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22, 2005)
(Various) 'Productivity, Labor & the Business Cycle' FRB St. Louis Review July/Aug.
Accardi Luigi 'Ito calculus versus white noise calculus' Abel Symposium Stochastic
Analysis..Honor of Kiyosi Ito 2005 Norway
Achdou Yves, Olivier Pironneau 'Computational Methods for Option Pricing' 2005 SIAM
Adams Andrew, Philip Booth, David Bowie, Della Freeth 'Investment Mathematics'
Wiley 2003
Airoldi Marco 'A moment expansion approach to option pricing' QF 2/05 <option-
Aït-Sahalia Yacine, Per Mykland, Lan Zhang 'How Often to Sample a Continuous-Time
Process in the Presence of Market Microstructure Noise' RFS Summer 05
Ait-Sahalia Yacine, Per Mykland, Lan Zhang 'Ultra High Frequency Volatility
Estimation with Dependent Microstructure Noise' 5/05 NBER
Albanese Claudio, Alexey Kuznetsov 'Transformations of Markov Processes &
Classification Scheme for Solvable Driftless Diffusions'
Albanese Claudio, Oliver X. Chen 'Discrete credit barrier models' QF 6/05
ALBRECHER H., M. PREDOTA 'Bounds and approximations for discrete Asian options in a
variance-gamma model' Grazer Math. Ber. 2002, 345, 35-57.
Alexander Carol, Leonardo Noqueira ‘A Taxonomy of Option Pricing Models: Scale
Invariant Volatility and Minimum Variance Hedging’ SSRN 8/05
Ali Ashraf, Charles Rajakumar 'The Boundary Element Method' 2004 CRC Press
Aliprantis C.D., M. Florenzano, V. F. Martins-da-Rocha, R. Tourky ‘Equilibrium
analysis in financial markets with countably many securities’ 9/04 Journal of
Mathematical Economics
Almendral A., C.W. Oosterlee 'On American options under the Variance Gamma process'
Technical Report, Delft University of Technology
Almgren Robert, Chee Thum, Emmanuel Hauptmann and Hong Li 'Equity Market Impact'
<3/5 power law, transaction costs, large trades> RISK 7/05
Alti Aydogan 'IPO Market Timing' RFS Fall 2005
Amzal Billy, Yonathan Ebguy, Sebastien Roland 'Joint Calibration of Option Pricing
Models via Particle Methods' 2005 <Calibration, option pricing, jump-diffusion
model, Particle Systems, Markov Chain Monte-Carlo>
Anderson Evan, Eric Ghysels, Jennifer Juergens 'Do Heterogeneous Beliefs Matter for
Asset Pricing?' RFS Fall 2005
Andreasen Jesper 'Back to the future' <stochastic volatility multi-factor yield
curve models, quick calibration/efficient Monte Carlo simulation> RISK 9/05
Andrews Donald W.K. 'Cross-Section Regression with Common Shocks' Econometrica 9/05
Andricopoulos Ari, Martin Widdicks, Peter Duck, David Newton 'Extending Quadrature
Methods to Value Multi-Asset & Complex Path Dependent Options' tobe 2005 JFE
Arcidiacono Peter 'Affirmative Action in Higher Education: How Do Admission and
Financial Aid Rules Affect Future Earnings?' Econometrica 9/05
Athey Susan, Andrew Atkeson, Patrick Kehoe 'The Optimal Degree of Discretion in
Monetary Policy' Econometrica 9/05
Atkisnon Kendall, Weimin Han 'Theoretical Numerical Analysis' Springer 2005
Atlan Marc, Boris Leblanc 'Hybrid Equity-Credit Modelling' <CEV for CDS equity
options> RISK 8/05
ATTARI Mukarram, ANTONIO S. MELLO, MARTIN E. RUCKES 'Arbitraging Arbitrageurs' JofF
Avramidis Athanassios, Pierre L'Ecuyer 'Efficient Monte Carlo & Quasi-Monte Carlo
Option Pricing Under the Variance-Gamma Model' 8/05 <option-numeric> <path
dependent, gamma bridge>
Awanou Gerard 'Multiscale Asymptotics of Partial Hedging' <two factor> IMA wp 7/05
Back Kerry 'A Course in Derivative Securities:Introduction to Theory and
Computation' Springer Finance 2005
Bahlalia Khaled, Saý¨d Hamadènec, Brahim Mezerdid 'Backward stochastic differential
equations with two reflecting barriers and continuous with quadratic growth
coefficient' SP&A 7/05
Baker G., R. Beneder, A. Zilber 'FX Barriers with Smile Dynamics' wp Erasmus U.
Bakshi G., C. Cao 'Risk-Neutral Kurtosis, Jumps, and Option Pricing:Evidence from
100 Most Actviely Traded Firms on the CBOE' 2002
Bali Turan, David Weinbaum 'A comparative study of alternative extreme-value
volatility estimators' J. Futures Markets 9/05
Banerjee Priyodorshi 'Information Acquisition Under Uncertainty in Credit Markets'
RFS Fall 2005
Bansal Ravi, Robert Dittmar, Christian Lundblad 'Consumption, Dividends, and the
Cross Section of Equity Returns' JofF 8/05
Barndorff-Nielsen Ole 'Volatility and Intermittency' Abel Symposium Stochastic
Analysis..Honor of Kiyosi Ito 2005 Norway
Barndorff-Nielsen Ole, Neil Shephard 'Variation, Jumps, Market Frictions and High
Frequency Data in Financial Econometrics' 6/05 <non-parametric>
Barndorff-Nielsen Ole, S. Thorbjorsen 'The Lévy-Itô decomposition in free
probability' Prob. Theory & Related Fields 2/05
Barton D.E., K.E.R. Dennis 'The Conditions under which Gram-Charlier & Edgeworth
Curves are Positive Definite & Unimodal' Biometrika 1952
Beattie Christoper, Mark Embree, D.C. Sorensen 'Convergence of Polynomial Restart
Krylov Methods for Eigenvalue Computations' SIAM Review 8/05
Beilis A., Jan Dash 'A Multivariated Yield-Curve Lognormal Model' CNRS 1989
Beilis A., Jan Dash 'A Strongly Mean-Reverting Yield Curve Model CNRS 1989
Beja A. 'Capital Markets with Delayed Learning' PhD Stanford 1967
Beja A. 'The Structure of the Cost of Capital under Uncertainity' Review of
Economic Studies 1971
Bensoussan Alain, Nizar Touzi, Menaldi Jose Luis 'Penalty approximation and
analytical characterization of the problem of super-replication under portfolio
constraints' 12/4/04
Benth Fred Espen, Thilo Meyer-Brandis 'The density process of the minimal entropy
martingale measure in a stochastic volatility model with jumps' F&S 10/05
<Levy, subordinators, incomplete market,integro-partial differential>
Bernard Carole, Olivier Le Courtois, Francois Quittard-Pinon 'A New Procedure for
Pricing Parisian Options' J. Derivatives Summer 05 <option-Paris>
Bernard Carole, Olivier Le Courtois, Francois Quittard-Pinon 'A Study of the Mutual
Insuarnce of Bank Deposits' Geveva Risk & Insurance Review
Berry Michael, Murray Browne 'Understanding Search Engines:Mathematical Modeling &
Text Retrieval' SIAM Press 2005
Betcke Timo, Lloyd Trefethen 'Reviving the Method of Particular Solutions' SIAM
Review 8/05
Bhar Ramaprasad, Shigeyuki Hamori 'Empirical Techniques in Finance' Springer 2005
Biagini Sara, Marco Frittelli 'Utility maximization in incomplete markets for
unbounded processes' F&S 10/05
Bialkowski Jedrzej, Dobromil Serwa 'Financial contagion, spillovers and causality
in the Markov switching framework' QF 2/05
Bielecki Tomasz, Monique Jeanblanc, Marek Rutkowski 'PDE approach to valuation and
hedging of credit derivatives' QF 6/05
Bierbrauer Juergen 'Introduction to Coding Theory' 1/05 CRC Press
Bierens Herman 'Introduction to the Mathematical & Statistical Foundations of
Econometrics' 2005 Cambridge Press
BLANCO Roberto, SIMON BRENNAN, IAN W. MARSH 'An Empirical Analysis of the Dynamic
Relation between Investment-Grade Bonds and Credit Default Swaps' JofF 10/05
Bleher Pavel, et al (ed) 'Random Matrix Models & Their Applications' Cambridge
Press 2001
Bluhm Christian, Ludger Overbeck 'Co-Monotonic Default Quote Paths for Basket
Evaluation' <one variable approach> RISK 8/05
Bollen Nicolas P. B., Jeffrey A. Busse 'Short-Term Persistence in Mutual Fund
Performance' RFS Summer 05
Bolsinov A.V., A.T. Fomenko 'Integrable Hamiltonian Systems:Geometry, Topology,
Classification' 2004 CRC Press
Bonneau G., J. Faraut, G. Valent 'Self-Adjoint Extensions of Operators & the
Teaching of Quantum Mechanics' Am. J. Physics 2001
Borowiak Dale 'Financial & Actuarial Statistics' 2003 CRC Press
Borwein P., T. Erdelyi 'Polynomials & Polynomial Inequalities' Springer 1995
Boyd John 'Hyperasymptotics and the Linear Boundary Layer Problem: Why Asymptotic
Series Diverge' SIAM Review 8/05
Brandt Michael, Amit Goyal, Pedro Santa-Clara, Jonathan Stroud 'A Simulation
Approach to Dynamic Portfolio Choice with an Application to Learning About
Return Predictability' RFS Fall 2005
Bris Arturo, Ivo Welch 'The Optimal Concentration of Creditors' JofF 10/05
Broadie Mark, Paul Glasserman, Z. Ha 'Pricing American Options by Simulation Using
a Stochastic Mesh with Optimized Weights' in S. Uryasev (ed) Probabilistic
Constrained Optimization:Methodology & Applications Kluwer 2000
Brunner Hermann, Ningning Yan 'Finite element methods for optimal control problems
governed by integral equations and integro-differential equations' Numerische
Mathematik 7/05
Brunnermeier Markus 'Information Leakage and Market Efficiency' RFS Summer 05
Brunnermeier Markus, Lasse Heje Pedersen 'Predatory Trading' JofF 8/05
Bucur Dorin, Giuseppe Buttazzo 'Variational Methods in Shape Optimization Problems'
2005 Birkhauser
Buhler Wofgang, Olaf Korn, Rainer Schobel 'Hedging Long-Term Forwards with Short-
Term Futures: A Two-Regime Approach' Review Deriv. Research 12/04
Busch Lutz-Alexander, Srihari Govindan ‘Robust nonexistence of equilibrium with
incomplete markets’ 9/04 Journal of Mathematical Economics
Cagnol John 'Control & Boundary Analysis' 3/05 CRC Press
CanÉ De Estrada Mariano, Elsa Cortina, Constantino Ferro FontÁn, et al. 'Pricing of
Defaultable Bonds with Log-Normal Spread: Development of the Model and an
Application to Argentinean and Brazilian Bonds During the Argentine Crisis'
Review Deriv. Research 6/05
Caputo Michael 'Foundations of Dynamic Economic Analysis:Optimal Control Theory &
Applications' Cambridge Press 2005
Carr Peter, Helyette Geman, Dilip Madan, Marc Yor 'Pricing options on realized
variance' F&S 10/05 <volatility>
Carrier George, Max Krook, Carl Pearson 'Functions of a Complex Variable:Theory &
Technique' 2005 SIAM Press
CASASSUS Jaime, PIERRE COLLIN-DUFRESNE 'Stochastic Convenience Yield Implied from
Commodity Futures and Interest Rates' JofF 10/05
Chaichian M. 'Path Integrals in Physics: Vol. 1, Stochastic Processes & Quantum
Mechanics' Institute of Physics, Bristol 2001
Chang Yan, Douglas McManus 'Does Mortgage Hedging Raise Long-Term Interest Rate
Volatility' J. Fixed Income 3/05
Chao John C., Norman Swanson 'Consistent Estimation with a Large Number of Weak
Instruments' Econometrica 9/05
Chaudhary Suneal 'American options and the LSM algorithm: quasi-random sequences
and Brownian bridges' J. Comp. Finance Summer 05
Chavez-Demoulin V., A.C. Davison, A.J. McNeil 'Estimating value-at-risk: a point
process approach' QF 4/05
Cheng Shijun, Venky Nagar, Madhav V. Rajan 'Identifying Control Motives in
Managerial Ownership:Evidence from Antitakeover Legislation' RFS Summer 05
Cheridito Patrick, C. Summer 'Utility maximization under increasing risk aversion
in one-period models' F&S tobe 2005
Cheridito Patrick, Freddy Delbaen, Michael Kupper 'Coherent and convex monetary
risk measures for unbounded cádlág processes' F&S 7/05
Chesher Andrew 'Nonparametric Identification under Discrete Variation' Econometrica
Chick S., P.J. Sanchez, D. Ferrin, D.J. Morrice 'EFFICIENT SIMULATION OF GAMMA AND
Choe Hyuk, Bong-Chan Kho, René M. Stulz 'Do Domestic Investors Have an Edge? The
Trading Experience of Foreign Investors in Korea' RFS Fall 2005
Choudhury G., D. Lucantoni, W. Whitt 'Multidimensional Transform Inversion with
Applications to the Transient M/M/1 Queue' annals of Applied Prob. 1994
Christie Michael 'Uncertainty Estimation & Porous Media Flows' SIAM News 6/05
Cipra Barry 'A Healthy Kind of Heartburn' <ablation destroy tissue> SIAM News 9/05
Cipra Barry 'Equation-Free Computing Gets Something from (Almost) Nothing' SIAM
News 6/05
Clark Andrew 'The use of Hurst and effective return in investing' QF 2/05
Clark J.M.C., D. Crisan 'On a robust version of the integral representation formula
of nonlinear filtering' Prob. Theory & Related Fields 9/05
Cocco João F. 'Portfolio Choice in the Presence of Housing' RFS Summer 05
Cocco João F., Francisco J. Gomes, Pascal J. Maenhout 'Consumption and Portfolio
Choice over the Life Cycle' RFS Summer 05
Cohen Henri, Gerhard Frey, et al 'Handbook of Elliptic & Hyperelliptic Curve
Cryptography' 7/05 CRC Press
Coleman Thomas, Y. Li 'An Interior Trust Region Approach for Nonlinear Minimization
Subject to Bounds' SIAM J. Optim. 1996
Consiglio Andrea, Valerio Lacagnina, Annalisa Russino 'A simulation analysis of the
microstructure of an order driven financial market with multiple securities and
portfolio choices' QF 2/05
Consul Prem, Felix Famove 'Lagrangian Probability Distributions' 2005 Birkhauser
Cont Rama, Ekaterina Voltchkova 'Integro-differential equations for option prices
in exponential Lévy models' F&S 7/05
Cooper F., A. Khare, U. Sukhatme 'Sypersymmetry & Quantum Mechanics'
Costabile Massimo 'A Combinatorial Approach for Pricing Parisian Options' Decisions
in Economics & Finance 2002
Cox Alexander, David Hobson 'Local martingales, bubbles and option prices' F&S
Cox David, D. Oakes 'Analysis of Survival Data' Chapman & Hall 1984
Cramer H. 'On Some Classes of Series Used Mathematical Statistics' Proc. 6th
Scandinavian Congress of Math. 1925
Crassidis John, John Junkins 'Optimal Estimation of Dynamic Systems' 2004 CRC Press
Creutz M., L. Jacobs, C. Rebbi 'Monte Carlo Computations in Lattice Gauge Theories'
Physics Reports 1983
Da Prato Giuseppe 'Some results on Kolmogorov equations for stochastic PDEs' Abel
Symposium Stochastic Analysis..Honor of Kiyosi Ito 2005 Norway
Dahlgren M. 'A Continuous Time Model to Price Commodity-Based Swing Options' Review
Deriv. Research 6/05
Dai Min, Yue Kuen Kwok 'Valuing employee reload options under the time vesting
requirement' QF 2/05
Daniluk Andrej, Darius Gatarek 'A fully lognormal Libor market model' <HJM, BGM>
RISK 9/05
Danis Michelle, Anthony Pennington 'A Dynamic Look at Subprime Loan Performance'
Journal of Fixed Income 6/05
Das Sanmay 'A learning market-maker in the Glosten–Milgrom model' QF 4/05
d'Aspremont Alexandre 'Risk-management methods for the Libor market model using
semidefinite programming' J. Comp. Finance Summer 05
DATTA Sudip, MAI ISKANDAR-DATTA, KARTIK RAMAN 'Managerial Stock Ownership and the
Maturity Structure of Corporate Debt' JofF 10/05
Delianedis G., Robert Geske 'Credit Risk & Risk Neutral Default
Probabilities:Information about Rating Migrations & Defaults' wp UCLA 1998
Derman Emmanuel, P. Karasinski, J.S. Wecker 'Understanding Exchange Rate Contracts
in Foreign Stock Investments' Goldman Sachs 1990
Dessein Wouter 'Information and Control in Ventures and Alliances' JofF 10/05

Detemple Jerome, René Garcia, Marcel Rindisbacher 'Representation formulas for

Malliavin derivatives of diffusion processes' F&S 7/05 <option-pricing><Doss
transform, multivariate diffusions>
Detlefsen Kai, Giacomo Scandolo 'Conditional and dynamic convex risk measures' F&S
Di Graziano Giuseppe <Peppe>, L.C.G. Rogers 'A new approach to the modelling and
pricing of correlation credit derivatives' 6/29/05
Dierckx P. 'Curve & Surface Fitting with Splines' Oxford 1993
Dittrick W., M. Reuter 'Classical and Quantum Dynamics:From Classical Paths to Path
Integrals' Springer 1994
Doney R.A., R.A. Maller 'Passage times of random walks and Lévy processes across
power law boundaries' Prob. Theory & Related Fields 9/05
Doss Halim 'Liens Entre Equaitons Differentielles Stochastiques et Ordinaires' Ann.
l'Institut Henri Poincare 1977
Duck Peter, David Newton, Martin Widdicks, Yan Leung 'Enhancing the Accuracy of
Pricing American and Bermudan Options' J. Derivatives Summer 05 <option-
Duffee Gregory 'Time Variation in the Covariance between Stock Returns and
Consumption Growth' JofF 8/05
Duncan T.E., B. Maslowski, B. Pasik-Duncan 'Stochastic equations in Hilbert space
with a multiplicative fractional Gaussian noise' SP&A 8/05
Dungey Mardi, Renée Fry, Brenda González-Hermosillo, Vance L. Martin 'Empirical
modelling of contagion: a review of methodologies' QF 2/05
Dunis Christian (ed) 'Advances in Quantitative Asset Management' Kluwer 2000
Trends and Sequences in Performance: New Evidence' JofF 10/05
Dybvig Phillip, J. Ingersoll, Steven Ross 'Do Interest Rates Converge?' wp Yale
Dynkin Eugene 'An application of probability to nonlinear analysis' Abel
Symposium Stochastic Analysis..Honor of Kiyosi Ito 2005 Norway
Eberlein Ernst, Fehmi Ozkan 'The Lévy LIBOR model' F&S 7/05
Edstrom Per 'A Fast and Stable Solution Method for the Radiative Transfer Problem'
SIAM Review 8/05
Egli Christian 'Feynman Path Integrals in Quantum Mechanics' 10/04 <physics>
Ehrenstein G., F. Westerhoff, D. Stauffer 'Tobin tax and market depth' QF 4/05
Elliott Robert, John Van Der Hoek, William P. Malcolm 'Pairs trading' QF 6/05
Embrechts Paul, G. Puccetti 'Bounds for functions of dependent risks' F&S tobe 2005
Esmailzadeh R. 'Path-Dependent Options' Morgan Stanley 1995
Espen Benth Fred, T. Meyer-Brandis 'The density process of the minimal entropy
martingale measure in a stochastic volatility model with jumps' F&S tobe 2005
Esposito M. 'Valutazione di Opzioni Su Medie Artimetiche Discrete: una Soluzione in
Forma (Quasi) Chiusa' Capital Market Notes 1997 Banca Commericale Italiana
Eyster Erik, Matthew Rabin 'Cursed Equilibrium' Econometrica 9/05
Fabozzi Frank, Lionel Martellini, Philippe Priaulet 'Predictability in the Shape of
the Term Structure of Interest Rates' Journal of Fixed Income 6/05
Fackler Paul 'A Collocation Approach to Solving Riccati Equations Arising in
Finance' 6/2000 <system of ODEs, pricing models assiciated with affine
Fackler Paul 'Moments of Affine Diffusions' 6/2000 <first and second moments of
affine diffusions, constant & time varying parameters>
Fackler Paul 'Multi-factor Option Pricing' 6/2000 <European option, spot goods,
bonds, futures, bond futures>
Fackler Paul 'Specification Issues for Affine Diffusions' 6/2000
<neccesary/sufficient conditions, admissability of affine diffusions and classes
of invariant transformations of affine diffusions>
Fackler Paul, Matthew Roberts 'A Term Structure Model for Agricultural Futures'
8/1999 <Schwartz's term structure model, seasonality, convenience yield>
Faulhaber Oliver 'Analytic Method for Pricing Double Barrier Options in the
Presence of Stochastic Volatility' 7/02 <Heston, Green function, Lipton,
Eigenfunction Expansion> <option-Barrier>
FERNANDO Chitru S., VLADIMIR A. GATCHEV, PAUL A. SPINDT 'Wanna Dance? How Firms and
Underwriters Choose Each Other' JofF 10/05
Ferrari Patrik, Herbert Spohn 'A determinantal formula for the GOE Tracy-Widom
distribution' 5/05 <Gaussian orthogonal ensemble >
Feynman Richard 'Space-Time Approach to Non-Relativistic Quantum Mechanics'
Rev.Mod. Phys 20 (1948)
Feynman Richard 'Statistical Mechanics:A Set of Lectures' McGraw Hill 1965
Feynman Richard, A.R. Hibbs 'Quantum Mechanics & Path Integrals' McGraw Hill 1965
Fink Jason, Kristin Fink, Stephen Lange 'The use of term structure information in
the hedging of mortgage-backed securities' J. Futures Markets 7/05
Fitz Peter, Jim Gatheral 'Valuation of Volatility Derivatives as an Inverse
Problem' 5/04 <volatility>
Föllmer Hans 'Stochastic Analysis of Financial Risk' Abel Symposium Stochastic
Analysis..Honor of Kiyosi Ito 2005 Norway
Francq Christian, Jean-Michel Zakoý¨an 'The L2-structures of standard and
switching-regime GARCH models' SP&A in press 2005
Freixas Xavier, Cornelia Holthausen 'Interbank Market Integration under Asymmetric
Information' RFS Summer 05
Friedman Milton, Leonard Savage 'Utility Analysis of Choices Involving Risk' in
Archer & D'Ambrosio 'Theory of Business Finance:Readings
Frye Jon 'Not a Stock Answer' <default correlations> RISK 8/05
Fusai G., I.D. Abrahams, C. Sgarra 'An Exact Analytical Solution for Discrete
Barrier Options' wp 2004
Fusai G., M.C. Recchioni 'Analysis of Quadrature Methods for Pricing Discrete
Barrier Options' to be J. Econ. Dynamic. Control 2005
Gajdos Thibault, Jean-Marc Tallon, Jean-Christophe Vergnaud ‘ Decision making with
imprecise probabilistic information’ 9/04 Journal of Mathematical Economics
Gardner Martin 'Is it Possible to Visualize a 4-D Figure' SA 11/66 <Corpus
Hypercubis, Dali>
Garrett Paul, Daniel Lieman 'Public-Key Cryptography' AMS 2005
Gasbarra D., T. Sottinen, E. Valkeila 'Gaussian bridges' 2004 HUT, Insititute of
Gavin William, Benjamin Keen, Michael Pakko 'The Monetary Instrument Matters' FRB
St. Louis Review Sept/Oct 2005
Ghigliazza R.M., R. Altendorfer, P. Holmes, D. Koditschek 'A Simply Stabilized
Running Model' SIAM Review 8/05
Ghirardi Gian Carlo 'Sneaking a Look at God's Cards:Unraveling the Mysteries of
Quantum Mechanics' Princeton 2004
Giampieri Giacomo, Mark Davis, Martin Crowder 'Analysis of default data using
hidden Markov models' QF 2/05
Gidas Basilis, Alejandro Murua 'Optimal transformations for prediction in
continuous-time stochastic processes: finite past and future' Prob. Theory &
Related Fields 4/05
Giles David 'Computer-Aided Econometrics' 2003 CRC Press
Gilles Daniel, Nathan Joseph, David Bree 'Stochastic volatility and the goodness-
of-fit of the Heston model' QF 4/05
Glambos Janos, Italo Simonelli 'Products of Random Variables' 1/05 CRC Press
Glot Pierre 'Implied Volatility Indexes and Daily Value at Risk Models' J.
Derivatives Summer 05
Gobet Emmanuel, Jean-Philippe Lemor, Warin Xavier 'A REGRESSION-BASED MONTE-CARLO
Applied Prob. 2005, <SDE> 5/2004
Goettler, Ronald, CHRISTINE A. PARLOUR, UDAY RAJAN 'Equilibrium in a Dynamic Limit
Order Market' JofF 10/05
Gomes Armando 'Multilateral Contracting with Externalities' Econometrica 7/05
Gray Robert, Lee Davisson 'An Introduction to Statistical Signal Processing'
Grosche C. 'An Introduction into the Feynman Path Integral' hep-th/9302097
Grosche C. 'The General Besselian & Legendrain Path Integrals' J. Phys. A. 1996
Gunzburger Max, Karen Wilcox 'Reduced-Order Models of Large-Scale Computational
Systems' SIAM News 6/05
Hafner Christian 'Durations, volume and the prediction of financial returns in
transaction time' QF 4/05
Hamadene S., M. Hassani 'BSDEs with two reflecting barriers : the general result'
Prob. Theory & Related Fields 6/05
Hamida Sana Ben, Rama Cont 'Recovering volatility from option prices by
evolutionary optimization' J. Comp. Finance Summer 05
Hansen Eldon 'Global Optimization Using Interval Analysis' 2004 CRC Press
Harley P.M. 'Pricing Parisian Options by Laplace Inversion' Decisions in Economics
and Finance 2000
Hart Sergiu 'Adaptive Heuristics' Econometrica 9/05
Haslem Bruce 'Managerial Opportunism during Corporate Litigation' JofF 8/05
Heike David, Akhil Mago 'The ABCs of HELs' Journal of Fixed Income 6/05
Hendershott Terrence, Charles M. Jones 'Island Goes Dark: Transparency,
Fragmentation, and Regulation' RFS Fall 2005
Henderson Vicky 'The impact of the market portfolio on the valuation, incentives
and optimality of executive stock options' QF 2/05
Henderson Vicky, David Hobson, Sam Howison, et al 'A Comparison of Option Prices
Under Different Pricing Measures in a Stochastic Volatility Model with
Correlation' Review Deriv. Research 6/05
Henry-Labordere Pierre 'Solvable Local and Stochastic Volatility Models:
Supersymmetric Methods in Option Pricing' 7/05 <1,2 dim. diffusion,
hypergeometric, Heston, 2/3 model, supersymmetry, differential geometry>
Hens Thorsten, Stefan Reimann, Bodo Vogt ‘Nash competitive equilibria and two-
period fund separation’ 6/04 Journal of Mathematical Economics
Hermalin Benjamin 'Trends in Corporate Governance' JofF 10/05
Hida Takeyuki 'Some of the recent topics on stochastic analysis' Abel Symposium
Stochastic Analysis..Honor of Kiyosi Ito 2005 Norway
Higham Desmond, Peter Kloeden 'Numerical methods for nonlinear stochastic
differential equations with jumps' Numerische Mathematik 7/05
Hilber Norbert, Ana-Maria Matache, Christoph Schwab 'Sparse wavelet methods for
option pricing under stochastic volatility' J. Comp. Finance Summer 05
Hinz Juri, Lutz Von Grafenstein, Michel Verschuere, Martina Wilhelm 'Pricing
electricity risk by interest rate methods' QF 2/05
Hirshleifer Jack 'Investment Decisions Under Uncertainity:Choice Theoretic
Approaches' in Archer & D'Ambrosio 'Theory of Business Finance:Readings
Holm Darryl, Edriss Titi 'Computatonal Models of Turbulence:The LANS -alpha Model &
the Role of Global Analysis' SIAM News 9/05
Holzmann Hajo 'Martingale approximations for continuous-time and discrete-time
stationary Markov processes' SP&A in press 2005
Hommes Cars, Joep Sonnemans, Jan Tuinstra, Henk van de Velden 'Coordination of
Expectations in Asset Pricing Experiments' RFS Fall 2005
Horstein Andreas, Per Krusell, Giovanni Violante 'Unemployment & Vacancy
Fluctuations in the Matching Model:Inspecting the Machanism' FRB Richmond
Economic Quarterly Summer 05
Hosten Serkan 'Trends in Optimization' AMS
Hou Kewei, Tobias Moskowitz 'Market Frictions, Price Delay, and the Cross-Section
of Expected Returns' RFS Fall 2005
Hu Yaozhong 'Rough path analysis via fractional calculus' Abel Symposium Stochastic
Analysis..Honor of Kiyosi Ito 2005 Norway
Hu Ying, Xun Yu Zhou 'Constrained Stochastic LQ Control with Random Coefficients,
and Application to Portfolio Selection' SIAM J. Control & Opt. 2005
Huang Jian, Jason Abrevaya 'On the Bootstrap of the Maximum Score Estimator'
Econometrica 7/05
Hubert Lawerence, Douglas Steinley 'Agreement Among Supreme Court Justices:
Categorical vrs. Continuous Representation' SIAM News 9/05
Iksanov A., Z. Jurek, B. Schreiber 'A new factorization property of the
selfdecomposable probability measures' 2004 Ann. Probab. 32 , 2
Ilhan Aytac, Mattias Jonsson, Ronnie Sircar 'Optimal investment with derivative
securities' F&S 10/05
Illner Reinhard, C. Sean Bohun, Samantha McCollum, Thea van Roode 'Mathematical
Modeling:A Case Studies Approach' AMS
Ingalls R.G., M.D. Rossetti, J.S. Smith, B.A. Peters 'EFFICIENT PRICING OF BARRIER
Isakov V. 'Inverse Problems for Partial Differential Equations' 2005 Springer
Jaimungal S. 'Pricing and Hedging Equity Indexed Annuities with Variance-Gamma
Janicki A., L. Krajna 'Malliavin Calculus in construction of hedging portfolios for
the Heston model of a financial variable' Demonstratio Mathematica 2001, 34,2
Jeffery Christopher 'Credit Model Rethink' RISK 8/05 <credit modeling issues, CDO-
squared, CDO options, Gaussian copulas do reflect real markets>
Jenter Dirk 'Market Timing and Managerial Portfolio Decisions' JofF 8/05
Johnson Gerald W. 'The Feynman integral and Feynman’s operational calculus' Oxford
Clarendon Press 2002
Johnstone Iain 'On the distribution of the largest eigenvalue in principal
components analysis' Ann. Statist. 2001 <Karhunen–Loève transform;Laguerre
ensemble;empirical orthogonal functions;largest singular value;Laguerre poly.;
Wishart distribution; Plancherel–Rotach asymp.; Painlevé equation; Tracy–Widom
distri.;random matrix theory;Fredholm determinant;Liouville–Green method>
Jondeau E., M. Rockinger 'Estimating Gram-Charlier Expansions with Positivity
Constraints' wp 1999 Banque de France
Jondeau E., M. Rockinger 'Gram-Charlier Densities' JED&C 2001
Jost C. 'A transformation formula for fractional Brownian motion' 2005 HU,
Department of Mathematics and Statistics
Jouini Elyès, Clotilde Napp, Walter Schachermayer ‘Arbitrage and state price
deflators in a general intertemporal framework’ 9/05 Journal of Mathematical
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Kiyosi Ito 2005 Norway
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McCallum Bennett, Edward Nelson 'Targeting versus Instrument Rules for Monetary
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McCulloch 'Multiscale Computational Modeling of the Heart' SIAM News 6/05
McInnes Lois, Lori Diachin 'Software Components in High-Performance Scientific
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McKean Henry, Michael Baldini 'A new aspect of the invariant distribution for a
diffusion' Abel Symposium Stochastic Analysis..Honor of Kiyosi Ito 2005 Norway
Medova Elena, Robert G. Smith 'A framework to measure integrated risk' QF 2/05
Medvedev Alexey, Olivier Scaillet 'A Simple Calibration Procedure of Stochastic
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Quarterly Summer 05
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Mishura Yu., E. Valkeila' 'Lévy theorem for fractional Brownian motion' 2005
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2005 Norway
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Stochastic Analysis..Honor of Kiyosi Ito 2005 Norway
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CRC Press
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Soulier Philippe, Clifford M. Hurvich, Eric Moulines 'Estimating Long Memory in
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<Markov, European/American options, Malliavin calculus>
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<Brownian Bridge> Abel Symposium Stochastic Analysis..Honor of Kiyosi Ito 2005
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Scientific Computing Volume 27, Number 1 , 2005
Varadhan S.R. Srinivasa 'Equilibrium fluctuations near infinity of a semi-linear
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Varma Praveen, Richard Cantor 'Determinants of Recovery Rates on Defaulted Bonds
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Kiyosi Ito 2005 Norway
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Stochastic Analysis..Honor of Kiyosi Ito 2005 Norway
Zhou Xun-Yu 'Primal and Dual Approaches in Continuous-Time Portfolio Selection'
<Markowitz, hedging, stochastic control> Abel Symposium Stochastic
Analysis..Honor of Kiyosi Ito 2005 Norway
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