Munich Personal RePEc Archive

Items where Subject is "G13 - Contingent Pricing ; Futures Pricing"

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Number of items at this level: 307.


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

Adrian, Fernandez-Perez and Ana-Maria, Fuertes and Joelle, Miffre (2022): The Negative Pricing of the May 2020 WTI Contract. Forthcoming in: The Energy Journal

Ahmadov, Vugar and Huseynov, Salman and Mammadov, Fuad and Karimli, Tural (2015): Brent nefti opsiyonlarından neytral riskli ehtimal paylanmasının əldə olunması.

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



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)

Almanzar, Miguel and Torero, Maximo and von Grebmer, Klaus (2014): Futures Commodities Prices and Media Coverage.

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.

Arnone, Massimo and Leogrande, Angelo and Costantiello, Alberto and Laureti, Lucio (2024): Banking Stability in the ESG Framework Across Italian Regions.

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

amri amamou, souhir and hellara, slaheddine (2021): The dynamic relationship between the sovereign CDS market and the Eurozone sovereign bond market (classified by maturity): Contagion or Spillovers?


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:

Bonga-Bonga, Lumengo and Umoetok, Ekerete (2015): The effectiveness of index futures hedging in emerging markets during the crisis period of 2008-2010: Evidence from South Africa.

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.

Bornah, Mathew (2015): The key characteristics of the EURO 2012 arenas and the sources of their financing.

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

Brogi, Athos (2016): A Binomial Tree to Price European and American Options.

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.

Cangoz, Mehmet Coskun and Boitreaud, Sebastien and Dychala, Christopher Benjamin (2018): How Do Countries Use an Asset and Liability Management Approach? A Survey on Sovereign Balance Sheet Management. Published in: Policy Research Working Paer , Vol. 1, No. WPS8624

Cantillo, Miguel (2017): A Reconsideration of the Equity Premium Puzzle.

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.

Carrasco-Gutierrez, Carlos Enrique and Piazza, Wagner (2011): Evaluating Asset Pricing Models in a Simulated Multifactor Approach. Published in: Brazilian Review of Finance , Vol. 10, (2012): pp. 425-460.

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

Carter, Colin A. and Steinbach, Sandro (2023): Did Grain Futures Prices Overreact to the Russia-Ukraine War?

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)

Cayton, Peter Julian (2015): A Nonparametric Option Pricing Model Using Higher Moments.

Cayton, Peter Julian and Ho, Kin-Yip (2015): A Nonparametric Option Pricing Model Using Higher Moments.

Chang, Kuo-Ping (2020): On Option Greeks and Corporate Finance.

Chang, Kuo-Ping (2017): On Using Risk-Neutral Probabilities to Price Assets.

Chatziantoniou, Ioannis and Degiannakis, Stavros and Filis, George (2019): Futures-based forecasts: How useful are they for oil price volatility forecasting? Published in: Energy Economics No. 81 (2019): pp. 639-649.

Chen, Ying and Grith, Maria and Lai, Hannah L. H. (2023): Neural Tangent Kernel in Implied Volatility Forecasting: A Nonlinear Functional Autoregression Approach.

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.

Chong, Terence Tai Leung and Tsui, Chun and Chan, Wing Hong (2017): Factor Pricing in Commodity Futures and the Role of Liquidity. Forthcoming in: Quantitative Finance

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 Paesani, Paolo (2018): Navigating the oil bubble: A non-linear heterogeneous-agent dynamic model of futures oil pricing.

Cifarelli, Giulio and Paesani, Paolo (2017): On the difficulty of interpreting market behaviour in an uncertain world: the case of oil futures pricing between 2003 and 2016.

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 (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.

Degiannakis, Stavros and Filis, George (2017): Forecasting oil price realized volatility using information channels from other asset classes. Published in: Journal of International Money and Finance No. 76 (2017): pp. 28-49.

Degiannakis, Stavros and Filis, George (2016): Forecasting oil price realized volatility: A new approach.

Degiannakis, Stavros and Floros, Christos (2010): Hedge Ratios in South African Stock Index Futures. Published in: Journal of Emerging Market Finance , Vol. 3, No. 9 (2010): pp. 285-304.

Degiannakis, Stavros and Floros, Christos and Salvador, Enrique and Vougas, Dimitrios (2020): On the Stationarity of Futures Hedge Ratios. Forthcoming in: Operational Research (2020)

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.

Fajardo, José (2016): Power Style Contracts Under Asymmetric Lévy Processes.



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.

Ferriani, Fabrizio and Natoli, Filippo and Veronese, Giovanni and Zeni, Federica (2018): Futures risk premia in the era of shale oil.

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. Published in: Journal of Asset Management

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.

Fuertes, Ana-Maria and Zhao, Nan (2022): A Bayesian Perspective on Commodity Style Integration. Published in: Journal of Commodity Markets No. 30 (February 2023)

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

fajardo, José (2016): A New Factor to Explain Implied Volatility Smirk.


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 Muñoz, Luis Manuel and Palomar Burdeus, Juan Esteban and de Lope Contreras, Fernando (2016): A retained earnings consistent KVA approach and the impact of taxes.

García Muñoz, Luis Manuel and de Lope Contreras, Fernando and Palomar Burdeus, Juan Esteban (2015): Pricing Derivatives in the New Framework: OIS Discounting, CVA, DVA & FVA.

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

Genest, Benoit and Rego, David and Freon, Helene (2013): Collateral Optimization : Liquidity & Funding Value Adjustments, - Best Practices -.

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

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

Giandomenico, Rossano (2006): 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.

Gomez-Ruano, Gerardo (2014): Should Central Banks Take On Credit-Risk?

Grothe, Magdalena and Meyler, Aidan (2015): Inflation forecasts: Are market-based and survey-based measures informative?

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?


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.

Hammad, Siddiqi (2015): Index Option Returns from an Anchoring Perspective.

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.

Hassett, Kevin and Zhong, Weifeng (2017): On the Observational Implications of Knightian Uncertainty.

He, Qing and Gan, Jingyun and Wang, Shuwan and Chong, Terence Tai Leung (2018): The Effects of Trading Suspensions in China.

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.

Hernández, Juan R. (2014): Peso-Dollar Forward Market Analysis: Explaining Arbitrage Opportunities during the Financial Crisis.

Hertrich, Markus (2015): A Note on Credit Spread Forwards. Forthcoming in:

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

Hou, Yang and Holmes, Mark (2017): On the effects of static and autoregressive conditional higher order moments on dynamic optimal hedging.

Hou, Yang and Li, Steven (2017): Time-Varying Price Discovery and Autoregressive Loading Factors: Evidence from S&P 500 Cash and E-Mini Futures Markets.

Hou, Yang and Nartea, Gilbert (2017): Price Discovery in the Stock Index Futures Market: Evidence from the Chinese stock market crash.

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.


Ibañez, Francisco and Romero-Meza, Rafael and Coronado-Ramírez, Semei and Venegas-Martínez, Francisco (2015): Innovaciones financieras en América Latina: mercados de derivados y determinantes de la administración de riesgo.

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.

Jin, Muzhao and Kearney, Fearghal and Li, Youwei and Yang, Yung Chiang (2019): Intraday Time-series Momentum: Evidence from China.


Kanamura, Takashi (2019): Volumetric Risk Hedging Strategies and Basis Risk Premium for Solar Power.

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.

Kim, Minseong (2016): Futures market approach to understanding equity premium puzzle.


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, David (2023): Default Forecasting and Credit Valuation Adjustment.

Lee, David (2022): Generic Price Model for Commodity Derivatives.

Lee, David (2022): Pricing Cancellation Product.

Lee, David (2018): Pricing Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment.

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

Leung, Melvern and Li, Youwei and Pantelous, Athanasios and Vigne, Samuel (2019): Bayesian Value-at-Risk Backtesting: The Case of Annuity Pricing.

Levy, Daniel and Mayer, Tamir and Raviv, Alon (2020): Academic Scholarship in Light of the 2008 Financial Crisis: Textual Analysis of NBER Working Papers.

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.

Luciano, Elisa (2006): Copulas and dependence models in credit risk: diffusions versus jumps. Published in: Statistica Applicata , Vol. 18, No. 4 (2006): pp. 573-588.

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


MacDonald, Stephen and Meyer, Leslie (2009): Trends in U.S. Cotton Basis Since 2001. Published in:

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.

Mehta, Deepshikha (2015): Evidences of efficient investment portfolio in Indian capital markets-An analysis based on BSE and NSE indices.

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.

Molina Barreto, Andrés Mauricio and Jiménez Moscoso, José Alfredo (2014): Valoración de derivados europeos con mixtura de distribuciones Weibull. Published in: Cuadernos de Economía , Vol. 65, No. 34 (1 July 2015): pp. 279-298.

Molintas, Dominique Trual (2019): Rational human behaviour for corporate survival: Black Monday Review.

Moreno, María Antonia and Pagliacci, Carolina (2010): Análisis de Riesgo Macro-financiero para Venezuela. Published in: Revista BCV , Vol. XIX, No. 2 (September 2013)

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.

Nakashima, Kiyotaka and Saito, Makoto (2009): Credit Spreads on Corporate Bonds and the Macroeconomy in Japan. Published in: Journal of the Japanese and International Economies , Vol. 23, (2009): pp. 309-331.

Naszodi, Anna (2019): The Single Resolution Fund and the Credit Default Swap: What is the Coasian fair price of their insurance services?

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

Nauta, Bert-Jan (2016): A Model for the Valuation of Assets with Liquidity Risk. Published in: Journal of Risk (5 December 2017)

Nauta, Bert-Jan (2016): Multi-Curve Discounting.

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

Nguyen, Quang Khai (2024): How Does Financial Flexibility Strategy Impact on Risk Management Effectiveness? Published in: Sage Open , Vol. 2, No. 14 (1 May 2024): pp. 1-14.

Nizar, Muhammad Afdi (2018): Kontroversi Mata Uang Digital.

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.


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