Abadie Alberto, Guido Imbens 'On the Failure of the Bootstrap for Matching Estimators' Econometrica V.76,#6 Nov. 2008

Abhyankar Abhay, Keng-Yu Ho, Huainan Zhao 'Value Versus Growth: Stochastic Dominance Criteria' QF V.8,#7 2008

Acerbi Carlo, Giacomo Scandolo 'Liquidity Risk Theory and Coherent Measures of Risk' QF V.8,#7 2008

Acharya Viral, Douglas Gale, Tanju Yorulmazer 'Rollover Risk and Market Freezes' SSRN 1/09

Acharya Viral, Peter DeMarzo, Ilan Kremer 'Endogenous Information Flows and the Clustering of Announcements' SSRN 9/08

Adler Timothy 'The Cost of Socially Responsible Investing' J. Portfolio Management Fall 2008

Adrian Tobias, Francesco Franzoni 'Learning about Beta: Time-Varying Factor Loadings, Expected Returns, and the Conditional CAPM' SSRN 11/08

Adrian Tobias, Joshua Rosenberg 'Stock Returns and Volatility: Pricing the Short-Run and Long-Run Components of Market Risk' JofF V.63,#6 Dec. 2008

Agca Senay, Deepak Agrawal, Saiyid Islam 'Implied Correlations: Smiles or Smirks?' J. Derivatives Winter 2008

Aggarwal Rajesh, Philippe Jorion 'The Performance of Emerging Hedge Fund Managers' AFA Meeting 2009

Agrawal Deepak, Jeffrey R. Bohn 'Humpbacks in Credit Spreads' Journal of Investment Management 3Q 2008   

Aharonov Dorit, Wim van Dam, Julia Kempe, Zeph Landau, Seth Lloyd, Oded Regev 'Adiabatic Quantum Computation Is Equivalent to Standard Quantum Computation' SIAM Review V.50, #4 Dec. 08

Ahern Kenneth Robinson 'Why are Some Stocks More Elastic than Others? Evidence from Normal Trading Data of NYSE Stocks' SSRN 12/08

Aït-Sahalia Yacine, Michael Brandt 'Consumption and Portfolio Choice with Option-Implied State Prices' AFA Meeting 2009

Aït-Sahalia Yacine, Robert Kimmel 'Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions' SSRN 10/08

Albuquerque Rui, Eva de Francisco, Luis Marques 'Marketwide Private Information in Stocks: Forecasting Currency Returns' JofF V.63,#5 Oct. 2008

Albuquerque Rui, Jianjun Miao 'Advance Information and Asset Prices' AFA Meeting 2009

Alefeld G. 'Some Convergence Results for the Peaceman-Rachford Method in the Noncommutative Case' Lecture Notes in Mathematics V.631, 1978

Alexander Gordon, Alexandre Baptista, Shu Yan 'Bank Risk Management with Value-at-Risk and Stress Testing: An Alternative to Conditional Value-at-Risk?' AFA Meeting 2009

Alfarano Simone, Mishael Milakovic 'Network Structure and N-Dependence In Agent-Based Herding Models' JED&C 1/09 V.33,#1

Alfonsi Aurélien, Alexander Schied, Antje Schulz 'Constrained Portfolio Liquidation in a Limit Order Book Model'tobe Banach Center Publications 2007

Alfonsi Aurélien, Alexander Schied, Antje Schulz 'Optimal Execution Strategies in Limit Order Books with General Shape Functions' 2007

Allen P., E. Beinstein 'Enhancing our Framework for Index Tranche Analysis' JP Morgan 2005

Almeida Caio, Getulio Vargas, René Garcia 'Empirical Likelihood Estimators for Stochastic Discount Factors' AFA Meeting 2009

Almeida Caio, José Vicente 'The Role of No-Arbitrage on Forecasting: Lessons from a Parametric Term Structure Model' J. Banking and Finance V.32,#12 Dec. 2008

Alrefaei Mahmoud, Houssam Abdul-Rahman 'An Adaptive Monte Carlo Integration Algorithm with General Division Approach' Mathematics and Computers in Simulation V.79,#1 Oct. 2008

Ambrose Brent, Yildiray Yildirim 'Credit Risk and the Term Structure of Lease Rates: A Reduced Form Approach' Journal of Real Estate Finance and Economics, V.37, #3, 2008  

Amihud Yakov, Clifford Hurvich 'Predictive Regressions: A Reduced-Bias Estimation Method' SSRN 11/08

Amihud Yakov, Clifford Hurvich, Yi Wang 'Multiple-Predictor Regressions: Hypothesis Testing' RFS Jan. 2009 V.22,#1

Amir Rabah, Igor Evstigneev, Klaus Reiner Schenk-Hoppé 'Asset Market Games of Survival' SSRN 11/08

Ammann Manuel, David Skovmand, Michael Verhofen ' Implied and Realized Volatility in the Cross-Section of Equity Options' SSRN 1/09

Ammer John, Clara Vega, Jon Wongswan 'Do Fundamentals Explain the International Impact of U.S. Interest Rates? Evidence at the Firm Level' FRB International Finance Discussion Paper #952 SSRN 11/08

Andoseh Stephen 'Interest Rates and the Relative Performance of Style and Size-Defined Indices' SSRN 11/08

Ang Andrew, Jun Liu, Krista Schwarz 'Using Individual Stocks or Portfolios in Tests of Factor Models' AFA Meeting 2009

Ang Andrew, Matthew Rhodes-Kropf, Rui Zhao 'Do Funds-of-Funds Deserve Their Fees-on-Fees?' J. Investment Management 4Q 2008

Ang Andrew, Nicolas Bollen 'Locked Up by a Lockup: Valuing Liquidity as a Real Option' SSRN 11/08

Annaert Jan, Sofieke Van Osselaer, Bert Verstraete 'Performance Evaluation of Portfolio Insurance Strategies using Stochastic Dominance Criteria' J.Banking and Finance V.33,#2 Feb. 09

ap Gwilym Rhys 'Simulating Asset Prices under Behavioural Assumptions' SSRN 11/08 Arnsdorf Matthias, Igor Halperin 'BSLP: Markovian Bivariate Spread-Loss Model for

Portfolio Credit Derivatives' (JP Morgan research paper) 2007 Asgharian Hossein, Sonnie Karlsson 'An Empirical Analysis of Factors Driving the

Swap Spread' J. Fixed Income Fall 2008 Assenmacher-Wesche Katrin, Stefan Gerlach 'The Term Structure of Interest Rates

across Frequencies' SSRN 12/08 Atamer Murat, Sohnke Bartram, Gregory Brown 'How Important is Financial Risk?' AFA

Meeting 2009 Avram Florin, Zbigniew Palmowski, Martijn Pistorius 'Exit Problem of a Two-

Dimensional Risk Process from the Quadrant: Exact and Asymptotic Results' Annals of Applied Probability V.18,#6 Dec. 2008  

Avramov Doron, Satadru Hore ‘Momentum, Information Uncertainty, and Leverage - An Explanation Based on Recursive Preferences’ AFA Meeting 2009

Avramov Doron, Scott Cederburg, Satadru Hore 'Cross-Sectional Asset Pricing Puzzles: An Equilibrium Perspective' SSRN 12/08

Azoulay Eddy, Menachem Brenner, Yoram Landskroner 'Inflation Expectations Derived from Foreign' SSRN 11/08

Backus David, Bryan Routledge, Stanley Zin 'Recursive Preferences' SSRN 10/08 Bade Alexander, Gabriel Frahm, Uwe Jaekel 'A General Approach to Bayesian

Portfolio Optimization' Mathematical Methods of Operations Research, Forthcoming 2008?

Bailey Warren, Alok Kumar, David Ng 'Behavioral Biases and Mutual Fund Clienteles'Baker Malcolm, C. Fritz Foley, Jeffrey Wurgler 'Multinationals as Arbitrageurs:

The Effect of Stock Market Valuations on Foreign Direct Investment' RFS Jan. 2009 V.22,#1

Baker Malcolm, Jeffery Wurgler 'Government Bonds and the Cross-Section of Stock Return Size' SSRN 11/08

Baker Malcolm, Robin Greenwood, Jeffrey Wurgler 'Catering Through Nominal Share Prices' SSRN 11/08

Bakshi Gurdip, Dilip Madan, George Panayotov 'Deducing the Implications of Jump Models for the Structure of Stock Market Crashes, Rallies, Jump Arrival Rates, and Extremes'  SSRN Jan. 09

Bakshi Gurdip, George Panayotov 'A Framework for Studying Option Mispricing: A General Test and Empirical Evidence' AFA Meeting 2009

Balder Sven, Michael Brandl, Antje Mahayni 'Effectiveness of CPPI Strategies Under Discrete-Time Trading' JED&C 1/09 V.33,#1

Bali Turan, K. Ozgur Demirtas, Hassan Tehranian 'Aggregate Earnings, Firm-Level Earnings, and Expected Stock Returns' JF&QA V.43, #3, September 2008

Bali Turan, Robert Engle ‘Investigating ICAPM with Dynamic Conditional Correlations’ AFA Meeting 2009

Bandi Federico, Claudia Moise, Jeffrey Russell 'The Joint Pricing of Volatility and Liquidity' 2008

Bandi Federico, Jeffrey Russell, Yinghua Zhu 'Using High-Frequency Data in Dynamic Portfolio Choice' Econometric Reviews, V.27 #1-3 Jan.-June 2008

Banergee Shantanu, Sudioto Dasgupta, Yungsan Kim 'Buyer-Supplier Relationships and the Stakeholder Theory of Capital Structure' JofF V.63,#5 Oct. 2008

Bao Jack, Jun Pan 'Excess Volatility of Corporate Bonds' AFA Meeting 2009 Barber Brad, Terrance Odean, Ning Zhu 'Do Retail Trades Move Markets?' RFS Jan.

2009 V.22,#1 Barndorff-Nielsen Ole, Peter Reinhard Hansen, Asger Lunde, Neil Shephard

'Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise' Econometrica V.76,#6 Nov. 2008

Barone-Adesi Giovanni, Nicola Fusari, John Theal 'Barrier Option Pricing Using Adjusted Transition Probabilities' J. Derivatives Winter 2008

Barron Orie, Mary Harris Stanford, Yong Yu 'Further Evidence on the Relation between Analysts' Forecast Dispersion and Stock Returns' SSRN 11/08

Bartholomew-Biggs Michael 'Nonlinear Optimization with Engineering Applications' Springer 2008

Basak Suleyman, Georgy Chabakauri 'Dynamic Mean-Variance Asset Allocation' AFA Meeting 2009

Basurto Miguel Segoviano, Manmohan Singh 'Counterparty Risk in the Over-the-Counter Derivatives Market' SSRN 12/08

Baumeister Christiane, Eveline John Durinck, Gert Peersman 'Liquidity, Inflation and Asset Prices in a Time-Varying Framework for the Euro Area' SSRN 11/08

Baysal Rafet Evren, Jeremy Staum 'Empirical Likelihood for Value-at-Risk and Expected Shortfall' Journal of Risk V.11,#1 2008

Bebchuk Lucian Arye 'Self-Fulfilling Credit Market Freezes' Harvard Law and Economics Discussion Paper #623 2008?

Becherer Dirk, Mark Davis 'Arrow-Debreu Prices' article for the Wiley Encyclopaedia of Quantitative Finance, May 2008

Beechey Meredith, Erik Hjalmarsson, Par Osterholm 'Testing the Expectations Hypothesis When Interest Rates Are Near Integrated' FRB International Finance Discussion Paper #953 Oct. 2008

Bekaert Geert, Campbell Harvey, Christian Lundblad, Stephan Siegel 'What Segments Equity Markets?' AFA Meeting 2009

Bekaert Geert, Lieven Baele, Koen Inghelbrecht 'The Determinants of Stock and Bond Return Comovements' AFA Meeting 2009

Bekaert Geert, Robert Hodrick, Xiaoyan Zhang 'Is There a Trend in Idiosyncratic Volatility?' AFA Meeting 2009

Bélanger Amélie, Peter Forsyth, George Labahn 'Valuing the Guaranteed Minimum Death Benefit Clause with Partial Withdrawals' 5/08

Belfadli R., Youssef Ouknine 'On the Pathwise Uniqueness of Solutions of Stochastic Differential Equations Driven By Symmetric Stable Lévy Processes' Stochastics V.80,#6 2008

Belomestny Denis, Christian Bender, John Schoenmakers 'True Upper Bounds for Bermudan Products via Non-Nested Monte Carlo' Mathematical Finance Jan. 2009 V19, #1

Benaim Shalom, Peter Friz 'Regular Variation and Smile Asymptotics' Mathematical Finance Jan. 2009 V19, #1

Bender Christian, Tommi Sottinen, Esko Valkeila 'Pricing by Hedging and No-Arbitrage Beyond Semimartingales' Finance and Stochastics V.12,#4 Oct. 2008 <quadratic variation>

Benhamou Eric, Emmanuel Gobet, Mohammed Miri 'Closed Forms for European Options in a Local Volatility Model' SSRN 10/08

Benzschawel Terry, Julio DaGraca, Abhinav Kamra,  Joe Yu 'Valuing LCDS Cancelability' J. Credit Risk Fall 2008 V.4,#3 <American style>

Berger Allen, Geraldo Cerqueiro, Maria Fabiana Penas 'Does Debtor Protection Really Protect Debtors? Evidence from the Small Business Credit Market' AFA Meeting 2009

Berndt Antje, Anurag Gupta 'Moral Hazard and Adverse Selection in the Originate-to-Distribute Model of Bank Credit' SSRN 10/08

Bernhardt Dan, Bart Taub 'Cross-Asset Speculation in Stock Markets' JofF V.63,#5 Oct. 2008

Bertholon Henri, Alain Monfort, Fulvio Pegoraro 'Econometric Asset Pricing Modelling' Journal of Financial Econometrics, V.6,#4, 2008

Beveridge Christopher, Mark Joshi 'Juggling Snowballs' <nested Monte Carlo vrs. tight bounds without sub-simulations, sub-optimal exercise>  RISK 12/08

Bharath Sreedhar, Sandeep Dahiya, Anthony Saunders, Anand Srinivasan 'Lending Relationships and Loan Contract Terms' AFA Meeting 2009

Biagini Francesca, Yuliya Bregman, Thilo Meyer-Brandis 'Pricing of Catastrophe Insurance Options under Immediate Loss Reestimation' J. Applied Probability V.45,#3 9/08

Bielecki Tomasz, Monique Jeanblanc, Marek Rutkowski 'Pricing and Trading Credit Default Swaps in a Hazard Process Model' <first-to-default claims, hedging, immersion of filtrations, Hypothesis H> Annals of Applied Probability V.18,#6 Dec. 2008  

Bielecki Tomasz, Stphane Crpey, Monique Jeanblanc, Marek Rutkowski 'Arbitrage Pricing of Defaultable Game Options with Applications to Convertible Bonds' QF V.8,#8 2008

Biely Christoly, Stefan Thurner 'Random Matrix Ensembles of Time-Lagged Correlation Matrices: Derivation of Eigenvalue Spectra and Analysis of Financial Time-Series' QF V.8,#7 2008

Bjork Tomas, Mark Davis, Camilla Landen 'Optimal Investment under Partial Information' 4/08

Blanchet-Scalliet Christophette, Nicole El Karoui, Monique Jeanblanc, Lionel Martellini 'Optimal Investment Decisions When Time-Horizon is Uncertain' J. Math. Econ. 11/08 V.44,#11

Blitz David, Laurens Swinkels 'Fundamental Indexation: An Active Value Strategy in Disguise' Journal of Asset Management, V.9, #4

Blitz David, Pim Van Vliet 'Global Tactical Cross-Asset Allocation: Applying Value and Momentum across Asset Classes' J. Portfolio Management Fall 2008

Blundell Richard, Martin Browning, Ian Crawford 'Best Nonparametric Bounds on Demand Responses' Econometrica V.76,#6 Nov. 2008

Boehme Rodney, Gonul Colak 'Idiosyncratic Risk, Short-Sale Constraints, and Other Market Frictions in IPO Stocks' SSRN 12/08

Böhm Volker, Tomoo Kikuchi, George Vachadze 'Asset Pricing and Productivity Growth: The Role of Consumption Scenarios' Computational Economics V.32,#1-2, 9/08

Boivin Jean, Sen Dong, Andrew Ang 'Monetary Policy Shifts and the Term Structure' AFA Meeting 2009

Bona Miklos 'Combinatorics of Permutations' 2004 CRC Press Bonfim Diana 'Credit Risk Drivers: Evaluating the Contribution of Firm Level

Information and of Macroeconomic Dynamics' J.Banking and Finance V.33,#2 Feb. 09

Boone Audra 'The Process of Mergers & Acquisitions' AFA Meeting 2009 Bouchard Bruno, Jean-François Chassagneux 'Discrete-time Approximation For

Continuously and Discretely Reflected BSDEs' SP&A V.118,#12 12/08 Boudoukh Jacob, Matthew Richardson, Robert Whitelaw ' The Myth of Long-Horizon

Predictability' SSRN 11/08 Boyarchenko Mitya 'Carr's Randomization for Finite-Lived Barrier Options: Proof of

Convergence' SSRN 10/08 Boyarchenko Mitya 'Discontinuity of Value Functions of Certain Options with

Barriers' SSRN 12/08 Boyarchenko Nina 'Are Analysts Right? Macroeconomic Factors and Regime Switching

in the Term Structure of Interest Rates' AFA Meeting 2009 Boyd John 'Multiscale Numerical Algorithms for Weather Forecasting and Climate

Modeling: Challenges and Controversies' SIAM News Nov. 08 Boyd John 'The Blasius Function: Computations Before Computers, the Value of

Tricks, Undergraduate Projects, and Open Research Problems' SIAM Review V.50, #4 Dec. 08

Boyson Nicole 'Hedge Fund Performance Persistence: A New Approach' FAJ Nov/Dec 2008 V.64,#6

Boyson Nicole, Christof Stahel, René Stulz 'Why Do Hedge Funds' Worst Returns Cluster? Common Liquidity Shocks vs. Contagion' AFA Meeting 2009

Brandes Institute 'Value vs. Glamour: A Global Phenomenon' SSRN 11/08 Brandes Institute 'Value vs. Glamour: Bond Performance' SSRN 11/08 Branger Nicole, Beate Breuer, Christian Schlag 'Optimal Derivative Strategies with

Discrete Rebalancing' J. Derivatives Winter 2008 Brav Alon, Wei Jiang, Frank Partnoy, Randall Thomas 'The Returns to Hedge Fund

Activism' FAJ Nov/Dec 2008 V.64,#6 Brennan Thomas, Andrew Lo 'Impossible Frontiers' SSRN 11/08 Brenner Menachem, Ben Schreiber 'Liquidity and Efficiency in Three Related Foreign

Exchange Options Markets' SSRN 11/08 Brenner Menachem, Jinghong Shu, Jin Zhang 'The Market for Volatility Trading; Vix

Futures' SSRN 11/08 Brenner Menachem, Rangarajan Sundaram, David Yermack 'On Rescissions in Executive

Stock Options' SSRN 11/08 Breuer Thomas 'Overcoming Dimensional Dependence of Worst Case Scenarios and

Maximum Loss' Journal of Risk V.11,#1 2008 Briere Marie, Ariane Szafarz 'Crisis-Robust Bond Portfolios' J. Fixed Income Fall

2008 Brigo Damiano, Agostino Capponi 'Bilateral Counterparty Risk Valuation with

Stochastic Dynamical Models and Application to Credit Default Swaps' SSRN 12/08

Brisley Neil, Chris Anderson 'Employee Stock Option Valuation with an Early Exercise Boundary' Financial Analysts Journal, September/October 2008, V.64, #5

Broadie Mark, Menghui Cao 'Improved Lower and Upper Bound Algorithms for Pricing American Options by Simulation' QF V.8,#8 2008

Brochet Francois 'Information Content of Insider Trades: Before and After the Sarbanes-Oxley Act' AFA Meeting 2009

Brody Dorje, Mark Davis, Robyn Friedman, Lane Hughston 'Informed Traders' July 2008

Brown Lawrence, Gerald Gay, Marian Turac 'Creating a “Smart” Conditional Consensus Forecast' FAJ Nov/Dec 2008 V.64,#6

Brown Stephen 'Elusive Return Predictability: Discussion' SSRN 11/08 Brown Stephen, Paul Lajbcygier, Bob Li 'Going Negative: What to Do with Negative

Book Equity Stocks' J. Portfolio Management Fall 2008 Brown Stephen, Thomas Fraser, Bing Liang 'Hedge Fund Due Diligence: A Source Of

Alpha In A Hedge Fund Portfolio Strategy' J. Investment Management 4Q 2008 Brown Stephen, William Goetzmann, Bing Liang, Christopher Schwarz 'Mandatory

Disclosure and Operational Risk: Evidence from Hedge Fund Registration' JofF V.63,#6 Dec. 2008

Brualdi Richard, Dragos Cvetkovic 'A Combinational Approach to Matrix Theory and its Applications' 2008 CRC Press

Bruche Max 'Bankruptcy Codes, Liquidation Timing, and Debt Valuation' AFA Meeting 2009

Budhiraja Amarjit, Kevin Ross 'Optimal Stopping and Free Boundary Characterizations for Some Brownian Control Problems' <Martins, Shreve and Soner>Annals of Applied Probability V.18,#6 Dec. 2008  

Buehler Hans 'Volatility and Dividends:Volatility Modelling with Cash Dividends and Simple Credit Risk' 6/08

Büttler Hans-Jurg, Jörg Waldvogel 'Numerical Evaluation of Callable Bonds using Green's Function' Swiss National Bank. 1993

Büttler Hans-Jurg, Jörg Waldvogel 'Pricing the European and Semi-American Callable Bond by Means of Series Solutions of Parabolic Differential Equations' Swiss National Bank. 1993

Buitelaar Jacob, Roger Lord 'Control Variates for Callable LIBOR Exotics - A Preliminary Study' SSRN 11/08

Bullard James 'Three Funerals and a Wedding' Review St. Louis Fed V. 91, # 1 Burkard Rainer, Mauro Dell'Amico, Silvano Martello 'Assignment Problems' SIAM

Books 2008

Buss Adrian, Grigory Vilkov 'Option-Implied Correlation and Factor Betas Revisited' SSRN 11/08

Buti Sabrina,Barbara Rindi 'Hidden Orders and Optimal Submission Strategies in a Dynamic Limit Order Market' AFA Meeting 2009

Byoun Soku 'How and When Do Firms Adjust Their Capital Structures toward Targets?' JofF V.63,#6 Dec. 2008

Caballero Ricardo, Arvind Krishnamurthy 'Collective Risk Management in a Flight to Quality Episode' JofF V.63,#5 Oct. 2008

Cai Jian, Anjan Thakor 'Liquidity Risk, Credit Risk, and Interbank Competition' AFA Meeting 2009

Cai Zongwu, Henong Li 'Convergency and Divergency of Functional Coefficient Weak Instrumental Variables Models' Statistics and Its Interface V.1,#2 2008

Calhoun Donna, Christiane Helzel, Randall LeVeque 'Logically Rectangular Grids and Finite Volume Methods for PDEs in Circular and Spherical Domains' SIAM Review V.50, #4 Dec. 08

Callen Jeffrey, Joshua Livnat, Dan Segal 'The Impact of Earnings on the Pricing of Credit Default Swaps' Accounting Review, Forthcoming 2009

Camara Antonio 'FX Risk Neutral Valuation Relationships for the Su Jump-Diffusion Family' SSRN 9/08

Camara Antonio,Weiping Li 'Jump-Diffusion Option Pricing Without IID Jumps' SSRN 10/08

Campbell John, Adi Sunderam, Luis Viceira 'Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds' AFA Meeting 2009

Campbell John, Jens Hilscher, Jan Szilagyi 'In Search of Distress Risk' JofF V.63,#6 Dec. 2008

Campi Luciano, Simon Polbennikov, Alessandro Sbuelz 'Systematic Equity-Based Credit Risk: A CEV Model with Jump to Default' JED&C 1/09 V.33,#1

Canty Paul 'Seasonally Adjusted Prices for Inflation-Linked Bonds' RISK 1/09 Cao Charles, Oliver Hansch, Xiaoxin Wang 'The Information Content of an Open

Limit-Order Book' J. Futures Markets V.29, #1 Jan.2009 Cao H. Henry, Hui Ou-Yang 'Differences of Opinion of Public Information and

Speculative Trading in Stocks and Options' RFS Jan. 2009 V.22,#1 Cao Huining Henry, Hui Ou-Yang 'Beauty Contests, Heterogeneous Beliefs, and

Bubbles in Stocks and Options' AFA Meeting 2009 Caporin Massimiliano, Juliusz Pres 'Memory Time-Varying Models for Weather

Derivative Pricing' SSRN Jan. 09 Carmona René, Michael Ludkovski 'Pricing Asset Scheduling Flexibility using

Optimal Switching' Applied Math. Finance 2008 V.15,#5,6 Carmona René, Sergey Nadtochiy 'Local Volatility Dynamic Models' Finance and

Stochastic 1/09 V.13,#1 Carpenter Jennifer, Richard Stanton, Nancy Wallace 'Estimation of Employee Stock

Option Exercise Rates and Firm Cost: Methodology' SSRN 11/08 Carpenter Jennifer, Richard Stanton, Nancy Wallace 'Optimal Exercise of Executive

Stock Options and Implications for Firm Cost' AFA Meeting 2009 Carriero Andrea, George Kapetanios, Massimiliano Marcellino 'Forecasting Exchange

Rates with a Large Bayesian VAR' SSRN 12/08 Cassola Nuno, Claudio Morana Modelling 'Short-Term Interest Rate Spreads in the

Euro Money Market' SSRN 12/08 Cerny Ales, Ioannis Kyriakou 'An Improved Convolution Algorithm for Discretely

Sampled Asian Options' SSRN Jan. 09 Chalmers Graeme, Desmond Higham 'Asymptotic Stability of a Jump-Diffusion Equation

and Its Numerical Approximation' SIAM J. Sci. Comput. V.31,#2 2008 <Poisson-driven jumps, theta-method discretizations, result of Appleby, Berkolaiko, and Rodkina>  

Chamberlain Gary 'Comment on "Decision Theory Applied to an Instrumental Variables Model"' Econometrica V.76,#6 Nov. 2008

Chambers Matthew, Carlos Garriga, Don Schlagenhauf 'Mortgage Innovation, Mortgage Choice, and Housing Decisions' Review FRB St. Louis Nov/Dec. 2008 V.90,#6

Chan Justin, Marti Subrahmanyam 'Liquidity and Asset Prices in Multiple Markets' SSRN 11/08

Chang George, James Feigenbaum 'Detecting Log-Periodicity in a Regime-Switching Model of Stock Returns' QF V.8,#7 2008

Chava Sudheer, Michael R. Roberts 'How Does Financing Impact Investment? The Role of Debt Covenants' JofF V.63,#5 Oct. 2008

Chemmanur Thomas, Debarshi Nandy, An Yan 'Capital Structure and Security Issuance under Heterogeneous Beliefs' AFA Meeting 2009

Chen Bin, Yongmiao Hong 'Characteristic Function-Based Testing for Multifactor Continuous-Time Markov Models Via Nonparametric Regression' SSRN 10/08

Chen Long, Claudia Moise, Xinlei Zhao 'What Drives Price Momentum and Reversal?' 2008

Chen Qi, Itay Goldstein, Wei Jiang 'Directors' Ownership in the U.S. Mutual Fund Industry' JofF V.63,#6 Dec. 2008

Chen Zhaohui, William Wilhelm Jr. 'A Theory of the Transition to Secondary Market Trading of IPOs' JFE V.90,#3 12/08

Chen Zhiping, Yi Wang 'Two-Sided Coherent Risk Measures and their Application In Realistic Portfolio Optimization' J. Banking and Finance V.32,#12 Dec. 2008

Chen Zhiyong, Paul Glasserman 'Sensitivity Estimates for Portfolio Credit Derivatives using Monte Carlo' Finance and Stochastics V.12,#4 Oct. 2008

Chen Zhuliang, Kenneth Vetzal, Peter Forsyth 'The Effect of Modelling Parameters on the Value of GMWB Guarantees' Insurance: Mathematics and Economics 43 (2008)

Cheng Ai-Ru, Yin-Wong Cheung 'Return, Trading Volume, and Market Depth in Currency Futures Markets' SSRN 1/09

Cherkes Martin, Jacob Sagi, Richard Stanton 'A Liquidity-Based Theory of Closed-End Funds' RFS Jan. 2009 V.22,#1

Cherny Alexander 'Capital Allocation and Risk Contribution with Discrete-Time Coherent Risk' Mathematical Finance Jan. 2009 V19, #1

Cheung Steven Yan-Leung, Raghavendra Rau, Aris Stouraitis 'Buy High, Sell Low: How Listed Firms Price Asset Transfers in Related Party Transactions' SSRN 10/08

Chiang Yao-Min, Yiming Qian, Ann Sherman 'Endogenous Entry and Partial Adjustment in IPO Auctions: Are Institutional Investors Better Informed?' AFA Meeting 2009

Chiarella Carl, Roberto Dieci, Laura Gardini, Lucia Sbragia 'A Model of Financial Market Dynamics with Heterogeneous Beliefs and State-Dependent Confidence' Computational Economics V.32,#1-2, 9/08

Choi Jaewon 'Credit Risk Model with Lagged Information' J. Derivatives Winter 2008 Choueifaty Yves, Yves Coignard 'Toward Maximum Diversification' J. Portfolio

Management Fall 2008 Christoffersen Peter, Kris Jacobs, Chayawat Ornthanalai, Yintian Wang 'Option

Valuation with Long-Run and Short-Run Volatility Components' JFE V.90,#3 12/08

Chu C.F., K.P. Lam 'Impact of Overnight Information on MEM Volatility Prediction' Statistics and Its Interface V.1,#2 2008

Chuliá Helena, Hipòlit Torró 'The Economic Value of Volatility Transmission between the Stock and Bond Markets' J. Futures Markets V.28, #11 Nov.2008

Cincotti Silvanoi, Laura Gardini, Thomas Lux 'New Advances in Financial Economics: Heterogeneity and Simulation' Computational Economics V.32,#1-2, 9/08

Coifman Ronald, Mauro Maggioni 'Geometry Analysis and Signal Processessing on Digital Data, Emergent Structures and Knowledge Building' SIAM News Dec.08

Colucci Domenico, Vincenzo Valori 'Asset Price Dynamics When Behavioural Heterogeneity Varies' Computational Economics V.32,#1-2, 9/08

Conesa Juan Carlos, Carlos Garriga 'Optimal Response to a Transitory Demographic Shock in Social Security Financing' Review St. Louis Fed V. 91, # 1

Conn Andrew, Katya Scheinberg, Luis Vicente 'Introduction to Derivative-Free Optimization' SIAM Books 2009

Conrad Jennifer 'Heterogeneity and the Cross-section of Returns' AFA Meeting 2009 Cooper Ilan, Richard Priestley 'Real Investment and Risk Dynamics' AFA Meeting

2009 Corona Erika, Sabrina Ecca, Michele Marchesi, Alessio Setzu 'The Interplay Between

Two Stock Markets and a Related Foreign Exchange Market: A Simulation Approach' Computational Economics V.32,#1-2, 9/08

Correa Ricardo, Gustavo Suarez 'Firm Volatility and Banks: Evidence from U.S. Banking Deregulation' AFA Meeting 2009

Corsi Fulvio, Stefan Mittnik, Christian Pigorsch, Uta Pigorsch 'The Volatility of Realized Volatility' Econometric Reviews, V.27 #1-3 Jan.-June 2008

Corwin Shane, Jay Coughenour 'Limited Attention and the Allocation of Effort in Securities Trading' JofF V.63,#6 Dec. 2008

Coval Joshua, David Hirshleifer, Siew Hong Teoh 'Deception and Self-Deception in Capital Markets' Deception in Markets, Caroline Gerschlager, Ed., Palgrave Macmillan/U.K, 2005 

Coval Joshua, Jakub Jurek, Erik Stafford 'The Economics of Structured Finance' Harvard Business School Finance Working Paper #09-060 SSRN 10/08

Cremers Martijn, Joost Driessen, Pascal Maenhout, David Weinbaum 'Individual Stock-Option Prices and Credit Spreads' J. Banking and Finance V.32,#12 Dec. 2008

Croce Mariano Massimiliano, Martin Lettau, Sydney Ludvigson 'Investor Information, Long-Run Risk, and the Duration of Risky Cash Flows' AFA Meeting 2009

Croce Mariano, Martin Lettau, Sydney Ludvigson 'Investor Information, Long-Run Risk, and the Duration of Risky Cash Flows' SSRN 11/08

Czerwonko Michal, Stylianos Perrakis 'Portfolio Selection with Transaction Costs and Jump-Diffusion Asset Dynamics' SSRN 11/08

Da Fonseca José, Martino Grasselli, Florian Ielpo 'Hedging (Co)Variance Risk with Variance Swaps' SSRN 10/08

Da Zhi, Pengjie Gao, Ravi Jagannathan 'When Does a Mutual Fund's Trade Reveal its Skill?' AFA Meeting 2009

Dahlquist Magnus, Frank de Jong 'Pseudo Market Timing: A Reappraisal' <new issues> JF&QA V.43, #3, September 2008

Dai Qiang, Anh Le, Kenneth Singleton ' Discrete-Time Dynamic Term Structure Models with Generalized Market Prices of Risk' SSRN 11/08

Dai Weizhong 'A Generalized Peaceman–Rachford ADI Scheme for Solving Two-Dimensional Parabolic Differential Equations' Journal of Scientific Computing V.12, #4 1/97

Daniel Gilles, Didier Sornette, Peter Wohrmann 'Look-Ahead Benchmark Bias in Portfolio Performance Evaluation' SSRN 11/08

Daniel Naveen, David Denis, Lalitha Naveen ‘Dividends, Investment, and Financial Flexibility’ AFA Meeting 2009

Dash Mihir, Dinesh Kumar 'A Study on the Effect of Macroeconomic Variables on Indian Mutual Funds' SSRN 12/08

Dash Srikant, Berlinda Liu 'Capturing the Index Effect Via Options' SSRN Jan. 09 Dash Srikant, Philip Murphy 'Benchmarking 130/30 Strategies' SSRN Jan. 09 Davies Phil, Bernadette Minton, Catherine Schrand 'Investor Demand for Industry

Factor Price Exposure' SSRN 12/08 Davis Mark 'Arbitrage Bounds on the Prices of Vanilla Options and Variance Swaps'

2008 Davydenko Sergei 'When Do Firms Default? A Study of the Default Boundary' AFA

Meeting 2009 de Clippel Geoffroy, Roberto Serrano 'Marginal Contributions and Externalities in

the Value' Econometrica V.76,#6 Nov. 2008 De Goyet Cédric de Ville, Geert Dhaene, Piet Sercu 'Testing the Martingale

Hypothesis for Futures Prices: Implications for Hedgers' J. Futures Markets V.28, #11 Nov.2008

de Melo Mendes  Beatriz Vaz 'A Conditional Approach for Risk Estimation' Journal of Risk V.11,#1 2008

de Pooter Michiel,  Martin Martens, Dick van Dijk 'Predicting the Daily Covariance Matrix for S&P 100 Stocks Using Intraday Data—But Which Frequency to Use?' Econometric Reviews, V.27 #1-3 Jan.-June 2008

De Vallière Dimitri, Emmanuel Denis, Yuri Kabanov 'Hedging of American Options Under Transaction Costs' Finance and Stochastic 1/09 V.13,#1

Dempster Michael, Elena Medova, Ke Tang 'Long Term Spread Option Valuation and Hedging' J. Banking and Finance V.32,#12 Dec. 2008

Deo Rohit 'Spectral Tests of the Martingale Hypothesis under Conditional Heteroscedasticity' SSRN 11/08

Deo Rohit, Mengchen Hsieh, Clifford Hurvich 'Tracing the Source of Long Memory in Volatility' SSRN 11/08

Detemple Jérôme, Thomas Emmerling 'American Chooser Options' JED&C 1/09 V.33,#1 Detragiached Enrica, Thierry Tressel, Poonam Gupta 'Foreign Banks in Poor

Countries: Theory and Evidence' JofF V.63,#5 Oct. 2008 Deuskar Prachi, Anurag Gupta, Marti Subrahmanyam 'Liquidity Effects in Interest

Rate Options Markets: Premium or Discount?' SSRN 11/08 Deuskar Prachi, Marti Subrahmanyam 'The Drivers and Pricing of Liquidity in

Interest Rate Option Markets' SSRN 11/08 di Bernardo Mario, Chris Budd, Alan Champneys, Piotr Kowalczyk, Arne Nordmark,

Gerard Olivar Tost, Petri Piiroinen 'Bifurcations in Nonsmooth Dynamical Systems' SIAM Review V.50, #4 Dec. 08

Diavatopoulos Dean, Andy Fodor , Shawn Howton, Shelly Howton 'Do REIT Repurchases Signal Value Changes in Rivals? An Analysis of the Stock Price Reaction of Non-Repurchasing REITs' SSRN 1/09

Diavatopoulos Dean, James Doran, Andy Fodor, David Peterson 'The Information Content of Implied Skewness and Kurtosis Changes Prior to Earnings Announcements for Stock and Option Returns' SSRN 12/08

Diavatopoulos Dean, James Doran, David Peterson 'The Information Content in Implied Idiosyncratic Volatility and the Cross-Section of Stock Returns: Evidence from the Option Markets' J. Futures Markets V.28, #11 Nov.2008

Dickinson Eric 'Credit Default Swaps: So Dear to Us, So Dangerous' SSRN 12/08 Dierkes Maik 'Option-Implied Risk Attitude under Rank Dependent Utility' SSRN Jan.

09 Dinlersoz Emin, Rubén Hernández-Murillo, Han Li, Roger Sherman 'Drug Prices Under

the Medicare Drug Discount Card Program' Review FRB St. Louis Nov/Dec. 2008 V.90,#6

Dissanaike Gishan, Kim-Hwa Lim 'The Sophisticated and the Simple: The Profitability of Contrarian Strategies' European Financial Management Journal, Forthcoming 2008

Diwekar U. 'Introduction to Applied Optimization' Springer 2008 Domian Dale, William Reichenstein 'Returns-Based Style Analysis of Convertible

Bond Funds' J. Fixed Income Winter 2009 Doran James, Ehud Ronn 'Computing the Market Price of Volatility Risk in the

Energy Commodity Markets' J. Banking and Finance V.32,#12 Dec. 2008 Douglas Stratford, Thomas Garrett, Russell Rhine 'Disallowances and

Overcapitalization in the U.S. Electric Utility Industry' Review St. Louis Fed V. 91, # 1

Drechsler Itamar, Amir Yaron 'What's Vol Got to Do With It' AFA Meeting 2009 Duarte Jefferson, Christopher Jones 'The Price of Market Volatility Risk' AFA

Meeting 2009 Duarte Jefferson, Douglas McManus 'Residential Mortgage Credit Derivatives' SSRN

10/08 Ecca Sabrina, Michele Marchesi, Alessio Setzu 'Modeling and Simulation of an

Artificial Stock Option Market' Computational Economics V.32,#1-2, 9/08 Eckner Andreas 'Computational Techniques for Basic Affine Models of Portfolio

Credit Risk' 2007 (Stanford University research paper) Ehlers Philippe, Philipp Schönbucher 'Background Filtrations and Canonical Loss

Processes for Top-Down Models of Portfolio Credit Risk' Finance and Stochastic 1/09 V.13,#1

Elbirt Adam 'Understanding and Applying Cryptography and Data Security' 2008 CRC Press

Elie R. 'Finite Time Merton Strategy under Drawdown Constraint: A Viscosity Solution Approach' Applied Math. & Optimization V.58,#3 12/08

Eloe P., R.H. Liu, M. Yatsuki, G. Yin, Q. Zhang 'Optimal Selling Rules in a Regime-Switching Exponential Gaussian Diffusion Model' SIAM J. Appl. Math. V.69, # 3 2008 <Markov chain, regime-switching, boundary value problem, stochastic recursive algorithm>

Engle Robert 'Dynamic Conditional Correlation - a Simple Class of Multivariate GARCH Models' SSRN 11/08

Engle Robert 'High Dimension Dynamic Correlations' SSRN 11/08

Engle Robert 'New Frontiers for ARCH Models' SSRN 11/08 Engle Robert, Magdalena Sokalska, Ananda Chanda 'High Frequency Multiplicative

Component GARCH' SSRN 11/08 Eraker Bjørn 'Affine General Equilibrium Models'  <no-arbitrage, CAPM, Epstein-Zin

preferences, non-Gaussian shocks, diffusion, stochastic model applications> MS 12/08 V.54,#12

Erneux T. 'Applied Delay Differential Equations' Springer 2008 Es-Sebaiy Khalifa, David Nualart, Youssef Ouknine, Ciprian Tudor 'Occupation

Densities for Certain Processes Related to Fractional Brownian Motion' 2/08 Estrada Javier 'Investing in Emerging Markets: A Black Swan Perspective'SSRN 11/08 Estrada Javier 'The Gain-Loss Spread: A New and Intuitive Measure of Risk' SSRN

11/08 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 8/08

Fabozzi Frank, K.C. Ma, Becky Oliphant 'Sin Stock Returns' J. Portfolio Management Fall 2008

Fabozzi Frank, Sergio Focardi, Caroline Jonas 'On the Challenges in Quantitative Equity Management' QF V.8,#7 2008

Fama Eugene, Kenneth French 'Average Returns, B/M, and Share Issues' JofF V.63,#6 Dec. 2008 <book to value>

Fan Jianqing, Yazhen Wang 'Spot Volatility Estimation for High-Frequency Data' Statistics and Its Interface V.1,#2 2008

Fan Yingying, Jianqing Fan 'Testing and Detecting Jumps Based on a Discretely Observed Process' SSRN Jan. 09

Fang Fang, Cornelis Oosterlee 'A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions' SIAM J. Sci. Comput. V.31,#2, 11/08

Farinelli Simone, Paolo Vanini 'Joint Interest Rate Risk Management of Balance Sheet and Hedge Portfolio in a Present Value Perspective' The Icfai University Journal of Financial Risk Management, V.V, #3, September 2008

Favilukis Jack 'Reconciling Increasing Wealth Inequality with Increasing Market Participation and a Decreasing Equity Premium' SSRN 11/08

Feldhütter Peter, David Lando 'Decomposing Swap Spreads' J. Financial Economics V.88, #2, May 2008

Feng Yongchang, Rong Chen, Gilbert Bassett 'Quantile Momentum' Statistics and Its Interface V.1,#2 2008

Fernandes Jose, Jose Renato Haas Ornelas 'Hidden Risks in Mean-Variance Optimization: An Intergrated-Risk Asset Allocation Proposal' SSRN 11/08

Fernandez Pablo, Heinrich Liechtenstein 'The Equity Premium Puzzle: High Required Premium, Undervaluation and Self Fulfilling Prophecy' SSRN 10/08

Ferrero Giuseppe, Andrea Nobili 'Futures Contract Rates as Monetary Policy Forecasts' SSRN 12/08

Figlewski Stephen 'Assessing the Incremental Value of Option Pricing Theory Relative to an "Informationally Passive" Benchmark' SSRN 11/08

Filipovic Damir, Eckhard Platen 'Consistent Market Extensions under the Benchmark Approach' Mathematical Finance Jan. 2009 V19, #1

Fillat Jose 'Housing as a Measure for Long-Run Risk in Asset Pricing' AFA Meeting 2009

Finger Christopher, Vladimir Finkelstein, George Pan, Jean-Pierre Lardy, Thomas Ta, John Tierney 'CreditGrades technical document' 2002 RiskMetircs Group

Finkelstein Vladimir 'Assessing Default Probabilities From Equity Markets' 2001 Presentation, Credit Risk Summit, NewYork

Fleming Jeff, Chris Kirby 'Component-Driven Regime-Switching Volatility' SSRN Jan. 09

Fletcher Tristan 'Hybrid Evolutionary Techniques for FX Arbitrage Prediction' SSRN Jan. 09

Florens Jean-Pierre, James Heckman, Costas Meghir, Edward Vytlacil 'Identification of Treatment Effects Using Control Functions in Models with Continuous, Endogenous Treatment and Heterogeneous Effects' Econometrica V.76,#5, 9/08

Föllmer Hans, Alexander Schied 'Coherent and Convex Risk Measures' 2008?

Foroni Ilaria, Anna Agliari 'Complex Price Dynamics in a Financial Market with Imitation' Computational Economics V.32,#1-2, 9/08

Forsyth Peter 'A Hamilton Jacobi Bellman Approach to Optimal Trade Execution' 11/08

Foucault Thierry Foucault, David Sraer, David Thesmar ‘Individual Investors and Volatility’ AFA Meeting 2009

Fouque Jean-Pierre, Ronnie Sircar, Knut Solna 'Multiname and Multiscale Default Modeling'

Frahm Gabriel 'Linear Statistical Inference for Global and Local Minimum Variance Portfolios' SSRN 9/08

Frahm Gabriel 'Testing for the Best Alternative with an Application to Performance Measurement' SSRN 9/08

Frahm Gabriel, Christoph Memmel 'Dominating Estimators for the Global Minimum Variance Portfolio' SSRN 9/08

Francioni Reto, Sonali Hazarika, Martin Reck, Robert Schwartz 'Equity Market Microstructure: Taking Stock of What We Know' J. Portfolio Management Fall 2008

Frank Murray, Vidhan Goyal 'Profits and Capital Structure' AFA Meeting 2009 Fraser Andrew 'Hidden Markov Models and Dynamical Systems' SIAM Books 2008 Frey Stefan, Patrik Sandas 'The Impact of Hidden Liquidity in Limit Order Books'

AFA Meeting 2009 Frisén Marianne (ed) 'Financial Surveillance' Wiley Press 2008 <statistical models

in finance, likelihood surveillance of volatility, optimal portfolio weights>

Gabaix Xavier 'Linearity-Generating Processes: A Modelling Tool Yielding Closed Forms for Asset Prices' SSRN 11/08

Gagliardini Patrick,  Christian Gourieroux, Eric Renault 'Efficient Derivative Pricing by the Extended Method of Moments' Oct. 08 <Option-Pricing>

Galichon Alfred 'The VAR at Risk' SSRN 10/08 Gamba Andrea, Alexander Triantist 'The Value of Financial Flexibility' JofF

V.63,#5 Oct. 2008 Gao Fuqing, Jun Yan 'Functional Large Deviations and Moderate Deviations for

Markov-Modulated Risk Models with Reinsurance' J. Applied Probability V.45,#3 9/08

Garcia Joao, Serge Goossens 'Base Expected Loss Explains Lévy Base Correlation Smile' SSRN 11/08

Garleanu Nicolae Bogdan, Stavros Panageas 'Young, Old, Conservative, and Bold: The Implications of Heterogeneity and Finite Lives for Asset Prices' AFA Meeting 2009

Gastineau Gary 'The Cost of Trading Transparency: What We Know, What We Don't Know, and How We Will Know' J. Portfolio Management Fall 2008

Gaur Vishal, Sridhar Seshadri, Marti Subrahmanyam 'Intermediation and Value Creation in an Incomplete Market: Implications for Securitization' SSRN 11/08

Gaur Vishal, Sridhar Seshadri, Marti Subrahmanyam 'Market Incompleteness and Super Value Additivity: Implications for Securitization' SSRN 11/08

Geman Hélyette, Stelios Kourouvakalis 'A Lattice-Based Method for Pricing Electricity Derivatives Under the Threshold Model' Applied Math. Finance 2008 V.15,#5,6

Gerlach Stefan, Katrin Assenmacher-Wesche 'Financial Structure and the Impact of Monetary Policy on Asset Prices' SSRN 10/08

Giaccherini Luca, Giovanni Pepe 'How Secure are Ratings?' RISK 9/08 Giannetti Mariassunta, Xiaoyun Yu 'Connections and Information Acquisition in

Capital Allocation' AFA Meeting 2009 Gibson Rajna, Carsten Murawski 'Default Risk Mitigation Mechanisms in Derivatives

Markets' SSRN 10/08 Gibson Rajna, Carsten Murawski 'The Price of Protection: Derivatives, Default

Risk, and Margining' SSRN 12/08 Gibson Rajna, Songtao Wang 'Hedge Fund Alphas: Do They Reflect Managerial Skills

or Mere Compensation for Liquidity Risk Bearing?' SSRN 11/08 Giesecke Kay 'An Overview of Credit Derivatives' SSRN 11/08

Giesecke Kay, Thorsten Schmidt, Stefan Weber 'Measuring the Risk of Large Losses' J. Investment Management 4Q 2008

Glasserman Paul, Kyoung-Kuk Kim 'Saddlepoint Approximations for Affine Jump-Diffusion Models' JED&C 1/09 V.33,#1

Glasserman Paul, Wanmo Kang, Perwez Shahabuddin 'Fast Simulation of Multifactor Portfolio Credit Risk' Operations Research V.56,#5 Sept/Oct 2008

Goel Anandl, Anjan Thakor 'Overconfidence, CEO Selection, and Corporate Governance' JofF V.63,#6 Dec. 2008

Goeree Michelle Sovinsky 'Limited Information and Advertising in the U.S. Personal Computer Industry' Econometrica V.76,#5, 9/08

Goetzmann William 'More Social Security, Not Less' J. Portfolio Management Fall 2008

Goetzmann William, Akiko Watanabe, Masahiro Watanabe 'Investor Expectations, Business Conditions, and the Pricing of Beta-Instability Risk' AFA Meeting 2009

Goldbaum David, Bruce Mizrach 'Estimating the Intensity of Choice in a Dynamic Mutual Fund Allocation Decision' JED&C V., #12 12/08

Goldberg Lisa, Rajnish Kamat, Vijay Poduri 'A Structural Analysis of the Default Swap Market, Part 1 (Calibration)' Journal of Investment Management 3Q 2008

Golosnoy Vasyl, Yarema Okhrin 'Flexible Shrinkage in Portfolio Selection' JED&C 2/09 V.33,#2

Gomez Juan Pedro, Fernando Zapatero, Richard Priestley 'The Effect of Relative Wealth Concerns on the Cross-Section of Stock Returns' AFA Meeting 2009

Gonalves da Silva Afonso, Peter Robinson 'Finite Sample Performance in Cointegration Analysis of Nonlinear Time Series with Long Memory' Econometric Reviews, V.27 #1-3 Jan.-June 2008

Gonalves da Silvia, Nour Meddahi 'Edgeworth Corrections for Realized Volatility' Econometric Reviews, V.27 #1-3 Jan.-June 2008

Goodman Jacob, Joseph O'Rourke 'Handbook of Discrete and Computational Geometry' 2004 CRC Press

Gorton Gary 'Information, Liquidity, and the (Ongoing) Panic of 2007' SSRN 1/09 Gorton Gary 'The Subprime Panic' NBER Working Paper #W14398 SSRN 10/08 Goyal Amit, Christophe Pérignon, Christophe Villa 'How Common are Common Return

Factors across the NYSE and Nasdaq?' JFE V.90,#3 12/08 Grané Aurea, Helena Veiga 'Accurate Minimum Capital Risk Requirements: a

Comparison of Several Approaches' J. Banking and Finance V.32,#11 Nov. 2008 Grasselli Matheus, Vicky Henderson 'Risk Aversion and Block Exercise of Executive

Stock Options' JED&C 1/09 V.33,#1 Grasselli Matheus, Tom Hurd 'Malliavin Calculus' 4/05 Greatrex Caitlin Ann 'Credit Default Swap Market Determinants' J. Fixed Income

Winter 2009 Green Richard, Dan Li, Norman Schuerhoff 'Price Discovery in Illiquid Markets' AFA

Meeting 2009 Grenadier Steven, Andrei Malenko 'A Bayesian Approach to Real Options: The Case of

Distinguishing between Temporary and Permanent Shocks' AFA Meeting 2009 Griffin Jim, Roel C.A. Oomen 'Sampling Returns for Realized Variance Calculations:

Tick Time or Transaction Time?' Econometric Reviews, V.27 #1-3 Jan.-June 2008

Grisse Christian 'Higher Order Beliefs and the Comovement of Asset Prices' AFA Meeting 2009

Griva Igor, Stephen Nash, Ariela Sofer 'Linear and Nonlinear Optimization' SIAM Books 2008

Gross Jonathan 'Combinatorial Methods with Computer Applications' 2008 CRC Press Gross Jonathan, Jay Yellen 'Graph Theory and its Applications' 2006 CRC Press Guan Zhenke, Bing Gan, Aisha Khan, Ser-Huang Poon 'Choice of Interest Rate Term

Structure Models for Assets and Liability Management' SSRN 10/08 Guerci Eric, Stefano Ivaldi, Silvano Cincotti 'Learning Agents in an Artificial

Power Exchange: Tacit Collusion, Market Power and Efficiency of Two Double-auction Mechanisms' Computational Economics V.32,#1-2, 9/08

Guerra Joao, David Nualart 'Stochastic Differential Equations Driven by Fractional Brownian Motion and Standard Brownian Motion' 2/08

Guiso Luigi, Paola Sapienza, Luigi Zingales 'Trusting the Stock Market' JofF V.63,#6 Dec. 2008

Guler Osman 'Foundations of Optimization in Finite Dimensions' Springer 2009 Gundel Anne, Stefan Weber 'Utility Maximization under a Shortfall Risk Constraint'

J. Math. Econ. 11/08 V.44,#11 Guo Xin, Robert Jarrow, Yan Zeng 'Modeling the Recovery Rate in a Reduced Form

Model' Mathematical Finance Jan. 2009 V19, #1 Gupta-Mukherjee Swasti 'When Active Fund Managers Deviate from Their Peers: The

Impact on Performance' AFA Meeting 2009 Hale Galina, Assaf Razin, Hui Tong 'Credit Crunch, Creditor Protection, and Asset

Prices' SSRN 1/09 Han Bing, David Hirshleifer, John Persons 'Promotion Tournaments and Capital

Rationing' RFS Jan. 2009 V.22,#1 Han Lu 'The Risk-Return Relationship in Housing Markets: Financial Risk Versus

Consumption Insurance' SSRN 1/09 Hanhardt Andreas, Carmen Ansotegui ' Employing the Fama & French Factors as Means

to Test for European Stock Market Integration' SSRN 12/08 Hansen Peter,  Jeremy Large, Asger Lunde 'Moving Average-Based Estimators of

Integrated Variance' Econometric Reviews, V.27 #1-3 Jan.-June 2008 Har Clement, Venky Nagar, Paolo Petacchi 'The Effect of Rational Capital Markets

Versus Regulatory Enforcement on the Valuation of Innovative Financial Assets' SSRN 11/08

Hautsch Nikolaus 'Capturing Common Components in High-Frequency Financial Time Series: a Multivariate Stochastic Multiplicative Error Model' JED&C V., #12 12/08

Hautsch Nikolaus, Yangguoyi Ou 'Discrete-Time Stochastic Volatility Models and MCMC-Based Statistical Inference' SSRN 11/08

Haworth Helen, Christoph Reisinger, William Shaw 'Modelling Bonds and Credit Default Swaps Using a Structural Model with Contagion' QF V.8,#7 2008

Hayre Lakhbir, Manish Saraf 'A Loss Severity Model for Residential Mortgages' J. Fixed Income Fall 2008

He Zhiguo 'Agency Problems, Firm Valuation, and Capital Structure' AFA Meeting 2009

He Zhiguo, Arvind Krishnamurthy 'A Model of Capital and Crises' NBER Working Paper #1 SSRN 10/08

Henrard Marc 'Bermudan Swaptions in Gaussian HJM One-Factor Model: Analytical and Numerical Approaches' SSRN 10/08

Henry Tyler, Jennifer Koski 'Short Selling Around Seasoned Equity Offerings' AFA Meeting 2009

Herbertsson Alexander, Holger Rootzén 'Pricing kth-to-Default Swaps under Default Contagion: the Matrix-Analytic Approach' Journal of Computational Finance 12.1 (Fall 2008)

Heuvel Skander Van den 'Temporal Risk Aversion and Asset Prices' AFA Meeting 2009 Hikspoors Samuel, Sebastian Jaimungal 'Asymptotic Pricing of Commodity Derivatives

using Stochastic Volatility Spot Models' Applied Math. Finance 2008 V.15,#5,6

Hinnerich Mia 'Inflation-Indexed Swaps And Swaptions'J. Banking and Finance V.32,#11 Nov. 2008

Ho Thomas, Sang Bin Lee 'A Unified Credit and Interest Rate Arbitrage-free Contingent Claim Model' J. Fixed Income Winter 2009

Hoberg Gerard, Nagpurnanand Prabhala 'Disappearing Dividends, Catering, and Risk' RFS Jan. 2009 V.22,#1

Hoshikawa Toshiya, Keiji Nagai, Taro Kanatani, Yoshihiko Nishiyama 'Nonparametric Estimation Methods of Integrated Multivariate Volatilities' Econometric Reviews, V.27 #1-3 Jan.-June 2008

Hotchkiss Edith, Michael Goldstein 'Dealer Behavior and the Trading of Newly Issued Corporate Bonds' AFA Meeting 2009

Hsu Chih-Chiang, Chih-Ping Tseng, Yaw-Huei Wang 'Dynamic Hedging With Futures: A Copula-Based GARCH Model' J. Futures Markets V.28,#11 Nov. 2008  

Hsu Chun-Pin ' State-Dependent Stock Market Reactions to Foreign Investment Behaviors' SSRN 1/09

Hsu Chun-Pin 'State-Dependent Stock Market Reactions to Foreign Investment Behaviors' SSRN 12/08

Hsu Scott, Adam Reed, Jörg Rocholl 'The New Game in Town: Competitive Effects of IPOs' AFA Meeting 2009

Hsu Y.L., T.I. Lin, C.F. Lee 'Constant Elasticity of Variance (CEV) Option Pricing Model: Integration and Detailed Derivation' Mathematics and Computers in Simulation V.79,#1 Oct. 2008

Hu Jean 'Modelling Subordinated Stochastic Processes with Student's t and Generalized Secant Hyperbolic Increments: Empirical Study of Speculative Energy Markets' SSRN 12/08

Huang Huaxiong, Moshe Milevsky' Portfolio Choice and Mortality-Contingent Claims: the General HARA Case' J. Banking and Finance V.32,#11 NoV.2008

Huang Jennifer, Ilan Guedj 'Are ETFs Replacing Index Mutual Funds?' AFA Meeting 2009

Huang Jennifer, Jiang Wang 'Market Liquidity, Asset Prices, and Welfare' AFA Meeting 2009

Huang Jiekun 'Dynamic Liquidity Preferences of Mutual Funds' AFA Meeting 2009 Huang Jing-Zhi, Hao Zhou 'Specification Analysis of Structural Credit Risk Models'

AFA Meeting 2009 Huang Jing-Zhi, Weipeng Kong 'Macroeconomic News Announcements and Corporate Bond

Credit Spreads' AFA Meeting 2009 Huang Shirley, Jun Yu 'An Efficient Method for Maximum Likelihood Estimation of a

Stochastic Volatility Model' Statistics and Its Interface V.1,#2 2008 Hüsler Jürg, Vladimir Piterbarg 'A Limit Theorem for the Time Of Ruin in a

Gaussian Ruin Problem' SP&A V.118,#11 11/08 Hughston Lane 'Inflation Derivatives' wp Merrill Lynch 1998 Hundsdorfer Willem, Jan Verwer 'Stability and Convergence of the Peaceman-Rachford

ADI Method for Initial-Boundary Value Problems' Mathematics of Computation, V.53, #187 (Jul., 1989)

Hung Chi-Hsiou 'Return Predictability of Higher-Moment CAPM Market Models' Journal of Business Finance & Accounting, V.35, #7-8, September/October 2008

Hurvich Clifford, Yi Wang 'A Pure-Jump Transaction-Level Price Model Yielding Cointegration, Leverage, and Nonsynchronous Trading Effects' SSRN 11/08

Hwang Byoung-Hyoun 'Distinguishing Behavioral Models of Momentum' SSRN 10/08 Inglis Stewart, Domingo Tavella 'Pricing with Jump Signals in the PDE Framework'

Wilmott Magazine 24, 2006 Ivashina Victoria, Vinay Nair, Anthony Saunders, Nadia Massoud, Roger Stover 'Bank

Debt and Corporate Governance' RFS Jan. 2009 V.22,#1 Ivkovich Zoran, Clemens Sialm, Scott Weisbenner 'Portfolio Concentration and the

Performance of Individual Investors' JF&QA V.43, #3, September 2008 Jabbour Carlos, Javier Peña, Juan Vera, Luis Zuluaga 'An Estimation-Free, Robust

Conditional Value-at-Risk Allocation Model' Journal of Risk V.11,#1 2008 Jacka Saul, Abdelkarem Berkaoui, Jon Warren 'No Arbitrage and Closure Results for

Trading Cones with Transaction Costs' Finance and Stochastics V.12,#4 Oct. 2008

Jäckel Peter 'Splitting the Core' 2004 Jacoby Gady 'Duration and Pricing of TIPS' J. Fixed Income Fall 2008 Jaimungal Sebastian, Vladimir Surkov 'A Lévy Based Framework for Commodity

Derivative Valuation via FFT' SSRN 11/08 Jaimungal Sebastian, Vladimir Surkov 'Stepping Through Fourier Space' SSRN 10/08 Jansson Michael 'Semiparametric Power Envelopes for Tests of the Unit Root

Hypothesis' Econometrica V.76,#5, 9/08 Jarrow Robert, Haitao Li, Sheen Liu, Chunchi Wu 'Reduced-Form Valuation of

Callable Corporate Bonds: Theory and Evidence' AFA Meeting 2009 Jeannin Marc, Giulia Iori, David Samuel 'Modeling Stock Pinning' QF V.8,#8 2008 Jennings William 'What are These Alternatives? A Simple Two-Way Categorization of

Alternative Investments' SSRN 10/08 Jia Panle 'What Happens When Wal-Mart Comes to Town: An Empirical Analysis of the

Discount Retailing Industry' Econometrica V.76,#6 Nov. 2008 Jiang George, Tong Yao 'Stock Price Jumps and Cross-Sectional Return

Predictability' SSRN 9/08

Jiang Wenjiang, Zhenyu Wu, Gemai Chen 'A New Quantile Function Based Model for Modeling Price Behaviors in Financial Markets' Statistics and Its Interface V.1,#2 2008

Jimenez Gabriel, Jesus Saurina Salas, Steven Ongena, Jose Luis Peydro 'Hazardous Times for Monetary Policy: What Do Twenty-Three Million Bank Loans Say about the Effects of Monetary Policy on Credit Risk?' AFA Meeting 2009

Jin Justin Yiqiang 'Investor Attention and Stock Mispricing' SSRN Jan. 09 Johannes Michael, Arthur Korteweg, Nick Polson 'Sequential Learning, Predictive

Regressions, and Optimal Portfolio Returns' AFA Meeting 2009 Johnson William Fount 'Tracking Errors of Exchange Traded Funds' SSRN Jan. 09 Jondeau Eric 'Contemporaneous Aggregation of GARCH Models and Evaluation of the

Aggregation Bias' SSRN 10/08 Jou Jyh-bang, Tan Lee 'Irreversible Investment, Financing, and Bankruptcy

Decisions in an Oligopoly' JF&QA V.43, #3, September 2008 Joyce Michael, Iryna Kaminska, Peter Lildholdt 'Understanding the Real Rate

Conundrum: An Application of No-Arbitrage Finance Models to the UK Real Yield Curve' SSRN 12/08

Ju Nengjiu, Jianjun Miao 'Ambiguity, Learning, and Asset Returns' AFA Meeting 2009 Judd Kenneth, Felix Kubler, Karl Schmedders 'Bond Ladders and Optimal Portfolios'

SSRN 11/08 Julio Brandon, Woojin Kim, Michael Weisbach 'What Determines the Structure of

Corporate Debt Issues?' AFA Meeting 2009 Jylha Petri, Matti Suominen, Jussi-Pekka Lyytinen 'Arbitrage Capital and Currency

Carry Trade Returns' AFA Meeting 2009 Kabanov Yuri, Mher Safaria 'Markets with Transaction Costs: Mathematical Theory'

2009 Kaloshin Vadim, Mark Levi 'Geometry of Arnold Diffusion' SIAM Review V.50, #4 Dec.

08 Kalotay Andrew, Michael P Dorigan 'What Makes the Municipal Yield Curve Rise?' J.

Fixed Income Winter 2009 Kama Itay 'On the Market Reaction to Revenue and Earnings Surprises' Journal of

Business Finance & Accounting, forthcoming 2008 Kampen Jörg, Anastasia Kolodko, John Schoenmakers 'Monte Carlo Greeks for

Financial Products via Approximative Transition Densities' SIAM J. Scien. Comp.10/08

Kanas Angelos 'A Multivariate Regime Switching Approach to the Relation Between the Stock Market, the Interest Rate and Output' IJT&AF  Nov. 2008 V.11,#7

Kang Jun-Koo, Jin-Mo Kim 'The Geography of Block Acquisitions' JofF V.63,#6 Dec. 2008

Karpoff Jonathan, D. Scott Lee, Gerald S. Martin 'The Cost to Firms of Cooking the Books' JF&QA V.43, #3, September 2008

Katz Barbara, Joel Owen 'The Emergence of Concentrated Ownership and the Rebalancing of Portfolios Due to Shareholder Activism in a Financial Market Equilibrium' SSRN 11/08

Kaustia Markku, Samuli Knüpfer 'Do Investors Overweight Personal Experience? Evidence from IPO Subscriptions' JofF V.63,#6 Dec. 2008

Kawai Reiichiro 'Optimal Importance Sampling Parameter Search for Lévy Processes via Stochastic Approximation' SIAM J. Numerical Analysis V.47,#1 11/08 <Monte Carlo importance sampling variance reduction constrained or unconstrained algorithm of the stochastic approximation, almost sure convergence to a unique stationary point, numerical examples>

Ke Dongmin, Ziyu Zheng 'The Valuation of Corporate Securities: Fundamental and Market' SSRN 12/08

Kebaier Ahmed, Arturo Kohatsu-Higa 'An Optimal Control Variance Reduction Method for Density Estimation' SP&A V.118,#12 12/08

Kelly Bryan, Alexander Ljungqvist 'Testing Asymmetric-Information Asset Pricing Models' SSRN 1/09

Kerkhof Jeroen 'Inflation Derivatives Explained: Market Products and Pricing' Lehman Brothers 2005

Kiefer Nicholas 'Annual Default Rates Are Probably Less Than Long-Run Average Annual Default Rates' J. Fixed Income Fall 2008

Kilin Fiodar, Martin Keller-Ressel 'Forward-Start Options in the Barndorff-Nielsen-Shephard Model' SSRN 9/08

Kim E. Han 'International Finance: Structural Frictions' AFA Meeting 2009 Kimmel Robert 'Changing Times: The Pricing Problem in Non-Linear Models' SSRN

12/08 Kjaer Mats 'Pricing of Swing Options in a Mean Reverting Model with Jumps' Applied

Math. Finance 2008 V.15,#5,6 Klassen Timothy 'Pricing Variance Swaps with Cash Dividends' SSRN 10/08 Kleptsyna Marina, Alain Le Breton, Michel Viot 'On the Linear-Exponential

Filtering Problem for General Gaussian Processes' SIAM J. Control Optim. V.47, #6,2008 <conditional Cameron–Martin-type formula ,conditional expectations and conditional covariances in some auxiliary optimal risk-neutral filtering problem, closed form equations of the Itô–Volterra- and Riccati–Volterra–types>

Kocay William, Donald Kreher 'Graphs, Algorithms and Optimization' 2005 CRC Press Koch Stefan, Christian Westheide 'The Conditional Relation between Fama-French

Betas and Return' SSRN 10/08 Kogan Leonid, Stephen Ross, Jiang Wang, Mark Westerfield 'Market Selection' AFA

Meeting 2009 Koijen Ralph 'The Cross-Section of Managerial Ability and Risk Preferences' AFA

Meeting 2009 Koijen Ralph, Otto Van Hemert, Stijn Van Nieuwerburgh 'Mortgage Timing' SSRN 12/08 Kolasinski Adam, Adam Reed, Matthew Ringgenberg 'A Multiple Lender Approach to

Understanding Supply and Demand in the Equity Lending Market' AFA Meeting 2009

Kolmogorov, A.N. (Andrei Nikolaevich) 'Foundations of the Theory of Probability' <Grundbegriffe der Wahrscheinlichkeitsrechnung> 1956

Kondor Peter, Veronica Guerrieri 'Fund Managers and Defaultable Debt' AFA Meeting 2009

Korolkiewicz Malgorzata, Robert Elliott 'A Hidden Markov Model of Credit Quality' JED&C V., #12 12/08

Korteweg Arthur, Nick Polson 'Volatility, Liquidity, Credit Spreads and Bankruptcy Prediction' AFA Meeting 2009

Kostakis Alexandros, Nikolaos Panigirtzoglou, George Skiadopoulos 'Asset Allocation with Option-Implied Distributions: A Forward-Looking Approach' SSRN 10/08

Kraft Holger, Frank Thomas Seifried 'Foundations of Continuous-Time Recursive Utility: Differentiability and Normalization of Certainty Equivalents' SSRN 12/08

Kreiss Jens-Peter, Michael Neumann, Qiwei Yao 'Bootstrap Tests for Simple Structures in Nonparametric Time Series Regression' Statistics and Its Interface V.1,#2 2008

Krishnan C.N.V., Ralitsa Petkova 'Analyzing the Time-Varying Stock Market Risk-Return Relation' SSRN 12/08

Kritzman Mark 'Behavioral Investing: A Practitioners Guide To Applying Behavioral Finance' <book review> J. Investment Management 4Q 2008

Küfer Karl-Heinz, Oliver Stein, Anton Winterfeld 'A Deterministic Approach to Gemstone Cutting' SIAM News Oct. 08

Kühn Christoph, Kees van Schaik 'Perpetual Convertible Bonds with Credit Risk' Stochastics V.80,#6 2008

Kuehn Lars-Alexander 'Asset Pricing with Real Investment Commitment' AFA Meeting 2009

Kulikov A.V. 'Multidimensional Coherent and Convex Risk Measures' Theory of Prob. and its Applications V.52, #4 2008

Kumar B. Prasanna, M.V. Supriya 'Hedging Effectiveness with Physical Delivery and Cash Settlement at Indian Commodity Futures Market: An Empirical Comparison Analysis' SSRN 11/08

Kumar B. Prasanna, M.V. Supriya 'Signaling in CNX Nifty Futures: A Perceptual Approach' Asia-Pacific Business Review, V.4, #3, July-September 2008

Lai Sandy Lai, Melvyn Teo 'Home-Biased Analysts in Emerging Markets' JF&QA V.43, #3, September 2008

Lai Tze Leung, Samuel Po-Shing Wong 'Statistical Models for the Basel II Internal Ratings-Based Approach to Measuring Credit Risk of Retail Products' Statistics and Its Interface V.1,#2 2008

Lally Martin, Tony van Zijl 'Capital Gains and the Capital Asset Pricing Model' SSRN 10/08

Lamba Harbir, Tim Seaman 'Market Statistics of a Psychology-Based Heterogeneous Agent Model' IJT&AF  Nov. 2008 V.11,#7

Lamberton Damien, Mohammed Mikou 'The Critical Price for The American Put in an Exponential Lévy Model' Finance and Stochastics V.12,#4 Oct. 2008 <optimal stopping>

Landier Augustin, David Thesmar 'Financial Contracting with Optimistic Entrepreneurs' RFS Jan. 2009 V.22,#1

Landini Simone, Mariacristina Uberti 'A Statistical Mechanic View of Macro-dynamics in Economics' Computational Economics V.32,#1-2, 9/08

Lanne Markku, Helmut Luetkepohl ' Stock Prices and Economic Fluctuations: A Markov Switching Structural Vector Autoregressive Analysis' SSRN 10/08

Larson Erik, Hwan-Sik Choi 'Development and Validation of Credit Scoring Models' J. Credit Risk Fall 2008 V.4,#3

Lawson J.D., J. Ll. Morris 'The Extrapolation of First Order Methods for Parabolic Partial Differential Equations. I' SIAM Journal on Numerical Analysis, V.15,#6 Dec., 1978

Layton William 'Introduction to the Numerical Analysis of Incompressible Viscous Flows' SIAM Books 2008

Le Anh 'Separating the Components of Default Risk:A Derivative-Based Approach' SSRN 11/08

Lee Jae, Edward Stohr 'Representing Knowledge for Portfolio Management Decision Making' SSRN 11/08

Lee Kiseop, Mingxin Xu 'Parameter Estimation with k-Means Clustering' <CRR, tree models, multinomial trees, jump-diffusion> RISK 11/08

Lee Roger 'Gamma Swap' 8/08 Lee Yi-Tsung, Yu-Jane Liu, Ning Zhu 'The Costs of Owning Employer Stocks: Lessons

from Taiwan' JF&QA V.43, #3, September 2008 Leentvaar Coen, Cornelis Oosterlee 'Multi-asset Option Pricing Using a Parallel

Fourier-Based Technique' Journal of Computational Finance 12.1 (Fall 2008) Leippold Markus, Fabio Trojani 'Asset Pricing with Affine Matrix Jump Diffusions'

SSRN 9/08 Lemke Wolfgang, Theofanis Archontakis 'Bond Pricing when the Short-Term Interest

Rate Follows a Threshold Process' QF V.8,#8 2008 Lemmon Michael, Sophie Ni 'The Effects of Investor Sentiment on Speculative

Trading and Prices of Stock and Index Options' SSRN 11/08 Len Jorge, Samy Tindel 'Itô's Formula for Linear Fractional PDEs' Stochastics

V.80,#5 2008 Lentz Rasmus, Dale Mortensen 'An Empirical Model of Growth through Product

Innovation' Econometrica V.76,#6 Nov. 2008 Leoni Peter, Wim Schoutens 'Multivariate Smiling' Wilmott Mag. 2008 Lettau Martin, Stijn VanNieuwerburgh 'Reconciling the Return Predictability

Evidence' SSRN 11/08 Lettau Martin, Sydney Ludvigson 'Expected Returns and Expected Dividend Growth'

SSRN 11/08 Leuccadito Arturo, Radu Tunaru, Giovanni Urga 'CMCDS Premia Implicit in the Term

Structure of Corporate CDS Spreads' SSRN 10/08 Leung Tim 'Employee Stock Options: Accounting for Optimal Hedging, Suboptimal

Exercises, and Contractual Restrictions' SSRN 11/08 Leung Tim, Ronnie Sircar 'Accounting for Risk Aversion, Vesting, Job Termination

Risk and Multiple Exercises in Valuation Of Employee Stock Options' Mathematical Finance Jan. 2009 V19, #1

Levendorskii Sergei 'American and European Options in Multi-Factor Jump-Diffusion Models, Near Expiry' Finance and Stochastics V.12,#4 Oct. 2008 <Critical price near expiry, Exchange options, Bond options, ATSM – QTSM>

Lewellen Stefan 'SPACs as an Asset Class' SSRN 10/08

Li Haitao, Feng Zhao 'Nonparametric Estimation of State-Price Densities Implicit In Interest Rate Cap Prices' AFA Meeting 2009

Li Hongyun 'Convexity Adjustments in Inflation-lined Derivatives using a Multi-Factor Version of Jarrow and Yildirim Model' MSc diss. Imperial College 2007

Li Ming, Paul Vitányi 'An Introduction to Kolmogorov Complexity and its Applications' Springer 2009

Li Song, Don (Tissa) U.A. Galagedera 'Co-Movement of Conditional Volatility Matter in Asset Pricing: Further Evidence in the Downside and Conventional Pricing Frameworks' Icfai Journal of Applied Finance, V.14, #9, September 2008 

Lieberman Offer, Peter C.B. Phillips 'Refined Inference on Long Memory in Realized Volatility' Econometric Reviews, V.27 #1-3 Jan.-June 2008

Lin Junyi, Xiaoqun Wang 'New Brownian Bridge Construction in Quasi-Monte Carlo Methods for Computational Finance' Journal of Complexity 24 2008 <Asian, American options>

Linnainmaa Juhani, Ioanid Rosu 'Time Series Determinants of Liquidity in a Limit Order Market' AFA Meeting 2009

Linton Oliver 'A Nonparametric Threshold Model with Application to Zero Returns' Statistics and Its Interface V.1,#2 2008

Linzert Tobias, Sandra Schmidt 'What Explains the Spread between the Euro Overnight Rate and the ECB's Policy Rate?' SSRN 12/08

Lipton Alexander 'Evaluating the Latest Structural and Hybrid Models for Credit Risk' Conference 2003

Lipton Alexander 'Pricing of Credit-Linked Notes and Related Products' Merrill Lynch 2007

Liu David 'Inflation Modeling' SSRN 10/08 Liu Hong 'Portfolio Insurance and Underdiversification' AFA Meeting 2009 Lochstoer Lars 'Expected Returns and the Business Cycle: Heterogeneous Goods and

Time-Varying Risk Aversion' SSRN 11/08 Loggie Keith 'Volatility Arbitrage Indices - A Primer' SSRN Jan. 09 Lord Roger 'Comment on: A Note on the Discontinuity Problem in Heston's Stochastic

Volatility Model' SSRN 10/08 Lustig Hanno, Stijn Van Nieuwerburgh, Adrien Verdelhan 'The Wealth-Consumption

Ratio: A Litmus Test for Consumption-Based Asset Pricing Models' SSRN 11/08 Lynch Anthony 'Explaining the Magnitude of Liquidity Premia: The Roles of Return

Predictability, Wealth Shocks and State-Dependent Transaction Costs' SSRN 11/08

Maasoumi Esfandiar, Michael McAleer 'Realized Volatility and Long Memory: An Overview' Econometric Reviews, V.27 #1-3 Jan.-June 2008

MacRae Cecil Duncan 'The Employee Stock Option: An Installment Option' SSRN 11/08 Madan Dilip, Marc Yor 'Representing the CGMY and Meixner Lévy Processes as Time

Changed Brownian Motions' Journal of Computational Finance 12.1 (Fall 2008) Madan Dilip, Wim Schoutens 'Break on Through to the Single Side' J. Credit Risk

Fall 2008 V.4,#3  Majumdar Satya, Jean-Philippe Bouchaud 'Optimal Time to Sell a Stock in the Black-

Scholes Model: Comment on 'Thou Shalt Buy and Hold', by A. Shiryaev, Z. Xu and X.Y. Zhou' QF V.8,#8 2008

Mamoghli Chokri, Sami Daboussi 'Performance Measurement of Hedge Funds Portfolios in a Downside Risk Framework' SSRN 9/08

Marín Jose, Jacques Olivier 'The Dog That Did Not Bark: Insider Trading and Crashes' JofF V.63,#5 Oct. 2008

Marosi Andras, Nadia Massoud '"You Can Enter but You Cannot Leave...": U.S. Securities Markets and Foreign Firms' JofF V.63,#5 Oct. 2008

Marquez Robert, Bilge Yilmaz 'Information and Efficiency in Tender Offers' Econometrica V.76,#5, 9/08

Marquez Robert, M. Deniz Yavuz 'Financial Contracting and the Specialization of Assets' AFA Meeting 2009

Martin Richard, Helen Haworth, Fer Koch 'Struck Off' <Credit default swaps, CDSs, default contingent annuity> 11/08

Mashayekh-Ahangarani Pouyan 'The Structural Change in Mortgage–Treasury Spreads during the Credit Crunch' J. Fixed Income Winter 2009

Massa Massimo, Ayako Yasuda, Lei Zhang 'Supply Uncertainty of Institutional Bond Investors and the Leverage of the Firm' AFA Meeting 2009

Mathews Richmond, David Robinson 'Market Structure, Internal Capital Markets, and the Boundaries of the Firm' JofF V.63,#6 Dec. 2008

Matzkin Rosa 'Identification in Nonparametric Simultaneous Equations Models' Econometrica V.76,#5, 9/08

Maymin Philip 'Pricing Multiple Warrants' SSRN 11/08 Mayston Daniel, Alexander Kempf, Pradeep Yadav 'Resiliency in Limit Order Book

Markets: A Dynamic View of Liquidity' AFA Meeting 2009 McAleer Michael, Marcelo Medeiros 'Realized Volatility: A Review' Econometric

Reviews, V.27 #1-3 Jan.-June 2008 McCoy Eric 'Maturity Adjustments Under Asymptotic Single Risk Factor Models: A

Comparative Analysis' J. Credit Risk Fall 2008 V.4,#3 McGinty Lee, Eric Beinstein, Rishad Ahluwalia 'Introducing Base Correlation' 2004

JP Morgan research Melchiori Mario 'Which Archimedean Copula is the Right One?' 2003 <Risk> Meligkotsidou Loukia, Ioannis Vrontos 'Detecting Structural Breaks and Identifying

Risk Factors in Hedge Fund Returns: a Bayesian Approach' J. Banking and Finance V.32,#11 Nov. 2008

Menchero Jose, Indrajit Mitra 'The Structure of Hybrid Factor Models' Journal of Investment Management 3Q 2008   

Meng Lei, Owain ap Gwilym, Jose Varas 'Volatility Transmission among the CDS, Equity, and Bond Markets' J. Fixed Income Winter 2009

Menz Klaus-Michael 'Is Corporate Governance Relevant for Euro-Credit Spreads? Evidence from the CDS Market' SSRN 12/08

Menz Klaus-Michael 'The Empirical Evaluation of Euro Corporate Bonds - Evidence from a Panel-Econometric Analysis' SSRN 12/08

Mishura Yu, G. Shevchenko 'The Rate of Convergence for Euler Approximations of Solutions of Stochastic Differential Equations Driven by Fractional Brownian Motion' Stochastics V.80,#5 2008

Moise Claudia 'Volatility Pricing in the Stock and Treasury Markets' 2008 Morellec Erwan, Boris Nikolov, Norman Schuerhoff 'Dynamic Capital Structure under

Managerial Entrenchment: Evidence from a Structural Estimation' AFA Meeting 2009

Morlais Marie-Amélie 'Quadratic BSDEs Driven by a Continuous Martingale and Applications to the Utility Maximization Problem' Finance and Stochastic 1/09 V.13,#1

Mougeot Nicolas 'Variance Swaps and Beyond' . BNP Paribas, 2005 Müller Ulrich, Mark Watson 'Testing Models of Low-Frequency

Variability' Econometrica V.76,#5, 9/08 Mykland Per, Lan Zhang 'Inference for Volatility-Type Objects and Implications for

Hedging' Statistics and Its Interface V.1,#2 2008 Nasakkala E., Jussi Keppo 'Hydropower with Financial Information' Applied Math.

Finance 2008 V.15,#5,6 Nashikkar Amrut, Martin Subrahmanyam 'Latent Liquidity and Corporate Bond Yield

Spreads' SSRN 11/08 Necula Ciprian 'Asset Pricing in a Two-Country Discontinuous General Equilibrium

Model' SSRN 11/08 Necula Ciprian 'Barrier Options and a Reflection Principle of the Fractional

Brownian Motion' SSRN 10/08 Neely Christopher, David E. Rapach 'Real Interest Rate Persistence: Evidence and

Implications' Review FRB St. Louis Nov/Dec. 2008 V.90,#6 Neuenkirch Andreas 'Optimal Pointwise Approximation of Stochastic Differential

Equations Driven by Fractional Brownian Motion' SP&A V.118,#12 12/08 Newman Daniel, Frank Fabozzi, Douglas Lucas, Laurie Goodman 'Empirical Evidence on

CDO Performance' J. Fixed Income Fall 2008 Nieuwenhuis J.W., Michel Vellekoop 'Weak Convergence of Tree Methods to Price

Options on Defaultable Assets' Decisions in Economics and Finance, 27 2004 Nijskens Rob, Wolf Wagner 'Credit Risk Transfer Activities and Systemic Risk: How

Banks Became Less Risky Individually but Posed Greater Risks to the Financial System at the Same Time' SSRN 12/08

Nobili Stefano, Gerardo Palazzo 'A Beta Based Framework for (Lower) Bond Risk Premia' SSRN 11/08

Norden Lars, Wolf Wagner 'Credit Derivatives and Loan Pricing' J. Banking and Finance V.32,#12 Dec. 2008

Nualart David, Bruno Saussereau 'Malliavin Calculus for Stochastic Differential Equations Driven by a Fractional Brownian Motion' 10/06

Nualart David, Murad Taqqu 'Wick-Itô Formula for Regular Processes and Applications to the Black and Scholes Formula' Stochastics V.80,#5 2008

Ofeka Eli, Matthew Richardson, Robert Whitelaw 'Limited Arbitrage and Short Sales Restrictions: Evidence from the Options Markets' SSRN 11/08

Okimoto Tatsuyoshi 'New Evidence of Asymmetric Dependence Structures in International Equity Markets' JF&QA V.43, #3, September 2008

Olszewski Wojciech, Alvaro Sandroni 'Manipulability of Future-Independent Tests' Econometrica V.76,#6 Nov. 2008

Omran Mohammed, John Pointon 'A Scenario Analysis of the Risk Premium In G7 Countries' IJT&AF  Nov. 2008 V.11,#7

Owen Mark, Gordan Žitkovic 'Optimal Investment with an Unbounded Random Endowment and Utility-Based Pricing' Mathematical Finance Jan. 2009 V19, #1

Oyer Paul 'The Making of an Investment Banker: Stock Market Shocks, Career Choice, and Lifetime Income' JofF V.63,#6 Dec. 2008

Ozeki Takaaki, Yuji Umezawa, Akira Yamazaki, Daisuke Yoshikawa 'An Extension of Creditgrades Model Approach with Lévy Processes' SSRN 11/08

Ozeki Takaaki, Yuji Umezawa, Akira Yamazaki, Daisuke Yoshikawa 'Valuation of Residential Mortgage-Backed Securities with Proportional Hazard Model: Cumulant Expansion Approach to Pricing RMBS' SSRN 11/08

Ozerturk Saltuk 'Risk Sharing, Risk Shifting and the Role of Convertible Debt' J. Math. Econ. 11/08 V.44,#11

Pain A., O. Renault, D. Shelton 'Base Correlation - The Term Structure Dimension' 2005 Citigroup

Palacios Miguel 'The Value and the Risk of Aggregate Human Capital: Implications from a General Equilibrium Model' SSRN 11/08

Palczewski Jan, Klaus Reiner Schenk-Hoppé 'From Discrete to Continuous Time Evolutionary Finance Models' SSRN 11/08

Palmon Dan, Ephraim Sudit, Ari Yezegel 'The Accruals Anomaly and Company Size' Financial Analysts Journal, September/October 2008, V.64, #5

Pan Jun, Kenneth Singleton 'Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads' JofF V.63,#5 Oct. 2008

Pandes Ari 'Bought Deals: The Value of Underwriter Certification in Seasoned Equity Offerings' AFA Meeting 2009

Paravisini Daniel 'Local Bank Financial Constraints and Firm Access to External Finance' JofF V.63,#5 Oct. 2008

Park Kwangwoo, George Pennacchi 'Harming Depositors and Helping Borrowers: The Disparate Impact of Bank Consolidation' RFS Jan. 2009 V.22,#1

Pasquariello Paolo 'Informative Trading or Just Noise? An Analysis of Currency Returns, Market Analysis of Currency Returns, Market Proximity of Central Bank Interventions' SSRN 11/08

Pástor Lubo, Meenakshi Sinha, Bhaskaran Swaminathan 'Estimating the Intertemporal Risk–Return Tradeoff Using the Implied Cost of Capital' JofF V.63,#6 Dec. 2008

Patel Samir, Daniel Kirsch 'Introducing the Consumption Option' RISK Oct. 2008 <timer option>  

Paulot Louis, Xavier Lacroze 'Efficient Pricing of CPPI Using Markov Operators' SSRN 1/09

Pavlova Anna, Roberto Rigobon 'Equilibrium Portfolios and External Adjustment under Incomplete Markets' AFA Meeting 2009

Pedersen Thomas Quistgaard 'Intertemporal Asset Allocation with Habit Formation in Preferences: An Approximate Analytical Solution' SSRN 12/08

Pei Dingyi 'Authentication Codes and Combinatorial Designs' 2006 CRC Press Peng Shige 'Multi-Dimensional G-Brownian Motion and Related Stochastic Calculus

under G-Expectation' SP&A V.118,#12 12/08

Perignon Christophe, Daniel R. Smith 'A New Approach to Comparing VaR Estimation Methods' J. Derivatives Winter 2008

Petersen Mitchell 'Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches' RFS Jan. 2009 V.22,#1

Peterson Brian, Kris Boudt 'Component VAR for a Non-Normal World' 11/08 Philippe Charlot, Vêlayoudom Marimoutou 'Hierarchical Hidden Markov Structure for

Dynamic Correlations: The Hierarchical RSDC Model' SSRN 10/08 Philippon Thomas 'The Y-Theory of Investment' SSRN 11/08 Philippon Thomas, Yuliy Sannikov 'Real Options in a Dynamic Agency Model, with

Applications to Financial Development, IPOs, and Business Risk' SSRN 11/08 Philips Thomas, Arun Muralidhar 'Saving Social Security: A Better Approach' FAJ

Nov/Dec 2008 V.64,#6 Piazzesi Monika 'Interest Rates, Government Debt' AFA Meeting 2009 Piskorski Tomasz, Alexei Tchistyi 'Stochastic House Appreciation and Optimal

Mortgage Lending' AFA Meeting 2009 Pitaraks Jean-Yves 'Comment on: Threshold Autoregressions with a Unit Root'

Econometrica V.76,#5, 9/08 Piterbarg Vladimir 'Rates Squared' <parameterised class of multi-factor quadratic

Gaussian models, calibration formulas> RISK 1/09 Platikanova Petya 'Long-Term Price Effect of S&P 500 Addition and Earnings

Quality' Financial Analysts Journal, September/October 2008, V.64, #5 Pojarliev Momtchil, Richard Levich 'Do Professional Currency Managers Beat the

Benchmark?' Financial Analysts Journal, September/October 2008, V.64, #5 Polk Christopher, Paola Sapienza 'The Stock Market and Corporate Investment: A

Test of Catering Theory' RFS Jan. 2009 V.22,#1 Pollet Joshua, Mungo Wilson 'How Does Size Affect Mutual Fund Behavior?' JofF

V.63,#6 Dec. 2008 Portero L., J.C. Jorge 'A Generalization of Peaceman-Rachford Fractional Step

Method' Journal of Computational and Applied Mathematics V.189, #1 May 2006 Poteshman Allen 'Forecasting Future Volatility from Option Prices' UIUC 2000 Potì Valerio 'A Note on Return Predictability and Price Bubbles' SSRN 11/08 Puckett Andy, Xuemin Sterling Yan 'The Interim Trading Skills of Institutional

Investors' AFA Meeting 2009 Qian Edward 'Optimal Trading Strategy with Optimal Horizon' Journal of Investment

Management 3Q 2008 <Trading Strategy><Liquidity, fixed cost, risk, calculus of variations>  

Qiao Huijie, Xicheng Zhang 'Homeomorphism Flows for Non-Lipschitz Stochastic Differential Equations with Jumps' SP&A V.118,#12 12/08

Raberto Marco, Andrea Teglio, Silvano Cincotti 'Integrating Real and Financial Markets in an Agent-Based Economic Model: An Application to Monetary Policy Design' Computational Economics V.32,#1-2, 9/08

Rauch Joshua, Amir Sufi 'Capital Structure and Debt Structure' AFA Meeting 2009 Rebonato Riccardo, Andrey Pogudin, Richard White 'Delta and Vega Hedging in the

SABR and LMM-SABR Models' <market data> RISK 12/08 Rehmeyer Julie 'What's the Weather Like Now?' <ensemble Kalman filter> SIAM News

Dec.08 Rice Tara, Philip Strahan 'Does Credit Supply Affect Small-Firm Finance?' AFA

Meeting 2009 Richie Nivine, Robert Daigler, Kimberly Gleason 'The limits to stock index

arbitrage: Examining S&P 500 futures and SPDRS' J. Futures Markets V.28,#12 Dec.2008

Rigotti Luca, Chris Shannon, Tomasz Strzalecki 'Subjective Beliefs and ex ante Trade' Econometrica V.76,#5, 9/08

Roache Shaun 'Commodities and the Market Price of Risk' IMF Working Paper #08/221 SSRN 10/08

Roberts A.J. 'Elementary Calculus of Financial Mathematics' SIAM Books 2008 Roberts Michael 'Corporate Capital Structure' AFA Meeting 2009 Rodrigo Marianito, Rogemar Mamon 'A New Representation of the Local Volatility

Surface' IJT&AF  Nov. 2008 V.11,#7 Rodriguez Abel, Enrique ter Horst 'Measuring Expectations in Options Markets: An

Application to the S&P500 Index' SSRN 12/08

Roncalli Thierry, Guillaume Weisang 'Tracking Problems, Hedge Fund Replication and Alternative Beta' SSRN 1/09

Roncoroni Andrea 'Arbitrage Models of Commodity Prices' SSRN 10/08 Rosen Dan, David Saunders 'Analytical Methods for Hedging Systematic Credit Risk

with Linear Factor Portfolios' JED&C 1/09 V.33,#1 Rosenthal Dale 'Approximating Correlated Defaults for Credit Default Options and

Swaps' SSRN 12/08 Rosenthal Dale 'Approximating Correlated Defaults for Credit Default Options and

Swaps' SSRN 12/08 Rossi Marco ‘Market Participation and Dividend Clienteles’ AFA Meeting 2009 Rountree Brian, James Weston, George Allayannis 'Do Investors Value Smooth

Performance?' JFE V.90,#3 12/08 Ryten M. 'Practical Modeling for Limited Price Index and Related Inflation

Products' presentation ICBI Global conference 2007 Safra Zvi, Uzi Segal 'Calibration Results for Non-Expected Utility Theories'

Econometrica V.76,#5, 9/08 Sarkissian Sergei, Michael Schill 'Are There Permanent Valuation Gains to Overseas

Listing?' RFS Jan. 2009 V.22,#1 Sasaki Yuya, Arthur Caplan 'Matching Heterogeneous Traders in Quantity-Regulated

Markets' Computational Economics V.31,#4 April 2008 Schachermayer Walter, Mihai Sîrbu, Erik Taflin 'In Which Financial Markets Do

Mutual Fund Theorems Hold True?' Finance and Stochastic 1/09 V.13,#1 Schenk-Hoppé Klaus Reiner, Jan Palczewski 'Market Selection of Constant

Proportions Investment Strategies in Continuous Time' SSRN 11/08 Schied Alexander, Torsten Schöneborn 'Liquidation in the Face of Adversity:

Stealth vs. Sunshine Trading' 2007 Schied Alexander, Torsten Schöneborn 'Optimal Basket Liquidation with Finite Time

Horizon for CARA Investors' 2008 Schied Alexander, Torsten Schöneborn 'Optimal Portfolio Liquidation for CARA

Investors' 2007 Schied Alexander, Torsten Schöneborn 'Risk Aversion and the Dynamics of Optimal

Liquidation Strategies in Illiquid Markets' tobe Finance and Stochastics Schiller Frank, Gerold Seidler, Maximilian Wimmer 'Temperature Models for Pricing

Weather Derivatives' SSRN 10/08 Schotman Peter, Rolf Tschernig, Jan Budek 'Long Memory and the Term Structure of

Risk' Journal of Financial Econometrics, V.6, #4, 2008 Schoutens Wim 'Stochastic Processes and Orthogonal Polynomials' Lect. Notes in

Stats. 146 Springer 2000 Schulmerich Marcus 'Real Options Valuations: the Importance of Interest Rate

Management in Theory and Practice' Springer 2005 Lecture Notes #559 Schwarcz Steven 'Understanding the 'Subprime' Financial Crisis' Duke Public Law &

Legal Theory Paper Series #222 SSRN 10/08 Schweizer Martin, Johannes Wissel 'Arbitrage-free Market Models for Option Prices:

The Multi-Strike Case' Finance and Stochastics V.12,#4 Oct. 2008 <Market model, Local Implied volatility, Static and Dynamic arbitrage, Drift restrictions, Existence result>

Seifried Frank Thomas 'Optimal Investment with Deferred Capital Gains Taxes' SSRN 12/08

Sekine Jun 'A Note on the Risk-Premium Process in an Equilibrium' IJT&AF  Nov. 2008 V.11,#7

Sepp Artur 'Dynamically Correlated Credits' 2007 (Merrill Lynch research paper) Sepp Artur 'Extended CreditGrades Model with Stochastic Volatility and Jumps'

Wilmott Mag. 2006 Serban Mihaela, John Lehoczky, Duane Seppi 'Cross-Sectional Stock Option Pricing

and Factor Models of Returns' SSRN 12/08 Sergienko Alexander 'Quantum Communications and Cryptography' 2006 CRC Press Sharma Vivek, Jungshik Hur, Hei Wai Lee 'Glamour versus Value: Trading Behavior of

Institutions and Individual Investors' SSRN 11/08 Shefrin Hersh 'Risk and Return in Behavioral SDF-Based Asset Pricing Models' J.

Investment Management 4Q 2008

Shiryaev Albert, Zuoquan Xu, Xun Yu Zhou 'Response to Comment on 'Thou Shalt Buy and Hold' ' QF V.8,#8 2008

Shiryaev Albert, Zuoquan Xu, Xun Yu Zhou 'Thou Shalt Buy and Hold' QF V.8,#8 2008 Siegel Laurence 'Alternatives and Liquidity: Will Spending and Capital Calls Eat

Your "Modern" Portfolio?' J. Portfolio Management Fall 2008 Sipics Michelle 'Digging Out Worthwhile Content on the Web' SIAM News Oct. 08 Siriopoulos Costas, Athanasios Fassas 'An Investor Sentiment Barometer - Greek

Implied Volatility Index' SSRN 11/08 Siriopoulos Costas, Athanasios Fassas 'The Information Content of VFTSE' SSRN

11/08 Soe Aye 'S&P 500 Dividend Aristocrats' SSRN Jan. 09 Song Qingyi (Freda) 'Financial Distress, the Idiosyncratic Volatility Puzzle and

Expected Returns' SSRN 11/08 Souza Leonardo Rocha 'Why Aggregate Long Memory Time Series?' Econometric Reviews,

V.27 #1-3 Jan.-June 2008 Spalt Oliver 'Probability Weighting and Employee Stock Options' AFA Meeting 2009 Spargoli Fabrizio, Paolo Zagaglia 'The Co-Movements Along the Forward Curve of

Natural Gas Futures: A Structural View' SSRN 11/08 Stamicar Robert, Christopher Finger 'Incorporating Equity Derivatives Into The

Creditgrades Model' 2005 RiskMetrics Group Standard & Poors 'Inflation and Industry Returns - A Global Perspective' SSRN

12/08 Stanton Richard, Nancy Wallace, Jennifer Carpenter 'Optimal Exercise of Executive

Stock Options and Implications for Firm Cost' SSRN 11/08 Steinbacher Matjaz 'Acceptable Risk in a Portfolio Analysis' SSRN 12/08 Stentoft Lars 'American Option Pricing Using GARCH Models and the Normal Inverse

Gaussian Distribution' Journal of Financial Econometrics, V.6, #4, 2008 Stoll Hans 'Future of Securities Markets: Competition or Consolidation?' FAJ

Nov/Dec 2008 V.64,#6 Stoughton Neal, Youchang Wu, Josef Zechner 'Intermediated Investment Management'

AFA Meeting 2009 Strang Gilbert 'Computational Science and Engineering' Wellesley-Cambridge

Press 2008 Stulz René 'Risk Management Failures: What are they and When Do They Happen?' SSRN

10/08 Su Liangjun, Zhijie Xiao 'Testing Structural Change in Time-Series Nonparametric

Regression Models' Statistics and Its Interface V.1,#2 2008 Svenstrup Mikkel, Søren Willemann 'Reforming Housing Finance: Perspectives from

Denmark' JRER V.28,#2 2006 Swinkels Laurens, Liam Tjong-A-Tjoe 'Can Mutual Funds Time Investment Styles?'

Journal of Asset Management, V.8, #2 Swishchuk Anatoliy 'Multi-Factor Lévy Models: Change of Time and Pricing of

Financial and Energy Derivatives' SSRN Jan. 09 Szyszka Adam 'Generalized Behavioral Asset Pricing Model' SSRN 11/08 Takahashi Akihiko, Akira Yamazaki 'Efficient Static Replication of European

Options under Exponential Lévy models' J. Futures Markets V.29, #1 Jan.2009 Takamizawa Hideyuki, Isao Shoji 'Modeling the Term Structure of Interest Rates

with General Diffusion Processes:  a Moment Approximation Approach' JED&C 1/09 V.33,#1

Tan Sinan 'The Role of Options in Long Horizon Portfolio Choice' AFA Meeting 2009 Taylor J.C. 'An Introduction to Measure and Probability' Springer 1998 Teague Vanessa 'Problems With Coordination in Two-Player Games: Comment on

"Computational Complexity and Communication"' Econometrica V.76,#6 Nov. 2008 Thorburn Karin 'Takeovers and Equity Offerings' AFA Meeting 2009 Thornton Daniel 'The Fed, Liquidity, and Credit Allocation' Review St. Louis Fed

V. 91, # 1 Tille Cedric, Eric van Wincoop 'International Capital Flows under Dispersed

Information: Theory and Evidence' NBER Working Paper #W14390 SSRN 10/08 Timmer Jens, Andreas Weigend 'Modeling Volatility Using State Space Models' SSRN

10/08

Titman Sheridan, Cristian Ioan Tiu 'Do the Best Hedge Funds Hedge?' AFA Meeting 2009

Turc Julien, David Benhamou, Benjamin Herzog 'Pricing Bespoke CDOs - The Latest Developments' Societe Generale research paper 2006

Tutsch Sina 'Update Rules for Convex Risk Measures' QF V.8,#8 2008 Ulrich Maxim ' Inflation Ambiguity and the Term Structure of Arbitrage-Free U.S.

Government Bonds' SSRN 11/08 van Binsbergen Jules 'Deep Habits and the Cross Section of Expected Returns' AFA

Meeting 2009 Van Nieuwerburgh Stijn, Laura Veldkamp 'Information Immobility and the Home Bias

Puzzle' SSRN 11/08 Vanberg Christoph 'Why Do People Keep Their Promises? An Experimental Test of Two

Explanations' Econometrica V.76,#6 Nov. 2008 Vasicek Oldrich 'Probability of Loss on Loan Portfolio' KMV 1987 Velez-Pareja Ignacio 'Return to Basics: Are You Properly Calculating Tax Shields?'

SSRN 11/08 Wachter Jessica 'Can Time-Varying Risk of Rare Disasters Explain Aggregate Stock

Market Volatility?' SSRN 10/08 Wagner Wolf 'The Inefficiency of Diversification in Economies with Endogenous

Liquidation Costs' SSRN 12/08 Wang Kevin 'Reversal Fear and Momentum' AFA Meeting 2009 Wang Z., G.J. Klir 'Generalized Measure Theory' Springer 2008 Wang Zhi Jay, Vikram Nanda 'Why Do Aggressive Payout Policies Reduce Fund

Discounts - Is It Signaling, Agency Costs, or Dividend Preferences?' AFA Meeting 2009

Wei K.C. John, Feixue Xie 'Accruals, Capital Investments, and Stock Returns' Financial Analysts Journal, September/October 2008, V.64, #5

Weill Pierre-Olivier 'Liquidity Premia in Dynamic Bargaining Markets' SSRN 11/08 Weinbaum David 'Investor Heterogeneity, Asset Pricing and Volatility Dynamics'

JED&C, Forthcoming SSRN 12/08 Weintraub Gabriel, C. Lanier Benkard, Benjamin Van Roy 'Markov Perfect Industry

Dynamics with Many Firms' Econometrica V.76,#6 Nov. 2008 Whalley A. Elizabeth 'Optimal Partial Hedging of Options with Small Transaction

Costs' SSRN 12/08 Wheelock David 'Changing the Rules: State Mortgage Foreclosure Moratoria During

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Switching' Journal of Computational Finance 12.1 (Fall 2008) Wilcox Diane, Tim Gebbie 'Serial Correlation, Periodicity and Scaling of

Eigenmodes in an Emerging Market' IJT&AF  Nov. 2008 V.11,#7 Witzany Jiri 'Construction of Equivalent Martingale Measures with Infinitesimals'

SSRN 9/08 Wong Hoi Ying, Chun Man Chan 'Turbo Warrants under Stochastic Volatility' QF

V.8,#7 2008 Wright Jonathan, Hao Zhou 'Bond Risk Premia and Realized Jump Risk' AFA Meeting

2009 Wright Jonathan, Hao Zhou 'Bond Risk Premia and Realized Jump Volatility' FEDS

Working Paper #2007-22 SSRN 10/08 Wu Guojun, Zhijie Xiao 'Are There Speculative Bubbles in Stock Markets? Evidence

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Mutual Funds: A Puzzle' J. Investment Management 4Q 2008 Yan Hongjun 'Is Noise Trading Cancelled Out by Aggregation?' AFA Meeting 2009 Yan Xuemin (Sterling) 'Liquidity, Investment Style, and the Relation between Fund

Size and Fund Performance' JF&QA V.43, #3, September 2008 Yang Liu 'The Real Determinants of Asset Sales' JofF V.63,#5 Oct. 2008 Yi Bingsheng, Mohamed El-Badawi, Barry Lin 'Pre-Issue Investor Optimism and Post-

Issue Underperformance' Financial Analysts Journal, September/October 2008, V.64, #5

Yogo Motohiro 'Portfolio Choice in Retirement: Health Risk and the Demand for Annuities, Housing, and Risky Assets' AFA Meeting 2009

Yu Minjie, Qiang Zhang, Dennis Yang 'Bankruptcy in Long-Term Investments' QF V.8,#8 2008

Yu Susana 'Reinganum's Trading Strategies Revisited: Structuring Profitable Strategies Based on Updated Filters' Managerial Finance, Forthcoming SSRN 12/08

Yu Susana, Dean Leistikow 'Which Explains an Equity Indexes' Return Better, the Change in its Own Implied Volatility or that for a Broader Index?' Journal of Investment Management, Forthcoming SSRN 12/08

Yuan Jianhua, Robert Savickas 'To Intercept or Not to Intercept, That Is the Question in Asset-Pricing Tests' SSRN 12/08

Zhang Xiaoyan, Rui Zhao, Yuhang Xing 'What Does Individual Option Volatility Smirk Tell Us About Future Equity Returns?' AFA Meeting 2009

Zhou Guofu 'On the Fundamental Law of Active Portfolio Management: How to Make Conditional Investments Unconditionally Optimal' J. Portfolio Management Fall 2008

Zhou Hao 'Stochastic Economic Uncertainty and Monetary Policy Target' SSRN 11/08 Zhu Jinxia, Hailiang Yang 'Estimates for the Absolute Ruin Probability in the

Compound Poisson Risk Model with Credit and Debit Interest' J. Applied Probability V.45,#3 9/08

Zilca Shlomo 'The Variance Ratio and Trend Stationary Model as Extensions of a Constrained Autoregressive Model' SSRN 10/08

Zumbach Gilles 'Volatility Forecasts and the At-the-Money Implied Volatility: A Multi-Components ARCH Approach and its Relation with Market Models' SSRN 12/08