Calvo-Garrido, Maria del Carmen; Pascucci, Andrea and Vázquez Cendón, Carlos (2012): Mathematical analysis and numerical methods for pricing pension plans allowing early retirement. Unpublished.
Stefano, Pagliarani; Pascucci, Andrea and Candia, Riga (2011): Adjoint expansions in local Lévy models. Unpublished.
Horvath, Roman and Poldauf, Petr (2011): International stock market comovements: what happened during the financial crisis? Unpublished.
Janda, Karel and Vylezik, Tomas (2011): Financial Management of Weather Risk with Energy Derivatives. Unpublished.
Tim, Xiao (2011): An efficient lattice algorithm for the libor market model. Forthcoming in: Journal of Derivatives
Siddiqi, Hammad (2011): Thinking by analogy, systematic risk, and option prices. Unpublished.
Cocozza, Rosa and De Simone, Antonio (2011): One numerical procedure for two risk factors modeling. Unpublished.
Cifarelli, Giulio and Paladino, Giovanna (2011): Hedging vs. speculative pressures on commodity futures returns. Unpublished.
Schneider, Stefan and Schneider, Stefan (2010): Power Spot Price Models with negative Prices. Unpublished.
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.
Balakrishna, B. S. (2010): Levy subordinator model: A two parameter model of default dependency. Unpublished.
Bao, Qunfang; Chen, Si; Liu, Guimei and Li, Shenghong (2010): Unilateral CVA for CDS in Contagion Model_with Volatilities and Correlation of Spread and Interest. Unpublished.
Bao, Qunfang; Chen, Si; Liu, Guimei and Li, Shenghong (2010): Unilateral CVA for CDS in contagion model: with volatilities and correlation of spread and interest. Unpublished.
Bao, Qunfang; Chen, Si; Liu, Guimei and Li, Shenghong (2010): Unilateral CVA for CDS in Contagion model: With volatilities and correlation of spread and interest. Unpublished.
Su, Yongyang and Lau, Marco Chi Keung (2010): Strategic asset allocation and intertemporal hedging demands: with commodities as an asset class. Unpublished.
Amira, Khaled and Bennour, Khaled (2010): Borrowing Constraint and the Effect of Option Introduction. Unpublished.
Caporin, Massimiliano; Pres, Juliusz and Torro, Hipolit (2010): Model based Monte Carlo pricing of energy and temperature quanto options. Unpublished.
Janek, Agnieszka; Kluge, Tino; Weron, Rafal and Wystup, Uwe (2010): FX Smile in the Heston Model. Unpublished.
Bao, Qunfang; Li, Shenghong and Liu, Guimei (2010): Survival Measures and Interacting Intensity Model: with Applications in Guaranteed Debt Pricing. Unpublished.
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)
Siddiqi, Hammad (2010): The relevance of coarse thinking for investors' willingness to pay: An experimental study. Unpublished.
Campbell, Gareth (2010): Bubbles and Leverage. Unpublished.
Cadogan, Godfrey (2010): Canonical Representation Of Option Prices and Greeks with Implications for Market Timing. Unpublished.
Grzelak, Lech and Oosterlee, Kees (2010): On cross-currency models with stochastic volatility and correlated interest rates. Unpublished.
Fries, Christian P. (2010): Discounting Revisited. Valuations under Funding Costs, Counterparty Risk and Collateralization. Unpublished.
Elverhøi, Morten; Fleten, Stein-Erik; Fuss, Sabine; Heggedal, Ane Marte; Szolgayova, Jana and Troland, Ole Christian (2010): Evaluation of hydropower upgrade projects - a real options approach. Unpublished.
Morini, Massimo and Prampolini, Andrea (2010): Risky funding: a unified framework for counterparty and liquidity risk. Unpublished.
Balakrishna, B S (2010): Levy Subordinator Model of Default Dependency. Unpublished.
Giandomenico, Rossano (2010): Credit Derivatives. Unpublished.
Grzelak, Lech and Oosterlee, Kees (2010): An Equity-Interest Rate Hybrid Model With Stochastic Volatility and the Interest Rate Smile. Unpublished.
Li, Hui (2010): Downturn LGD: A Spot Recovery Approach. Unpublished.
Carey, Alexander (2010): Higher-order volatility: time series. Unpublished.
Balakrishna, B S (2010): Alpha-root Processes for Derivatives pricing. Unpublished.
Siddiqi, Hammad (2010): Coarse thinking, implied volatility, and the valuation of call and put options. Unpublished.
Behera, Harendra (2010): Onshore and offshore market for Indian Rupee: recent evidence on volatility and shock spillover. Unpublished.
Ilya, Gikhman (2010): Multiple risky securities valuation II. Unpublished.
Li, Hui (2009): Double Impact on CVA for CDS: Wrong-Way Risk with Stochastic Recovery. Unpublished.
Nagarajan, Thirukumaran and Malipeddi, Koteswararao (2009): Effects of market sentiment in index option pricing: a study of CNX NIFTY index option. Unpublished.
Li, Hui (2009): Extension of Spot Recovery Model for Gaussian Copula. Unpublished.
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
Walker, Todd B and Haley, M. Ryan (2009): Alternative Tilts for Nonparametric Option Pricing. Unpublished.
Bennani, Norddine and Maetz, Jerome (2009): A Spot Stochastic Recovery Extension of the Gaussian Copula. Unpublished.
Li, Hui (2009): On Models of Stochastic Recovery for Base Correlation. Unpublished.
Vazquez, Miguel and Barquín, Julián (2009): A fundamental power price model with oligopolistic competition representation. Unpublished.
Cartea, Álvaro and Meyer-Brandis, Thilo (2009): How Duration Between Trades of Underlying Securities Affects Option Prices. Forthcoming in: Review of Finance
Torro, Hipolit (2009): Assessing the influence of spot price predictability on electricity futures hedging. Unpublished.
Grzelak, Lech and Oosterlee, Kees (2009): On The Heston Model with Stochastic Interest Rates. Unpublished.
Povh, Martin and Fleten, Stein-Erik (2009): Modeling long-term electricity forward prices. Unpublished.
Fleten, Stein-Erik and Ringen, Geir (2009): New renewable electricity capacity under uncertainty: The potential in Norway. Unpublished.
Li, Minqiang (2009): A Quasi-analytical Interpolation Method for Pricing American Options under General Multi-dimensional Diffusion Processes. Unpublished.
Minqiang Li, Li (2009): Analytical Approximations for the Critical Stock Prices of American Options: A Performance Comparison. Unpublished.
El Qalli, Yassine (2009): Term Structure Equations Under Benchmark Framework. Unpublished.
Lanne, Markku and Ahoniemi, Katja (2008): Implied Volatility with Time-Varying Regime Probabilities. Unpublished.
Bianchetti, Marco (2008): Two Curves, One Price :Pricing & Hedging Interest Rate Derivatives Decoupling Forwarding and Discounting Yield Curves. Unpublished.
Penasse, Julien (2008): Cash Flow-Wise ABCDS pricing. Unpublished.
Ciurlia, Pierangelo and Gheno, Andrea (2008): A model for pricing real estate derivatives with stochastic interest rates. Unpublished.
Li, Minqiang (2008): A Damped Diffusion Framework for Financial Modeling and Closed-form Maximum Likelihood Estimation. Unpublished.
Balakrishna, B S (2008): Levy Density Based Intensity Modeling of the Correlation Smile. Unpublished.
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.
Giandomenico, Rossano (2008): Asset Liability Management for Banks. Unpublished.
NWAOBI, GODWIN C (2008): The Economics of Financial Derivative Instruments. Unpublished.
Fang, Fang and Oosterlee, Kees (2008): Pricing Early-Exercise and Discrete Barrier Options by Fourier-Cosine Series Expansions. Unpublished.
Los, Cornelis A. and Tungsong, Satjaporn (2008): Investment Model Uncertainty and Fair Pricing. Unpublished.
Martzoukos, Spiros H and Zacharias, Eleftherios (2008): Real Option Games with R&D and Learning Spillovers. Unpublished.
Dell'Era Mario, M.D. (2008): Pricing of Double Barrier Options by Spectral Theory. Unpublished.
Dell'Era Mario, M.D. (2008): Pricing of the European Options by Spectral Theory. Unpublished.
Fang, Fang and Oosterlee, Kees (2008): A NOVEL PRICING METHOD FOR EUROPEAN OPTIONS BASED ON FOURIER-COSINE SERIES EXPANSIONS. Unpublished.
Fang, Fang and Oosterlee, Kees (2008): A NOVEL PRICING METHOD FOR EUROPEAN OPTIONS BASED ON FOURIER-COSINE SERIES EXPANSIONS. Unpublished.
Jamshidian, Farshid (2008): Numeraire Invariance and application to Option Pricing and Hedging. Unpublished.
Gikhman, Ilya (2008): Risky Swaps. Unpublished.
Gikhman, Ilya (2008): Risky Swaps. Unpublished.
Gikhman, Ilya (2008): Risky Swaps. Unpublished.
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 (01. July 2008)
Li, Minqiang (2008): An Adaptive Succesive Over-relaxation Method for Computing the Black-Scholes Implied Volatility. Unpublished.
Carey, Alexander (2008): Natural volatility and option pricing. Unpublished.
Fagan, Stephen and Gencay, Ramazan (2008): Liquidity-Induced Dynamics in Futures Markets. Unpublished.
Li, Minqiang; Deng, Shijie and Zhou, Jieyun (2008): Multi-asset Spread Option Pricing and Hedging. Unpublished.
Ulibarri, Carlos A.; Anselmo, Peter; Hovsepian, Karen; 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
Li, Minqiang (2008): Closed-Form Approximations for Spread Option Prices and Greeks. Unpublished.
Ilya, Gikhman (2008): Multiple risky securities valuation I. Unpublished.
Li, Minqiang (2008): Price Deviations of S&P 500 Index Options from the Black-Scholes Formula Follow a Simple Pattern. Unpublished.
Giandomenico, Rossano (2008): Valuing Coupon Bond Linked to Variable Interest Rate. Unpublished.
Brace, Alan; Fabbri, Giorgio and Goldys, Benjamin (2007): An Hilbert space approach for a class of arbitrage free implied volatilities models. Unpublished.
Laib, Fodil and Laib, M.S. (2007): Some mathematical properties of the futures market platform. Unpublished.
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. Unpublished.
Paschke, Raphael and Prokopczuk, Marcel (2007): Integrating Multiple Commodities in a Model of Stochastic Price Dynamics. Unpublished.
Torresetti, Roberto and Pallavicini, Andrea (2007): Stressing rating criteria allowing for default clustering: the CPDO case. Unpublished.
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.
Jamshidian, Farshid (2007): Exchange Options. Unpublished.
Jamshidian, Farshid (2007): Exchange Options. Unpublished.
Jamshidian, Farshid (2007): Exchange Options. Unpublished.
Alos, Elisa and Ewald, Christian-Oliver (2007): Malliavin differentiability of the Heston volatility and applications to option pricing. Unpublished.
Balakrishna, B S (2007): Delayed Default Dependency and Default Contagion. Unpublished.
Henrard, Marc (2007): The irony in the derivatives discounting. Unpublished.
Lord, Roger; Fang, Fang; Bervoets, Frank and Oosterlee, Kees (2007): A fast and accurate FFT-based method for pricing early-exercise options under Lévy processes. Unpublished.
Zhou, Qi-Yuan; Wu, Chong-Feng and Feng, Yun (2007): Decomposing and valuing callable convertible bonds: a new method based on exotic options. Unpublished.
Henrard, Marc (2007): Skewed Libor Market Model and Gaussian HJM explicit approaches to rolled deposit options. Unpublished.
Ahoniemi, Katja and Lanne, Markku (2007): Joint Modeling of Call and Put Implied Volatility. Published in:
Li, Minqiang (2007): The Impact of Return Nonnormality on Exchange Options. Unpublished.
Albanese, Claudio (2006): OPERATOR METHODS, ABELIAN PROCESSES AND DYNAMIC CONDITIONING. Unpublished.
Giandomenico, Rossano (2006): Valuing an American Put Option. Unpublished.
Balakrishna, B S (2006): A Semi-Analytical Parametric Model for Dependent Defaults. Unpublished.
Giandomenico, Rossano (2006): Pricing of the Policy Life in Absence of Default Risk and Asset Liability Management. Unpublished.
ilya, gikhman (2006): Some critical comments on credit risk modeling. Unpublished.
Abramov, Vyacheslav and Klebaner, Fima (2006): Forecasting and testing a non-constant volatility. Unpublished.
Giandomenico, Rossano (2006): Asset Liability Management in Insurance Company. Unpublished.
Giandomenico, Rossano (2006): Asset Liability Management in Insurance Company. Unpublished.
Henrard, Marc (2006): Bonds futures and their options: more than the cheapest-to-deliver; quality option and marginning. Unpublished.
Henrard, Marc (2006): Bonds futures: Delta? No gamma! Unpublished.
Giandomenico, Rossano (2006): Martingale Model. Unpublished.
Fleten, Stein-Erik; 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 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.
Fiorani, Filo (2004): Option Pricing Under the Variance Gamma Process. Unpublished.
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. IX, No. nº 1 (2004): pp. 11-32.
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)
Cocozza, R; 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.
Giandomenico, Rossano (2003): Dalle Riserve alle Opzioni: " La partecipazione agli utili nelle polizze vita". Unpublished.
Gomes Santana Félix, Elisabete (2003): Opções reais: tipologias e sua avaliação. Published in: Actas das XIII Jornadas Hispano Lusas de Gestión Científica (2003)
Ardia, David (2002): Tests d'arbitrage et surfaces de volatilité : analyse empirique sur données haute fréquence. Unpublished.
Ulibarri, Carlos A. (1998): Is after-hours trading informative? Published in: Journal of Futures Markets , Vol. 18, No. 5 (1998): pp. 563-579.
Chichilnisky, Graciela (1996): Markets with endogenous uncertainty: theory and policy. Published in: Theory and Decision , Vol. 41, (1996): pp. 99-131.
Chichilnisky, Graciela (1984): Manipulations and repeated games in future markets. Published in: The Industrial Organization of Futures Markets (1984): pp. 193-214.
Albanese, Claudio; Lo, Harry and Stathis, Tompaidis (2006): A Numerical Method for Pricing Electricity Derivatives for Jump-Diffusion Processes Based on Continuous Time Lattices. Unpublished.
Albanese, Claudio and Vidler, Alicia (2007): A STRUCTURAL MODEL FOR CREDIT-EQUITY DERIVATIVES AND BESPOKE CDOs. Published in: Wilmott Magazine , Vol. 2007, No. May (01. May 2007)
Kilin, Fiodar (2006): Accelerating the calibration of stochastic volatility models. Unpublished.
Albanese, Claudio (2007): CALLABLE SWAPS, SNOWBALLS AND VIDEOGAMES. Unpublished.
Henrard, Marc (2007): CMS swaps in separable one-factor Gaussian LLM and HJM model. Unpublished.
Ilya, Gikhman (2007): Corporate debt pricing I. Unpublished.
Andrea, Pascucci (2007): Free boundary and optimal stopping problems for American Asian options. Forthcoming in: Finance and Stochastics
Cotter, John and Hanly, James (2007): Hedging Effectiveness under Conditions of Asymmetry. Unpublished.
Carey, Alexander (2005): Higher-order volatility. Unpublished.
Carey, Alexander (2006): Higher-order volatility: dynamics and sensitivities. Unpublished.
Bøckman, Thor; Fleten, Stein-Erik; Juliussen, Erik; Langhammer, Håvard and Revdal, Ingemar (2006): Investment timing and optimal capacity choice for small hydropower projects. Unpublished.
Albanese, Claudio and Osseiran, Adel (2007): Moment Methods for Exotic Volatility Derivatives. Unpublished.
ilya, gikhman (2005): Options valuation. Unpublished.
Carey, Alexander (2006): Path-conditional forward volatility. Unpublished.
Albanese, Claudio and Mijatovic, Aleksandar (2006): SPECTRAL METHODS FOR VOLATILITY DERIVATIVES. Unpublished.
Henrard, Marc (2006): TIPS Options in the Jarrow-Yildirim model. Published in: Risk , Vol. 16(2), No. March 2006 (March 2006): pp. 82-83.
Pospisil, Libor; Vecer, Jan and Xu, Mingxin (2007): Tradable measure of risk. Unpublished.
Serletis, Apostolos (1992): Unit root behavior in energy futures prices. Published in: The Energy Journal , Vol. 13, No. 2 (1992): pp. 119-128.
