New bibliographic enteries Sept 08

Attribution Non-Commercial (BY-NC)

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New bibliographic enteries Sept 08

Attribution Non-Commercial (BY-NC)

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2008 V.90,#4

Abramov V., M. K. Khan, R. A. Khan 'A Probabilistic Analysis of the Trading the

Line Strategy' QF V.8,#5 2008

Adachi M. Matthew, Patricia Jackson 'Information Collection and Disclosure'

Bank of Japan, Bank of England 1997

Adam Alexandre Mohamed Houkari, Jean-Paul Laurent 'Spectral Risk Measures and

Portfolio Selection' J. Banking and Finance Sept. 08 V.32,#9

Adam-Muller Axel, Argyro Panaretou 'Risk Management with Options and Futures

under Liquidity Risk' Journal of Futures Markets, Forthcoming

Adrian Tobias, Emanuel Moench 'Pricing the Term Structure with Linear

Regressions' SSRN 8/08

Agarwal Vikas, William Fung, Yee Cheng Loon, Narayan Naik 'Risk and Return in

Convertible Arbitrage: Evidence from the Convertible Bond Market' SSRN

8/08

Aït-Sahalia Yacine, Jean Jacod 'Fisher's Information for Discretely Sampled

Lévy Processes' Econometrica July 2008 V.76,#4

Aït-Sahalia Yacine, Per Mykland 'An Analysis of Hansen–Scheinkman Moment

Estimators for Discretely and Randomly Sampled Diffusions' J. Econometrics

V.144,#1 May 2008

Akdogu Evrim, Peter MacKay 'Investment and Competition' <corporate investment,

real options, irreversible investment> JF&QA V.43,#2 June 08

Alcock Jamie, Trent Carmichael 'Nonparametric American Option Pricing' J.

Futures Markets V.28,#8 Aug. 2008

Alesii Giuseppe 'Assessing Least Squares Monte Carlo for the Kulatilaka

Trigeorgis General Real Options Pricing Model' SSRN 7/08

Alexander Carol, Elizabeth Sheedy 'Developing a Stress Testing Framework Based

on Market Risk Models' J. Banking and Finance V.32,#10 Oct. 2008

Alfonsi Aurélien, Benjamin Jourdain 'General Duality for Perpetual American

Options' IJT&AF V.11,#6 9/08

Alizadeh Amir, Nikos Nomikos, Panos Pouliasis 'A Markov Regime Switching

Approach for Hedging Energy Commodities' J. Banking and Finance Sept. 08

V.32,#9

Alvarez Fernando, Andrew Atkeson, Patrick Kehoe 'Money and Interest Rates with

Endogeneously Segmented Markets' SSRN 8/08

Ambrose Brent, Nianyun Cai, Jean Helwege 'Forced Selling of Fallen Angels'

Journal of Fixed Income Summer 2008

Amin Ahsan 'Multi-Factor Cross Currency Libor Market Models: Implementation,

Calibration and Examples' SSRN 8/08

Andergassen Rainer, Luigi Sereno 'The Valuation of Sequential Investment

Opportunities with a Jump-Diffusion Process' SSRN 7/08

Anderson Charles, Dennis Capozza, Robert Van Order 'Deconstructing the Subprime

Debacle Using New Indices of Underwriting Quality and Economic Conditions:

A First Look' SSRN July 2008

Anderson Robert, Roberto Raimondo 'Equilibrium in Continuous-Time Financial

Markets: Endogenously Dynamically Complete Markets' Econometrica July 2008

V.76,#4

Andreasen Martin Møller 'Explaining Macroeconomic and Term Structure Dynamics

Jointly in a Non-Linear DSGE Model' SSRN 9/08

Andreou Panayioti, Christakis Charalambous, Spiros Martzoukos 'Assessing

Implied Volatility Functions on the S&P 500 Index Options' SSRN 7/08

Andreou Panayiotis, Christakis Charalambous, Spiros Martzoukos 'Assessing

Implied Volatility Functions on the S&P 500 Index Options' SSRN July 2008

Angelos Kanas 'On Real Interest Rate Dynamics and Regime Switching' J. Banking

and Finance V.32,#10 Oct. 2008

Angermann Lutz, Song Wang 'Convergence of a Fitted Finite Volume Method for the

Penalized Black–Scholes Equation Governing European and American Option

Pricing' Numerische Mathematik V.106,#1 March 2007

Anufriev Mikhail 'Wealth-Driven Competition in a Speculative Financial Market:

Examples with Maximizing Agents' Quantitative Finance, V.8,#4 2008

Arellano Cristina, Ananth Ramanarayanan 'Default and the Maturity Structure in

Sovereign Bonds' SSRN 9/08

Arkashov N.S. , I. S. Borisov, A.A. Mogul'skii 'Large Deviation Principle for

Partial Sum Processes of Moving Averages' Theory of Probability and its

Applications V. 52,# 2

Arnott Robert, Jason Hsu, Feifei Li, Shane Shepherd 'Applying Valuation-

Indifferent Indexing to Fixed Income' SSRN 9/08

Asvanunt Attakrit, Mark Broadie, Suresh Sundaresan 'Growth Options and Optimal

Default under Liquidity Constraints: The Role of Corporate Cash Balances'

10/07

Atlan Marc, Boris Leblanc 'Hybrid Equity-Credit Modelling' 2006 <CEV>

Atlan Marc, Boris Leblanc 'Time-Changed Bessel Processes and Credit Risk' 2006

<CEV>

Audrino Francesco, Enrico De Giorgi 'Beta Regimes for the Yield Curve' Journal

of Financial Econometrics V.5, #3, Summer 2007

Aydemir A. Cevdet 'Risk Sharing and Counter-Cyclical Variation in Market

Correlations' JED&C V.32,#10 Oct. 2008

Azéma Jacques, Marc Yor 'Une Solution Simple au Problème de Skorokhod' in

Séminaire de Probabilités XIII, volume 721 of Lecture Notes in Math.

Springer, Berlin, 1979

Azizan Noor Azlinna 'The Predictability Power of Trading Volume Volatility in

Stock Index Futures Markets' The Icfai University Journal of Derivatives

Markets, Vol.V, No. 3, July 11, 2008

Babaix Xavier 'Power Laws in Economics and Finance' NBER Working Paper No. 1

SSRN 9/08

Badia Antonio, David Skillicon 'The Challenges of Knowledge Discovery in

Adversarial Settings' SIAM News Sept. 2008

Bae Gil, Youngsoon S. Cheon, Jun-Koo Kang 'Intragroup Propping: Evidence from

the Stock-Price Effects of Earnings Announcements by Korean Business

Groups' RFS V.21,#5 9/08

Bai Lihua, Huayue Zhang 'Dynamic Mean-Variance Problem with Constrained Risk

Control for the Insurers' Math. Methods of O.R. V.68,# 1 Aug. 2008

Bai Lihua, Junyi Guo 'Optimal Proportional Reinsurance and Investment with

Multiple Risky Assets and No-Shorting Constraint' Insurance: Mathematics

and Economics V.42,#3 June 08

Balakrishna B. 'Lévy Density Based Intensity Modeling of the Correlation Smile'

SSRN 7/08

Baldeaux Jan 'Option Pricing in the Kou Model Using Quasi-Monte Carlo Point

Sets' Working paper, University of New South Wales 2008

Baldeaux Jan 'Unbiased Monte Carlo Methods for Lookback Options In Jump-

Diffusion Models' Working paper, University of New South Wales 2008

Baldeaux Jan, Marek Rutkowski 'Static Replication of Bivariate Claims with

Applications to Realized Variance Swaps' Working paper, University of New

South Wales 2007

Ballotta Laura 'A Note on Multivariate Asset Models Using Lévy Processes' SSRN

7/08

Bandera Natalia 'Calibration of Libor Market Model to Caps and Swaptions Market

Volatilities' SSRN 9/08

Bank for International Settlements 'Zero-Coupon Yield Curves: Technical

Documentation' SSRN 8/08

Bartels Hans-Jochen 'The Hypotheses Underlying The Pricing Of Options' work of

Bergman, Y.Z. 'Pricing of Contingent Claims in Perfect and Imperfect

Markets' PH.D. Thesis, University of California, Berkeley 1982

Bassamboo Achal, Sandeep Juneja, Assaf Zeevi 'Portfolio Credit Risk with

Extremal Dependence: Asymptotic Analysis and Efficient Simulation'

Operations Research V.56,#3 May June 2008

Bataller Maria Mansanet, Ángel Pardo Tornero 'What You Should Know to Trade in

CO2 Markets' SSRN 7/08

Bates David 'The Market for Crash Risk' JED&C V.32,#7 July 08

Bäuerle Nicole, Rudolf Grübel 'Multivariate Risk Processes with Interacting

Intensities' Adv. In Applied Prob. June 2008, V. 40,#2

Bayraktar Erhan, H. Vincent Poor 'Optimal Time to Change Premiums' Math.

Methods of O.R. V.68,# 1 Aug. 2008

Beliaeva Natalia, Sanjay Nawalkha, Gloria Soto 'Pricing American Interest Rate

Options Under the Jump-Extended Vasicek Model' Journal of Derivatives Fall

2008

Bellemare Charles, Sabine Kröger, Arthur van Soest 'Measuring Inequity Aversion

in a Heterogeneous Population Using Experimental Decisions and Subjective

Probabilities' Econometrica July 2008 V.76,#4

Belton Alexander 'On the Path Structure of a Semimartingale Arising from

Monotone Probability Theory' Ann. Inst. H. Poincaré Probab. Statist. V.44,

#2 (2008)

Benaim Shalom 'Regular Variation and Smile Aymptotics' PhD dissertation,

University of Cambridge 2007

Bender Christian 'State-of-the-Art Option Pricing by Simulation' slides 6/08

<Bermuda, Snowball>

Bender Christian, Michael Kohlmann 'Optimal Superhedging under Non-Convex

Constraints — A BSDE Approach' IJT&AF June 2008 V.11, #4

Bensoussan Alain, Jacques-Louis Lions 'Impulse Control and Quasi-Variational

Inequalities' Gauthier-Villars, Paris, 1984

Benth Fred Espen, Álvaro Cartea, Rüdiger Kiesel 'Pricing Forward Contracts in

Power Markets by the Certainty Equivalence Principle: Explaining the Sign

of the Market Risk Premium' J. Banking and Finance V.32,#10 Oct. 2008

Benzoni Luca 'Investing Over the Life Cycle with Long-Run Labor Income Risk'

SSRN 7/08

Beresteanu Arie, Francesca Molinari 'Asymptotic Properties for a Class of

Partially Identified Models' Econometrica July 2008 V.76,#4

Bermin Hans-Peter, Peter Buchen, Otto Konstandatos 'Two Exotic Lookback

Options' Applied Mathematical Finance V.15,#4 2008

Bernard Carole, Olivier Le Courtois, François Quittard-Pinon 'Pricing

Derivatives with Barriers in a Stochastic Interest Rate Environment' JED&C

Sept. 08 Vol32,#9

Bertola Giuseppe, Richard Disney, Charles Grant (eds) 'The Economics of

Consumer Credit' <firms and producers rather than households> 2006

MIT Press

Berzin Corinne, José León 'Estimation in Models Driven by Fractional Brownian

Motion' Ann. Inst. H. Poincaré Probab. Statist. V.44, #2 (2008)

Beveridge Christopher, Mark Joshi 'Juggling Snowballs' SSRN 8/08

Bhansali Vineer 'Pricing and Managing Exotic and Hybrid Options' McGraw-Hill

1998

Bhansali Vineer 'Tail Risk Management' J. Portfolio Management Summer 2008

Bhansali Vineer, Robert Gingrich, Francis Longstaff 'Systemic Credit Risk: What

Is the Market Telling Us?' FAJ July/Aug. 2008 V.64, #4

Bhar Ramaprasad 'A Multifactor Model of Credit Spreads' SSRN 7/08

Bhar Ramaprasad, Damien Lee 'Empirical Investigation of Interest Rate

Volatility: A Look at an Alternative Specification of Stochastic

Volatility Models' SSRN 7/08

Bhar Ramaprasad, David Colwell, Peipei Wang 'Component Structure of Credit

Default Swap Spreads and Their Determinants' SSRN 9/08

Bhar Ramaprasad, Nedim Handzic 'A Multifactor Model of Credit Spreads' SSRN

9/08

Bianchi S., A. Pianese 'Multifractional Properties of Stock Indices Decomposed

by Filtering their Pointwise Hölder Regularity' IJT&AF V.11,#6 9/08

Bielecki Tomasz, Stéphane Crépey, Monique Jeanblanc, Marek Rutkowski

'Defaultable Options in a Markovian Intensity Model of Credit Risk'

Mathematical Finance V.18,#4 Oct. 2008

Bierman Jr. 'Dividends versus Share Repurchase: The Stock Price Effect' J.

Portfolio Management Summer 2008

Bikbov Ruslan, Mikhail Chernov 'Term Structure and Volatility: Lessons from the

Eurodollar Markets' 2005 wp Columbia U.

Bishwal Jaya 'Parameter Estimation in Stochastic Differential Equations' 2007

Springer Press

Blanchet Jose, Peter Glynn 'Efficient Rare-Event Simulation for the Maximum of

Heavy-Tailed Random Walks' Annals of Applied Probability V.18,# 4 Aug.

2008

Blandn Josep Garca 'Return Autocorrelation Anomalies and the Importance of Non-

Trading Periods: Evidence from Spain, France and Germany' Quantitative

Finance, V.8,#4 2008

Blank I., P. Smith 'Convergence of Rothe's Method for Fully Nonlinear Parabolic

Equations'

Blau Benjamin 'Short-Sale Constraints, Listing Decisions, and Return

Predictability around Option Introductions' SSRN 9/08

Blitz David, Laurens Swinkels 'The Value of Fundamental Indexation' SSRN 8/08

Bollen Nicolas, Veronika Pool 'Conditional Return Smoothing in the Hedge Fund

Industry' JF&QA V.43,#2 June 08 <manager's reporting returns>

Bollerslev Tim, Hao Zhou, George Tauchen 'Expected Stock Returns and Variance

Risk Premia' SSRN 9/08

Bollerslev Tim, Tzuo Hann Law, George Tauchen Risk, Jumps, and Diversification'

J. Econometrics V.144,#1 May 2008

Boot Arnoud, Radhakrishnan Gopalan, Anjan Thakor 'Market Liquidity, Investor

Participation, and Managerial Autonomy: Why Do Firms Go Private?' JofF

V.63,# 4 Aug 2008

Borkar Vivek 'Stochastic Approximation: a Dynamical Systems Viewpoint'

Cambridge Press 2008

Boudoukh Jacob, Matthew Richardson, Robert Whitelaw 'The Myth of Long-Horizon

Predictability' RFS July 2008 V.21,#4

Bouyé Eric 'Multivariate Extremes at Work for Portfolio Risk Measurement'

Finance, Vol. 23, No. 2, 2002

Bouyé Eric, Mark Salmon 'Measuring the Dependence between Non-Gaussian

Financial Assets Using Copulae: Risk Management, Option Pricing and

Default Risk' SSRN 9/08

Bouyé Eric, Mark Salmon, Nicolas Gaussel 'Investing Dynamic Dependence Using

Copulae' SSRN 9/08

Boyarchenko Mitya, Sergei Levendorski 'Prices and Sensitivities of Barrier and

First-Touch Digital Options in Lévy-Driven Models' SSRN 7/08

Boyarchenko Mitya, Sergei Levendorski 'Valuation of Continuously Monitored

Double Barrier Options and Related Securities' SSRN 8/08

Boyarchenko Mitya, Svetlana Boyarchenko 'User's Guide to Pricing Double Barrier

Options. Part I: Kou's Model and Generalizations' SSRN 9/08

Brace Alan, Marek Musiela 'Duration, Convexity and Wiener Chaos' Working paper

. University of New South Wales1995

Brailsford T.J., Jack Penm, R. D. Terrell 'Testing PPP by Means of ZNZ

Patterned VECM' IJT&AF June 2008 V.11, #4

Brav Alon, Wei Jiang, Frank Partnoy, Randall Thomas 'Hedge Fund Activism,

Corporate Governance, and Firm Performance' JofF V.63,# 4 Aug 2008

Brennan Michael, Ashley Wang 'Mispricing Return Premium' SSRN 8/08

Breton Jean-Christophe, Nicolas Privault 'Bounds on Option Prices in Point

Process Diffusion Models' IJT&AF V.11,#6 9/08

Briner Beat, Gregory Connor 'How Much Structure Is Best? A Comparison of the

Market Model, the Factor Model and Unstructured Equity Covariance

Matrices' J. Risk V.10,#4

Broadie Mark, Mikhail Chernov, Michael Johannes 'Understanding Index Option

Returns' <mispricing, CAPM, Sharpe ratio, nonlinear payoff> Jan. 2008

Broadie Mark, Minsup Han, Assaf Zeevi 'Implications of Heavy Tails on

Simulation-Based Ordinal Optimization' Proc. 2007 Winter Simulation

Conference, eds: S.G. Henderson, B. Biller, M.-H. Hsieh, J. Shortle, J.D.

Tew, and R.R. Barton, The Society for Computer Simulation, 439-447

Brody Dorje, John Crosby, Hongyun Li 'Convexity Adjustments in Inflation-Linked

Derivatives' <multi-factor version of the Hughston (1998) and Jarrow &

Yildirim (2003), delayed payment, period-on-period, Ryten's (2007) common

factor representation> RISK 9/08

Brown Haydyn, David Hobson, L.C.G. Rogers 'The Maximum Maximum of a Martingale

Constrained by an Intermediate Law' Probab. Theory Related Fields, 119(4)

2001

Brüggemann Ralf, Wolfgang Härdle, Julius Mungo, Carsten Trenkler 'VAR Modeling

for Dynamic Loadings Driving Volatility Strings' Journal of Financial

Econometrics V. 6, #3, Summer 2008

Bryan Kevin, Leonardo Martinez 'On the Evolution of Income Inequality in the

United States' FRB Richmond Review Spring 2008, V.94, #2

Bucciol Alessandro, Raffaele Miniaci 'Household Portfolios and Implicit Risk

Aversion' SSRN 8/08

Buchholz Wolfgang, Jan Schumacher 'Discounting the Long-Distant Future: A

Simple Explanation for the Weitzman-Gollier-Puzzle' SSRN 8/08

Bulkley I. George, Richard Harris, Vivekanand Nawosah 'Revisiting the

Expectations Hypothesis of the Term Structure of Interest Rates' SSRN 9/08

Cai Jie, Todd Houge 'Long-Term Impact of Russell 2000 Index Rebalancing' FAJ

July/Aug. 2008 V.64, #4

Camara Antonio, Yaw-Huei Wang 'A New Simple Square Root Option Pricing Model'

SSRN 9/08

Campbell John, Samuel Thompson 'Predicting Excess Stock Returns Out of Sample:

Can Anything Beat the Historical Average?' RFS July 2008 V.21,#4

Campbell L.J., B. Yin 'On the Stability of Alternating-Direction Explicit

Methods For Advection-Diffusion Equations' Numerical Methods for Partial

Differential Equations V.23,#6 2007 <Saul’yev, ADE>

Canty Paul, Alessandro Paolo Luigi Cipollini 'Pricing Inflation Indexed

Derivatives: A Reinterpretation of the Jarrow-Yildirim Model' SSRN 8/08

Canuto Caludio, Tomas Kozubek, Tomas Kozubek 'A Fictitious Domain Approach to

the Numerical Solution of PDEs in Stochastic Domains' Numerische

Mathematik V.107,#2 Aug. 2007

Capriotti Luca 'Least-Squares Importance Sampling for Monte Carlo Security

Pricing' QF V.8,#5 2008

Capriotti Luca 'Reducing the Variance of Likelihood Ratio Greeks in Monte

Carlo' SSRN 8/08

Capuano Christian 'The Option-Ipod. The Probability of Default Implied by

Option Prices Based on Entropy' SSRN 9/08

Carassus Laurence, Emmanuel Gobet, Emmanuel Temam 'A Class of Financial

Products and Models Where Super-Replication Prices are Explicit' 3/06

<Closed formula for Super-replication cost; convex cone constraints on

portfolio; exotic European and American options> in 'Stochastic Processes

and Applications to Mathematical Finance 6th Ritsumeikan Sym. 2006, ed.

Akahori, Ogawa, Watanabe

Carbone R., B. Ferrario, M. Santacroce 'Backward Stochastic Differential

Equations Driven By Càdlàg Martingales' <semimartingales equations;

regularity and stability of solutions; Lipschitz generators; stochastic

calculus> Theory of Probability and its Applications V. 52,# 2

Carmona Rene 'Arbitrage Free Local Volatility Dynamics, an Infinite Dimensional

Stochastic Analysis Approach' Presentation Chicago-Paris Workshop in

Financial Mathematics 6/08

Carr Peter 'From Hyper Options to Variance Swaps' Presentation Chicago-Paris

Workshop in Financial Mathematics 6/08

Carr Peter, Wim Schoutens 'Hedging Under the Heston Model with Jump-To-Default'

IJT&AF June 2008 V.11, #4 , <variance swaps, CDS, Merton, Gamma payoffs,

Dirac payoffs> <Hedging> 9/07

Casas Marta, Edilberto Cepeda 'ARCH, GARCH and EGARCH Models: Applications to

Financial Series' SSRN 9/08

Catllá Anne, David Schaeffer, Thomas Witelski, Eric Monson, Anna Lin 'On

Spiking Models for Synaptic Activity and Impulsive Differential Equations'

SIAM Review Sept. 2008 V.50,#3

Caton Gary, Jeremy Goh 'Corporate Governance, Shareholder Rights, and

Shareholder Rights Plans: Poison, Placebo, or Prescription?' JF&QA V.43,#2

June 08

Chabi-Yo Fousseni 'Conditioning Information and Variance Bounds on Pricing

Kernels with Higher- Order Moments: Theory and Evidence' RFS Jan 2008 V.

21,#1

Chabris Christopher, David Laibson, Carrie Morris, Jonathon Schuldt, Dmitry

Taubinsky 'Measuring Intertemporal Preferences Using Response Times' NBER

Working Paper No. 14353 9/08

Challe Edouard 'Endogenous Participation Risk in Speculative Markets' JED&C

V.32,#7 July 08

Challet Damien, Pier Paolo Peirano 'The Ups and Downs of the Renormalization

Group Applied to Financial Time Series' SSRN 8/08

Chan Jiun Hong, Mark Joshi, Robert Tang, Chao Yang 'Trinomial or Binomial:

Accelerating American Put Option Price on Trees' SSRN 9/08

Chan Wing 'Extreme News Events, Long-Memory Volatility, and Time Varying Risk

Premia in Stock Market Returns' SSRN 8/08

Chang Chuang-Chang, Jeffrey Wang Yaw-Huei, Hsieh Pei-Fang 'Volatility

Information for the Overall Options and Combination Trading Volume:

Evidence of the TAIEX Options Market' SSRN 7/08

Chau Minh, Dimitri Vayanos 'Strong-Form Efficiency with Monopolistic Insiders'

RFS V.21,#5 9/08

Chen An-Sing Chen, Yan-Zhen Liu 'Enhancing Hedging Performance with the

Spanning Polynomial Projection' Quantitative Finance, Volume 8 Issue 6

2008

Chen Jian, Paul Doust 'Estimating Intrinsic Currency Values' RISK 7/08

Chen Te-Feng, Huimin Chung, Ji-Chai Lin 'The Information Content of the Implied

Convenience Yield: Using American Call Option Based Structural Model' SSRN

8/08

Chen Xi, Griselda Deelstra, Jan Dhaene, Michèle Vanmaele 'Static Super-

Replicating Strategies for a Class Of Exotic Options' Insurance:

Mathematics and Economics V.42,#3 June 08

Chen Zhuliang, Peter A. Forsyth 'A Numerical Scheme for the Impulse Control

Formulation for Pricing Variable Annuities with a Guaranteed Minimum

Withdrawal Benefit (GMWB)' Numerische Mathematik V.109,#4 June 2008

Cherny Alexander 'Pricing with Coherent Risk' Theory of Prob. and its

Applications' V.52,#3 2008

Cheung Steven Yan-Leung, Yin-Wong Cheung, Alan T. K. Wan 'A High-Low Model of

Daily Stock Price Ranges' SSRN 9/08

Cheung Yam-Leung, Yin-Wong Cheung, Alan Wan 'A High-Low Model of Daily Stock

Price Ranges' SSRN 9/08

Chien Chin-Chen, Tsung-Cheng Chen ' Can The January Anomaly in Taiwan's Stock

Market Be Explained By The Prospect Theory?' Quantitative Finance, V.8,#4

2008

Chirinko Robert, Leo de Haan, Elmer Sterken 'Asset Price Shocks, Real

Expenditures, and Financial Structure: A Multi-Country Analysis' SSRN 7/08

Choi Hak 'The Profitable Theory of Interest with a New Definition of Capital'

SSRN 8/08

Christensen Bent Jesper, Christian Dahl, Emma Iglesias 'Semiparametric

Inference in a GARCH-in-Mean Model' SSRN 9/08

Christensen Jens Henrik Eggert, Francis Diebold, Glenn Rudebusch 'An Arbitrage-

Free Generalized Nelson-Siege Term Structure Model' SSRN 9/08

Christiansen Charlotte 'Mean Reversion in US and International Short Rates'

SSRN 8/08

Christoffersen Peter, Kris Jacobs, Chayawat Ornthanalai 'Exploring Time-Varying

Jump Intensities: Evidence from S&P500 Returns and Options' SSRN 7/08

Chu Ba M. 'Optimal Long Term Investment in a Jump Diffusion Setting: A Large

Deviation Approach' SSRN 9/08

Chua Choong Tze, Dean Foster, Krishna Ramaswamy, Robert Stine 'A Dynamic Model

for the Forward Curve' RFS Jan 2008 V. 21,#1

Cipollini Alessandro Paolo Luigi 'Capital Protection: Modeling the CPPI

Portfolio' SSRN 9/08

Cochrane John 'The Dog That Did Not Bark: A Defense of Return Predictability'

RFS July 2008 V.21,#4

Cohen Lauren, Andrea Frazzini 'Economic Links and Predictable Returns' JofF

V.63,# 4 Aug 2008

Collin-Dufresne Pierre, Robert Goldstein, Christopher Jones 'Can Interest Rate

Volatility be Extracted from the Cross Section of Bond Yields? An

Investigation of Unspanned Stochastic Volatility' Sept 2004

Connor Gregory, Robert Korajczyk 'Estimating Pervasive Economic Factors with

Missing Observations' SSRN 9/08

Conrad Christian, Enno Mammen 'Nonparametric Regression on Latent Covariates

with an Application to Semiparametric GARCH-in-Mean Models' SSRN 8/08

Conrad Christian, Menelaos Karanasos, Ning Zeng 'Multivariate Fractionally

Integrated APARCH Modeling of Stock Market Volatility: A Multi-Country

Study' SSRN 8/08

Cont Rama 'Dynamic Modeling of Portfolio Credit Derivatives: Forward Equations

and Inverse Problems' Presentation Chicago-Paris Workshop in Financial

Mathematics 6/08

Cont Rama, Sasha Stoikov, Rishi Talreja 'Dynamic Modeling of Limit Order Books'

2008 < Laplace transform of conditional probabilities>

Cont Rama, Yu Hang Kan 'Dynamic Hedging Of Portfolio Credit Derivatives' 2008

<CDO, default contagion, iTraxx, Gaussian Copula>

Cooney Michael. 'Benchmarking the Black Scholes Equation by Finite Differences'

MS thesis Trinity College Dublin 1999

Cooper Ian, Leonardo Cordeiro 'Optimal Equity Valuation Using Multiples: The

Number of Comparable Firms' SSRN 9/08

Cooper Michael, Huseyin Gulen, Michael Schill 'Asset Growth and the Cross-

Section of Stock Returns' JofF V.63,# 4 Aug 2008

Coulibaly Ibrahim, Claude Lefèvre 'On a Simple Quasi-Monte Carlo Approach for

Classical Ultimate Ruin Probabilities' Insurance: Mathematics and

Economics V.42,#3 June 08

Coulon Jérôme,Yannick Malevergne 'Heterogeneous Expectations and Long Range

Correlation of the Volatility of Asset Returns' SSRN 8/08

Cox A.M.G., Jan Obloj 'Classes of Measures Which Can Be Embedded in the Simple

Symmetric Random Walk' Electron J Probab, 2008, Vol: 13

Cox Samuel, Yijia Lin, Hal Petersen 'Mortality Risk Modeling: Applications to

Insurance Securitization' SSRN 7/08

Crane Glenis, John Van Der Hoek 'Using Distortions of Copulas to Price

Synthetic CDOs' Insurance: Mathematics and Economics V.42,#3 June 08

Cremers K.J. Martijn, Joost Driessen, Pascal Maenhout 'Explaining the Level of

Credit Spreads: Option-Implied Jump Risk Premia in a Firm Value Model' RFS

V.21,#5 9/08

Crépey Stéphane 'About the Pricing Equation in Finance' Presentation Chicago-

Paris Workshop in Financial Mathematics 6/08

Crépey Stéphane 'Contribution à des Méthodes Numériques Appliquées à la Finance

et aux Jeux Différentiels' Thèse de l’École Polytechnique, 5 janvier 2001

Cripps Martin, Jeffrey Ely, George Mailath, Larry Samuelson 'Common Learning'

Econometrica July 2008 V.76,#4

Crosby John 'Pricing a Class of Exotic Commodity Options in a Multi-Factor

Jump-Diffusion Model' QF V.8,#5 2008

Crouhy Michel, Robert Jarrow, Stuart Turnbull 'The Subprime Credit Crisis of

2007' Journal of Derivatives Fall 2008

Cryer Colin 'The Efficient Solution of Linear Complementary Problems for

Tridiagonal Minkowski Matrices' ACM Trans. Math. Software 9 (2), 1983

Cumming Douglas 'Contracts and Exits in Venture Capital Finance' RFS V.21,#5

9/08

Cummins J. David, A. Weiss 'Convergence of Insurance and Financial Markets:

Hybrid and Securitized Risk Transfer Solutions' SSRN 9/08

D’Ecclesia Rita 'Risk Management In Commodity And Financial Markets' J. Banking

and Finance V.32,#10 Oct. 2008

Dai Min, Yue Kuen Kwok 'Optimal Multiple Stopping Models of Reload Options and

Shout Options' JED&C V.32,#7 July 08

Dai Min, Yue Kuen Kwok, Jianping Zong 'Guaranteed Minimum Withdrawal Benefit in

Variable Annuities' Mathematical Finance V.18,#4 Oct. 2008

Dangl Thomas, Youchang Wu, Josef Zechner 'Market Discipline and Internal

Governance in the Mutual Fund Industry' RFS V.21,#5 9/08

Davis Mark, Sbastien Lleo 'Risk-Sensitive Benchmarked Asset Management'

Quantitative Finance, V.8,#4 2008 <model of Bielecki/Pliska and

Kuroda/Nagai>

De Giorgi Enrico, Thierry Post 'Second-Order Stochastic Dominance, Reward-Risk

Portfolio Selection, and the CAPM' JF&QA V.43,#2 June 08

Deeley Chris 'Superseding Newton with a Superior Yield Algorithm' SSRN 9/08

Deng Qian 'Predictable Components of Individual Stock Volatility' SSRN 7/08

Dennis Parick, Richard Rendleman 'Valuing Multiple Employee Stock Options

Issued by the Same Company' Journal of Derivatives Fall 2008

Dennis Patrick 'A Depth-First Search Technique for the Valuation of American

Path-Dependent Derivatives' J. of Applied Business Research 17, 2001

Desmier Paul 'Estimating Foreign Currency Exposure in the Canadian Department

of National Defense' J. Risk V.10,#4

Dette Holger, Daniel Ziggel 'Discount Curve Estimation by Monotonizing

Mcculloch Splines' IJT&AF V.11, #5 Aug. 2008

Dewynne Jeff, William Shaw 'Differential Equations and Asymptotic Solutions for

Arithmetic Asian Options: ‘Black–Scholes Formulae for Asian Rate Calls'

European Journal of Applied Mathematics, Volume 19, Issue 04, August 2008

Dittmar Robert, Kathy Yuan 'Do Sovereign Bonds Benefit Corporate Bonds in

Emerging Markets?' RFS V.21,#5 9/08

Dobránszky Péter 'Joint Modelling of CDS and LCDS Spreads with Correlated

Default and Prepayment Intensities and with Stochastic Recovery Rate' SSRN

9/08

Dobránszky Péter, Wim Schoutens 'Generic Lévy One-Factor Models for the Joint

Modelling of Prepayment and Default: Modelling LCDX' SSRN 8/08

Dokuchaev Nikolai 'Estimates for First Exit Times of Non-Markovian Ito

Processes' Stochastics <S&SR> V.80,#4 2008

Doran James, Andy Fodor, Kevin Krieger 'Option Market Efficiency and Analyst

Recommendations' SSRN 9/08

Dorn Jochen, Yacine Sadouni 'Modeling of CDO Options with Multi-Period Spread

Dynamics' SSRN July 2008

Du Du 'Asset Pricing for Augmented Affine Jump-Diffusions with Regime

Switching' SSRN 7/08

Duarte Jefferson 'The Causal Effect of Mortgage Refinancing on Interest Rate

Volatility: Empirical Evidence and Theoretical Implications' RFS July 2008

V.21,#4

Dubins Lester 'On a Theorem of Skorohod' Ann. Math. Stats. 30 (6) 1968

<embedding>

Dubois Pierre, Bruno Jullien, Thierry Magnac ''Formal and Informal Risk Sharing

in LDCs: Theory and Empirical Evidence' Econometrica July 2008 V.76,#4

Duellmann Klaus, Martin Scheicher, Christian Schmieder 'Asset Correlations and

Credit Portfolio Risk: an Empirical Analysis' J. Credit Risk 2008 V.4,#2

Düring Bertram 'Asset Pricing under Information with Stochastic Volatility'

SSRN 8/08

Duffee Gregory, Richard Stanton 'Evidence on Simulation Inference for Near

Unit-Root Processes with Implications for Term Structure Estimation'

Journal of Financial Econometrics, Vol.6, Issue 1, 2008

Duffy Daniel 'A Critique of the Crank Nicolson Scheme Strengths and Weaknesses

for Financial Instrument Pricing' 3/04 <options-numeric> <

Duffy Daniel 'Finite Elements for Mixed Initial Boundary Value Problems for

Hyperbolic Systems of Equations' MS thesis Trinity College Dublin 1977

Duffy Daniel 'Robust and Accurate Finite Difference Methods in Option Pricing:

One Factor Models' Datasim 2001

Duffy Daniel 'Uniformly Convergent Difference Schemes for Problems with a Small

Parameter in the Leading Derivative' PhD Trinity College Dublin 1980

Dunne R.K., E. O’riordan, G.I. Shishkin 'Fitted Mesh Numerical Methods for

Singularly Perturbed Elliptic Problems with Mixed Derivatives'

<convection-diffusion>

Dupire Bruno 'Arbitrage Bounds for Volatility Derivatives as a Free Boundary

Problem' http://www.math.kth.se/pde finance/presentations/Bruno.pdf, 2005

Durrleman Valdo, Nicole El Karoui 'Coupling Smiles' Quantitative Finance,

Volume 8 Issue 6 2008 <domestic asset, foreign rate and exchange>

Dyl Edward, George Jiang 'Valuing Illiquid Common Stock' FAJ July/Aug. 2008

V.64, #4

Ech-Chatbi Charaf 'CDs and CDO Pricing with Stochastic Recovery' SSRN 9/08

Ehrhardt Matthias, Ronald Mickens 'A Fast, Stable and Accurate Numerical Method

for the Black–Scholes Equation of American Options' IJT&AF V.11, #5 Aug.

2008

Elder John, Hyun Jin 'Fractional Integration in Commodity Futures Returns'

Financial Review, 2008 SSRN 7/08

Elhouar Mikael 'Finite-dimensional Realizations of Regime-switching HJM Models'

Applied Mathematical Finance V.15,#4 2008

Elices Alberto 'Models with time-dependent parameters using transform methods:

application to Heston's model' 8/07 submitted Math. Finance <stochastic

volatility, jumps, bootstrap for calibration>

Epstein Charles, John Schotland 'The Bad Truth about Laplace's Transform' SIAM

Review Sept. 2008 V.50,#3

Eraker Bjørn, Ivan Shaliastovich 'An Equilibrium Guide to Designing Affine

Pricing Models' Mathematical Finance V.18,#4 Oct. 2008

Estrada Javier 'Black Swans in Emerging Markets' SSRN 9/08

Estrella Arturo, John Kambhu 'Approximation of Changes in Option Values and

Hedge Ratios: How Large Are the Errors?' FRB NY 1997

Eun Cheol, Wei Huang, Sandy Lai 'International Diversification with Large- and

Small-Cap Stocks' JF&QA V.43,#2 June 08

Evans Jonathan, Vicky Henderson, David Hobson 'Optimal Timing for an

Indivisible Asset Sale' Mathematical Finance V.18,#4 Oct. 2008

Ewald Christian-Oliver, Zhaojun Yang 'Utility Based Pricing And Exercising Of

Real Options Under Geometric Mean Reversion And Risk Aversion Toward

Idiosyncratic Risk' Math. Methods of O.R. V.68,# 1 Aug. 2008

Fama Eugene, Kenneth French 'Dissecting Anomalies' JofF V.63,# 4 Aug 2008

Fan Jianqing, Yingying Fan, Jinchi Lv 'Aggregation of Nonparametric Estimators

for Volatility Matrix' Journal of Financial Econometrics V.5, #3, Summer

2007

Fan Xinting 'Sorting, Firm Characteristics, and Time-Varying Risk: An

Econometric Analysis' Journal of Financial Econometrics, Vol.6, Issue 1,

2008

Farinelli Simone, Manuel Ferreira, Damiano Rossello, Markus Thoeny, Luisa

Tibiletti 'Beyond Sharpe Ratio: Optimal Asset Allocation Using Different

Performance Ratios' J. Banking and Finance V.32,#10 Oct. 2008

Farrell Paul, et al 'Robust Computational Techniques for Boundary Layers'

Chapman-Hall 2000

Fatone Lorella, Maria Cristina Recchioni, Francesco Zirilli 'Pricing Realized

Variance Options using Integrated Stochastic Variance Options in the

Heston Stochastic Volatility Model' Discrete and Continuous Dynamical

Systems Supplement 2007, 354-363

Faust Jon, Jonathan Wright 'Efficient Prediction of Excess Returns' NBER

Working Paper No. W14169 SSRN 7/08

Fernández Begoña, Daniel Hernández-Hernández, Ana Meda, Patricia Saavedra 'An

Optimal Investment Strategy with Maximal Risk Aversion and its Ruin

Probability' Math. Methods of O.R. V.68,# 1 Aug. 2008

Ferson Wayne, Sergei Sarkissian, Timothy Simin 'Asset Pricing Models with

Conditional Betas and Alphas: The Effects of Data Snooping and Spurious

Regression' JF&QA V.43,#2 June 08

Figelman Ilva 'Expected Return and Risk of Covered Call Strategies' J.

Portfolio Management Summer 2008

Figlewski Stephen 'Estimating the Implied Risk Neutral Density for the U.S.

Market Portfolio Volatility and Time Series Econometrics' Essays in Honor

of Robert F. Engle (eds. Tim Bollerslev, et al Oxford U. 2008.

Fleming Jeff, Chris Kirby, Barbara Ostdiek 'The Specification Of GARCH Models

With Stochastic Covariates' J. Futures Markets V.28, #10 Oct. 2008

Fonseca Jos Da, Martino Grasselli, Claudio Tebaldi 'A Multifactor Volatility

Heston Model' Quantitative Finance, Volume 8 Issue 6 2008 <single risky

asset using multifactor (matrix) Wishart affine process, Gourieroux and

Sufana; Duffie and Kan affine models solved FFT; long and short term

implied volatility surface, stylized fact of the FX option markets of Carr

and Wu>

Forte Santiago, Lidija Lovreta 'Credit Risk Discovery in the Stock and CDS

Market: Who, When and Why Leads?' SSRN 8/08

Franses Philip Hans, Marco van der Leij, Richard Paap 'A Simple Test for GARCH

Against a Stochastic Volatility Model' Journal of Financial Econometrics

V. 6, #3, Summer 2008

Freixas Xavier, Jean-Charles Rochet 'Microeconics of Banking' 2008 MIT Press

French Kenneth 'Presidential Address: The Cost of Active Investing' JofF V.63,#

4 Aug 2008

Frey Rüdiger, Jochen Backhaus 'Pricing and Hedging of Portfolio Credit

Derivatives with Interacting Default Intensities' IJT&AF V.11,#6 9/08

Frey Rüdiger, Jochen Backhaus 'Portfolio Credit Risk Models with Interacting

Default Intensities: a Markovian Approach' U. Leipzig 2005

Friedman Avner 'Variational Principles and Free Boundary Problems' Wiley 1982

Frolov A.N., A. I. Martikainen, J. Steinebach 'On Probabilities of Small

Deviations for Compound Renewal Processes' Theory of Probability and its

Applications V. 52,# 2

Frye Jon 'Correlation and Asset Correlation in the Structural Portfolio Model'

J. Credit Risk 2008 V.4,#2

Füss Roland, Zeno Adams, Dieter Kaiser 'The Predictive Power of Value-at-Risk

Models in Commodity Futures Markets' SSRN 8/08

Fung William, David Hsieh, Narayan Naik, Tarun Ramadorai 'Hedge Funds:

Performance, Risk, and Capital Formation' JofF V.63,# 4 Aug 2008

Fusai Gianluca, Marina Marena, Andrea Roncoroni 'Analytical Pricing of

Discretely Monitored Asian-Style Options: Theory and Application to

Commodity Markets' J. Banking and Finance V.32,#10 Oct. 2008

Gabaix Xavier 'Power Laws in Economics and Finance' NBER Working Paper No. 1

SSRN 9/08

Gallmeyer Michael, Burton Hollifield 'An Examination of Heterogeneous Beliefs

with a Short-Sale Constraint in a Dynamic Economy' Review of Finance,

Vol.12, Issue 2, 2008

Garcia Joao, Serge Goossens 'Explaining The Lévy Base Correlation Smile'

<Gaussian Copula, Lévy model, Bespoken portfolios, Smile correlation

curves> RISK 7/08

Garcia João, Serge Goossens, Wim Schoutens 'Let's Jump Together: Pricing Credit

Derivatives' <CPDO> RISK 9/08

Gaspar Raquel, Irina Slinko 'On Recovery and Intensity’s Correlation: a New

Class of Credit Risk Models' J. Credit Risk 2008 V.4,#2

Gaspar Raquel, Thorsten Schmidt 'On the Pricing of CDOs' Credit Derivatives

Handbook, P.U. Ali and G.N. Gregoriou, eds., Chapter 11, pp. 229-258,

McGraw-Hill

Gaspar Raquel, Thorsten Schmidt 'Term Structure Models with Shot-Noise Effects'

SSRN 7/08

Gauthier Genevieve, Jean-Guy Simonato 'Linearized Nelson-Siegel Models for the

Estimation of Spot Interest Rates' SSRN July 2008

Gay Roger 'Mean-Variance Optimality of a Retirement Lump Sum Conversion

Strategy: Implementation in Australia' J. Risk V.10,#4

Geman Hélyette, Steve Ohana 'Time-Consistency in Managing a Commodity

Portfolio: a Dynamic Risk Measure Approach' J. Banking and Finance

V.32,#10 Oct. 2008

Geweke John, Gianni Amisano 'Evaluating the Predictive Distributions of

Bayesian Models of Asset Returns' SSRN 7/08

Geweke John, Gianni Amisano 'Optimal Prediction Pools' SSRN 7/08

Giacomini Raffaella, Andreas Gottschling, Christian Haefke, Halbert White

'Mixtures of t-Distributions for Finance and Forecasting' J. Econometrics

V.144,#1 May 2008

Giandomenico Rossano 'Valuing an American Put Option' <exact duplicating

portfolio, riskless security and short stock> SSRN 9/06

Gianluca Fusai, Attilio Meucci 'Pricing Discretely Monitored Asian Options

under Lévy Processes' J. Banking and Finance V.32,#10 Oct. 2008

Giannopoulos Kostas 'Nonparametric, Conditional Pricing of Higher Order

Multivariate Contingent Claims' J. Banking and Finance Sept. 08 V.32,#9

Gibson Michael 'Information Systems for Risk Management' FRB NY 1997

Giesecke Kay, Hossein Kakavand, Seyed Mousavi 'Simulating Point Processes by

Intensity Projection' SSRN July 2008

Gikhman Ilya 'Corporate Debt Pricing' SSRN 7/08

Gikhman Ilya 'Default Characteristics of Corporate Bonds' SSRN 7/08

Gikhman Ilya 'Remarks on Local Volatility' SSRN 9/08

Gikhman Ilya 'Risky Swaps' The Icfai University Journal of Derivatives Markets,

Vol.V, No. 3, July 2008

Gilli Manfred, Enrico Schumann 'Distributed Optimization of a Portfolio's

Omega' SSRN 7/08

Giovanis Eleftherios 'An Algorithm Using GARCH Process, Monte-Carlo Simulation

and Wavelets Analysis for Stock Prediction' SSRN 9/08

Gobet Emmanuel 'Advanced Monte Carlo Methods for Barrier and Related Exotic

Options' Mathematical Modelling and Numerical Methods in Finance, A.

Bensoussan, Qiang Zhang, Philippe Ciarlet, eds., Forthcoming 2008

Godunov Sergei, V.S. Riabenki 'Difference Schemes, an Introduction to the

Underlying Theory' North-Holland 1987

Goetzmann William 'Equity Portfolio Diversification' Review of Finance, Vol.

12, Issue 3, 2008

Goldberg Lisa, Rajnish Kamat, Jason Kremer 'A Structural Analysis of the

Default Swap Market - Part 2 (Relative Value)' SSRN 8/08

Gomes Francisco, Alexander Michaelides 'Asset Pricing with Limited Risk Sharing

and Heterogeneous Agents' RFS Jan 2008 V. 21,#1

Gourlay A.R. 'The Hopscotch Class of Difference Methods for Partial

Differential Equations' in Quantum Transport Springer Lecture Notes 1972

Goyal Amit, Sunil Wahal 'The Selection and Termination of Investment Management

Firms by Plan Sponsors' JofF V.63,# 4 Aug 2008

Grauer Robert 'Benchmarking Measures of Investment Performance with Perfect-

Foresight and Bankrupt Asset Allocation Strategies' J. Portfolio

Management Summer 2008

Gray Stephen, Jason Hall, Drew Klease, Alan McCrystal 'Bias, Stability and

Predictive Ability in the Measurement of Systematic Risk' SSRN July 2008

Gregory Christine, Kenneth Darby-Dowman, Gautam Mitra 'Robust Optimisation and

Portfolio Selection: The Cost of Robustness' SSRN 8/08

Gregory Jon 'A Free Lunch and the Credit Crunch' <monoline> RISK Aug. 08

Grieves Robin, Alan Marcus, Adrian Woodhams 'Delivery Options and Convexity in

Treasury Bond and Note Futures' SSRN July 2008

Grochulski Borys 'Limits to Redistribution and Intertemporal Wedges:

Implications of Pareto Optimality with Private Information' FRB Richmond

Review Spring 2008, V.94, #2

Grüne Lars, Willi Semmler 'Asset Pricing with Loss Aversion' JED&C V.32,#10

Oct. 2008

Gulko Les 'Pricing Stock and Bond Options in Incomplete Markets' J. Portfolio

Management Summer 2008

Gupton Greg 'Advancing Loss Given Default Prediction Models: How the Quiet Have

Quickened' Economic Notes 2005

Haaj Grzegorz 'Risk-based Decisions on the Asset Structure of a Bank under

Partial Economic Information' Applied Mathematical Finance V.15,#4 2008

Hakan Hedenmalm 'On the Asymptotic Free Boundary for the American Put Option

Problem' Journal of Mathematical Analysis and Applications 2006 V.314,#1

Han Bing 'Investor Sentiment and Option Prices' RFS Jan 2008 V. 21,#1

Hatem Ben Said 'Impact of the Behavior of the Underlying Assets on the Value of

a Petroleum Project under the Theory of Real Options: Case of GBM and MR

Process' SSRN July 2008

Hau Harald, Helene Rey 'Global Portfolio Rebalancing Under the Microscope' NBER

Working Paper No. W14165 SSRN 7/08

Henderson Vicky 'Optimal Liquidation of Derivative Portfolios' Presentation

Chicago-Paris Workshop in Financial Mathematics 6/08

Henderson Vicky, David Hobson 'Perpetual American Options in Incomplete

Markets: the Infinitely Divisible Case' QF V.8,#5 2008

Henkel Sam James, J. Spencer Martin, Federico Nardari 'Time-Varying Short-

Horizon Predictability' SSRN 7/08

Herzberg Frederik 'Black-Scholes Theory for an Underlying With Multiple

Attractors' QF V.8,#5 2008

Hetzel Robert 'What is the Monetary Standard, Or, How Did the Volcker-Greenspan

FOMCs Tame Inflation?' FRB Richmond Review Spring 2008 , V.94, #2

Hibbert Ann Marie, Robert Daigler, Brice Dupoyet 'A Behavioral Explanation for

the Negative Asymmetric Return–Volatility Relation' J. Banking and Finance

V.32,#10 Oct. 2008

Hjalmarsson Erik 'Predicting Global Stock Returns' SSRN July 2008

Hoevenaars Roy, Roderick Molenaar, Peter Schotman, Tom Steenkamp 'Strategic

Asset Allocation with Liabilities: Beyond Stocks and Bonds' JED&C Sept. 08

Vol32,#9

Hofberger Bastian, Niklas Wagner 'Pricing CDX Credit Default Swaps Using the

Hull-White Model' SSRN 7/08

Hördahl Peter, Frank Packer 'Understanding Asset Prices: An Overview' BIS Paper

No. 34 SSRN 8/08

Huang Jennifer 'Taxable and Tax-Deferred Investing: A Tax-Arbitrage Approach'

RFS V.21,#5 9/08

Huang Jing-Zhi, Xiongfei Zhang 'The Slope of Credit Spread Curves' Journal of

Fixed Income Summer 2008

Huang Peng, C. James Hueng 'Conditional Risk-Return Relationship in a Time-

Varying Beta Model' Quantitative Finance, V.8,#4 2008

Huij Joop, Thierry Post 'On Persistence in the Performance of Emerging Market

Equity Mutual Funds' SSRN 8/08

Hur Jungshik, Raman Kumar 'Reconciling the Insignificance of the Market Beta in

Cross-Sectional Asset Pricing Tests with the Significance of the Market

Factor in Time-Series Asset Pricing Tests: A New Perspective and Two

Suggested Solutions' SSRN 9/08

Idier Julien 'Long Term vs. Short Term Comovements in Stock Markets: The Use of

Markov-Switching Multifractal Models' SSRN July 2008

Il'in A.M. 'Differencing Scheme for a Differential Equation with a Small

Parameter Affecting the Highest Derivative' Mat. Zametki 6 1969

Inglis Stewart, Alex Lipton, Ioana Savescu, Artur Sepp 'Dynamic Credit Models'

<Jump-to-default, Dynamic credit correlation, Factor correlation model>

Statistics and Its Interface, 1(2), 2008

Isakov Victor 'Inverse Parabolic Problems with the Final Overdetermination'

Comm. Pure Appl. Math XLIV 1991

Ivanova G.P., V. Ya. Kondratiev 'On One Estimate of the Ruin Probability'

Theory of Probability and its Applications V. 52,# 2

Jackel Peter 'Gamma Loss and Prepayment' <fractional notional losses, asset-

backed, waterfall structures, bespoke> RISK 9/08

Jäckel Peter, Christian Kahl 'Hyp Hyp Hooray' Preprint 2007

Jensen Mark, John Maheu 'Bayesian Semiparametric Stochastic Volatility

Modeling' Federal Reserve Bank of Atlanta Working Paper No. 2008-15

Jeong Myeong Geun 'Estimation of the Asset Price Distribution Using the Maximum

Entropy Principle' SSRN July 2008

Jiang George, Roel Oomen 'Testing for Jumps When Asset Prices are Observed with

Noise–a “Swap Variance” Approach' J. Econometrics V.144,# 2 June 2008

Jiang George, Roel Oomen 'Testing for Jumps when Asset Prices are Observed with

Noise–a “Swap Variance” Approach' J. Econometrics V.144,#2 June 2008

John Kambhu 'The Size of Hedge Adjustments of Derivatives Dealers US Dollar

Interest Rate Options' FRB NY 1997

John Kose, Lubomir Litov, Bernard Yeung 'Corporate Governance and Risk-Taking'

JofF V.63,# 4 Aug 2008

Jonck Uwe Christian 'Local Likelihood Estimators in a Regression Model For

Stock Returns' Quantitative Finance, Volume 8 Issue 6 2008

Jorion Philippe, Gaiyan Zhang 'Intra-Industry Credit Contagion: Evidence from

Credit Default Swap and Equity Markets' U.Cal Irvine 2005

Joshi Mark, Alan Stacey 'New and Robust Drift Approximations for the LIBOR

Market Model' Quantitative Finance, V.8,#4 2008 <very long steps, cf. PPR,

Glasserman-Zhao and predictor-corrector>

Josic Krešimir, Robert Rosenbaum 'Unstable Solutions of Nonautonomous Linear

Differential Equations' SIAM Review Sept. 2008 V.50,#3

Joslin Scott 'Can Unspanned Stochastic Volatility Explain the Cross Section of

Bond Volatilities' wp Stanford 2007

Jurek Jakub 'Crash-Neutral Currency Carry Trades' SSRN 9/08

Kadam Ashay, Peter Lenk 'Bayesian Inference for Issuer Heterogeneity in Credit

Ratings Migration' J. Banking and Finance V.32,#10 Oct. 2008

Kahale Nabil 'Analytic Crossing Probabilities for Certain Barriers by Brownian

Motion' Annals of Applied Probability V.18,# 4 Aug. 2008

Kambhu J., A. P. Rodrigues 'Residual Risk Factors, Portfolio Composition and

Risk Measurement' FRB NY 1997

Kaminsky Graciela Laura, Sergio Schmukler 'Short-Run Pain, Long-Run Gain:

Financial Liberalization and Stock Market Cycles' Review of Finance,

Vol.12, Issue 2, 2008

Kang Long 'Modeling the Dependence Structure between Bonds and Stocks: A

Multivariate Copula Approach' SSRN 8/08

Kangro Raul, Kalev Pärna, Artur Sepp 'Pricing European-Style Options under Jump

Diffusion Processes with Stochastic Volatility: Applications of Fourier

Transform' Acta et Commentationes Universitatis Tartuensis de Mathematica

8, 123-133

Kaniel Ronl, Stathis Tompaidis, Alexander Zemlianov 'Efficient Computation of

Hedging Parameters for Discretely Exercisable Options' Operations Research

2008 V.56,#3 July/Aug. 2008

Karolyi G. Andrew 'An Assessment of Terrorism-Related Investing Strategies' J.

Portfolio Management Summer 2008

Keller Herb 'A New Difference Scheme for Parabolic Problems' Numerical

Solutions of Partial Differential Equations-II Synspade 1970

Keller Herbert 'A New Difference Scheme for Parabolic Problems' Numerical

Solution of Partial Differential Equations, ed. B. Hubbard, 2:32%50. New

York: Academic. <Box Scheme>

Keller Herbert, Marianela Lentini 'Invariant Imbedding, the Box Scheme and an

Equivalence between Them' SIAM J. Numer. Analysis 10/82

Keloharju Matti, Samuli Knüpfer, Sami Torstila 'Do Retail Incentives Work in

Privatizations?' RFS V.21,#5 9/08

Kenyon Chris 'Inflation Is Normal ' <Normal-Based Smile, Caplet> RISK 7/08

Kenyon Chris 'Pricing Strongly Path-Dependent Options in Libor Market Models

without Simulation' SSRN 8/08

Khaliq Abdul, David Voss, Greg Fasshauer 'A Parallel Time Stepping Approach

Using Meshfree Approximations for Pricing Options with Non-Smooth Payoffs'

J. Risk V.10,#4

Khanna Naveen, Thomas Noe, Ramana Sonti 'Good IPOs Draw in Bad: Inelastic

Banking Capacity and Hot Markets' RFS V.21,#5 9/08

Kienitz Joerg 'A Note on Monte Carlo Greeks for Jump Diffusion and Other Lévy

Processes' SSRN 9/08

Kiesel Rüdiger, Luitgard Veraart 'A Note on the Survival Probability in

Creditgrades' J. Credit Risk 2008 V.4,#2

Kim Gyutai 'Looking at the Value of an One-Step Deferral Option through the

Opportunity Cost Concept' SSRN 9/08

Kim Jeongeun, David Stoffer 'Fitting Stochastic Volatility Models in the

Presence of Irregular Sampling via Particle Methods and the EM Algorithm'

Journal of Time Series Analysis, V.29, #5, September 2008

Kindleberger Charles 'Manias, Panics and Crashes: a History of Financial

Crises' 5th ed. Wiley 2005

Kliesen Kevin 'Oil and the U.S. Macroeconomy: An Update and a Simple

Forecasting Exercise' FRB St. Louis Sept/Oct 2008,V.90,#5

Knight John, Stephen Satchell, Ba M. Chu 'Optimal Investment and Asymmetric

Risk for a Large Portfolio: A Large Deviations Approach' SSRN 9/08

Kokkonen Joni 'International Asset Allocation under Generalized Disappointment

Aversion and Regime-Switching' SSRN 7/08

Kolbe Andreas, Rudi Zagst 'A Hybrid-Form Model for The Prepayment-Risk-Neutral

Valuation of Mortgage-Backed Securities' IJT&AF V.11,#6 9/08

Koloat Bill 'Manipulating Electromagnetic Fields: Mathematics, Metamaterials,

and Cloaking' SIAM News Sept. 2008

Konstantinidi Eirini, George Skiadopoulos 'Are VIX Futures Prices Preditable?

An Empirical Investigation' SSRN 8/08

Koo Hyeng Keun, Gyoocheol Shim, Jaeyoung Sung 'Optimal Multi-Agent Performance

Measures for Team Contracts' Mathematical Finance V.18,#4 Oct. 2008

Korniotis George 'Habit Formation, Incomplete Markets, and the Significance of

Regional Risk for Expected Returns' RFS V.21,#5 9/08

Kötter Mirko, Nicole Bäuerle 'The Periodic Risk Model with Investment'

Insurance: Mathematics and Economics V.42,#3 June 08

Koulisianis Minas, Theodore Papatheodorou 'Improving Projected Successive

Overrelaxation Method for Linear Complementarity Problems' Applied

Numerical Mathematics, 2003 <options-American> <Free Boundary, Moving

Boundary>

Koulisianis Minas, Theodore Papatheodorou 'Pricing of American Options using

Linear Complementarity Formulation: Methods and their Evaluation' Neural,

Parallel & Scientific Computations V.11 ,# 4 December 2003 <5 methods,

PSOR, moving index, Direct Inverse Multiplication DIM, and stable version

of it SDIM, IPSOR, moving boundary, free boundary>

Koulisianis Minas, Theodore Papatheodorou 'Valuation of American Options Using

Direct, Linear Complementarity-Based Methods' Springer Lecture Notes in

Computer Science 2003 <Direct Inverse Multiplication (DIM) and Stable DIM

(SDIM) methods, free boundary, moving boundary, inverse of the coefficient

matrix to locate the moving index, fixed boundary problem. DIM 100 times

faster PSOR, Stable SDIM> <options-American>

Kozhanov Igor 'The Challenge of the Composition Effect' SSRN 8/08

Kristensen Dennis 'Estimation of Partial Differential Equations with

Applications in Finance' J. Econometrics V.144,# 2 June 2008

Kruchen Stefan, Paolo Vanini 'Dividend Risk' SSRN 7/08

Kruchen Stefan, Paolo Vanini 'Dividend Risk' SSRN 8/08

Kunisch Michael, Marliese Uhrig-Homburg 'Modeling Simultaneous Defaults: A Top-

Down Approach' Journal of Fixed Income Summer 2008

Lagos Ricardo 'Asset Prices and Liquidity in an Exchange Economy' SSRN 7/08

Lam D.C.L., R.B. Simpson 'Centered Differencing and the Box Scheme for

Diffusion Convection Problems' J. Comp. Physics 1976

Lardy Jean-Pierre, Vladimir Finkelstein, Philippe Khuong-Huu, Yunong Yang

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Internal document, JPMorgan 2000

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Games Approach' Presentation Chicago-Paris Workshop in Financial

Mathematics 6/08

Lasry Jean-Michel, Pierre-Louis Lions 'Grandes Déviations pour des Processus de

Diffusion Couplés par un Processus de Sauts', C.R. Acad. Sci. Paris I,

321, 1995

Lau John, Tak Kuen Siu 'Pricing Risky Debts Under a Markov-modudated Merton

Model with Completely Random Measures' Computational Economics V.31,#3

April 2008

L'Ecuyer Pierre, Christian Lécot, Bruno Tuffin 'A Randomized Quasi-Monte Carlo

Simulation Method for Markov Chains' Operations Research 2008 V.56,#3

July/Aug. 2008

Lee Roger 'Mileage Options' Presentation Chicago-Paris Workshop in Financial

Mathematics 6/08

Lee Jyh-Huei, Dan Stefek 'Do Risk Factors Eat Alphas?' J. Portfolio Management

Summer 2008

Lel Ugur, Darius Miller 'International Cross-Listing, Firm Performance, and Top

Management Turnover: a Test of the Bonding Hypothesis' JofF V.63, #4 Aug

2008

Lemmon Michael, Michael Roberts, Jaime Zender 'Back to the Beginning:

Persistence and the Cross-Section of Corporate Capital Structure' JofF

V.63,# 4 Aug 2008

Lettau Martin, Stijn Van Nieuwerburgh 'Reconciling the Return Predictability

Evidence' RFS July 2008 V.21,#4

Lettau Martin, Sydney Ludvigson, Jessica Wachter 'The Declining Equity Premium:

What Role Does Macroeconomic Risk Play?' RFS July 2008 V.21,#4

Leung Kwai Sun, Yue Kuen Kwok 'Employee Stock Option Valuation with Repricing

Features' Quantitative Finance, Volume 8 Issue 6 2008

Levin Alexander 'Two-Factor Gaussian Term Structure: Analytics, Historical Fit

and Stable Finite-Difference Pricing Schemes' Lecture Courant 5/2000

Li Anlong 'Valuation of Credit Contingent Options with Applications to Quanto

CDS' SSRN 7/08

Li Haitao, Martin Wells, Cindy L. Yu 'A Bayesian Analysis of Return Dynamics

with Lévy Jumps' RFS V.21,#5 9/08

Li Ming-Yuan Leon 'Hybrid Versus Highbred: Combined Economic Models with Time-

Series Analyses' Quantitative Finance, Volume 8 Issue 6 2008

Li Yan, Liyan Yang 'Prospect Theory, the Disposition Effect and Asset Prices'

SSRN 7/08

Liang Jianfeng, Shuzhong Zhang, Duan Li 'Optioned Portfolio Selection: Models

And Analysis' Mathematical Finance V.18,#4 Oct. 2008

Liang Jin, Bei Hu, Lishang Jiang, Baojun Bian 'On the Rate of Convergence of

the Binomial Tree Scheme for American Options' Numerische Mathematik

V.107,#2 Aug. 2007

Liesen Jörg, Zdenek Strakoš 'On Optimal Short Recurrences for Generating

Orthogonal Krylov Subspace Bases' SIAM Review Sept. 2008 V.50,#3

Lin Chen-Miao, Richard Phillips, Stephen Smith 'Hedging, Financing, and

Investment Decisions: Theory and Empirical Tests' J. Banking and Finance

Aug. 08 V.32,#8

Lin Peter 'Monte Carlo Simulation Algorithms for the Pricing of American

Options' Oxford U. 2008

Lions Pierre-Louis 'On Mean-Field Games' Presentation Chicago-Paris Workshop in

Financial Mathematics 6/08

Lipton Alex, Artur Sepp 'Stochastic Volatility Models and Kelvin Waves'

<Heston, Stein-Stein model> Journal Of Physics A: Mathematical and

Theoretical, 41(34), 2008

Litzenberger Robert, David Modest 'Crisis and Non-Crisis Risk in Financial

Markets: A Unified Approach to Risk Management' SSRN 7/08

Liu Shinhua 'Currency Derivatives and Exchange Rate Forecastability' Financial

Analysts Journal, Vol. 63, No. 4, July/August 2007

Liu Shinhua 'Index Futures and Predictability of the Underlying Stocks'

Returns: The Case of the Nikkei 225' Journal of Financial Services

Research, Vol. 34, No. 1, 2008

Liu Shinhua 'Index Membership and Predictability of Stock Returns: The Case of

the Nikkei 225' Pacific-Basin Finance Journal, Forthcoming 2008

Liu Shinhua 'The Impacts of Index Options on the Underlying Stocks: The Case of

the S&P 100' Quarterly Review of Economics and Finance, Forthcoming 2008

Liu Weimin, Norman Strong 'Biases in Decomposing Holding-Period Portfolio

Returns' RFS V.21,#5 9/08

Löcherbach Eva, Dasha Loukianova 'On Nummelin Splitting for Continuous Time

Harris Recurrent Markov Processes and Application to Kernel Estimation for

Multi-Dimensional Diffusions' SP&A V.118,#8 Aug.08

Logan J. David 'An Introduction to Nonlinear Partial Differential Equations'

Wiley 2nd Ed. 2008

Løkka Arne, Mihail Zervos 'Optimal Dividend and Issuance of Equity Policies in

the Presence of Proportional Costs' Insurance: Mathematics and Economics

V.42,#3 June 08

Loretan Mico 'Generating Market Risk Scenarios Using Principal Components

Analysis:Methodological and Practical Considerations' FRB NY 1997

Love Ryan, Richard Payne 'Macroeconomic News, Order Flows, and Exchange Rates'

JF&QA V.43,#2 June 08

Lu Lei 'Asset Pricing and Welfare Analysis with Bounded Rational Investor' SSRN

8/08

Lu Lei, Benjamin Croitoru 'Asset Pricing in a Monetary Economy with

Heterogeneous Beliefs' SSRN 8/08

Lu Lei, Jingzhi Huang 'Macro Factors and Volatility of Bond Returns: Short- and

Long-Term Analysis' SSRN 8/08

Lustig Hanno, Stijn Van Nieuwerburgh 'The Returns on Human Capital: Good News

on Wall Street is Bad News on Main Street' RFS V.21,#5 9/08

Lutgens Frank, Peter Schotman 'Robust Portfolio Optimization with Multiple

Experts' SSRN July 2008

Ma Jin, Jie Shen, Yanhong Zhao 'On Numerical Approximations of Forward-Backward

Stochastic Differential Equations' SIAM J. Num. Analysis V. 46,#5 July

2008 <; four step scheme; Hermite-spectral method; convergence rate>

Ma Jun, Charles Nelson 'Valid Inference for a Class of Models Where Standard

Inference Performs Poorly; Including Nonlinear Regression, ARMA, GARCH,

and Unobserved Components' SSRN 9/08

Ma Yi, Allen Yang, Harm Derksen, Robert Fossum 'Estimation of Subspace

Arrangements with Applications in Modeling and Segmenting Mixed Data' SIAM

Review Sept. 2008 V.50,#3

MacKenzie Donald 'An Engine, Not a Camera: How Financial Models Shape Markets'

<inquiry not camera to reproduce empirical facts, LTCM, Mandelbrot's "wild

randomness"> 2006 MIT Press

Maillard Sébastien, Thierry Roncalli, Jerome Teiletche 'On the Properties of

Equally-Weighted Risk Contributions Portfolios' SSRN 9/08

Mamaysky Harry, Matthew Spiegel, Hong Zhang 'Estimating the Dynamics of Mutual

Fund Alphas and Betas' RFS Jan 2008 V. 21,#1

Mamoghli Chokri, Sami Daboussi 'Portfolio Optimization in a Downside Risk

Framework' <mean semi-variance> SSRN 8/08

Mamoghli Chokri, Sami Daboussi 'Valuation of Hedge Funds Portfolios In a

Downside Risk Framework' SSRN 8/08

Mania Michael, Revaz Tevzadze, Teimuraz Toronjadze 'Mean-Variance Hedging Under

Partial Information' SIAM J. Control and Opt. 9/08

Mao Xuerong, Yi Shen, Chenggui Yuan 'Almost Surely Asymptotic Stability of

Neutral Stochastic Differential Delay Equations with Markovian Switching'

SP&A V.118,#8 Aug.08

Marshall Ben, Rochester Cahan, Jared Cahan 'Technical Analysis Around the

World: Does it Ever Add Value?' SSRN 7/08

Martell Rodolfo 'Understanding Common Factors in Domestic and International

Bond Spreads' Review of Finance, Vol.12, Issue 2, 2008

Martellini Lionel 'Toward the Design of Better Equity Benchmarks:

Rehabilitating the Tangency Portfolio from Modern Portfolio Theory' J.

Portfolio Management Summer 2008

Mataramvura Sure, Bernt Øksendal 'Risk Minimizing Portfolios and HJBI Equations

for Stochastic Differential Games' Stochastics <S&SR> V.80,#4 2008

Medova Elena, J. K. Murphy, A. P. Owen, K. Rehman 'Individual Asset Liability

Management' Quantitative Finance, Volume 8 Issue 6 2008

Mehra Yash, Christopher Herrington 'On the Sources of Movements in Inflation

Expectations: A Few Insights from a VAR Model' FRB Richmond Review Spring

2008, V.94, #2

Meng Lei, Owain ap Gwilym 'The Determinants of CDS Bid-Ask Spreads' Journal of

Derivatives Fall 2008

Mercurio Fabio, Massimo Morini 'A Note on the SABR model (preliminary Form)'

11/06

Meucci Attilio 'Further Beyond Black-Litterman: Entropy-Pooling' RISK October

2008

Meyer-Brandis Thilo 'Differential Equations Driven by Lévy White Noise in

Spaces of Hilbert Space-Valued Stochastic Distributions' Stochastics

<S&SR> V.80,#4 2008

Meyer-Brandis Thilo, Peter Tankov 'Multi-Factor Jump-Diffusion Models of

Electricity Prices' IJT&AF V.11,# 5 Aug. 2008

Meza Juan 'Drowning in a Sea of Data: the Need for New Mathematical Tools for

Petascale Data Analysis' SIAM News Sept. 2008

Milne Alistair, Geoffrey Wood 'Banking Crisis Solutions Old and New' FRB St.

Louis Sept/Oct 2008,V.90,#5

Minenna Marcello, Paolo Verzella 'A Revisited and Stable Fourier Transform

Method for Affine Jump Diffusion Models' J. Banking and Finance V.32,#10

Oct. 2008

Mirani R. 'Application of Duffy's Finite Difference Method to Barrier Options'

Datasim June 2002

Mishura Yuliya 'Stochastic Calculus for Fractional Brownian Motion and Related

Processes' Springer Lectures 1929, 2008 <Chapter 5 on finance>

Mizen Paul 'The Credit Crunch of 2007-2008: A Discussion of the Background,

Market Reactions, and Policy Responses' FRB St. Louis Sept/Oct

2008,V.90,#5

Mølgaard Rune 'Dynamic Asset Allocation in the Presence of Housing and

Incomplete Markets' SSRN 9/08

Monroe Itrel 'On Embedding Right Continuous Martingales in Brownian Motion'

Ann. Math. Statist., 43 1972

Moore Richard, Gino Biondini, William Kath 'A Method to Compute Statistics of

Large, Noise-Induced Perturbations of Nonlinear Schrödinger Solitons' SIAM

Review Sept. 2008 V.50,#3

Morone Andrea 'Financial Markets in the Laboratory: an Experimental Analysis of

Some Stylized Facts' QF V.8,#5 2008

Mougoué Mbodja 'An Empirical Re-Examination of the Dividend-Investment

Relation' QF V.8,#5 2008

Munk Claus 'Fixed Income Analysis: Securities, Pricing and Risk Management'

Jan. 2003

Muranaga Jun, Makoto Ohsawa 'Measurement of Liquidity Risk in the Context of

Market Risk Calculation' Bank of Japan 1997

Murphy David 'A Preliminary Enquiry into the Causes of the Credit Crunch' QF

V.8,#5 2008

Nahin Paul 'Digital Dice: Computational Solutions to Practical Probability

Problems' <Monte Carlo> Princeton Press 2008

Nahin Paul 'Duelling Idiots and Other Probability Puzzlers' <Monte Carlo>

Princeton Press 2002

Najnudel Joseph 'Penalizations of the Brownian Motion with a Functional of its

Local Times' SP&A V.118,#8 Aug.08

Narayanan M.P, H. Nejat Seyhun 'The Dating Game: Do Managers Designate Option

Grant Dates to Increase their Compensation?' RFS V.21,#5 9/08

Nawalkha Sanjay, Donald Chambers 'The Binomial Model and Risk Neutrality: Some

Important Details' SSRN 9/08

Nawalkha Sanjay, Gloria Soto 'Multifactor Models for Managing Interest Rate

Risk' SSRN 9/08

Ng Wing Lon 'Analyzing Liquidity and Absorption Limits of Electronic Markets

with Volume Durations' Quantitative Finance, V.8,#4 2008

Ni Sophie 'Stock Option Returns: A Puzzle' SSRN 9/08

Nicole El Karoui Nicole 'Pricing of CDOs via Stein Method' Presentation

Chicago-Paris Workshop in Financial Mathematics 6/08

Nimmanunta Kridsda, Anant Chiarawongse, Sunti Tirapat 'On Pricing CDOs with

Meixner Distributions' Journal of Fixed Income Summer 2008

Nossman Marcus, Anders Wilhelmsson 'Is the VIX Futures Market Able to Predict

the VIX Index? A Test of the Expectation Hypothesis' SSRN 9/08

Novikov Alexander, Nino Kordzakhia 'Martingales and First Passage Times of

AR(1) Sequences' Stochastics <S&SR> V.80,#2/3 2008

Novotny P., Jan Vecer 'Optimal Execution of a Large Portfolio - Multiple

Exercise Option Approach' 2008

Nyberg Peter 'The Role of Total Return Volatility in Driving the 'Idiosyncratic

Volatility Puzzle' SSRN 8/08

Obloj Jan 'A Complete Characterization of Local Martingales Which are Functions

of Brownian Motion and its Maximum' Bernoulli, 2006, Vol: 12

Obloj Jan 'Fine-Tune your Smile: Correction to Hagan et al'

http://arxiv.org/abs/0708.0998, Wilmott Magazine, May 2008.

Obloj Jan 'The Maximality Principle Revisited: On Certain Optimal Stopping

Problems' in: Donati-Martin, C., Émery, M., Rouault, A., Stricker, C.,

(ed), Seminaire de Probabilites XL, Springer, 2007

Obloj Jan 'The Skorokhod Embedding Problem and its Applications in Mathematical

Finance' article for the Encyclopedia of Quantitative Finance edited by

Rama Cont, John Wiley & Sons Ltd. <arbitrage> <Azéma-Yor stopping time,

Root stopping time, model-free pricing, robust pricing and hedging, one-

touch option, barrier option, superhedging,

Obloj Jan 'The Skorokhod Embedding Problem and its Offspring' Probability

Surveys

Obloj Jan 'The Skorokhod Embedding Problem and Some Families of Brownian

Martingales' PhD U. Paris 2005

Obloj Jan, Marc Yor 'An Explicit Skorokhod Embedding for the Age of Brownian

Excursions and Azéma Martingale' SP&A, 2004, Vol: 110

Obloj Jan, Martijn Pistorius 'On an Explicit Skorokhod Embedding for Spectrally

Negative Levy Processes' http://arxiv.org/abs/math/0703597, to appear in

J. Theoret. Probab., electronic publication

O'Brien Peter, David Colwell 'Some Results on the Rational Lognormal Model and

its Jump Extension' SSRN 9/08

Oded Jacob, Allen Michel 'Stock Repurchases and the EPS Enhancement Fallacy'

FAJ July/Aug. 2008 V.64, #4

O'Leary Dianne, John Conroy 'Mining Multilingual Documents' SIAM News Sept.

2008

O'Malley Robert 'Singularly Perturbed Linear Two-Point Boundary Value Problems'

SIAM Review Sept. 2008 V.50,#3

Osajima Yasufumi 'Generalized SABR Formula' Presentation Chicago-Paris Workshop

in Financial Mathematics 6/08

Ouknine Youssef, Djibril Ndiaye 'Sur L'Existence de Solutions d'équations

Différentielles Stochastiques Progréssives Rétrogrades Couplées'

Stochastics <S&SR> V.80,#4 2008

Ozdenoren Emre, Kathy Yuan 'Feedback Effects and Asset Prices' JofF V.63,# 4

Aug 2008

Packham Natalie, Wolfgang Schmidt ' Latin Hypercube Sampling with Dependence

and Applications in Finance' SSRN 9/08

Pagan A.R., M. Hashem Pesaran 'Econometric Analysis of Structural Systems with

Permanent and Transitory Shocks' JED&C V.32,#10 Oct. 2008

Paganopoulos Stylianos 'Calculating Bond Duration' SSRN 7/08

Paganopoulos Stylianos 'Deriving the Two-Factor Model of Fama & French (1992)'

SSRN 7/08

Panetta Fabio, Roberto Violi 'Is There an Equity Premium Puzzle in Italy? A

look at Asset Returns, Consumption and Financial Structure Data over the

Last Century' SSRN 9/08

Panloup Fabien 'Computation of the Invariant Measure for a Lévy Driven SDE:

Rate of Convergence' SP&A V.118,#8 Aug.08

Papatheodorou Theodore, Minas Koulisianis, Panagiotis Hadjidoukas 'Numerical

Methods for the American Option Valuation Problem and their Experimental

Comparative Evaluation' 16th IMACS World Congress, Lausanne, 2000

Parlour Christine, Andrew Winton 'Laying Off Credit Risk: Loan Sales versus

Credit Default Swaps' SSRN 9/08

Passalacqua Luca 'A Dynamic Programming Approach for the Valuation of Callable

Corporate Bonds within the CIR Framework' SSRN 8/08

Pätäri Eero 'Comparative Analysis of Total Risk-Based Performance Measures' J.

Risk V.10,#4

Paustian Matthias, Christian Stoltenberg 'Optimal Interest Rate Stabilization

in a Basic Sticky-Price Model' JED&C V.32,#10 Oct. 2008

Pelizzon Loriana, Guglielmo Weber 'Are Household Portfolios Efficient? An

Analysis Conditional on Housing' <liquid wealth> JF&QA V.43,#2 June 08

Pellizzari Paolo 'Efficient Monte Carlo Pricing of Basket Options' 1998

Pellizzari Paolo 'Efficient Monte Carlo Pricing of Portfolio options'

Rendiconti per gli Studi Economici Quantitativi, 108-123, 2000

Pemy Moustapha, Qing Zhang, G. George Yin 'Liquidation of a Large Block of

Stock with Regime Switching' Mathematical Finance V.18,#4 Oct. 2008

Peng Shige 'G-Expectation, Volatility Uncertainty and Viscosity Solutions'

Presentation Chicago-Paris Workshop in Financial Mathematics 6/08

Pericoli Marcello, Marco Taboga 'Canonical Term-Structure Models with

Observable Factors and the Dynamics of Bond Risk Premia' Journal of Money,

Credit, and Banking, 2008

Perkins Edwin 'The Cereteli-Davis Solution to the H1-Embedding Problem and an

Optimal Embedding in Brownian Motion' in Seminar on Stochastic Processes,

1985, V.12 of Progr. Probab. Statist., Birkhäuser 1986

Perot J.B., V. Subramaniana 'A Discrete Calculus Analysis of the Keller Box

Scheme and a Generalization of the Method to Arbitrary Meshes' J.

Computational Physics 9/07 <Minmetic>

Petajisto Antti 'Selection of an Optimal Index Rule for an Index Fund' SSRN

9/08

Pham Huyên, Peter Tankov 'A Model of Optimal Consumption Under Liquidity Risk

with Random Trading Times' Mathematical Finance V.18,#4 Oct. 2008

Pichler Pegaret, Alex Stomper, Christine Zulehner 'Why Leverage Affects

Pricing' RFS July 2008 V.21,#4

Pironneau Olivier 'Parameter Reduction by POD and Reduced Basis for Calibration

of Volatility Surface' Presentation Chicago-Paris Workshop in Financial

Mathematics 6/08

Pizzi Claudio, Pellizzari Paolo 'Monte Carlo Pricing of American Options Using

Nonparametric Regression' 2002

Politis Dimitris 'Model-free versus Model-based Volatility Prediction' Journal

of Financial Econometrics V.5, #3, Summer 2007

Pospisil Libor, Jan Vecer 'Portfolio Sensitivities to the Changes in the

Maximum and the Maximum Drawdown' 2008

Pospisil Libor, Jan Vecer, Mingxin Xu 'Tradeable Measures of Risk' 2008

Pospisil Libor, Jan Vecer, Olympia Hadjiliadis 'Formulas for Stopped Diffusion

Processes with Stopping Times based on Drawdowns and Drawups' 2008

Prather Laurie 'An Analysis of Australian Exchange Traded Options and Warrants'

Journal of Economics and Finance, Forthcoming SSRN 9/08

Primbs James, Yuji Yamada 'A New Computational Tool for Analyzing Dynamic

Hedging under Transaction Costs' Quantitative Finance, V.8,#4 2008

Pritsker Matthew 'Liquidity Risk and Positive Feedback' FRB NY 1997

Purnanandam Amiyatosh 'Originate-to-Distribute Model and Sub-Prime Mortgage

Crisis' SSRN 7/08

Quaranta Anna Grazia, Alberto Zaffaroni 'Robust Optimization of Conditional

Value at Risk and Portfolio Selection' J. Banking and Finance V.32,#10

Oct. 2008

Rajan Krishna 'Materials Informatics and Data Mining For Material Science' SIAM

News Sept. 2008

Raunig Burkhard 'Detecting Arch Effects in Non-Gaussian Time Series' Journal of

Financial Econometrics, Vol.6, Issue 2, 2008

Raviv Alon, Mordecai Avriel 'Inflation Derivatives under Inflation Target

Regimes' SSRN 8/08

Rivière Béatrice 'Finite Element Methods' SIAM Press 2008

Rocha N. C. S., M. D. Fragoso, Jan Vecer 'A Separation Principle for the

Continuous Time LQ-Problem with Markovian Jump Parameters' 2008

Rocheteau Guillaume 'Money and Competing Assets Under Private Information' SSRN

7/08

Rodrigues Anthony 'Term Structure and Volatility Shocks' FRB NY 1997

Rogers L.C.G. 'Contracting for Optimal Investment with Risk Control' 7/08

Rogers L.C.G., Luitgard Veraart 'A Stochastic Volatility Alternative to SABR'

July 2008 <volatility> <Smile>

Rogoff Kenneth, Vania Stavrakeva 'The Continuing Puzzle of Short Horizon

Exchange Rate Forecasting' SSRN 7/08

Root D.H. 'The Existence of Certain Stopping Times on Brownian Motion' Ann.

Math. Statist., 40 1969

Rosch Daniel, Birker Winterfeldt 'Estimating Credit Contagion in a Standard

Factor Model' < Basel > RISK Aug. 08

Roscoe D.F. 'New Methods for the Derivation of Stable Difference

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Rosenbaum Mathieu 'Estimation of the Volatility Persistence in a Discretely

Observed Diffusion Model' SP&A V.118,#8 Aug.08

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Inversions are Easy on Logarithmic Scales' J. App. Prob. 2008

Rost H. 'Skorokhod Stopping Times of Minimal Variance' in Séminaire de

Probabilité X, Lecture Notes in Math., Vol. 511. Springer, Berlin, 1976

Rost H. 'The Stopping Distributions of a Markov Process' Invent. Math., 14,

1971

Sadka Ronnie, Anna Scherbina 'Mispricing and Costly Arbitrage' SSRN 9/08

Saita Leandro 'The Puzzling Price of Corporate Default Risk' Stanford 2005

Samarski A.A. 'Some Questions from the General Theory of Difference Schemes'

Amer. Math. Soc. Trans. (2) V.105 1976

Santana Juan Camilo 'The Yield Curve: A Methodological Review and New

Approximations for Estimation' SSRN 9/08

Sarychev Andrey, Albert Shiryaev, Manuel Guerra, Maria do Rosário Grossinho

'Mathematical Control Theory and Finance' Springer Press Aug. 2008

Satchell Stephen, Ba M. Chu 'The Most Entropic Canonical Copula with an

Application to 'Style' Investment' SSRN 9/08

Saul’yev V.K. 'Integration of Equations of Parabolic Type by Methods of Nets'

Pergamon Press, New York (1960) <ADE, Alternating Direction Explcit>

Schankerman Mark 'Revisions of Investment Plans and the Stock Market Rate of

Return' SSRN July 2008

Scheicher Martin 'How has CDO Market Pricing Changed During the Turmoil?

Evidence from CDS Index Tranches' SSRN 7/08

Scheinkman Jose 'Long-Term Risk, an Operator Approach' Presentation Chicago-

Paris Workshop in Financial Mathematics 6/08

Schmidt Thorsten, Raquel Gaspar 'CDOs in the Light of the Current Crisis' SSRN

7/08

Schredelseker Klaus, Florian Hauser (Editors) 'Complexity and Artificial

Markets' (Lecture Notes in Economics and Mathematical Systems) Springer

2008

Schwab Christoph 'Fast Numerical Solution of Kolmogoroff Equations Feller-Lévy

Processes' Presentation Chicago-Paris Workshop in Financial Mathematics

6/08

Semenov Andrei 'Historical Simulation Approach to the Estimation of Stochastic

Discount Factor Models' Quantitative Finance, V.8,#4 2008

Sharma Raghav, Siddhartha Shukla 'Credit Default Swaps: Opening a New Pandora's

Box' Sebi & Corporate Laws, Vol. 85, No. 10, 2008 SSRN 9/08

Shimizu Tokiko 'Dynamic Macro Stress Exercise Including Feedback Effect' Bank

of Japan 1997

Shkolnikov Yuriy 'Generalized Vanna-Volga Method and its Applications' SSRN

8/08

Silvennoinen Annastiina, Timo Teräsvirta 'Parameterizing Unconditional Skewness

in Models for Financial Time Series' Journal of Financial Econometrics,

Vol.6, Issue 2, 2008

Simin Timothy 'The Poor Predictive Performance of Asset Pricing Models' JF&QA

V.43,#2 June 08

Sipics Michelle 'Severe-Weather Experiment Puts Leading-edge Numerical Model

Technology to the Test' SIAM News July/Aug. 2008

Sircar Ronnie 'Games with Exhaustible Resources' Presentation Chicago-Paris

Workshop in Financial Mathematics 6/08

Siu Tak Kuen 'A Game Theoretic Approach to Option Valuation under Markovian

Regime-Switching Models' Insurance: Mathematics and Economics V.42,#3 June

08

Skovmand David, Peter Jørgensen 'The Valuation of Callable Bonds with Floored

CMS-spread Coupons Forthcoming Wilmott Magazine. 2008

Soner Mete 'Market Illiquidity and Second Order Backward SDEs' Presentation

Chicago-Paris Workshop in Financial Mathematics 6/08

Sotiropoulos Michael 'Volatility Trading and Timer Options' 9/23/08 slides

<Option-Timer>

Sottinen Tommi, Esko Valkeila 'On Arbitrage and Replication in the Fractional

Black-Scholes Pricing Model' Statistics & Decisions , 21, 2003

Spiegel Matthew 'Forecasting the Equity Premium: Where We Stand Today' RFS July

2008 V.21,#4

Stehlikova Beata, Daniel Sevcovic 'Approximate Formulae for Pricing Zero-Coupon

Bonds and Their Asymptotic Analysis' International Journal of Numerical

Analysis and Modeling, Vol. 1, No. 1, 2008

Stevans Lonnie, David Sessions 'Speculation, Futures Prices, and the U.S. Real

Price of Crude Oil' SSRN 7/08

Stoyan Gisbert 'Monotone Difference Schemes for Diffusion-Convection Problems'

ZAMM 59, 1979

Strange Roger, Bruce Hearn 'Market Liquidity and Stock Size Premia in Emerging

Financial Markets: The Implications for Foreign Investment' SSRN 7/08

Stulz René 'Securities Laws, Disclosure, and National Capital Markets in the

Age of Financial Globalization' SSRN 7/08

Sun Yingjun 'High Order Methods for Evaluating Convertible Bonds' PhD U. North

Carolina 1999

Szado Edward, Hossein Kazemi 'Collaring the Cube: Protection Options for a QQQ

ETF Portfolio' SSRN 7/08

Takahashi Akihiko, Kohta Takehara 'Fourier Transform Method with an Asymptotic

Expansion Approach: an Application to Currency Options' IJT&AF June 2008

V.11, #4

Takamizawa Hideyuki 'Is Nonlinear Drift Implied by the Short End of the Term

Structure?' RFS Jan 2008 V. 21,#1

Tarashev Nikola, Haibin Zhu 'The Pricing of Correlated Default Risk: Evidence

from the Credit Derivatives Market' Journal of Fixed Income Summer 2008

Tauchen George, Ivan Shaliastovich 'Pricing Implications of Stochastic

Volatility, Business Cycle Time Change, and Non-Gaussianity' Economic

Research Initiatives at Duke (ERID) Working Paper No. 4 SSRN 8/08

Tauchen George, Tim Bollerslev, Hao Zhou 'Expected Stock Returns and Variance

Risk Premia' Economic Research Initiatives at Duke (ERID) Working Paper

No. 5 SSRN 8/08

Todorov Viktor, George Tauchen 'Volatility Jumps' Economic Research Initiatives

at Duke (ERID) Working Paper No. 3 SSRN 8/08

Trolle Anders, Eduardo Schwartz 'Variance Risk Premia in Energy Commodities'

SSRN July 2008

Turner John, Andy White ' Los Alamos National Lab and IBM Bring Computing into

the Petascale Era' SIAM News July/Aug. 2008

Vallois Pierre 'Le Problème de Skorokhod sur R: une Approche avec le Temps

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Vandaele Nele, Michèle Vanmaele 'A Locally Risk-Minimizing Hedging Strategy for

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Insurance: Mathematics and Economics V.42,#3 June 08

Vanduffel Steven, Zhaoning Shang, Luc Henrard, Jan Dhaene, Emiliano Valdez

'Analytic Bounds and Approximations for Annuities and Asian Options'

Insurance: Mathematics and Economics V.42,#3 June 08

Vecer Jan 'Preventing Portfolio Losses by Hedging Maximum Drawdown', Wilmott,

Vol. 5, No. 4 2007

Wang Ashley, Lu Zheng 'Aggregate Hedge Fund Flows and Asset Returns' SSRN 8/08

Wang Jr-Yan 'Variance Reduction for Multivariate Monte Carlo Simulation'

Journal of Derivatives Fall 2008

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Comm. Pure Appl. Math XLV 1992

Wang Lihe 'On the Regularity Theory of Fully Nonlinear Parabolic Equations:II'

Comm. Pure Appl. Math XLV 1992

Wang Lihe 'On the Regularity Theory of Fully Nonlinear Parabolic Equations:III'

Comm. Pure Appl. Math XLV 1992

Wang Lihe 'On the Regularity Theory of Fully Nonlinear Parabolic Equations'

Comm. AMS Jan. 1990

Wang Tao, Jingtao Wu, Jian Yang 'Realized Volatility and Correlation In Energy

Futures Markets' J. Futures Markets V.28, #10 Oct. 2008

Wang Wenqia 'A Class of Alternating Segment Crank–Nicolson Methods for Solving

Convection-Diffusion Equations' Computing V.73,#1 2004

Wang Xuewu 'Informed Option Trading around Merger Announcements' SSRN July 2008

Weaver Robert 'Heterogeneous Expectations of Traders in Speculative Markets'

SSRN 8/08

Welch Ivo 'The Link between Fama-French Time-Series Tests and Fama-Macbeth

Cross-Sectional Tests' SSRN 9/08

Welch Ivo, Amit Goyal 'A Comprehensive Look at The Empirical Performance of

Equity Premium Prediction' RFS July 2008 V.21,#4

Wilson Linus, Yan Wu 'Options-Based Pay with Overvalued Equity' SSRN 9/08

Windisch David 'On the Disconnection of a Discrete Cylinder by a Biased Random

Walk' Annals of Applied Probability V.18,# 4 Aug. 2008

Wu Wei Biao, Keming Yu, Gautam Mitra 'Kernel Conditional Quantile Estimation

for Stationary Processes with Application to Conditional Value-at-Risk'

Journal of Financial Econometrics, Vol.6, Issue 2, 2008

Xanthopoulos S.Z., A.N. Yannacopoulos 'Scenarios for Price Determination in

Incomplete Markets' IJT&AF V.11, #5 Aug. 2008

Xie Shuxiang, Zhongfei Li, Shouyang Wang 'Continuous-Time Portfolio Selection

with Liability: Mean–Variance Model and Stochastic LQ Approach' Insurance:

Mathematics and Economics V.42,#3 June 08

Xing Yuhang 'Interpreting the Value Effect Through the Q-Theory: An Empirical

Investigation' RFS July 2008 V.21,#4

Ye Jia 'How Variation in Signal Quality Affects Performance' FAJ July/Aug. 2008

V.64, #4

Yin G., Hanquin Zhang 'Discrete-Time Markov Chains with Two-Time Scales and a

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