay, Ramazan (2008): Liquidity-Induced Dynamics in Futures Markets.

Fang, Fang and Oosterlee, Kees (2008): A NOVEL PRICING METHOD FOR EUROPEAN OPTIONS BASED ON FOURIER-COSINE SERIES EXPANSIONS.

Fang, Fang and Oosterlee, Kees (2008): A NOVEL PRICING METHOD FOR EUROPEAN OPTIONS BASED ON FOURIER-COSINE SERIES EXPANSIONS.

Fang, Fang and Oosterlee, Kees (2008): Pricing Early-Exercise and Discrete Barrier Options by Fourier-Cosine Series Expansions.

Farrell, Niall and Devine, Mel and Lee, William and Gleeson, James and Lyons, Seán (2013): Specifying An Efficient Renewable Energy Feed-in Tariff.

Fiorani, Filo (2004): Option Pricing Under the Variance Gamma Process.

Fleten, Stein-Erik and Lindset, Snorre (2004): Optimal hedging strategies for multi-period guarantees in the presence of transaction costs: A stochastic programming approach. Published in: European Journal of Operational Research , Vol. 3, No. 185 (16. March 2008): pp. 1680-1689.

Fleten, Stein-Erik and Maribu, Karl Magnus and Wangensteen, Ivar (2005): Optimal investment strategies in decentralized renewable power generation under uncertainty. Published in: Energy , Vol. 32, No. 5 (May 2007): pp. 803-815.

Fleten, Stein-Erik and Ringen, Geir (2009): New renewable electricity capacity under uncertainty: The potential in Norway.

François-Heude, Alain and Yousfi, Ouidad (2013): A Generalization of Gray and Whaley's Option.

François-Heude, Alain and Yousfi, Ouidad (2013): On the liquidity of CAC 40 index options Market.

Fries, Christian P. (2010): Discounting Revisited. Valuations under Funding Costs, Counterparty Risk and Collateralization.

Fulli-Lemaire, Nicolas and Palidda, Ernesto (2012): Swapping headline for core inflation: an asset liability management approach.

G

Gabrisch, Hubert and Orlowski, Lucjan T. and Pusch, Toralf (2012): Sovereign default Risk in the Euro-Periphery and the Euro-Candidate Countries.

García Muñoz, Luis Manuel (2013): CVA, FVA (and DVA?) with stochastic spreads. A feasible replication approach under realistic assumptions.

García Muñoz, Luis Manuel (2013): Interest rate modeling under multiple discounting curves.

García de la Vega, Victor Manuel and Ruiz-Porras, Antonio (2009): Modelos estocásticos para el precio spot y del futuro de commodities con alta volatilidad y reversión a la media. Forthcoming in: Revista de Administración, Finanzas y Economía

Giandomenico, Rossano (2007): Asset Liability Management for Banks.

Giandomenico, Rossano (2006): Asset Liability Management in Insurance Company.

Giandomenico, Rossano (2003): Asset Liability Management in Insurance Company.

Giandomenico, Rossano (2010): Credit Derivatives.

Giandomenico, Rossano (2003): Dalle Riserve alle Opzioni: " La partecipazione agli utili nelle polizze vita".

Giandomenico, Rossano (2006): Martingale Model.

Giandomenico, Rossano (2006): Pricing of the Policy Life in Absence of Default Risk and Asset Liability Management.

Giandomenico, Rossano (2008): Valuing Coupon Bond Linked to Variable Interest Rate.

Giandomenico, Rossano (2006): Valuing an American Put Option.

Gikhman, Ilya (2008): Risky Swaps.

Gikhman, Ilya (2008): Risky Swaps.

Gikhman, Ilya (2008): Risky Swaps.

Girardi, Daniele (2012): Do financial investors affect the price of wheat? Published in: PSL Quarterly Review , Vol. 65, No. 260 (20. March 2012)

Gomes Santana Félix, Elisabete (2003): Opções reais: tipologias e sua avaliação. Published in: Actas das XIII Jornadas Hispano Lusas de Gestión Científica (2003)

Gomes Santana Félix, Elisabete and Esperança, José Paulo (2004): Efeito da flexibilidade na decisão de investimento: Uma aplicação à exploração do cobre. Published in: Revista Economia Global e Gestão , Vol. vol. I, No. nº 1 (2004): pp. 11-32.

Grzelak, Lech and Oosterlee, Kees (2010): An Equity-Interest Rate Hybrid Model With Stochastic Volatility and the Interest Rate Smile.

Grzelak, Lech and Oosterlee, Kees (2009): On The Heston Model with Stochastic Interest Rates.

Grzelak, Lech and Oosterlee, Kees (2010): On cross-currency models with stochastic volatility and correlated interest rates.

Gyoshev, Stanley and Kaplan, Todd R. and Szewczyk, Samuel and Tsetsekos, George (2013): Why Do Financial Intermediaries Buy Put Options from Companies?

H

HUNG, MAO-WEI and SO, LEH-CHYAN (2009): New insights into India’s single stock futures markets. Published in: Review of Futures Markets , Vol. 17, (2009): pp. 335-355.

Han, Meng and He, Yeqi and Zhang, Hu (2013): A Note on Discounting and Funding Value Adjustments for Derivatives.

Hannah, Lincoln (2013): Funding Cost and a New Capital Model.

Henrard, Marc (2006): Bonds futures and their options: more than the cheapest-to-deliver; quality option and marginning.

Henrard, Marc (2006): Bonds futures: Delta? No gamma!

Henrard, Marc (2007): CMS swaps in separable one-factor Gaussian LLM and HJM model.

Henrard, Marc (2007): Skewed Libor Market Model and Gaussian HJM explicit approaches to rolled deposit options.

Henrard, Marc (2006): TIPS Options in the Jarrow-Yildirim model. Published in: Risk , Vol. 16(2), No. March 2006 (March 2006): pp. 82-83.

Henrard, Marc (2007): The irony in the derivatives discounting.

Horvath, Roman and Poldauf, Petr (2011): International stock market comovements: what happened during the financial crisis?

Huang, Huichou and MacDonald, Ronald (2012): Currency Carry Trades, Position-Unwinding Risk, and Sovereign Credit Premia.

Hung, Mao-wei and Lee, Cheng-few and So, Leh-chyan (2005): Hedging with Foreign-listed Single Stock Futures. Published in: Advances in Quantitative Analysis of Finance and Accounting , Vol. 2, (2005): pp. 129-151.

I

Ilya, Gikhman (2007): Corporate debt pricing I.

Ilya, Gikhman (2008): Multiple risky securities valuation I.

Ilya, Gikhman (2010): Multiple risky securities valuation II.

ilya, gikhman (2005): Options valuation.

ilya, gikhman (2006): Some critical comments on credit risk modeling.

J

Jamshidian, Farshid (2007): Exchange Options.

Jamshidian, Farshid (2007): Exchange Options.

Jamshidian, Farshid (2007): Exchange Options.

Jamshidian, Farshid (2008): Numeraire Invariance and application to Option Pricing and Hedging.

Janda, Karel and Vylezik, Tomas (2011): Financial Management of Weather Risk with Energy Derivatives.

Janek, Agnieszka and Kluge, Tino and Weron, Rafal and Wystup, Uwe (2010): FX Smile in the Heston Model.

K

Karkowska, Renata (2014): Is the Central and Eastern European banking systems stable? Evidence from the recent financial crisis.

Kilin, Fiodar (2006): Accelerating the calibration of stochastic volatility models.

L

Laib, Fodil and Laib, M.S. (2007): Some mathematical properties of the futures market platform.

Lanne, Markku and Ahoniemi, Katja (2008): Implied Volatility with Time-Varying Regime Probabilities.

Lean, Hooi Hooi and Smyth, Russell (2014): Testing for weak-form efficiency of Crude Palm Oil Spot and Futures Markets: New Evidence from a GARCH Unit Root Test with Multiple Structural Breaks.

Leduc, Guillaume (2012): Arbitrarily Fast CRR Schemes.

Leduc, Guillaume (2012): European Option General First Order Error Formula.

Lee, Y. and So, Leh-chyan (2013): Enemies or Allies: Pricing counterparty credit risk for synthetic CDO tranches.

Li, Hui (2009): Double Impact on CVA for CDS: Wrong-Way Risk with Stochastic Recovery.

Li, Hui (2010): Downturn LGD: A Spot Recovery Approach.

Li, Hui (2009): Extension of Spot Recovery Model for Gaussian Copula.

Li, Hui (2009): On Models of Stochastic Recovery for Base Correlation.

Li, Minqiang (2008): An Adaptive Succesive Over-relaxation Method for Computing the Black-Scholes Implied Volatility.

Li, Minqiang (2014): Analytic Approximation of Finite-Maturity Timer Option Prices.

Li, Minqiang (2008): Closed-Form Approximations for Spread Option Prices and Greeks.

Li, Minqiang (2008): A Damped Diffusion Framework for Financial Modeling and Closed-form Maximum Likelihood Estimation.

Li, Minqiang (2014): Derivatives Pricing on Integrated Diffusion Processes: A General Perturbation Approach.

Li, Minqiang (2007): The Impact of Return Nonnormality on Exchange Options.

Li, Minqiang (2008): Price Deviations of S&P 500 Index Options from the Black-Scholes Formula Follow a Simple Pattern.

Li, Minqiang (2009): A Quasi-analytical Interpolation Method for Pricing American Options under General Multi-dimensional Diffusion Processes.

Li, Minqiang and Deng, Shijie and Zhou, Jieyun (2008): Multi-asset Spread Option Pricing and Hedging.

Lin, William and Sun, David (2006): Diversification with idiosyncratic credit spreads: a pooled estimation on heterogeneous panels. Published in: Taiwan Banking and Finance Quarterly , Vol. 2, No. 8 (June 2007): pp. 1-24.

Lord, Roger and Fang, Fang and Bervoets, Frank and Oosterlee, Kees (2007): A fast and accurate FFT-based method for pricing early-exercise options under Lévy processes.

Los, Cornelis A. and Tungsong, Satjaporn (2008): Investment Model Uncertainty and Fair Pricing.

Lozano Rojas, Felipe Andres (2011): HUMAN Capital Contracts in Chile : An excercise based on Income data on Chilean HE graduates. Published in: Latin American Jounal of Economics , Vol. 49, No. 2 (29. November 2012): pp. 185-215.

Luis Manuel, García Muñoz (2012): Collateral choice and the fundamental theorem of asset pricing.

M

Marco, Bianchetti (2011): The Zeeman Effect in Finance: Libor Spectroscopy and Basis Risk Management.

Marco, Bianchetti and Mattia, Carlicchi (2012): Interest Rates After The Credit Crunch: Multiple-Curve Vanilla Derivatives and SABR.

Martzoukos, Spiros H and Zacharias, Eleftherios (2008): Real Option Games with R&D and Learning Spillovers.

Minqiang Li, Li (2009): Analytical Approximations for the Critical Stock Prices of American Options: A Performance Comparison.

Mitchell, David and Hunsader, Kenneth and Parker, Scott (2011): A Futures Trading Experiment: An Active Classroom Approach to Learning. Published in: Journal of Economics and Finance Education , Vol. 1, No. 10 (2011): pp. 10-27.

Morini, Massimo and Prampolini, Andrea (2010): Risky funding: a unified framework for counterparty and liquidity risk.

N

NWAOBI, GODWIN C (2008): The Economics of Financial Derivative Instruments.

Nagarajan, Thirukumaran and Malipeddi, Koteswararao (2009): Effects of market sentiment in index option pricing: a study of CNX NIFTY index option.

Nath, Golaka (2013): The Spot Forward Exchange Rate Relation in Indian Foreign Exchange Market - An Analysis.

Nauta, Bert-Jan (2013): Valuation of Illiquid Assets on Bank Balance Sheets.

Ntim, Collins G (2012): Why African Stock Markets Should Formally Harmonise and Integrate their Operations. Published in: African Review of Economics and Finance , Vol. 4, No. 1 (29. December 2012): pp. 53-72.

O

Olsen, Eirik Tandberg and Sanda, Gaute Egeland and Fleten, Stein-Erik (2010): Selective Hedging in Hydro-Based Electricity Companies.

P

P., Srinivasan (2011): Price Discovery and Volatility Spillovers in Indian Spot-Futures Commodity Market. Published in: The IUP Journal of Behavioral Finance , Vol. 9, No. 1 (24. March 2012): pp. 70-85.

Paschke, Raphael and Prokopczuk, Marcel (2007): Integrating Multiple Commodities in a Model of Stochastic Price Dynamics.

Penasse, Julien (2008): Cash Flow-Wise ABCDS pricing.

Pospisil, Libor and Vecer, Jan and Xu, Mingxin (2007): Tradable measure of risk.

Povh, Martin and Fleten, Stein-Erik (2009): Modeling long-term electricity forward prices.

R

Reiffen, David and Buyuksahin, Bahattin (2010): The puzzle of privately-imposed price limits: are the limits imposed by financial exchanges effective? Published in: Aestimatio No. 1 (December 2010): pp. 1-34.

Rosenthal, Dale W.R. (2012): Approximating correlated defaults.

S

Saurabha, Rritu and Tiwari, Manvendra (2007): Empirical Study of the effect of including Skewness and Kurtosis in Black Scholes option pricing formula on S&P CNX Nifty index Options.

Schneider, Stefan and Schneider, Stefan (2010): Power Spot Price Models with negative Prices.

Serletis, Apostolos (1992): Unit root behavior in energy futures prices. Published in: The Energy Journal , Vol. 13, No. 2 (1992): pp. 119-128.

Siddiqi, Hammad (2013): Analogy Making, Option Prices, and Implied Volatility.

Siddiqi, Hammad (2010): Coarse thinking, implied volatility, and the valuation of call and put options.

Siddiqi, Hammad (2013): Mental Accounting: A Closed-Form Alternative to the Black Scholes Model.

Siddiqi, Hammad (2011): Thinking by analogy, systematic risk, and option prices.

Siddiqi, Hammad (2010): The relevance of coarse thinking for investors' willingness to pay: An experimental study.

Singh, Saurabh and Saharawat, Swati (2011): Hedging dynamics with gold futures. Published in: Pantnagar Journal of Research , Vol. 10, No. 1 (2012): pp. 71-77.

Sinha, Pankaj and Mathur, Kritika (2013): International Linkages of Agri-Processed and Energy commodities traded in India.

So, Leh-chyan (2013): Are Real Options “Real”? Isolating Uncertainty from Risk in Real Options Analysis. Forthcoming in: Annals of Financial Economics

Stefano, Pagliarani and Pascucci, Andrea and Candia, Riga (2011): Adjoint expansions in local Lévy models.

Su, Yongyang and Lau, Marco Chi Keung (2010): Strategic asset allocation and intertemporal hedging demands: with commodities as an asset class.

Sun, David and Lin, William and Nieh, Chien-Chung (2007): Long run credit risk diversification: empirical decomposition of corporate bond spreads. Published in: Review of Securities and Futures Markets , Vol. 2, No. 20 (July 2008): pp. 135-187.

Symeonidis, Lazaros and Prokopczuk, Marcel and Brooks, Chris and Lazar, Emese (2012): Futures basis, inventory and commodity price volatility: An empirical analysis.

T

Tim, Xiao (2011): An efficient lattice algorithm for the libor market model. Forthcoming in: Journal of Derivatives

Torresetti, Roberto and Pallavicini, Andrea (2007): Stressing rating criteria allowing for default clustering: the CPDO case.

Torro, Hipolit (2009): Assessing the influence of spot price predictability on electricity futures hedging.

U

Ulibarri, Carlos A. (2004): Introducing contemporaneous open-outcry and e-trading at the Chicago Board of Trade. Published in: Asia Pacific Management Review , Vol. 9, No. 5 (2004)

Ulibarri, Carlos A. (1998): Is after-hours trading informative? Published in: Journal of Futures Markets , Vol. 18, No. 5 (1998): pp. 563-579.

Ulibarri, Carlos A. and Anselmo, Peter and Hovsepian, Karen and Florescu, Ionut and Tolk, Jacob (2008): 'Noise trader risk' and Bayesian market making in FX derivatives: rolling loaded dice? Published in: International Journal of Finance and Economics

V

Vazquez, Miguel and Barquín, Julián (2009): Representing the effects of oligopolistic competition on risk-neutral prices in power markets.

Venegas-Martínez, Francisco (2014): Entendiendo los mercados de swaps: Un enfoque de equilibrio general.

Venier, Guido (2007): A new Model for Stock Price Movements. Published in: Journal of Applied Economic Sciences , Vol. 3, No. 3 (November 2008): pp. 327-347.

Vignola, Anthony and Dale, Charles (1980): The Efficiency of the Treasury Bill Futures Market: An Analysis of Alternative Specifications. Published in: Journal of Financial Research , Vol. 3, No. 2 (1980): pp. 169-188.

Vignola, Anthony and Dale, Charles (1979): Is the Futures Market for Treasury Bills Efficient? Published in: The Journal of Portfolio Management , Vol. 5, (1979): pp. 78-81.

Vignola, Anthony and Dale, Charles and Federal Reserve System, Federal Reserve Staffs (1979): Treasury/Federal Reserve Study of Treasury Futures Markets Volume I: Summary and Recommendations.

Vignola, Anthony and Dale, Charles and Federal Reserve System, Federal Reserve Staffs (1979): Treasury/Federal Reserve Study of Treasury Futures Markets Volume II: A Study by the Staffs of the U.S. Treasury and Federal Reserve System. Published in:

Villena, Marcelo and Villena, Mauricio (2011): Option Pricing in an Oligopolistic Setting.

W

Wagner, Helmut and Matanovic, Eva (2012): Volatility Impact of Stock Index Futures Trading - A Revised Analysis. Published in: Journal of Applied Finance & Banking , Vol. 2, No. 5 (2012): pp. 113-126.

Walker, Todd B and Haley, M. Ryan (2009): Alternative Tilts for Nonparametric Option Pricing.

X

Xiao, Tim (2013): Is the Jump-Diffusion Model a Good Solution for Credit Risk Modeling? The Case of Convertible Bonds.

Z

Zhou, Qi-Yuan and Wu, Chong-Feng and Feng, Yun (2007): Decomposing and valuing callable convertible bonds: a new method based on exotic options.

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