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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
Ardia, David (2002): Tests d'arbitrage et surfaces de volatilité : analyse empirique sur données haute fréquence.
Arvesen, Øystein and Medbø, Vegard and Fleten, Stein-Erik and Tomasgard, Asgeir and Westgaard, Sjur (2012): Linepack storage valuation under price uncertainty.
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.
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.
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.
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 (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.
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.
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.
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.
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.
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 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?
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?
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.
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.
Kilin, Fiodar (2006): Accelerating the calibration of stochastic volatility models.
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.
Leduc, Guillaume (2012): Arbitrarily Fast CRR Schemes.
Leduc, Guillaume (2012): European Option General First Order Error Formula.
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 (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 (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.
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.
Morini, Massimo and Prampolini, Andrea (2010): Risky funding: a unified framework for counterparty and liquidity risk.
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.
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.
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.
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.
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 (2010): Coarse thinking, implied volatility, and the valuation of call and put options.
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.
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.
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.
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
Vazquez, Miguel and Barquín, Julián (2009): Representing the effects of oligopolistic competition on risk-neutral prices in power markets.
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.
Walker, Todd B and Haley, M. Ryan (2009): Alternative Tilts for Nonparametric Option Pricing.
Xiao, Tim (2013): Is the Jump-Diffusion Model a Good Solution for Credit Risk Modeling? The Case of Convertible Bonds.
Zhou, Qi-Yuan and Wu, Chong-Feng and Feng, Yun (2007): Decomposing and valuing callable convertible bonds: a new method based on exotic options.
