(Various) 'Energy's Future and Beyond Carbon' SA 9/06 <coal, nuclear, fusion, wind, hydrogen, biomass, photovoltaic>

Acemoglu Daron, Michael Golosov, Aleh Tsyvinski 'Political Economy of Mechanisms' Econometrica V.76, #3, May 2008

Acharya Sankarshan 'Safe Banking to Avoid Moral Hazard' Journal of Risk Management in Financial Institutions V1.,#3 2008

Aghion Philippe, Jeremy Stein 'Growth versus Margins: Destabilizing Consequences of Giving the Stock Market What It Wants' JofF V.63,# 3 June 2008

Ahlip Rehez 'Foreign Exchange Options under Stochastic Volatility and Stochastic Interest Rates' IJT&AF V.11, #3 5/08  

Ahmed M. 'An Exploration of Compact Finite Difference Methods for Numerical Solution of PDE' PhD U. Western Ontario 1997

Albanese Claudio, Alicia Vidler 'Dynamic Conditioning and Credit Correlation Baskets' in The Complete Guide to CDOs - Market, Application, Valuation, And Hedging, Risk Books, Forthcoming

Albrecher Hansjörg, Philipp Mayer, Wim Schoutens 'General Lower Bounds for Arithmetic Asian Option Prices' Applied Math. Finance V.15,#2 2008

Alessandri Piergiorgio 'Miller and Modigliani, Predictive Return Regressions and Cointegration' Oxford Bulletin of Economics and Statistics, V. 70, Issue 2, April 2008

Alexander Carol, Andreas Kaeck 'Regime Dependent Determinants of Credit Default Swap Spreads' Journal of Banking and Finance V.32, #6 June 2008

Alexander Gordon, Alexandre Baptista 'Active Portfolio Management with Benchmarking: Adding a Value-at-Risk Constraint' JED&C V.32, #3 March 2008

Alghalith Moawia 'Alternative Expected Utility Theory' SSRN 6/08 Allaart Pieter, Michael Monticino 'Optimal Buy/Sell Rules for Correlated

Random Walks' Journal of Applied Probability V.45, #1 3/08 Almazan Andres, Sanjay Banerji, Adolfo De Motta 'Attracting Attention: Cheap

Managerial Talk and Costly Market Monitoring' JofF V.63,# 3 June 2008 Al-Najjar Nabil, Jonathan Weinstein 'Comparative Testing of Experts'

Econometrica V.76, #3, May 2008 Alòs Elisa, Christian-Oliver Ewald 'Malliavin Differentiability of the Heston

Volatility and Applications to Option Pricing' <Novikov condition, assure second Malliavin derivative of Heston volatility, Hull-White formula>Advances in Applied Probability V.40,#1 3/08

Andersen Leif 'Markov Models for Commodity Futures: Theory and Practice' SSRN 5/08

Andersen Leif 'Option Pricing with Quadratic Volatility: A Revisit' SSRN 4/08 Andersen Steffen, Glenn Harrison, Morten Lau, E. Elisabet Rutström 'Eliciting

Risk and Time Preferences' Econometrica V.76, #3, May 2008 Andersen Torben, Tim Bollerslev, Per Houmann Frederiksen, Morten Ørregaard

'Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns' SSRN 6/08

Andersen Torben, Tim Bollerslev, Xin Huang 'A Reduced Form Framework for Modeling Volatility of Speculative Prices Based on Realized Variation Measures' SSRN 6/08

Anderson Brian D.O. 'Reverse-Time Diffusion Equation Models' SP&A 12, 1982 Ang Andrew, Geert Bekaert, Min Wei ‘The Term Structure of Real Rates and

Expected Inflation’ JofF 4/08 V.63,#2 Angelelli Enrico, Renata Mansini, M. Grazia Speranza 'A Comparison of MAD and

CVaR Models with Real Features' J. Banking and Finance V.32,#7 July 2008

Applebaum David 'A Lévy-Cielsielski Expansion for Quantum Brownian Motion and the Construction of Quantum Brownian Bridges' Journal of Applied Analysis, 13, 275-90 (2007)

Applebaum David 'Brownian Motion and Lévy Processes on Locally Compact Groups' Methods Of Functional Analysis And Topology 12, 2006

Applebaum David 'Covariant Mehler Semigroups in Hilbert Space' Markov Processes and Related Fields 13, 159-69 (2007)

Applebaum David 'Lévy Processes - From Probability Theory to Finance And Quantum Groups' Notices of the American Math Soc. 51, 1336-47 (2004)

Applebaum David 'Lévy Processes and Stochastic Integrals in Banach Spaces' Probability and Mathematical Statistics 27, 75-88 (2007)

Applebaum David 'Lévy-Type Stochastic Integrals with Regularly Varying Tails' Stochastic Analysis and its Applications, 23, 1-18 (2005)

Applebaum David 'Martingale-Valued Measures, Ornstein-Uhlenbeck Processes with Jumps and Operator Self-Decomposability in Hilbert Space' Seminaire de Probabilites 39 171-97 (2005)

Applebaum David 'On the Infinitesimal Generators of Ornstein-Uhlenbeck Processes with Jumps in Hilbert Space' Potential Analysis 26 79-100 (2007)

Applebaum David 'Probability Measures on Compact Lie Groups which Have Square-Integrable Densities'

Applebaum David 'Universal Malliavin Calculus in Fock and Lévy-Ito Spaces' Appllebaum David 'Lectures on Lévy Processes, Stochastic Calculus and

Financial Applications' 9/05 <Stochastics> Arnott Robert, Jason Hsu 'Noise, CAPM and the Size and Value Effects' Journal

of Investment Management 1Q 2008 Asai Manabu, Michael Mcaleer, Bernardo De Veiga 'Portfolio Single Index (PSI)

Multivariate Conditional and Stochastic Volatility Models' Math. & Computers in Simulation V.78, #2-3 July 2008

Ascher Uri 'Numerical Methods for Evolutionary Differential Equations' SIAM Press 2008

Ashta Arvind ‘How Can Beta be Saved in the Face of Loss Aversion?’ SSRN 4/08 Åström Karl Johan, Richard Murray 'Feedback Systems: An Introduction for

Scientists and Engineers' Princeton Press 2008 Athey Susan, Kyle Bagwell 'Collusion with Persistent Cost Shocks' Econometrica

V.76, #3, May 2008 Athreya Kartik 'Credit Access, Labor Supply, and Consumer Welfare' FRB

Richmond Winter 2008 V. 94 # 1 Avellaneda Marco, Sasha Stoikov 'High-Frequency Trading in a Limit Order Book'

QF V.8, #3 2008 Avellaneda  Marco, Dash Boyer-Olson, Jérôme Busca; Peter Friz 'Application of

Large Deviation Methods to the Pricing of Index Options in Finance' C. R. Math. Acad. Sci. Paris 336 (2003), no. 3

Bain Alan, Dan Crisan 'Fundamentals of Stochastic Filtering' Springer 2008 Bajlum Claus, Peter Tind Larsen 'Capital Structure Arbitrage: Model Choice and

Volatility Calibration' Centre for Analytical Finance 2007 Bajlum Claus, Peter Tind Larsen, 'Accounting Transparency and the Term

Structure of Credit Default Swap Spreads' Centre For Analytical Finance 2007

Baker Malcolm, Johnathan Wang, Jeffrey Wurgler 'How Does Investor Sentiment Affect the Cross-Section of Stock Returns?' J. Investment Management 2Q 2008

Bali Turan, K. Ozgur Demirtas, Haim Levy 'Nonlinear Mean Reversion in Stock Prices' Journal of Banking and Finance V.32, #5 May 2008

Ballotta Laura 'Efficient Pricing of Ratchet Equity Indexed Annuities in a VG Economy' SSRN 5/08

Bandi Federico, Benoit Perron 'Long-Run Risk-Return Trade-Offs' Journal of Econometrics V.143,#2 April 2008

Baptista Alexandre 'Optimal Delegated Portfolio Management with Background Risk' Journal of Banking and Finance V.32, #6 June 2008

Barone-Adesi Giovanni, Robert Engle, Loriano Mancini 'A GARCH Option Pricing Model with Filtered Historical Simulation' RFS May 2008 V.21, #3

Barone-Adesi Giovanni, Robert Engle, Loriano Mancini 'A GARCH Option Pricing Model with Filtered Historical Simulation' Swiss Finance Institute Research Paper No. 07-03 SSRN 4/08

Bartz Kevin, David Kane 'Matching Portfolios' SSRN 5/08 Basov Suren, Xiangkang Yin 'Nonlinear Pricing by Risk-Averse Principals' SSRN

6/08 Bastide Dorinel, Eric Benhamou, Marian Ciuca 'A Comparative Analysis of Basket

Default Swaps Pricing Using the Stein Method' Icfai Journal of Derivatives Markets, V. 5, No. 2, April 2008 Basu Parantap, Andrei Semenov, Kenji Wada 'Uninsurable Risk and

Financial Market Puzzles' SSRN 6/08 Bekaert Geert, Eric Engstrom ‘Inflation and the Stock Market: Understanding

the 'Fed Model'' SSRN 4/08 Bellini Fabio, Emanuela Rosazza Gianin 'On Haezendonck Risk Measures' Journal

of Banking and Finance V.32, #6 June 2008 Benaim Shalom, Peter Friz 'Regular Variation and Smile Asymptotics' tobe

Mathematical Finance 2008 , 5/06 <Volatility> <Roger Lee> Benaim Shalom, Peter Friz 'Smile Asymptotics II: Models with Known Moment

Generating Functions' <Heston model, NIG and CIR time change, VG, Variance Gamma> Journal of Applied Probability V.45, #1 3/08 <Volatility> <Wing-Behavior, Tauberian Theorem, Lévy, Heston>

Benaim Shalom, Peter Friz, Roger Lee 'On the Black-Scholes Implied Volatility at Extreme Strikes' Forthcoming in Frontiers in Finance , Jan 08 wp

Benati Luca, Charles Goodhart 'Investigating Time-Variation in the Marginal Predictive Power of the Yield Spread' JED&C V.32, #4 April 2008

Bender Christian, Christina Niethammer 'On Q -Optimal Martingale Measures in Exponential Lévy Models' F&S V.12,#3 July 2008

Beneish Messod Daniel, D. Craig Nichols 'Identifying Overvalued Equity' SSRN 5/08

Benth Fred Espen, Steen Koekebakker, Valeri Zakamouline 'The CARMA Interest Rate Model' SSRN 5/08

Berge Klaus, Giorgio Consigli, William Ziemba 'The Predictive Ability of the Bond-Stock Earnings Yield Differential Model' Journal of Portfolio Management Spring 2008

Bertrand Philippe, Jean-Luc Prigent 'Portfolio Insurance Strategies: OBPI versus CPPI' Finance, V. 26, No.1,  2005

Bhar Ramaprasad, Peipei Wang 'Is Jump Risk in iTraxx Sector Indices Diversifiable?' Journal of Fixed Income Spring 2008

Bharath Sreedhar, Tyler Shumway 'Forecasting Default with the Merton Distance to Default Model' RFS May 2008 V.21, #3

Bianconi Ginestra, Andrea De Martino, Fernando Ferreira, Matteo Marsili 'Multi-Asset Minority Games' QF V.8, #3 2008

Bielecki Tomasz, Andrea Vidozzi, Luca Vidozzi 'A Markov Copulae Approach to Pricing and Hedging of Credit Index Derivatives and Ratings Triggered Step-Up Bonds' J. Credit Risk V.4,#1 2008

Bingham Nick 'Regular Variation in Probability Theory' Publ. Inst. Math. Beograd. V.48 #62  

Bingham Nick, Goldie, C.M., Jef Teugels 'Regular Variation' Cambridge Press 1987

Bjerksund Petter, Bjarte Myksvoll, Gunnar Stensland 'Exercising Flexible Load Contracts: Two Simple Strategies' Applied Stochastic Models in Business & Industry, V. 24, No. 2, March/April 2008

Bjerksund Petter, Gunnar Stensland 'Closed Form Spread Option Valuation' SSRN 6/08

Bliss Richard, Mark Potter, Christopher Schwarz 'Performance Characteristics of Individual versus Team-Managed Mutual Funds' Journal of Portfolio Management Spring 2008

Bloch Daniel Alexandre 'Fast Calibration of Options on Variance Swaps' SSRN 3/08

Boehmer Ekkehart, Charles M. Jones, Xiaoyan Zhang ‘Which Shorts Are Informed?’ JofF 4/08 V.63,#2

Bogle John 'Black Monday and Black Swans' Financial Analysts Journal, March/April 2008, V. 64, No. 2

Bollerslev Tim, Hao Zhou 'Expected Stock Returns and Variance Risk Premia' SSRN 6/08

Bollerslev Tim, Michael Gibson, Hao Zhou 'Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities' SSRN 6/08

Bollerslev Tim, Tzuo Hann Law, George Tauchen 'Risk, Jumps, and Diversification' Journal of Econometrics V.144,#1 May 2008

Borovkov A.A., K.A. Borovkov 'Asymptotic Analysis of Random Walks:Heavy-Tailed Distributions' Cambridge Press 2008

Borovkov A.A., K.A. Borovkov 'Asymptotic Analysis of Random Walks:Heavy Tailed Distributions' Cambridge Press 2008 Boundt Kris, Christophe Croux, Sébastien Laurent 'Outlyingness Weighted

Quadratic Covariation' SSRN 6/08 Bou-Rabee Nawaf, Jerrold Marsden, Louis Romero 'Dissipation-Induced

Heteroclinic Orbits in Tippe Tops' SIAM Review June 2008 V. 50,#2 Bowsher Clive, Roland Meeks 'The Dynamics of Economic Functions: Modelling and

Forecasting the Yield Curve' Journal of the American Statistical Association, Forthcoming 2008

Boyarchenko Mitya, Sergei Levendorski 'No-Arbitrage Pricing:Analytical and Numerical Methods' CRC Press

Boyarchenko Mitya, Sergei Levendorski 'Refined and Enhanced Fast Fourier Transform Techniques, with an Application to the Pricing of Barrier Options' SSRN 5/08

Boyarchenko Svetlana, Sergei Levendorski ‘Exit Problems in Regime-Switching Models’ <Lévy processes, real options, perpetual American, Markov chain> J. Math. Econ. V44,#2 Jan 2008

Boyle Phelim, Alexander Potapchik 'Prices And Sensitivities of Asian Options: a Survey' Insurance:Mathematics and Economics V.42,#1 Feb. 2008

Boyle Phelim, Shui Feng, Weidong Tian, Tan Wang 'Robust Stochastic Discount Factors' RFS May 2008 V.21, #3

Brandes Ari Joshua ‘Toward a New Framework and a Better Understanding of Credit Default Swaps' SSRN 4/08

Brandt Michael, Alon Brav, John Graham, Alok Kumar 'The Idiosyncratic Volatility Puzzle: Time Trend or Speculative Episodes?' SSRN 6/08

Branger Nicole, Christian Schlag, Eva Schneider 'Optimal Portfolios When Volatility Can Jump' Journal of Banking and Finance V.32,#6 June 2008

Braun Matias, Claudio Raddatz 'The Politics of Financial Development: Evidence from Trade Liberalization' JofF V.63,# 3 June 2008

Bressoud David 'A Radical Approach to Lebesgue's Theory of Integration' Cambridge Press 2008

Briggs William, Van Emden Henson 'The DFT: An Owners Manual for the Discrete Fourier Transform' 1995 SIAM Press

Brigo Damiano, Kyriakos Chourdakis, Imane Bakkar ' Counterparty Risk Valuation for Energy-Commodities Swaps: Impact of Volatilities and Correlation' SSRN 6/08

Broll Udo, Bernard Michael Gilroy, Elmar Lukas 'Managing Credit Risk with Credit Derivatives' SSRN 5/08

Brown Jeffrey, Zoran Ivkovih, Paul Smith, Scott Weisbenner 'Neighbors Matter: Causal Community Effects and Stock Market Participation' JofF V.63,# 3 June 2008

Brown Stephen, Paul Lajbcygier, Bob Li 'Going Negative: What to Do with Negative Book Equity Stocks' SSRN 6/08 Brüggemann Ralf, Wolfgang Härdle, Julius Mungo, Carsten Trenkler 'VAR

Modeling for Dynamic Loadings Driving Volatility Strings' Journal of Financial Econometrics, Vol. 6, Issue 3, 2008

Brüggemann Ralf, Wolfgang Härdle, Julius Mungo, Carsten Trenkler 'VAR Modeling for Dynamic Loadings Driving Volatility Strings' Journal of Financial Econometrics, V. 6, Issue 3, 2008

Bruyere Richard, Rama Cont, Christophe Jaeck, Loic Fery, Thomas Spitz 'Credit Derivatives And Structured Credit Products' Wiley Press 2005

Brychkov Yury 'Handbook of Special Functions: Derivatives, Integrals, Series' 2008CRC Press

Brzezniak Zdzislaw, Tomasz Zastawniak 'Basic Stochastic Processes' paperback Springer 3rd printing edition 9/2000 <advanced undergrad>

Buckdahn Rainer, Jin Ma, Catherine Rainer 'Stochastic Control Problems for Systems Driven by Normal Martingales' Ann. Appl. Probab. V.18, #2 (2008) <Bellman, HJB,viscosity solution, jump size> \

Buescu Cristin, Abel Cadenillas 'Investors Preference for a Positive Tax Rate Depends on the Level of the Interest Rate' Mathematics and Financial Economics V.1, #2 July 2007

Buescu Cristin, Michael Taksar 'Optimal Portfolio Management in Markets with Asymmetric Taxation' Journal of Computational Finance v>11,#4 2008

Calvet Laurent, Adlai Fisher ‘Multifrequency Jump-Diffusions: An Equilibrium Approach’ <endogenous jumps, Markov regime-switching, fat tails, stochastic volatility, time deformation> J. Math. Econ. V44,#2 Jan 2008

Campello Murillo, Long Chen, Lu Zhang 'Expected Returns, Yield Spreads, and Asset Pricing Tests' RFS May 2008 V.21, #3

Caporale Guglielmo Maria, Juncal Cunado, Luis Gil-Alana 'Modelling Long-Run Trends and Cycles in Financial Time Series Data' SSRN 6/08

Caporale Guglielmo Maria, Mario Cerrato 'Using Chebyshev Polynomials to Approximate Partial Differential Equations' CESifo Working Paper Series No. 2308 

Caporin Massimiliano 'Evaluating Value-At-Risk Measures in Presence of Long Memory Conditional Volatility' J. Risk V.10,#3 2007?

Carbonell Felix, Juan Carlos Jimenez 'Weak Local Linear Discretizations for Stochastic Differential Equations with Jumps' Journal of Applied Probability V.45, #1 3/08

Carlen Eric, Ester Gabetta, Eugenio Regazzini 'Probabilistic Investigations on the Explosion of Solutions of the Kac Equation with Infinite Energy Initial Distribution' Journal of Applied Probability V.45, #1 3/08

Carlier Guillaume, Ivar Ekeland, Nizar Touzi 'Optimal Derivatives Design for Mean–Variance Agents under Adverse Selection' Mathematics and Financial Economics V1., #1 April 2007

Carlstrom Charles, Timothy Fuerst 'Inertial Taylor Rules: The Benefit of Signaling Future Policy' S.L. FRB Review May/June 2008 V.90,#3, Part 2

Carmona René, Savas Dayanik 'Optimal Multiple-Stopping of Linear Diffusions' Math. of O.R. May 2008 <Snell envelope, swing options, dynamic programming, Markov, financial securities>

Carpentier Cecile, Jean-François L'Her, Stephan Smith, Jean-Marc Suret 'Seasoned Equity Offerings, Investment Risk and Financial Constraints' SSRN 5/08

Carr Peter, Vadim Linetsky, Rafael Mendoza 'Time Changed Markov Processes in Unified Credit-Equity Modeling <time changed Markov diffusion process, state-dependent local volatility and killing rate (default intensity), time change is a Lévy subordinator, stock price process exhibits jumps state-dependent Lévy measure, jump-to-default extended CEV model (JDCEV)> FDIC Center for Financial Research Working Paper No. 2008-03 SSRN 3/08

Casas Isabel 'Estimation of Stochastic Volatility with LRD' Math. & Computers in Simulation V.78, #2-3 July 2008 <long-range dependence>

Casella Bruno, Gareth Roberts 'Exact Monte Carlo Simulation of Killed Diffusions' Advances in Applied Probability V.40,#1 3/08

Caskey Judson, John Hughes, Jing Liu 'Leverage, Excess Leverage and Future Stock Returns' SSRN 5/08

Castillo Enrique, Antonio Conejo, Ernesto Aranda 'Sensitivity Analysis in Calculus of Variations. Some Applications' SIAM Review June 2008 V. 50,#2

Cereceda Jose 'Local Hidden-Variable Models and Negative-Probability Measures' wp 2000

Cerniglia Joseph, Joshua Livnat 'First Come First Disserved' J. Investment Management 2Q 2008

Cerný Aleš, Jan Kallsen 'Mean–Variance Hedging and Optimal Investment in Heston's Model with Correlation' Mathematical Finance July 2008 V.18,#3

Cespa Giovanni ‘Information Sales and Insider Trading with Long-Lived Information’ JofF 4/08 V.63,#2

Chacko George, Jakub Jurek, Erik Stafford 'The Price of Immediacy' JofF V.63,# 3 June 2008

Chadwick Richard, Zhijie Liao 'High-Frequency Oscillations of a Sphere in a Viscous Fluid near a Rigid Plane' SIAM Review June 2008 V. 50,#2

Chan Justin, Dong Hong, Marti Subrahmanyam 'A Tale of Two Prices: Liquidity and Asset Prices in Multiple Markets' Journal of Banking and Finance V.32,# 6 June 2008

Chan Louis K.C., David Ikenberry, Josef Lakonishok, Sangwoo Lee 'Are Analysts All Alike? Identifying Earnings Forecasting Ability' J. Investment Management 2Q 2008

Chan W.S., S.H. Cheung, L.X. Zhang, K.H. Wu 'Temporal Aggregation of Equity Return Time-Series Models' Math. & Computers in Simulation V.78, #2-3 July 2008

Chan-Lau Jorge ‘Anticipating Credit Events Using Credit Default Swaps: An Application to Sovereign Debt Crises' in CREDIT RISK: MODELS, DERIVATIVES, AND MANAGEMENT, Chapter 9, CRC Press, 2008 SSRN 4/08

Chan-Lau Jorge 'FX-Adjusted Local Currency Spreads' SSRN 5/08 Chazal Marie, Elyès Jouini 'Equilibrium Pricing Bounds on Option Prices'

Mathematics and Financial Economics tobe 2008 Cheang Gerald, Carl Chiarella 'Hedge Portfolios in Markets with Price

Discontinuities' University of Technology Sydney Research Paper No. 218 SSRN 5/08

Chellathurai Thamayanthi, Thangaraj Draviam 'Markowitz Principles for Multi-Period Portfolio Selection Problems with Moments of Any Order' Proceedings of the Royal Society A V.464,#2092 4/8/08

Chen Gongmeng, Yoon K. Choi, Yong Zhou 'Detections of Changes in Return by a Wavelet Smoother with Conditional Heteroscedastic Volatility' Journal of Econometrics V.143,#2 April 2008

Chen Long, Shelly Zhao ‘What Drives Stock Price Movement?’ SSRN 4/08

Cheung Ka Chun, Hailiang Yang 'Ordering of Optimal Portfolio Allocations in a Model with a Mixture of Fundamental Risks' Journal of Applied Probability V.45, #1 3/08

Chevrier Thomas, Robert McCulloch ‘Using Economic Theory to Build Optimal Portfolios' SSRN 4/08

Chevrier Thomas, Robert McCulloch 'Using Economic Theory to Build Optimal Portfolios' SSRN April 2008

Chiarella Carl, Boda Kang, Gunter Meyer, Andrew Ziogas 'The Evaluation of American Option Prices Under Stochastic Volatility and Jump-Diffusion Dynamics Using the Method of Lines' University of Technology Sydney Research Paper No. 219 SSRN 5/08

Choi Kyoung Jin, Gyoocheol Shim, Yong Hyun Shin 'Optimal Portfolio, Consumption-Leisure and Retirement Choice Problem with CES Utility' Mathematical Finance July 2008 V.18,#3

Chou Ray, Heng-Chih Chou, Nathan Liu 'Range Volatility Models and Their Applications in Finance' SSRN 6/08

Chow Ying-Foon, Ming Liu, Xinting Fan 'Broad-Market Return Persistence and Momentum Profits' Math. & Computers in Simulation V.78, #2-3 July 2008

Christensen Bent Jesper, Morten Orregaard Nielsen, Jie Zhu 'Long Memory in Stock Market Volatility and the Volatility-in-Mean Effect: The FIEGARCH-M Model' Centre for Analytical Finance 2007

Christoffersen Peter, Christian Dorion, Kris Jacobs, Yintian Wang 'Volatility Components, Affine Restrictions and Non-Normal Innovations' SSRN April 2008

Christoffersen Peter, Kris Jacobs, Karim Mimouni 'Models for S&P500 Dynamics: Evidence from Realized Volatility, Daily Returns, and Option Prices' SSRN 6/08

Chu Eleanor 'Discrete and Continuous Fourier Transforms:Analysis, Applications and Fast Algorithms' 2008 CRC Press

Chung San-Lin, Yaw-Huei Wang 'Bounds and Prices of Currency Cross-Rate Options' Journal of Banking and Finance V.32, #5 May 2008

Cohen Henri, Gerhard Frey, Roberto Avanzi, Christophe Doche, Tanja Lange, Kim Nguyen, Frederik Vercauteren 'Handbook of Ellipic and Hyperelliptic Curve Cryptography' 2006 CRC Press

Collin-Dufresne Pierre, Robert Goldstein, Christopher Jones ‘Identification Of Maximal Affine Term Structure Models’ JofF 4/08 V.63,#2

Connor Gregory, Robert Korajczyk 'Factor Models in Portfolio and Asset Pricing Theory' SSRN 5/08

Cont Rama, Ioana Savescu ‘Forward Equations for Portfolio Credit Derivatives' SSRN 4/08

Coquet François, Sandrine TOLDO 'Convergence of Values in Optimal Stopping and Convergence of Optimal Stopping Times' <sequence of càdlàg processes convergence in optimal stopping times> Electronic Journal of Probability V.12, 2007

Cortazar Gonzalo, Carlos Milla, Felipe Severino 'A Multicommodity Model of Futures Prices: Using Futures Prices of One Commodity to Estimate the Stochastic Process of Another' Journal of Futures Markets V. 28, #6 June 2008

Cosa Cocozza, Di Lorenzo Emilia, Orlando Albina, Sibillo Marilena 'The VaR of the Mathematical Provision: Critical Issues' Journal of Risk Management in Financial Institutions V1.,#3 2008

Curtright Thomas, Cosmas Zachos 'Negative Probability and Uncertainty Relations' Modern Physics Letters A 2001

Cusatis Patrick 'An Analysis of the Failed Municipal Bond and Note Futures Contracts' Journal of Futures Markets V. 28, #7 July 2008

Cvitanic Jakša, Ali Lazrak, Tan Wang 'Implications of the Sharpe Ratio as a Performance Measure in Multi-Period Settings' JED&C May 08, V.32,#5

Cvitanic Jakša, Jianfeng Zhang 'Optimal Compensation with Adverse Selection and Dynamic Actions' Mathematics and Financial Economics V1., #1 April 2007

Da Veiga Bernardo, Felix Chan, Michael Mcaleer 'Modelling the Volatility Transmission and Conditional Correlations between A and B Shares in Forecasting Value-at-Risk' Math. & Computers in Simulation V.78, #2-3 July 2008

Dai Zhonglan, Edward Maydew, Douglas Shackelford, Harold Zhang ‘Capital Gains Taxes and Asset Prices: Capitalization or Lock-In?’ JofF 4/08 V.63,#2

Davi Charles 'In Defense of Credit Default Swaps' SSRN April 2008 Davis Joseph, Roger Aliaga-Diaz 'Real-Time Forecasting of U.S. Bond Yields and

their Excess Returns' SSRN 5/08 Davydenko Sergei, Julian Franks ‘Do Bankruptcy Codes Matter? A Study of

Defaults in France, Germany, and the U.K.’ JofF 4/08 V.63,#2 D'Azevedo Eduardo 'Grand Challenge:Millisecond-Scale Molecular Dynamics

Simulation' SIAM News June 08 de Bondt Gabe 'Determinants of Stock Prices: New International Evidence'

Journal of Portfolio Management Spring 2008 De Giorgi Enrico 'Evolutionary Portfolio Selection with Liquidity Shocks'

JED&C V.32, #4 April 2008 Derman Emanuel, Kun Soo Park , Ward Whitt 'A Stochastic Model for Hedge Fund

Relative Returns' SSRN 5/08 Deuskar Prachi, Anurag Gupta, Marti Subrahmanyam 'The Economic Determinants of

Interest Rate Option Smiles' Journal of Banking and Finance V.32, #5 May 2008

Dionne Georges, Pascal Francois, Olfa Maalaoui 'Detecting Regime Shifts in Corporate Credit Spreads' SSRN 6/08

Dobrev Dobrislav 'High Frequency Returns and Volatility in Financial Markets: Generalized Range Theory and Conditional Moment Tests of No-Arbitrage Semi-Martingale Restrictions' PhD Kellogg NU 2007

Domian Dale, William Reichenstein 'Returns-Based Style Analysis of High-Yield Bonds' Journal of Fixed Income Spring 2008

Dorn Daniel, Gur Huberman, Paul Sengmueller ‘Correlated Trading and Returns’ JofF 4/08 V.63,#2

Dorn Jochen 'A CDO Option Market Model for Standardized CDS Index Tranches' Université Paris1 Panthéon-Sorbonne SSRN 5/08

Du Du 'How Bad Will the Potential Economic Disasters Be? Evidences from S&P 500 Index Options Data' SSRN 6/08

Duchin Rabm, Moshe Levy 'Disagreement, Portfolio Optimization, and Excess Volatility' SSRN 6/08

Duchin Rabm, Moshe Levy 'Portfolio Optimization and the Distribution of Firm Size' SSRN 6/08

Duffie Darrell, Henry Hu 'Competing for a Share of Global Derivatives Markets: Trends and Policy Choices for the United States' SSRN 6/08

Duffy Dean 'Mixed Boundary Value Problems' 2008 CRC Press Duffy Ken, Artem Sapozhnikov 'The Large Deviation Principle for the On-Off

Weibull Sojourn Process' Journal of Applied Probability V.45, #1 3/08 Dunbar Kwamie 'US Corporate Default Swap Valuation: The Market Liquidity

Hypothesis and Autonomous Credit Risk' QF V.8, #3 2008 Durham J. Benson 'Implied Interest Rate Skew, Term Premiums, and the

"Conundrum"' Journal of Fixed Income Spring 2008 Dutt Samir, Gerd Welke 'Just-In-Time Monte Carlo for Path-Dependent American

Options' J. of Derivatives Summer 2008 <option-American> Dyck Alexander, Natalya Volchkova, Luigi Zingales 'The Corporate Governance

Role of the Media: Evidence from Russia ' JofF V.63,# 3 June 2008

Ederington Louis, Jesus Salas 'Minimum Variance Hedging When Spot Price Changes are Partially Predictable' Journal of Banking and Finance V.32,# 5 May 2008

Eisdorfer Assaf ‘Empirical Evidence of Risk Shifting in Financially Distressed Firms’ JofF 4/08 V.63,#2

Eldor Rafael, Shmuel Hauser, Uzi Yaari 'SPAN Margining of Option Trading: How Accuracy Promotes Efficiency' SSRN 4/08

Elie Romuald, Nizar Touzi 'Optimal Lifetime Consumption and Investment under a Drawdown Constraint' F&S V.12,#3 July 2008

Eling Martin 'Does the Measure Matter in the Mutual Fund Industry?' FAJ May/June 2008 V.64,#3

Engle Robert, Jose Gonzalo Rangel 'The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes' RFS May 2008 V.21, #3

Engsted Tom, Thomas Quistgaard Pedersen 'Return Predictability and Intertemporal Asset Allocation: Evidence from a Bias-Adjusted VAR Model' SSRN 5/08

Engstrom Stefan, Richard Grottheim, Peter Norman, Christian Ragnartz 'Alpha-Beta-Separation: From Theory to Practice' SSRN 5/08

Erdogan Emre, Donald Goldfarb, Garud Iyengar 'Robust Active Portfolio Management' Journal of Computational Finance v>11,#4 2008

Esteban-Bravo Mercedes 'An Interior-Point Algorithm for Computing Equilibria in Economies with Incomplete Asset Markets' JED&C V.32, #3 March 2008

Estrada Javier 'Fundamental Indexation and International Diversification' Journal of Portfolio Management Spring 2008

Fábián Csaba, Anna Veszprémi 'Algorithms for Handling CVaR Constraints in Dynamic Stochastic Programming Models with Applications to Finance' J. Risk V.10,#3 2007?

Farinelli Simone 'Geometric Arbitrage Theory and Market Dynamics' SSRN 3/08 Fasano Antonio, Alberto Mancini 'Math from the Pan: Fantastic Voyage through a

French Fry' SIAM News May 08 Fattahi N. 'Problems in Applied Mathematics: Analysis of Bermudan Options, and

Selected Topics in the Analysis of Quantum Field-Theoretical Perturbative Series' PhD U. Western Ontario 2002

Fayyad Wael 'A Call on Portfolio or Portfolio of Calls: Which is More Valued?' SSRN 5/08

Feinberg Yossi, Colin Stewart 'Testing Multiple Forecasters' Econometrica V.76, #3, May 2008

Felsenheimer Jochen, Philip Gisdakis 'Future Trends in the Structured Credit Market' Journal of Risk Management in Financial Institutions V1.,#3 2008

Feng Liming, Vadim Linetsky 'Pricing Discretely Monitored Barrier Options and Defaultable Bonds in Lévy Process Models: A Fast Hilbert Transform Approach' Mathematical Finance July 2008 V.18,#3 <Esscher transform, first passage time problems, credit risk, defaultable bonds, Fourier transform, Hilbert transform, Whittaker cardinal series, Sinc expansion> <option-barrier>

Fengler Matthias, Wolfgang Härdle, Enno Mammen 'A Semiparametric Factor Model for Implied Volatility Surface Dynamics' Journal of Financial Econometrics, Vol. 5, Issue 2,  2007

Ferguson Robert 'Some Formulae for Evaluating Two Popular Option Strategies' SSRN 5/08

Ferland René, Gaston Giroux 'Law of Large Numbers for Dynamic Bargaining Markets' Journal of Applied Probability V.45, #1 3/08

Fernández Pablo ‘Simulation for Option Valuation’ SSRN 4/08 Filipovic Damir, Gregor Svindl 'Optimal Capital and Risk Allocations for Law-

and Cash-Invariant Convex Functions' F&S V.12,#3 July 2008 Filipovic Damir, Michael Kupper 'Equilibrium Prices for Monetary Utility

Functions' IJT&AF V.11, #3 5/08  

Fiorani Filippo 'The Variance-Gamma Process for Option Pricing' <subject and algorithm from ”Pricing American Options under Variance Gamma”, forthcoming in Journal of Computational Finance, by Ali Hirsa, Dilip Madan>

Fischer Tom 'Consumption Processes and Positively Homogeneous Projection Properties' F&S V.12,#3 July 2008

Florescu Ionu, Frederi Viens 'Stochastic Volatility: Option Pricing using a Multinomial Recombining Tree' Applied Math. Finance V.15,#2 2008

Fogler H. Russell 'Sharpe's State-Preference Approach and Beyond: A Practitioner Overview' Journal of Portfolio Management Spring 2008

Fokas Athanassios 'A Unified Approach to Boundary Value Problems' SIAM Books 2008

Föllmer Hans, Alexander Schied, Stefan Weber ‘Robust Preferences and Robust Portfolio Choice’ wp 2007

Föllmer Hans, Walter Schachermayer 'Asymptotic Arbitrage and Large Deviations' Mathematics and Financial Economics tobe 2008

Francis Bill, Iftekhar Hasan, Delroy Hunter 'Does Hedging Tell the Full Story? Reconciling Differences in US Aggregate and Industry-Level Exchange Rate Risk Premia' Bank of Finland Research Discussion Paper No. 14/2008 

Frederiksen Per, Morten Ørregaard Nielsen 'Bias-Reduced Estimation of Long Memory Stochastic Volatility' SSRN 6/08

French Craig 'Old Stuff: The Inception of the CAPM' SSRN 3/08 Frey Rüdiger, Monika Popp, Stefan Weber 'An Approximation for Credit Portfolio

Losses' J. Credit Risk V.4,#1 2008 Fridson Martin, Kevin Covey, Karen Sterling 'Performance of Distressed Bonds'

Journal of Portfolio Management Spring 2008 Fries Christian, Mark Joshi 'Conditional Analytic Monte Carlo Pricing Scheme

for Auto-Callable Products' SSRN April 2008 Frydman Halina, Til Schuermann 'Credit Rating Dynamics and Markov Mixture

Models' Journal of Banking and Finance V.32, #6 June 2008 Fung Joseph, Yiuman Tse 'Efficiency of Single-Stock Futures: An Intraday

Analysis' Journal of Futures Markets V. 28, #6 June 2008 Gagnon Joseph 'Inflation Regimes and Inflation Expectations' S.L. FRB Review

May/June 2008 V.90,#3, Part 2 Galluccio Stefano, Andrea Roncoroni, Steven Hutt 'Interest Rate and Credit

Derivatives' Springer Finance 2006 Gavin William, Geetanjali Pande 'FOMC Consensus Forecasts' FRB St. Louis

Review May/June 2008 V. 90, # 3, Part 1 Gavin William, Kevin Kliesen 'Forecasting Inflation and Output: Comparing

Data-Rich Models with Simple Rules' <Dynamic Factor> FRB St. Louis Review May/June 2008 V. 90, # 3, Part 1

Giacomini Raffaella, Andreas Gottschling, Christian Haefke, Halbert White 'Mixtures of T-Distributions for Finance and Forecasting' Journal of Econometrics V.144,#1 May 2008

Gibson Michael 'Credit Derivatives and Risk Management' FRB Atlanta Economic Review 4Q 2007

Giesecke Kay, Shahriar Azizpour 'Self-Exciting Corporate Defaults' SSRN April 2008

Gil-Alana Luis, Antonio Moreno 'Uncovering the U.S. Term Premium: An Alternative Route' SSRN 3/08

Givoly Dan, Carla Hayn, Reuven Lehavy 'The Quality of Analysts' Cash Flow Forecasts' SSRN 5/08

Glukhovskoy Krill, Joseph Atangan Tanega 'CDOs under Siege - Part II: IAS Derecognition and Basel II' SSRN 6/08

Glukhovskoy Krill, Joseph Atangan Tanega 'CDOs under Siege Part I: Compliance Under the IAS and Basel II' Journal of International Banking Law and Regulation, Vol. 21, No. 11, November 2006

Godlewski Christophe 'Determinants of Bank Loan Syndication Structures for Emerging Market Borrowers' Journal of Risk Management in Financial Institutions V1.,#3 2008

Goldberg Lisa, Guy Miller, Jared Weinstein 'Beyond Value at Risk: Forecasting Portfolio Loss at Multiple Horizons' J. Investment Management 2Q 2008

Goldreich Oded 'Computational Complexity' Cambridge Press 2008 Gollier Christian ‘Understanding Saving and Portfolio Choices with Predictable

Changes in Assets Returns’ J. Math. Econ. V44,#5-6 April 2008 Gollier Christian 'The Consumption-Based Determinants of the Term Structure of

Discount Rates' Mathematics and Financial Economics V.1, #2 July 2007 Goltz Felix, Lionel Martellini, Koray Simsek 'Optimal Static Allocation

Decisions in the Presence of Portfolio Insurance' J. Investment Management 2Q 2008

Gómez-Valle Lourdes, Julia Martínez-Rodríguez 'Modelling the Term Structure of Interest Rates: an Efficient Nonparametric Approach' Journal of Banking and Finance V.32,#4 April 2008

Gong Guojin, Henock Louis, Amy Sun ‘Earnings Management and Firm Performance Following Open-Market Repurchases’ JofF 4/08 V.63,#2

Goovaerts Marc, Roger J.A. Laeven 'Actuarial Risk Measures for Financial Derivative Pricing' Insurance:Mathematics and Economics V.42,#2 April 2008

Graham Bryan 'Identifying Social Interactions through Conditional Variance Restrictions' Econometrica V.76, #3, May 2008

Greenwood Robin 'Excess Comovement of Stock Returns: Evidence from Cross-Sectional Variation in Nikkei 225 Weights' RFS May 2008 V.21, #3

Grégoire Philippe 'Insider Trading and Voluntary Disclosure' IJT&AF V.11, #2 3/08  

Griewank Andreas, Andrea Walther 'Evaluating Derivatives: Principles and Techniques of Algorithmic Differentiation' 2nd Ed. SIAM Books 2008

Gu Yonggeng, Jiwu Shu, Xiaotie Deng, Weimin Zheng 'A New Numerical Method for American Option Pricing' Science in China V.45(3) 2002

Guasoni Paolo, Miklós Rásonyi, Walter Schachermayer ‘The Fundamental Theorem of Asset Pricing for Continuous Processes under Small Transaction Costs’ 2008

Guasoni Paolo, Miklós Rásonyi, Walter Schachermayer 'Consistent Price Systems and Face-Lifting Pricing under Transaction Costs' Annals of Applied Probability V.18,#2 4/08

Guo Hui, Robert Savickas 'Average Idiosyncratic Volatility in G7 Countries' RFS May 2008 V.21, #3

Guo Hui, Robert Savickas 'Forecasting Foreign Exchange Rates Using Idiosyncratic Volatility' J. Banking and Finance V.32, #7 July 2008

Gutierrez Roberto, William Maxwell, Danielle Xu 'Persistence Performance in Corporate-Bond Mutual Funds' SSRN 5/08

Hackbarth Dirk, Erwan Morellec 'Stock Returns in Mergers and Acquisitions' JofF V.63,# 3 June 2008

Haddad Wassim, VijaySekar Chellaboina 'Nonlinear Dynamical Systems and Control: A Lyapunov-Based Approach' Princeton Press 2008

Hafner Reinhold, Martin Wallmeier 'Optimal Investments in Volatility' Financial Markets and Portfolio Management, V.22, No.2, 2008

Han Houde, Zhongyi Huang 'A Class of Artificial Boundary Conditions for Heat Equation in Unbounded Domains' Comput. Math. Appl. 43 (2000)

Han Song, Casey Mulligan 'Inflation and the Size of Government' S.L. FRB Review May/June 2008 V.90,#3, Part 2

Harvey Campbell, John Liechty, Merrill Liechty 'Bayes Vs. Resampling: A Rematch' Journal of Investment Management 1Q 2008

Hatchondo Juan Carlos 'A Quantitative Study of the Role of Wealth Inequality on Asset Prices' <Lucas tree model, concave absolute risk tolerance> FRB Richmond Winter 2008 V. 94 # 1

Haug Espen Gaarder 'Why So Negative to Negative Probabilities?' Wilmott Magazine 2008 <Volatility>

Haussmann Ulrich, Etienne Pardoux ‘Time Reversal of Diffusions’ The Annals of Probability 1986, 14

Hayre Lakhbir Hayre, Manish Saraf, Robert Young, Jiakai (David) Chen 'Modeling of Mortgage Defaults' Journal of Fixed Income Spring 2008

Henderson Vicky 'Valuing the Option to Invest in an Incomplete Market' Mathematics and Financial Economics V.1, #2 July 2007

Henry-Labordere Pierre 'Analysis, Geometry and Modeling in Finance: Advanced Methods in Options Pricing' 2008 CRC Press

Herzog Sebastian, Christian Koziol, Tim Thabe 'Optimal Credit Ratings' IJT&AF V.11, #2 3/08  

Hirshleifer David, Siew Hong Teoh 'Thought and Behavior Contagion in Capital Markets' SSRN 6/08

Hong Gwangheon, Sudipto Sarkar 'Commodity Betas with Mean Reverting Output Prices' J. Banking and Finance V.32,# 7 July 2008

Hörfelt Per 'A Short Cut to the Rainbow' <Option-Min/Max> <multi-asset> RISK June 08

Horneff Wolfram, Raimond Maurer, Olivia Mitchell, Michael Stamos 'Asset Allocation and Location Over the Life Cycle with Survival-Contingent Payouts' NBER Working Paper No. W14055 SSRN 6/08

Hoti Suhejla, Michael Mcaleer, Laurent Pauwels 'Multivariate Volatility in Environmental Finance' Math. & Computers in Simulation V.78, #2-3 July 2008

Huang Hongming, Yildiray Yildirim 'Valuing Tips Bond Futures with the Jarrow-Yildirim Model' <closed form> RISK June 08

Huang Jennifer, Jiang Wang 'Market Liquidity, Asset Prices and Welfare' NBER Working Paper No. W14058 SSRN 6/08

Huang Xiaoxia 'Mean-Semivariance Models for Fuzzy Portfolio Selection' J. Computational and Applied Mathematics V.217,#1 July 08

Hull John, Alan White 'Dynamic Models of Portfolio Credit Risk: A Simplified Approach' J. of Derivatives Summer 2008

Hurvich Clifford, Eric Moulines, Philippe Soulier 'Corrigendum to "Estimating Long Memory in Volatility"' Econometrica V.76, #3, May 2008

Husbands Parry 'Automatic Tuning of High-Performance Numerical Libraries: State of the Art and Open Problems' SIAM News June 08

Hvidkjaer Soeren 'Small Trades and the Cross-Section of Stock Returns' RFS May 2008 V.21, #3

Hwang Chuan-Yang, Thomas George 'A Resolution of the Distress Risk and Leverage Puzzles in the Cross Section of Stock Returns' SSRN April 2008

Iksanov Alex, Martin Möhle 'On the Number of Jumps of Random Walks with a Barrier' Advances in Applied Probability V.40,#1 3/08

Ilhan Aytaç, Mattias Jonsson, Ronnie Sircar 'Optimal Static-Dynamic Hedges for Exotic Options under Convex Risk Measures' April 2008

Isaenko Sergei 'On the Super-Replicating Approach when Trading a Derivative is Limited' QF V.8, #3 2008

Ito Hiroshi, Jari Toivanen 'Lagrange Multiplier Approach with Optimized Finite Difference Stencils for Pricing American Options Under Stochastic Volatility' Report B6/2006, Department of Mathematical Information Technology, U. Jyväskylä 2006

Ito Kazufumi, Karl Kunisch 'Lagrange Multiplier Approach to Variational Problems and Applications' SIAM Press 2008

Jacob Joshy, Vipul 'Estimation and Forecasting of Stock Volatility with Range-Based Estimators' Journal of Futures Markets V. 28, #6 June 2008

Jacobs Kris, Lotfi Karoui 'Conditional Volatility in Affine Term Structure Models: Evidence from Treasury and Swap Markets' Journal of Financial Economics tobe SSRN April 2008

Jacobs Kris, Xiaofei Li 'Modeling the Dynamics of Credit Spreads with Stochastic Volatility' Management Science June 2008 V. 54,#6

Jacobs Michael 'Modeling the Time Varying Dynamics of Correlations: Applications for Forecasting and Risk Management' SSRN 6/08

Jacod Jean, Philip Protter 'Probability Essentials' Springer 2nd Corrected 8/5/04 edition <advanced undergrads, beginning grad.>

Jaffard Stéphane, Yves Meyer, Robert Ryan 'Wavelets: Tools for Science and Technology' 2001 SIAM Press

Jain Pankaj 'The Profound Effects of Automation on Stock Markets' Journal of Investment Management 1Q 2008

Jamshidian Farshid 'Bivariate Support of Forward Libor and Swap Rates' Mathematical Finance July 2008 V.18,#3 <sharpening result of Davis and Mataix-Pastor (2007), prolific process>

Jamshidian Farshid 'The One-Factor Gaussian Interest Rate Model: Theory and Implementation' Merrill Lynch 1988

Jankowitsch Rainer, Rainer Pullirsch, Tanja Veža 'The Delivery Option in Credit Default Swaps' J. Banking and Finance V.32,# 7 July 2008

Janssen A.J.E.M., Johan Van Leeuwaarden, B. Zwart 'Gaussian Expansions and Bounds for the Poisson Distribution Applied to the Erlang B Formula' Advances in Applied Probability V.40,#1 3/08

Jarrow Robert, Donald Deventer 'Synthetic CDO Equity: Short or Long Correlation Risk?' Journal of Fixed Income Spring 2008

Ji Shaolin, Shige Peng 'Terminal Perturbation Method for the Backward Approach to Continuous Time Mean–Variance Portfolio Selection' SP&A V. 118, #6 June 2008

Jiang Zhengjun, Martijn Pistorius 'On Perpetual American Put Valuation and First-Passage in a Regime-Switching Model with Jumps' F&S V.12,#3 July 2008

Jin Hanqing, Xun Yu Zhou 'Behavioral Portfolio Selection In Continuous Time' Mathematical Finance July 2008 V.18,#3

Jones Charles 'Analyzing and Estimating Real Stock Returns' Journal of Portfolio Management Spring 2008

Joshi Mark 'Applying Importance Sampling to Pricing Single Tranches of CDOs in a One-Factor Li Model' 2004

Jylha Petri, Jylha, Jussi-Pekka Lyytinen, Matti Suominen ‘Arbitrage Capital and Currency Carry Trade Returns’

Kalev Petko, Huu Nhan Duong 'A Test of the Samuelson Hypothesis Using Realized Range' Journal of Futures Markets V. 28, #7 July 2008

Kaplanski Guy, Haim Levy 'Seasonal Affective Disorder (SAD) and Perceived Market Risk' SSRN 4/08

Katz Jonathan, Yehuda Lindell 'Introduction to Modern Cryptography' 2008 CRC Press

Kay J. 'Analysis of Multidimensional Bermudan Options' MS U. Western Ontario 2003

Kbanov Yuri 'In Discrete Time A Local Martingale is a Martingale under an Equivalent Probability Measure' F&S V.12,#3 July 2008

Keiber Karl Ludwig 'Price Discovery in the Presence of Boundedly Rational Agents' QF V.8, #3 2008

Kim Don 'Zero Bound, Option-Implied PDFs, and Term Structure Models' Federal Reserve Board - Division of Monetary Affairs SSRN 5/08

Kim Joocheol, WooWhan Kim, KiHyung Kim 'Implied Volatility by Variance Decomposition Method' Icfai Journal of Derivatives Markets, V. 5, No. 2, April 2008

Kim Young Shin, Svetlozar Rachev, Michele Leonardo Bianchi, Frank Fabozzi 'Financial Market Models with Lévy Processes and Time-Varying Volatility' J. Banking and Finance V.32, #7 July 2008

Kinnebrock Silja, Mark Podolskij 'A Note on the Central Limit Theorem for Bipower Variation Of General Functions' SP&A V. 118, #6 June 2008

Klar Jördis, Eva Benz 'Price Discovery and Liquidity in the European CO2 Futures Market: An Intraday Analysis' SSRN 5/08

Kluge Tino, L.C.G. Rogers 'The Potential Approach in Practice' 4/08 <FX, interest rates>

Klüppelberg Claudia, Radostina Kostadinova 'Integrated Insurance Risk Models with Exponential Lévy Investment' Insurance:Mathematics and Economics V.42,#2 April 2008

Klüppelberg Claudia, Sidney Resnick 'The Pareto Copula, Aggregation of Risks, and the Emperor's Socks' Journal of Applied Probability V.45, #1 3/08

Ko Bangwon, Qihe Tang 'Sums of Dependent Nonnegative Random Variables with Subexponential Tails' Journal of Applied Probability V.45, #1 3/08

Kogan Leonid, Igor Makarov, Raman Uppal 'The Equity Risk Premium and the Riskfree Rate in an Economy with Borrowing Constraints' Mathematics and Financial Economics V1., #1 April 2007

Kornreich Philipp 'Mathematical Models of Information and Stochastic Systems' 2008 CRC Press

Korteweg Arthur, Nick Polson 'Volatility, Liquidity, Credit Spreads and Bankruptcy Prediction' SSRN 3/08

Kovalov Pavol, Vadim Linetsky, Michael Marcozzi 'Pricing Multi-Asset American Options: A Finite Element Method-of-Lines with Smooth Penalty' J. Sci. Comput. 33(3): 209-237 (2007)

Krekel Martin 'Pricing Distressed CDOs with Base Correlation and Stochastic Recovery' SSRN 5/08

Krstic Miroslav, Andrey Smyshlyaev 'Boundary Control of PDEs:A Course on Backstepping Designs' SIAM Press 2008

Kruchen Stefan 'Dividend Risk' 2005 ETHZ Kumar Alok, Sonya Seongyeon Lim 'How Do Decision Frames Influence the Stock

Investment Choices of Individual Investors?' Management Science June 2008 V. 54,#6

Kumar Praveen, K. Sivaramakrishnan 'Who Monitors the Monitor? The Effect of Board Independence on Executive Compensation and Firm Value' RFS May 2008 V.21, #3

Kumar Praveen, Sorin Sorescu, Rodney Boehme, Bartley Danielsen 'Estimation Risk, Information, and the Conditional CAPM: Theory and Evidence' RFS May 2008 V.21, #3

Kwiatkowski Jan, D. James Burridge 'Accurate Allocation of Risk Capital in Credit Portfolios' J. Credit Risk V.4,#1 2008

Kwok Yue Kuen, Hoi Ying Wong, Ka Wo Lau 'Pricing Algorithms of Multivariate Path Dependent Options' <similarity variables, discrete monitoring> J. Complexity 17 (2001)

Lagerås Andreas, Serik Sagitov 'Reduced Branching Processes with Very Heavy Tails' Journal of Applied Probability V.45, #1 3/08

Lajbcygier Paul 'A Model of Fund Growth for Managed Futures: Evidence of Managerial Skill' Journal of Investment Management 1Q 2008

Lakner Peter, Weijian Liang 'Optimal Investment in a Defaultable Bond' Mathematics and Financial Economics tobe 2008

Landskroner Yorma, Alon Raviv 'The Valuation of Inflation-Indexed and FX Convertible Bonds' Journal of Futures Markets V. 28, #7 July 2008

Lee Jihyun, Tong Suk Kim, Hoe Kyung Lee 'Risk-Return Relationship in High Frequency Data: Multiscale Analysis and Long Memory Effect' KAIST Business School Working Paper Series No. 2008-007

Leentvaar Coen, Cornelis Oosterlee 'American Options With Discrete Dividends Solved by Highly Accurate Discretizations' in Progress in Industrial Mathematics at ECMI 2004 Springer Press

Leitner Johannes 'Convex Pricing by a Generalized Entropy Penalty' Annals of Applied Probability V.18,#2 4/08

Lempa Jukka 'On Infinite Horizon Optimal Stopping of General Random Walk' Math. Methods of O.R. V.67,#2 4/08

Lesnevski Vadim, Barry Nelson, Jeremy Staum 'An Adaptive Procedure for Estimating Coherent Risk Measures Based on Generalized Scenarios' Journal of Computational Finance v>11,#4 2008

Leung Pui-Lam, Wing-Keung Wong 'On Testing the Equality of Multiple Sharpe Ratios, with Application on the Evaluation of IShares' J. Risk V.10,#3 2007?

Leung Tim, Ronnie Sircar 'Accounting for Risk Aversion, Vesting, Job Termination Risk and Multiple Exercises in Valuation of Employee Stock Options'  August 2007 tobe Mathematical Finance.

Leung Tim, Ronnie Sircar 'Exponential Hedging with Optimal Stopping and Application to ESO Valuation' SSRN 3/08

Leung Tim, Ronnie Sircar, Thaleia Zariphopoulou 'Credit Derivatives and Risk Aversion' October 2007 tobe Advances in Econometrics (Eds. T. Fomby, J.-P. Fouque, K. Solna), Elsevier Science

Levin Alexander, Andrew Davidson 'The Concept of Credit OAS in Valuation of MBS' Journal of Portfolio Management Spring 2008

Lewis Alan, Ernesto Mordecki 'Wiener-Hopf Factorization for Lévy Processes Having Positive Jumps with Rational Transforms' Journal of Applied Probability V.45, #1 3/08

Li Yangrong, Anthony Pakes, Jia Li, Anhui Gu 'The Limit Behavior of Dual Markov Branching Processes' Journal of Applied Probability V.45, #1 3/08

Lien Donald 'A Note on Estimating the Benefit of a Composite Hedge' Journal of Futures Markets V. 28, #7 July 2008

Lim Lee 'A Cointegration Analysis of Price Transmission between ADRs and Dually Listed South Korean Stocks' Math. & Computers in Simulation V.78, #2-3 July 2008

Lindset Snorre 'Instantaneous Caps and Floors on the Short-Rate' J. Risk V.10,#3 2007?

Lindsey Laura 'Blurring Firm Boundaries: The Role of Venture Capital in Strategic Alliances' JofF V.63, #3 June 2008

Linetsky Vadim, Pavlo Kovalov 'Valuing Convertible Bonds with Stock Price,Volatility, Interest Rate, and Default Risk' FDIC Center for Financial Research Working Paper Series, 2008-02 <general multi-factor Markovian models credit risk, variational inequality formulation, stochastic game between the bondholder and the issuer, penalized nonlinear partial differential equation, finite element spatial discretization, adaptive time integrator> SSRN 3/08

Liu Shijun 'A Bridge between Mortgage TBA Options and Swaptions' RISK 5/08 Liu Yi, Samuel Szewczyk, Zaher Zantout ‘Underreaction to Dividend Reductions

and Omissions?’ JofF 4/08 V.63,#2 Livnat Joshua, Germán López-Espinosa 'Quarterly Accruals or Cash Flows in

Portfolio Construction?' FAJ May/June 2008 V.64,#3 Ljung L., Thomas Kailath 'Backwards Markovian Models for Second-Order

Stochastic Processes' IEEE Transactions on Information Theory 22, 1976 Lo Andrew 'Hedge Funds: An Analytic Perspective' Princeton Press 2008 Lo Andrew 'Where Do Alphas Come From?: A New Measure of the Value of Active

Investment Management' SSRN April 2008 Lo Keng-Hsin, Kehluh Wang, Ming-Feng Hsu 'Pricing European Asian Options with

Skewness and Kurtosis in the Underlying Distribution' Journal of Futures Markets V. 28, #6 June 2008

Longstaff Francis, Arvind Rajan ‘An Empirical Analysis of the Pricing of Collateralized Debt Obligations’ JofF 4/08 V.63,#2 <CDO>

Longstaff Francis, Jiang Wang 'Asset Pricing and the Credit Market' SSRN 5/08 López José 'Asymptotic Expansions of Mellin Convolution Integrals' SIAM Review

June 2008 V. 50,#2 Los Cornelis 'Measurement of Financial Risk Persistence' The ICFAI Journal of

Financial Risk Management, V. 2, No. 3, pp. 7-33, September 2005  Los Cornelis 'Model Uncertainty, Complexity and Rank in Finance' The ICFAI

Journal of Financial Risk Management, V. 2, No. 2, June 2005 Los Cornelis, Satjaporn Tungsong 'Investment Model Uncertainty and Fair

Pricing' SSRN 5/08 Lu Richard, Yi-Hwa Hsu 'Valuation of Standard Options under the Constant

Elasticity of Variance Model' <binomial model> J. Bus. Econ 4 (2005) <CEV>

Luschgy Harald, Gilles Pagès 'View Abstract Functional Quantization Rate and Mean Regularity of Processes with an Application to Lévy Processes' Annals of Applied Probability V.18,#2 4/08

MacLean Leonard, Yonggan Zhao, William Ziemba 'Currency Regimes and Weak Interest Rate Parity' SSRN 6/08

Maekawa Koichi, Sangyeol Lee, Takayuki Morimoto, Ken-Ichi Kawai 'Jump Diffusion Model with Application to the Japanese Stock Market' Math. & Computers in Simulation V.78, #2-3 July 2008

Maheu John 'Are There Structural Breaks in Realized Volatility?' Journal of Financial Econometrics, V. 6, Issue 3, 2008

Maksimovic Vojislav, Gordon Phillips ‘The Industry Life Cycle, Acquisitions and Investment: Does Firm Organization Matter?’ JofF 4/08 V.63,#2

Malamud Semyon 'Universal Bounds For Asset Prices In Heterogeneous Economies' F&S V.12,#3 July 2008

Malamud Semyon, Eugene Trubowitz 'The Structure of Optimal Consumption Streams in General Incomplete Markets' Mathematics and Financial Economics V.1,#2 July 2007

Mamoghli Chokri, Sami Daboussi 'Capital Asset Pricing Models and Performance Measures in the Downside Risk Framework' SSRN 5/08

Manley Richard, Christian Mueller-Glissmann 'The Market for Dividends and Related Investment Strategies' FAJ May/June 2008 V.64,#3

Manteuffel Thomas, Andrew White 'The Numerical Solution of Second-Order Boundary Value Problems on Nonuniform Meshes' Mathematics of Computation V.47, #176  October 1986

Martens Martin, Thierry Post, Joop Huij 'Return Persistence, Risk Dynamics and Momentum Exposures of Equity and Bond Mutual Funds' SSRN April 2008

McConnell John, Wei Xu 'Equity Returns at the Turn of the Month' Financial Analysts Journal, March/April 2008, V. 64, No. 2

McMillan David, Alan Speight 'Long-Memory in High-Frequency Exchange Rate Volatility under Temporal Aggregation' QF V.8, #3 2008

Mcvinish Ross 'On the Structure and Estimation of Reflection Positive Processes' <Ornstein-Uhlenbeck> Journal of Applied Probability V.45, #1 3/08

Meindl Peter, James Primbs 'Dynamic Hedging of Single and Multi-Dimensional Options with Transaction Costs: A Generalized Utility Maximization Approach' QF V.8, #3 2008

Melnikov Alexander, Yuliya Romanyuk 'Efficient Hedging and Pricing of Equity-Linked Life Insurance Contracts on Several Risky Assets' IJT&AF V.11, #3 5/08  

Menchero Jose,Vijay Poduri 'Custom Factor Attribution' Financial Analysts Journal, March/April 2008, V. 64, No. 2

Mengle David 'Credit Derivatives:An Overview' FRB Atlanta Economic Review 4Q 2007

Menoncin Francesco 'The Role Of Longevity Bonds in Optimal Portfolios' Insurance:Mathematics and Economics V.42,#1 Feb. 2008

Michaud Richard, Robert Michaud 'Estimation Error and Portfolio Optimization: A Resampling Solution' Journal of Investment Management 1Q 2008

Mierczynski Janusz 'Spectral Theory for Random and Nonautonomous Parabolic Equations and Applications' 2008 CRC Press

Milevsky Moshe, Vladyslav Kyrychenko 'Portfolio Choice with Puts: Evidence from Variable Annuities' FAJ May/June 2008 V.64,#3

Mollin Richard 'An Introduction to Cryptography' 2006 CRC Press Moon Kyoung-Sook, Won-Jung Kim, Hongjoong Kim 'Adaptive Lattice Methods for

Multi-Asset Models' Computers and Math. With Applications V.56,#2 7/08 Mordecki Ernesto, Anders Szepessy, Ratil Tempone, Georgios Zouraris 'Adaptive

Weak Approximation of Diffusions with Jumps' SIAM J. Numer. Analysis V. 46, # 4 April 2008 <error control; Euler–Maruyama method; a posteriori error estimates; backward dual functions>

Nagae Takeshi, Takashi Akamatsu 'A Generalized Complementarity Approach to Solving Real Option Problems' JED&C June 08, V. 32,#6

Nakagawa  Kenji 'Application of Tauberian Theorem to the Exponential Decay of the Tail Probability of a Random Variable' 2006

Neale Corinne 'Best Practice and Remaining Challenges for Credit Economic Capital' Journal of Risk Management in Financial Institutions V1.,#3 2008

Neuenschwander Daniel 'Retrieval Of Black–Scholes and Generalized Erlang Models by Perturbed Observations at a Fixed Time' Insurance:Mathematics and Economics V.42,#1 Feb. 2008

Ni Sophie, Jun Pan, Allen Poteshman 'Volatility Information Trading in the Option Market' JofF V.63,# 3 June 2008

Nielsen Jens Perch, Carsten Tanggaard, M. Chris Jones 'Local Linear Density Estimation for Filtered Survival Data, with Bias Correction' Centre For Analytical Finance 2007

Nielsen Morten Ørregaard 'The Effect of Long Memory in Volatility on Stock Market Fluctuations' SSRN 6/08

Ninomiya Syoiti, Nicolas Victoir 'Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing' Applied Math. Finance V.15,#2 2008

Norden Lars 'Credit Derivatives, Corporate News, and Credit Ratings' SSRN 5/08 Okhrin Yarema, Wolfgang Schmid 'Estimation of Optimal Portfolio Weights'

IJT&AF V.11, #3 5/08   Øksendal Bernt 'The Value of Information in Stochastic Control and Finance'

Australian Economic Papers, V. 44, No. 4,  December 2005 <logarithmic utility, complete info., insider case, partial observation case>

Panloup Fabien 'Recursive Computation of the Invariant Measure of a Stochastic Differential Equation Driven by a Lévy Process <Euler Schemes> Ann. Appl. Probab. V.18, #2 (2008)

Pantazopoulos K.N. 'Numerical Methods and Software for the Pricing of American Financial Derivatives' PhD Purdue U. 1998

Papageorgiou Evan, Ronnie Sircar 'Multiscale Intensity Models and Name Grouping for Valuation of Multi-Name Credit Derivatives' March 2008

Parlour Christine, Guillaume Plantin 'Loan Sales and Relationship Banking' JofF V.63,# 3 June 2008

Parsons John, Miguel Herce, Robert Ready 'Using Futures Prices to Filter Short-Term Volatility and Recover a Latent, Long-Term Price Series for Oil' MIT SSRN 6/08

Pavlyukevich Ilya 'Simulated Annealing for Lévy-Driven Jump-Diffusions' SP&A V. 118, #6 June 2008

Pemantle Robin, Mark Wilson 'Twenty Combinatorial Examples of Asymptotics Derived from Multivariate Generating Functions' SIAM Review June 2008 V. 50,#2

Penaud Antony 'Fast Valuation of a Portfolio of Barrier Options under Merton's Jump Diffusion Hypothesis' Wilmott Magazine ??/??

Perelló Josep, Ronnie Sircar, Jaume Masoliver 'Option Pricing under Stochastic Volatility: the Exponential Ornstein-Uhlenbeck Model' April 2008, tobe Journal of Statistical Mechanics

Pérignon Christophe, Zi Yin Deng, Zhi Jun Wang 'Do Banks Overstate Their Value-At-Risk?' Journal of Banking and Finance V.32,# 5 May 2008

Pesaran M. Hashem, Paolo Zaffaroni 'Optimal Asset Allocation with Factor Models for Large Portfolios' IEPR Working Paper No. 08.7 SSRN 3/08

Petrassi Myrian, Juan Pablo Torres-Martínez ‘Collateralized Assets and Asymmetric Information’ J. Math. Econ. V44,#5-6 April 2008

Phalippou Ludovic 'Where Is the Value Premium?' Financial Analysts Journal, March/April 2008, V. 64, No. 2

Philosophov Leonid, Jonathan Batten, Vladimir Philosophov 'Predicting the Event and Time Horizon of Bankruptcy Using Financial Ratios and the Maturity Schedule of Long-Term Debt' Mathematics and Financial Economics tobe 2008

Pinsky Mark, Bjorn Birnir (ed) 'Probability, Geometry and Integrable Systems' <dedicated to Henry McKean> Cambridge Press 2008

Pintus Patrick 'Laffer Traps and Monetary Policy' FRB St. Louis Review May/June 2008 V. 90, # 3, Part 1

Pires Pedro, João Pedro Pereira, Luis Martins ‘The Complete Picture of Credit Default Swap Spreads - A Quantile Regression Approach' SSRN 4/08

Polyanin Andrei, Alexander Manzhirov 'Handbook of Integral Equations' 2008 CRC Press

Pontiff Jeffrey, Artemiza Woodgate ‘Share Issuance and Cross-Sectional Returns’ JofF 4/08 V.63,#2

Post Thierry, Pim Van Vliet, Haim Levy 'Risk Aversion and Skewness Preference' J. Banking and Finance V.32,# 7 July 2008

Prescott Edward 'Should Bank Supervisors Disclose Information About Their Banks?' FRB Richmond Winter 2008 V. 94 # 1

Psychoyios Dimitris, George Dotsis, Raphael Markellos 'A Jump Diffusion Model for VIX Volatility Options and Futures' SSRN 5/08

Pukthuanthong-Le Kuntara, Lee R. Thomas, III 'Weak-Form Efficiency in Currency Markets' FAJ May/June 2008 V.64,#3

Quinn Dennis, A. Maria Toyoda 'Does Capital Account Liberalization Lead to Growth?' RFS May 2008 V.21, #3

Rainer Buckdahn, Jin Ma, Catherine Rainer 'Stochastic Control Problems for Systems Driven by Normal Martingales' Annals of Applied Probability V.18,#2 4/08

Rásonyi Miklós, Walter Schachermayer, Richard Warnung ‘Hiding the Drift’ <Brownian motion with drift> 2008

Reinsberg Rene 'Pricing Options on the Dax - An Empirical Investigation' SSRN 6/08

Remolona Eli, Michela Scatigna, Eliza Wu 'The Dynamic Pricing of Sovereign Risk in Emerging Markets: Fundamentals and Risk Aversion' Journal of Fixed Income Spring 2008

Renegar James 'A Mathematical View of Interior-Point Methods in Convex Analysis' 2001 SIAM Press

Renò Roberto 'Nonparametric Estimation of the Diffusion Coefficient of Stochastic Volatility Models' 4/07 to be Econometric Theory

Rhodes-Kropf Matthew, David Robinson 'The Market for Mergers and the Boundaries of the Firm' JofF V.63,# 3 June 2008

Rivicre Béatrice 'Discontinuous Galerkin Methods for Solving Elliptic and Parabolic Equations:Theory and Implementation' SIAM Books 2008

Robert Evans 'Simple Efficient Contracts in Complex Environments' Econometrica V.76, #3, May 2008

Rogers L.C.G., Fanyin Zhou 'Estimating Correlation from High, Low, Opening and Closing Prices' Annals of Applied Probability V.18,#2 4/08

Roncoroni Andrea, Alessandro Moro 'Flexible-Rate Mortgages' International Journal of Business V.11,#2 2006 <Multiple optimal stopping times, Dynamic programming>

Ross Sheldon, Zegang Zhu 'On the Structure of a Swing Contract's Optimal Value and Optimal Strategy' Journal of Applied Probability V.45, #1 3/08

Rötheli Tobias 'Pattern-Based Expectations: International Experimental Evidence and Applications in Financial Economics' SSRN 5/08

Salamon Peter, Paolo Sibani, Richard Frost 'Facts, Conjectures and Improvements for Simulated Annealing' 2002 SIAM Press

Santalo Juan, Manuel Becerra ‘Competition From Specialized Firms and the Diversification–Performance Linkage’ JofF 4/08 V.63,#2

Santos Joao, Andrew Winton 'Bank Loans, Bonds, and Information Monopolies across the Business Cycle' JofF V.63,# 3 June 2008

Sarker Buhul Amin, Charles Newton 'Optimization Modeling: A Practical Approach' 2008 CRC Press

Schaller Huntley, Lynda Khalaf 'The Pricing Error Function' SSRN 3/08 Schmidt Thorsten, Alexander Novikov 'A Structural Model with Unobserved

Default Boundary' Applied Math. Finance V.15,#2 2008 Schuehle Niels 'Empirical Asset Pricing; Fixed Income; Credit Risk; Liquidity

in Security Markets' Kellogg NU 2008 Seierstad Atle 'Stochastic Control:Discrete and Continuous Time' Springer 2008 Sen Rahul 'A Multi-State Vasicek Model for Correlated Default Rate and Loss

Severity' <recovery, credit risk capital, multiple loss, heavy tail> RISK June 08

Sepp Artur ‘VIX Option Pricing In A Jump-Diffusion Model’ <S&P 500 Index> RISK 4/08

Sepp Artur 'Pricing Options on Realized Variance in the Heston Model with Jumps in Returns and Volatility' Journal of Computational Finance v>11,#4 2008

Sidenius Jakob, Vladimir Piterbarg, Leif Andersen 'A New Framework for Dynamic Credit Portfolio Loss Modelling' IJT&AF V.11, #2 3/08  

Sipics Michelle 'Novel Algorithm Speeds Discovery of Electric Power Grid Vulnerabilities' SIAM News May 08

Sipics Michelle 'The Greening of High-Performance Computing' SIAM News June 08 Smith Daniel 'Evaluating Specification Tests for Markov-Switching Time-Series

Models' Journal of Time Series Analysis, Vol. 29, Issue 4, July 2008 Soklakov Andrei ‘Information Derivatives’ <Volatility risk, Variance/Gamma

Swaps, liquidity> RISK 4/08 Song Qingyi (Freda), J. David Cummins 'Hedge the Hedgers: Usage of Reinsurance

and Derivatives by Property and Casualty Insurance Companies' SSRN 5/08 Sorensen Michael 'Efficient Estimation for Ergodic Diffusions Sampled at High

Frequency' SSRN 6/08 Souza Sergio, Benjamin Tabak, Daniel Cajueiro 'Long-Range Dependence In

Exchange Rates: The Case Of The European Monetary System' IJT&AF V.11, #2 3/08  

Speyer Jason, Walter Chung 'Stochastic Processes, Estimation and Control' SIAM Books 2008

Statman Meir, Jonathan Scheid 'Correlation, Return Gaps, and the Benefits of Diversification' Journal of Portfolio Management Spring 2008

Statman Meir, Kenneth Fisher, Deniz Anginer 'Affect in a Behavioral Asset-Pricing Model' Financial Analysts Journal, March/April 2008, V. 64, No. 2

Sternberg Philip 'Can Simulations Ever Scale to Millions of Processors?' SIAM News June 08

Stroock Daniel 'Partial Differential Equations for Probabilists' <Kolmogorov, non-elliptic, Nash> Cambridge Press 2008

Sun Haiwei, Jun Zhang 'A High Order Compact Boundary Value Method for Solving One Dimensional Heat Equations' Report U. Kentucky 2002

Surya B.A. 'Evaluating Scale Functions of Spectrally Negative Lévy Processes' Journal of Applied Probability V.45, #1 3/08

Taboga Marco, Fabio Maccheroni, Massimo Marinacci, Aldo Rustichini 'Portfolio Selection with Monotone Mean-Variance Preferences' SSRN 6/08

Taniguchi Masanobu, Kenichiro Tamaki 'Optimal Statistical Inference in Financial Engineering' 2008CRC Press

Tetlock Paul, Maytal Saar-Tsechansky, Sofus Macskassy 'More Than Words: Quantifying Language to Measure Firms' Fundamentals' JofF V.63, #3 June 2008

Tiwari Manvendra, Rritu Saurabha 'Empirical Study of the Effect of Including Skewness and Kurtosis in Black-Scholes Option Pricing Formula on S&P CNX Nifty Index Options' Icfai Journal of Derivatives Markets, V. 5, No. 2, April 2008

Todorov Viktor, Tim Bollerslev 'Jumps and Betas: A New Framework for Disentangling and Estimating Systematic Risks' SSRN 6/08

Toivanen Jari 'Numerical Valuation of European and American Options under Kou's Jump-Diffusion Model' <PIDE, LCP, Rannacher scheme, option pricing, jump-diffusion model, partial integro-differential equation, linear complementarity problem, finite difference method, operator splitting, penalty method> SIAM J. Sci. Computing V.30,#4 May 2008 <option-American>

Tolikas Konstantinos 'Value-At-Risk and Extreme Value Distributions for Financial Returns' J. Risk V.10,#3 2007?

Tsanakas Andreas 'Risk Measurement in the Presence of Background Risk' Insurance:Mathematics and Economics V.42,#2 April 2008

Tucker Alan 'Son of Boss' J. of Derivatives Summer 2008 <tax avoidance derivatives, IRS>

Ucar Bora 'Computing in a Cloudy Petascale Enviornment' SIAM News June 08 Valvonis Vytautas 'Estimating EAD for Retail Exposures for Basel II Purposes'

J. Credit Risk V.4,#1 2008 van Haastrecht Alexander, Roger Lord, Antoon Pelsser, David Schrager

‘Stochastic Interest Rates and Stochastic Volatility: What You Can Do with Schöbel-Zhu' SSRN 4/08

Vasil’ev Valery, Hans Wiesmeth ‘Equilibrium in a Mixed Economy of Arrow-Debreu Type’ J. Math. Econ. V44,#2 Jan 2008

Vayanos Dimitri, Pierre-Olivier Weill 'A Search-Based Theory of the On-the-Run Phenomenon' JofF V.63,# 3 June 2008

Vereda Luciano, Hélio Lopes, Regina Fukuda 'Estimating VAR Models for the Term Structure of Interest Rates' Insurance:Mathematics and Economics V.42,#2 April 2008

Vitiello Luiz, Ser-Huang Poon 'General Equilibrium and Risk Neutral Framework for Option Pricing with a Mixture of Distributions' J. of Derivatives Summer 2008

Vrontos Spyridon, Ioannis Vrontos, Daniel Giamouridis 'Hedge Fund Pricing and Model Uncertainty' Journal of Banking and Finance V.32,#5 May 2008

Wagner Niklas 'Credit Risk: Models, Derivatives and Management' 2008 CRC Press Wagner Wolf ‘The Risk of Joint Liquidation and Portfolio Choice: Diversity

Instead of Diversification' SSRN 4/08

Walker James 'A Primer on Wavelets and Their Scientific Application' 2008 CRC Press

Walter John, Patricia Wescott 'Antitrust Analysis in Banking: Goals, Methods, and Justifications in a Changed Environment' FRB Richmond Winter 2008 V. 94 # 1

Wang Changyun, Wei Zhang, Weng Kit Tan 'American Futures Options Arbitrage: Evidence from the Nikkei 225 Options Market' QF V.8, #3 2008

Wang J., Peter Forsyth 'Maximal Use of Central Differencing for Hamilton--Jacobi--Bellman PDEs in Finance' <viscosity solution; stochastic control; nonlinear HJB> SIAM J. Numerical Analysis V. 46,# 3 April 2008

Wang Kent 'Volatility Linkages of the Equity, Bond and Money Markets: An Implied Volatility Approach' SSRN 5/08

Waring M. Barton, Sunder Ramkumar 'Forecasting Fund Manager Alphas: The Impossible Just Takes Longer' Financial Analysts Journal, March/April 2008, V. 64, No. 2

Watkins Clinton, Michael Mcaller 'How Has Volatility in Metals Markets Changed?' Math. & Computers in Simulation V.78, #2-3 July 2008

Watkins David 'The Matrix Eigenvalue Problem:GR and Krylov Subspace Methods' SIAM Press 2007

Wehn Carsten 'Looking Forward To Back Testing' <VaR>   RISK 5/08 Weithers Tim 'Credit Deriviatives, Macro Risks and Systemic Risks' FRB Atlanta

Economic Review 4Q 2007 Wheelock David 'The Federal Response to Home Mortgage Distress: Lessons from

the Great Depression' FRB St. Louis Review May/June 2008 V. 90, # 3, Part 1

Wise Richard 'An Arbitrage-based Risk Diagnostic of the Cross-Currency Basis Swap' Journal of Risk Management in Financial Institutions V.1,#3 2008

Wolf Michael, Erik Boman 'An Increasing Role for Combinatorial Methods in Large-Scale Parallel Simulations' SIAM News June 08

Wong Hoi Ying, Jing Zhao 'An Artificial Boundary Method for American Option Pricing under the CEV Model' SIAM J. Numerical Analysis V.46,#4 May 2008 <reduce infinite domain to finite by boundary> <option-American>

Wong Hoi Ying, Ka Yung Lau 'Analytical Valuation of Turbo Warrants under Double Exponential Jump Diffusion' J. of Derivatives Summer 2008

Wong Hoi Ying, Yu Wai Lo 'Option Pricing with Mean Reversion and Stochastic Volatility' SSRN 3/08

Wong Shek-Keung Tony 'The Generalized Perpetual American Exchange-Option Problem'<investment-timing problem of McDonald and Siegel, Optimal stopping problem; free boundary approach; first passage time approach> Advances in Applied Probability V.40,#1 3/08

Wong Woon 'Backtesting Trading Risk of Commercial Banks Using Expected Shortfall' J. Banking and Finance V.32, #7 July 2008

Wu Liuren, Frank Xiaoling Zhang 'A No-Arbitrage Analysis of Macroeconomic Determinants of the Credit Spread Term Structure' Management Science June 2008 V. 54,#6

Wu Shu, Yong Zeng ‘An Econometric Model of the Term Structure of Interest Rates under Regime-Switching Risk’ SSRN 4/08

Wu Ting-Pin, Son-Nan Chen 'Valuation of Floating Range Notes in a LIBOR Market Model' Journal of Futures Markets V. 28, #7 July 2008

Wu Xiaonan, Zhi-Zhong Sun 'Convergence of Difference Scheme for Heat Equation in Unbounded Domains using Artificial Boundary Conditions' Appl. Numer. Math 50 (2004)

Wynne Mark 'Core Inflation: A Review of Some Conceptual Issues' S.L. FRB Review May/June 2008 V.90,#3, Part 2

Xu Mingyu 'Backward Stochastic Differential Equations with Reflection and Weak Assumptions on the Coefficients' SP&A V. 118,#6 June 2008 <Reflected

Backward Stochastic Differential Equation; Monotonicity; Non-Lipschitz Condition; Quadratic Increasing; Linear Increasing>

Xu Peter 'Why Have Estimate Revision Measures Not Worked in Recent Years?' Journal of Portfolio Management Spring 2008

Yang Hongtao 'Numerical Analysis of American Options' PhD U. Alberta 2001 Yang Jian, Xiaojing Su, James Kolari 'Do Euro Exchange Rates Follow A

Martingale? Some Out-of-Sample Evidence' Journal of Banking and Finance V.32, #5 May 2008

Yi Fahuai, Zhou Yang, Xiaohua Wang 'A Variational Inequality Arising from European Installment Call Options Pricing' <parabolic, free boundary> SIAM J. Math. Analysis V.40, #1 April 2008

Zaima Janis 'Portfolio Investing with EVA' Journal of Portfolio Management Spring 2008

Zakamouline Valeri 'Option Pricing and Hedging in the Presence of Transaction Costs and Nonlinear Partial Differential Equations' SSRN 5/08

Zakamouline Valeri, Steen Koekebakker 'Analysis of Financial Decision Making with Loss Aversion' SSRN 3/08

Zerbs Michael, Helmut Mausser, Martin Hansen 'Active Capital Management: Optimizing Returns in a Multiple Stakeholder Context' Journal of Risk Management in Financial Institutions V1.,#3 2008

Zhang Jin, Yi Xiang 'The Implied Volatility Smirk' QF V.8, #3 2008 Zohdi T.I. 'An Introduction to Modeling and Simulation of Particulate Flows'

2007 SIAM Press Zopounidis Constantin, Michael Doumpos, Panos Pardalos 'Handbook of Financial

Engineering' Springer Press 2008