Acciaio Beatrice ‘Optimal Risk Sharing with Non-Monotone Monetary Functionals’ Finance and Stochastics Volume 11, Number 2, April, 2007

Acharya Viral, Lasse Pedersen ‘Asset Pricing with Liquidity Risk’ JFE 2005 Acharya Viral, Timothy Johnson ‘Insider Trading in Credit Derivatives’ JFE to be Achdou Yves, Indragoby Govindaraj, Olivier Pironneau 'Volatility Calibration with

American Options' 2004 European Congress on Computational Methods in Applied Sciences & Engineering, wp 1/05 <variational inequalities, automatic differentiation, finite element methods>

Adams Renee, Daniel Ferreira ‘A Theory of Friendly Boards’ Journal of Finance Volume 62: Issue 1, February 2007

Adler R.J., Jonathan Taylor ‘Random Fields & Geometry’  2007 Springer Aguirregabiria Victor, Pedro Mira ‘Sequential Estimation of Dynamic Discrete Games’

Econometrica Jan. 2007  Vol. 75 Issue 1 Ahcan Ales, Saao Polanec, Igor Masten, Mihael Perman ‘Analytical Approximation for

a Multi-Period Portfolio Problem with Vector Autoregressive Returns’ SSRN 3/07 Ahlin Christian, Robert Townsend ‘Selection Into and Across Credit Contracts:

Theory and Field Research’ 2/07 Journal of Econometrics Ahn Hyungsok, Varqa Khadem, Paul Wilmott ‘The Pricing Of Risky Bonds: Current

Models and Future Directions’ 1999 Oxford Financial Research Center Ahoniemi Katja ‘Multiplicative Models for Implied Volatility’ SSRN 3/07 Aihara Shinichi ‘Adaptive Parameter Identification for Infinite-Dimensional Factor

Model By Using Particle Filter’ Bachelier Conference 2006 Aït-Sahalia Yacine ‘Volatility Estimators for Discretely Sampled Lévy Processes’

Bachelier Conference 2006 Aït-Sahalia Yacine, Jianqing Fan, Heng Peng ‘Nonparametric Transition-Based Tests

for Jump-Diffusions’ SSRN 1/07 Aït-Sahalia Yacine, Per Mykland, Lan Zhang ‘Ultra High Frequency Volatility

Estimation with Dependent Microstructure Noise’ TR 554, Dept of Statistics, Univ. of Chicago 2005

Aiyagari S. Rao, Mark Gertler ‘Asset Returns with Transactions Cost and Uninsured Risk: A Stage III Exercise’ NBER Working Paper No. W3481 SSRN 1/07

Albeverio Sergio, Frederik Herzberg ‘A Combinatorial Infinitesimal Representation of Lévy Processes and an Application to Incomplete Markets’ Stochastics Volume 78 Issue 5, 2006

Albrecher Hansjorg, Sophie Ladoucette, Wim Schoutens ‘A Generic One-Factor Lévy Model for Pricing Synthetic CDOs’ Advances in Mathematical Finance (ed. M. Fu, et all) 2007

Alevy Jonathan, Michael Haigh, John List ‘Information Cascades: Evidence From A Field Experiment with Financial Market Professionals’ Journal of Finance Volume 62: Issue 1, February 2007

Alexander Gordon, Alexandre Baptista ‘Portfolio Selection with A Drawdown Constraint’ Nov 2006 Journal of Banking and Finance

Alexander Gordon, Gjergji Cici, Scott Gibson ‘Does Motivation Matter When Assessing Trade Performance? An Analysis of Mutual Funds’ Review of Financial Studies, Volume 20, Issue 1, January 2007

Aliprantis Charalambos, Gabriele Camera, Daniela Puzzello ‘Contagion Equilibria in a Monetary Model’ Econometrica Jan. 2007  Vol. 75 Issue 1

Almendral Ariel, Cornelis W. Oosterlee 'Accurate Evaluation of European and American Options Under the CGMY Process' SIAM J. Sci. Computing 2007 < Volterra Equations, finite-difference method, Lévy driven asset processes, discretized in space by the collocation method, time explicit backward differentiation formula, second-order accurate for a relevant parameter range determining the degree of the singularity in the Lévy measure,  integration by parts technique, the fast Fourier transform O(N_t N\log N), partial integro-differential equations; collocation method> <options-American>

Altman Rachel ‘Mixed Hidden Markov Models: An Extension of the Hidden Markov Model to the Longitudinal Data Setting’ JASA 3/07

Amerio Emanuele ‘Forward Start Option Pricing with Stochastic Volatility: A General Framework’ Bachelier Conference 2006

Ammann Manuel, Axel Kind, Ralf Seiz ‘What Drives the Performance of Convertible Bond Funds?’ SSRN 3/07

Anand Amber, Sugato Chakravarty ‘Stealth Trading in Options Markets’ Journal of Financial and Quantitative Analysis Vol. 42, No. 1, March 2007

Anderluh Jasper, J.A.M. van der Weide 'Double Sided Parisian Options' Aug. 2006 wp <stock spends time above or below a level>

Andersen Leif ‘Portfolio Losses in Factor Models: Term Structures and Intertemporal Loss Dependence’ Journal of Credit Risk Vol.2, #4 Winter 2006/2007

Andersen Torben, Luca Benzoni ‘Can Bonds Hedge Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models’ 2006

Andersen Torben, Per Frederiksen, Arne Staal ‘The Information Content of Realized Volatility Forecasts’ 2006

Andersen Torben, Tim Bollerslev, Dobrislav Dobrev ‘No-Arbitrage Semi-Martingale Restrictions for Continuous-Time Volatility Models subject to Leverage Effects, Jumps and i.i.d. Noise: Theory and Testable Distributional Assumptions’ Journal of Econometrics 2006

Andersen Torben, Tim Bollerslev, Francis Diebold ‘Roughing It Up: Including Jump Components in Measuring, Modeling and Forecasting Asset Return Volatility’ Review of Economics and Statistics 2006

Andersen Torben, Tim Bollerslev, Francis Diebold, Paul Labys ‘The Distribution of Exchange Rate Realized Volatility’ Journal of the American Statistical Association, 96, 42–55, 2001

Andersen Torben, Tim Bollerslev, Per Frederiksen, Morten Ø. Nielsen ‘Comment (on Peter R. Hansen and Asger Lunde: “Realized Variance and Market Microstructure Noise) (Journal of Business & Economic Statistics)’ 2006

Andersen Torben, Tim Bollerslev, Per Frederiksen, Morten Ø. Nielsen ‘Continuous-Time Models, Realized Volatilities and Testable Distributional Implications for Daily Stock Returns’ 2006

Anderson T.W. ‘An Introduction to Multivariate Statistical Analysis’ 2003 Wiley Press

Andrikopoulos Andreas ‘On the Valuation of American Exchange Options: An Analytical Approximation’ SSRN 1/07

Andritzky Jochen, Manmohan Singh ‘The Pricing of Credit Default Swaps During Distress’ SSRN Jan 07

Androshchuk Taras, Yuliya Mishura ‘Mixed Brownian-Fractional Brownian Model: Absence of Arbitrage and Related Topics’ Stochastics Volume 78 Issue 5, 2006

Ankirchner Stefan ‘Metrics on the Set of Semimartingale Filtrations’ Stochastics Volume 78 Issue 2, 2006

Antonino Zanette ‘A Mixed PDE-Monte Carlo Approach for Pricing Credit Default Swaps Portfolio Options’ Bachelier Conference 2006

Appasamy Bernd, Stefan Hengstmann, Georg Stapper, Egbert Schark ‘Validation of Rating Models’ Wilmott (May 2004)

Applebaum David ' Lévy Processes and Stochastic Calculus' 2004 (Cambridge Studies in Advanced Mathematics)

Applegate David, Robert Bixby, Vasek Chvátal, William Cook ‘The Traveling Salesman Problem:A Computational Study’ Princeton Press 2007

Aragon George ‘Share Restrictions and Asset Pricing: Evidence From the Hedge Fund Industry’ Journal of Financial Economics 1/07

Arai Takuji ‘LP-Projections of Random Variables and Its Application to Finance’ Bachelier Conference 2006

Araújo Tanya, Francisco Louçã ‘The Geometry of Crashes. A Measure of the Dynamics of Stock Market Crises’ Quantitative Finance, Volume 7 Issue 1 2007 agent-based modeling, complexity

Arkina Svetlana ‘Investment Timing Problem under Tax Exemptions’ Bachelier Conference 2006

Armitage V., W. Eberlein ‘Elliptic Functions’ 2006 Cambridge Press Arnaud Porchet ‘Valuation of A Power Plant under Production Constraints’ Bachelier

Conference 2006 Arnold Tom, Raymond Fishe, David North ‘The Effects of “Risk Factor” Disclosure on

the Pricing of IPOs and Long Run Returns’ SSRN 3/07 Arnold Tom, Timothy Falcon Crack, Adam Schwartz ‘Valuing Real Options Using Implied

Binomial Trees and Commodity Futures Options’ Journal of Futures Markets March 2007 

Aspremont Alexandre ‘A Market Test for the Positivity of Arrow Debreu Prices’ Bachelier Conference 2006

Athanasoulis Stefano ‘Asset Prices and Consumption in a Model of Perpetual Youth’ Journal of Business Vol 79, #6, Nov 2006

Atlan Marc ‘Localizing Volatility’ Bachelier Conference 2006 Babilua P., I. Bokuchava, B. Dochviri, M. Shashiashvili ‘The American Put Option in

a One-Dimensional Diffusion Model with Level-Dependent Volatility’ Stochastics Volume 79 Issue 1 & 2 2007

Bae Kee-Hong, Chanwoo Lim, K.C. John Wei ‘Corporate Governance and Conditional Skewness in the World's Stock Markets’ Journal of Business Vol 79, #6, Nov 2006

Bajeux-Besnainou Isabelle, Riadh Belhaj, Didier Maillard, Roland Portait ‘Portfolio Optimization under Tracking Error and Weights Constraints’ SSRN 2/07

Baker Glyn, Reimer Beneder, Alex Zilber ‘FX Barriers with Smile Dynamics’ SSRN 2/07 Bakshi Gurdip, Dilip Madan 'The Distribution of Risk Aversion' wp 2006 Bakstein David ‘The Pricing of Derivatives in Illiquid Markets’ 2001 Oxford

Financial Research Center Bakstein David, Sam Howison ‘A Risk-Neutral Parametric Liquidity Model for

Derivatives’ 2002 Oxford Financial Research Center Bakstein David, Sam Howison ‘Using Options on Greeks as Liquidity Protection’ 2003

Oxford Financial Research Center Balan R.M. ‘Markov Jump Random C.D.F.’s and their Posterior Distributions’ SP&A

3/07 Bali Turan ‘An Extreme Value Approach to Estimating Interest-Rate Volatility:

Pricing Implications for Interest-Rate Options’ Management Science Feb 2007 53(2)

Bali Turan, David Weinbaum ‘A Conditional Extreme Value Volatility Estimator Based on High-Frequency Returns’ Journal of Economic Dynamics and Control Feb. 07

Balvers Ronald, Douglas Mitchell ‘Reducing the Dimensionality of Linear Quadratic Control Problems’ Journal of Economic Dynamics and Control January 07

Bandi Federico, Claudia Moise, Jeffrey R. Russell ‘Market Volatility, Market Frictions and the Cross-Section of Stock Returns’ SSRN 3/07

Bandi Federico, Jeffrey Russell ‘Microstructure Noise, Realized Volatility and Optimal Sampling’ technical report, University of Chicago, Graduate School of Business. 2003

Banerjee Anurag ‘A Method of Estimating the Average Derivative’ 1/07 Journal of Econometrics

Bank Peter ‘Pricing and Hedging In Illiquid Financial Markets’ Bachelier Conference 2006

Barndorff-Nielsen Ole, Neil Shephard ‘Impact of Jumps on Returns and Realised Variances: Econometric Analysis of Time-Deformed Lévy Processes’ March/April 2006 Journal of Econometrics

Barnsley Michael ‘SuperFractals’ 2006 Cambridge Press Barone-Adesi Giovanni, Nicola Fusari, John Theal ‘Barrier Option Pricing Using

Adjusted Transition Probabilities’ SSRN 2/07 Barrieu Pauline ‘Hybrid Cat-Bonds’ Bachelier Conference 2006 Bartram Söhnke, Gregory W. Brown, Jennifer Conrad ‘The Effects of Derivatives on

Firm Risk and Value’ SSRN 2/07

Bass Richard, Zhen-Oing Chen ‘Systems of Equations Driven by Stable Processes’ Probability Theory and Related Fields Volume 134, Number 2 / February, 2006 

Basu Devraj, Chi-Hsiou Hung, Alexander Stremme ‘International Asset Pricing and Time-Varying Risk Premiums’ SSRN 2/07

Bäuerle Nicole, Ulrich Rieder ‘Portfolio Optimization with Jumps and Unobservable Intensity Process’ Mathematical Finance April 2007 - Vol. 17 Issue 2

Bavouzet Marie Pierre ‘Pricing and Sensitivity Computations of American Options in Jump Type Market Models’ Bachelier Conference 2006

Bayraktar Erhan , Virginia Young ‘Correspondence between Lifetime Minimum Wealth And Utility Of Consumption’ Finance and Stochastics Volume 11, Number 2, April, 2007

Bayraktar Erhan, Masahiko Egami ‘The Effects of Implementation Delay on Decision-Making under Uncertainty’ SP&A 3/07

Bayraktar Erhan, Ulrick Horst, Ronnie Sircar 'A Limit Theorem for Financial Markets with Inert Investors' Mathematics of Operations Research Vol 31,#4 Nov. 2006

Bazaraa Mokhtar ‘Nonlinear Programming:Theory & Algorithms’ 2006 Wiley Press Bazdarich Michael ‘Separability and Pension Optimization’ Journal of Fixed Income

Winter 2006 Becherer Dirk ‘Bounded Solutions to Backward SDE with Jumps for Utility

Optimization and Indifference Hedging’ Bachelier Conference 2006 Becker Katrin, Melanie Becker, John Schwarz ‘String Theory & M-Theory’ 2006

Cambridge Press Bekaert Geert, Eric Engstrom, Yuhang Xing Risk ‘Uncertainty and Asset Prices’ CEPR

Discussion Paper No. 5947 SSRN 1/07 Beliaeva Natalia, Sanjay Nawalkha ‘Pricing American Interest Rate Options Under the

Jump-Extended Vasicek Model’ SSRN 3/07 Beliaeva Natalia, Sanjay Nawalkha ‘Pricing American Interest Rate Options under the

Jump-Extended Vasicek Model’ <double-exponential-jumps> SSRN 2/07 Beltratti Andrea, Claudio Morana ‘Breaks and Persistency: Macroeconomic Causes of

Stock Market Volatility’ March/April 2006 Journal of Econometrics Bender Christian, John Schoenmakers ‘An Iterative Method for Multiple Stopping:

Convergence and Stability’ Advances in Applied Probability V. 38,3 2006 Bennani Norddine ‘Indifference Price for Unbounded Semimartingales: An Orlicz Space

Approach’ Bachelier Conference 2006 Bennemann Christoph, Christop Burmester, Andreas Werner ‘Random Walk auf dem

Börsenparkett’ Physikalische Blätter 56 (2000) Bennett Andrew ‘Lagrangian Fluid Dynamics’ 2006 Cambridge Press Benninga Simon, Zvi Wiener 'Value-at-Risk' (VaR) Mathematica in Education &

Research Vol. 7, #4 1998 <Risk> Ben-Rephael Azi, Ohad Kadan, Avi Wohl ‘The Diminishing Price Effects of

Idiosyncratic Liquidity and Idiosyncratic Volatility’ SSRN 3/07 Ben-Tal Aharon, Arkadi Nemirovski ‘Lectures on Modern Convex Optimization’ 2001

SIAM Press Benth Fred Espen ‘Option Theory with Stochastic Analysis’ 2004 Springer Press Benzoni Luca ‘Do Bonds Span Volatility Risk in the U.S. Treasury Market? A

Specification test for Affine Term Structure Models’ SSRN 3/07 Benzoni Luca, Pierre Collin-Dufresne, Robert Goldstein ‘Explaining Pre- and Post-

1987 Crash Prices of Equity and Options within a Unified General Equilibrium Framework’ SSRN 2/07

Berti Patrizia, Luca Pratelli, Pietro Rigo ‘Almost Sure Weak Convergence of Random Probability Measures’ Stochastics Volume 78 Issue 2, 2006

Berti Patrizia, Luca Pratelli, Pietro Rigo ‘Skorohod Representation on a Given Probability Space’ Probability Theory and Related Fields Volume 137, Numbers 3-4 / March, 2007

Bhansal Ishu, S.Srinivasan ‘Portfolio Selection Using Evolutinary Computational Techniques’ SSRN 3/07

Bhansali R.J., L. Giraitis, P.S. Kokoszka ‘Approximations and Limit Theory for Quadratic Forms of Linear Processes’ SP&A 1/07

Bhattacharjee Ranjit, Branislav Radak, Robert Russell ‘Volatility Skew and the Valuation of Mortgages’ Journal of Fixed Income Winter 2006

Bhattacharya Rabi, Mukul Majumdar ‘Random Dynamical Systems:Theory and Applications’ 2006 Cambridge Press

Biagini Francesca, Tomas Björk ‘On the Timing Option in a Futures Contract’ Mathematical Finance April 2007 - Vol. 17 Issue 2

Biagini Sara, Marco Frittelli ‘The Supermartingale Property of The Optimal Wealth Process For General Semimartingales’ Finance and Stochastics Volume 11, Number 2, April, 2007

Bick Avi ‘The Law of One Futures Price’ Bachelier Conference 2006 Bidarkota Prasad, Brice Dupoyet ‘The Impact of Fat Tails on Equilibrium Rates of

Return and Term Premia’ Journal of Economic Dynamics and Control March 07 Bion-Nadal Jocelyne ‘Pricing and Risk Measuring In Incomplete Markets and Context

of Uncertainty with Extension to A Dynamic Framework’ Bachelier Conference 2006 Birbil S. Ilker, Gül Gürkan, Ovidiu Listes 'Solving Stochastic Mathematical

Programs with Complementarity Constraints Using Simulation' <stability, equilibrium constraints>  Mathematics of Operations Research Vol 31,#4 Nov. 2006

Blundell Richard, Amanda Gosling, Hidehiko Ichimura, Costas Meghir ‘Changes in the Distribution of Male and Female Wages Accounting for Employment Composition Using Bounds’ Econometrica V. 75, #2 March 2007

Bobrowski Adam ‘Functional Analysis for Probability and Stochastic Processes’ 2005 Cambridge Press

Böcker Klaus, Jacob Sprittulla 'Operational VAR:Meaningful Means' RISK 12/06 <severity, finite mean>

Boehmer Ekkehart, Robert Jennings, Li Wei ‘Public Disclosure and Private Decisions: Equity Market Execution Quality and Order Routing’ Review of Financial Studies, V. 20, # 2, March 2007

Bollen Nicolas, Robert Whaley ‘Hedge Fund Risk Dynamics: Implications for Performance Appraisal’ SSRN 3/07

Bollerslev Tim, Hao Zhou ‘Volatility Puzzles: A Simple Framework for Gauging Return-Volatility Regressions’ March/April 2006 Journal of Econometrics

Bollobas Bela ‘The Art of Mathematics’ 2006 Cambridge Press Bonti Gabriel, Michael Kalkbrener, Christopher Lotz, Gerhard Stahl ‘Credit Risk

Concentrations Under Stress’ Journal of Credit Risk Volume 2 /Number 3, Fall 2006

Boone Audra, J. Harold Mulherin ‘Do Termination Provisions Truncate the Takeover Bidding Process?’ Review of Financial Studies, V. 20, # 2,March 2007

Bordag L.A., A. Y. Chmakova ‘Explicit Solutions for a Nonlinear Model of Financial Derivatives’ Feb 2007 IJT&AF

Bordo Michael, David Wheelock 'Stock Market Booms & Monetary Policy in the Twentieth Century' FRB St. Louis Review March/April 2007

Borodin Alexei, Grigori Olshanski ‘Markov Processes on Partitions’ Probability Theory and Related Fields Volume 135, Number 1 / May, 2006 

Borovkova Svetlana ‘A Closed Form Approach to Valuation and Hedging of Basket Options’ Bachelier Conference 2006

Bos Charles, Phillip Gould ‘Dynamic Correlations and Optimal Hedge Ratios’ SSRN 2/07

Boufoussi Brahim, Marco Dozzi, Raby Guerbaz ‘On the Local Time of Multifractional Brownian Motion’ Stochastics Volume 78 Issue 1, 2006

Boyle Katharyn, Thomas Coleman, Yuying Li ‘Hedging a Portfolio of Derivatives by Modeling Cost’ January 2003

Boyle Phelim, Feidhilm Boyle 'Derivatives: the Tools that Changed Finance' Risk Books 2001

Brandimarte Paolo ‘Numerical Methods in Finance & Economics:MATLAB’ 2006 Wiley Press

Brannan James ‘Differential Equations’ 2006 Wiley Press Breton Michele, Hatem Ben-Ameur ‘Numerical Methods in Finance’ 2005 Springer Press Breuer Thomas, Martin Jandacka ‘Temporal Aggregation of GARCH Models: Conditional

Kurtosis and Optimal Frequency’ SSRN 3/07 Briand Philippe, Ying Hu ‘BSDE With Quadratic Growth and Unbounded Terminal Value’

Probability Theory and Related Fields Volume 136, Number 4 December, 2006 Bridger Mark ‘Real Analysis’ 2006 Wiley Press Briec Walter, Kristiaan Kerstens, Octave Jokung 'Mean-Variance-Skewness Portfolio

Performance Gauging: AGeneral Shortage Function and Dual Approach' Management Science Jan. 2007

Brigo Damiano, Andrea Pallavicini, Roberto Torresetti ‘Default Correlation, Cluster Dynamics and Single Names: the GPCL Dynamical Loss Model’ SSRN 1/07

Brody Dorje, Lane Hughston, Andrea Macrina ‘Beyond Hazard Rates: A New Framework for Credit-Risk Modelling’ Advances in Mathematical Finance (ed. M. Fu, et all) 2007

Broman Erik, Olle Häggström, Jeffrey Steif ‘Refinements of Stochastic Domination’ Probability Theory and Related Fields Volume 136, Number 4 December, 2006 

Bronstein Anne Laure, Lane Hughston, Martijn Pistorius, Mihail Zervos ‘Discretionary Stopping of One-Dimensional Itô Diffusions with a Staircase Reward Function’ J. Applied Probability V. 43,4 12/2006

Bronstein Anne Laure, Mihail Zervos ‘Sequential Entry and Exit Decisions with an Ergodic Performance Criterion’ Stochastics Volume 78 Issue 2, 2006

Brown Emery ‘Signal Processing & Statistical Challenges in Neuroscience Data Analysis’ SIAM News March 2007

Brown Gregory, Peter Crabb, David Haushalter ‘Are Firms Successful at Selective Hedging?’ Journal of Business Vol 79, #6, Nov 2006

Brunner Hermann ‘Collocation Methods for Volterra Integral and Related Functional Differential Equations’ Cambridge Monogr. Appl. Comput. Math. 15, Cambridge University Press, Cambridge UK , 2004.  

Brunner Hermann, P. J. van der Houwen ‘The Numerical Solution of Volterra Equations’ CWI Monogr. 3, North–Holland, Amsterdam, 1986

Brunnermeier Markus, Christian Gollier ‘Optimal Beliefs, Asset Prices, and the Preference for Skewed Returns’ SSRN 2/07

Bruti-Liberati ‘Weak Approximations of Jump Diffusions with Applications in Finance’ Bachelier Conference 2006

Buckle David ‘Nobel Prize Versus No Bells and Whistles: An Assessment of Two Active Portfolio Construction Techniques’ Quantitative Finance, Volume 7 Issue 1 2007

Byström Hans ‘Back to the Future: Futures Margins In A Future Credit Default Swap Index Futures Market’ Journal of Futures Markets Jan 2007

Byun Suk Joon ‘Closed-Form Upper Bounds for the Optimal Exercise Boundary of American Put’ Bachelier Conference 2006

Cadenillas Abel ‘Stock Options with Unknown Executive Type’ Bachelier Conference 2006

Cai Jun ‘How Dangerous It Will Be If An Insurer Invests Its Surplus Into A Stock Market’ Bachelier Conference 2006

Calvet Laurent, Adlai Fisher ‘Multifrequency Jump-Diffusions: An Equilibrium Approach’ NBER Working Paper No. W12797 2007

Calvet Laurent, Adlai Fisher, Samuel Thompson ‘Volatility Comovement: A Multifrequency Approach’ March/April 2006 Journal of Econometrics

Campanale Claudio, Rui Luís de Castro, Gian Luca Clementi ‘Asset Pricing in a General Equilibrium Production Economy With Chew-Dekel Risk Preferences’ SSRN 3/07

Campolieti Giuseppe, Roman Makarov ‘Pricing Path-Dependent Options on State Dependent Volatility Models with a Bessel Bridge’ Feb 2007 IJT&AF

Canchi Devendra, Sachin Mehta ‘Estimating the Value of Structuring in Segmented Markets Case of Collateralized Mortgage Obligations’ SSRN 3/07

Cao Yanzhao ‘On Convergence Rate of Wiener-Ito Expansion for Generalized Random Variables’ Stochastics Volume 78 Issue 3, 2006

Capelle-Blancard Gunther, Mo Chaudhury ‘Spider Options and the S&P 500 Index Options Market’ SSRN 2/07

Capinski Marek, P.E. Kopp ‘Measure, Integral and Probability’ 2004 Springer Press Carmona Rene, Erhan Cinlar, et al ‘Paris-Princeton Lectures on Mathematical Finance

2002’ 2003 Springer Press Carmona Rene, Erhan Cinlar, et al ‘Paris-Princeton Lectures on Mathematical Finance

2003’ 2003 Springer Press Carr Peter, Ali Hirsa ‘Forward Evolution Equations for Knock-Out Options’ Advances

in Mathematical Finance (ed. M. Fu, et all) 2007 Carr Peter, Apollo Hogan, Harvey Stein ‘Time for a Change: the Variance Gamma Model

and Option Pricing’ SSRN 1/07 Carriero Andrea, Carlo Favero, Iryna Kaminska ‘Financial Factors, Macroeconomic

Information and the Expectations Theory of the Term Structure of Interest Rates’ Journal of Econometrics

Cartea Álvaro ‘Dynamic Hedging of Financial Instruments When the Underlying Follows a Non-Gaussian Process’ <non-local information, P&L, Carr/Wu> Birkbeck U. London 2005

Cartier Pierre, Cecile DeWitt-Morette ‘Functional Integration’ 2006 Cambridge Press Castagna Antonio, Fabio Mercurio 'The Vanna-Volga Method for Implied Volatilities'

RISK Jan 07 Ceci Claudia ‘Risk Minimizing Hedging for a Partially Observed High Frequency Data

Model’ Stochastics Volume 78 Issue 1, 2006 Centanni Silvia, Marco Minozzo ‘A Monte Carlo Approach to Filtering for a Class of

Marked Doubly Stochastic Poisson Processes’  JASA 12/06 <Cox Process, Monte Carlo EM, Reversible-jump Markov Chain Monte Carlo, MCMC, ultra-high frequency data>

Cerny Ales ‘Optimal Continuous-Time Hedging with Leptokurtic Returns’ Bachelier Conference 2006

Cerný Aleš ‘Optimal Continuous-Time Hedging With Leptokurtic Returns’ Mathematical Finance April 2007 - Vol. 17 Issue 2

Cerný Jirí 'Moments and Distribution of the Local Time of a Two-Dimensional Random Walk' SP&A 2/07

Cespedes Juan Carlos Garcia, Juan Antonio De Juan Herrero, Alex Kreinin, Dan Rosen ‘A Simple Multifactor “Factor Adjustment” for the Treatment of Credit Capital Diversification’ Journal of Credit Risk Volume 2 /Number 3, Fall 2006

Çetin Umut ‘An Equilibrium Model for Default Risk (A Detailed Summary of Results Without Proofs)’ Bachelier Conference 2006

Chae Joon, Cheol-Won Yang ‘Failure of Asset Pricing Models: Transaction Cost, Irrationality, or Missing Factors’ SSRN Jan 07

Chambers Marcus, J. Roderick McCrorie ‘Frequency Domain Estimation of Temporally Aggregated Gaussian Cointegrated Systems’ 1/07 Journal of Econometrics

Chance Don ‘A Synthesis of Binomial Option Pricing Models for Lognormally Distributed Assets’ SSRN 3/07

Chang Geunhyuk, Jangkoo Kang, Hwa-Sung Kim, In Joon Kim ‘An Efficient Approximation Method for American Exotic Options’ Journal of Futures Markets Jan 2007

Chang Lo-Bin, Ken Palmer ‘Smooth Convergence in the Binomial Model’ Finance and Stochastic Jan 2007, Vol 11 #1

Chapman S.J. ‘The Kelly Criterion for Spread Bets’ <gambling; strategy; optimal bankruptcy; expectation>IMA J. Applied Math. Volume 72, Number 1, February 2007

Cheang Gerald ‘American-Style Options on Two Assets Under Jump-Diffusion Processes’ Bachelier Conference 2006

Chen An ‘Loss Analysis of A Life Insurance Company Applying Discrete-Time Riskminimizing Hedging Strategies’ Bachelier Conference 2006

Chen Long, David Lesmond, Jason Wei ‘Corporate Yield Spreads and Bond Liquidity’ Journal of Finance Volume 62: Issue 1, February 2007

Chen Nan, Paul Glasserman ‘Additive and Multiplicative Duals for American Option Pricing’ Finance and Stochastics Volume 11, Number 2, April, 2007 <Haugh and Kogan, variance reduction>

Chen Nan, Paul Glasserman 'Malliavin Greeks without Malliavin Calculus' 7/06 Chen Ren-Raw, Frank Fabozzi, Ging-Ging Pan, Ronald Sverdlove ‘Sources of Credit

Risk: Evidence from Credit Default Swaps’ Journal of Fixed Income Winter 2006 Chen Te-Feng, Ming-In Lin, Kehluh Wang ‘The Information Content of the Implied

Convenience Yield: Using American Call Option Based Structural Model’ SSRN Jan 07

Chen Xiaohong, Yanqin Fan ‘Estimation and Model Selection of Semiparametric Copula-Based Multivariate Dynamic Models Under Copula Misspecification’ Nov/Dec 2006 Journal of Econometrics

Chen Xinliang ‘Static Super-Replicating Strategies for Exotic Options’ Bachelier Conference 2006

Chen Zhiyong, Paul Glasserman 'Fast Pricing of Basket Default Swaps' 9/06 Cherchye Laurens, Bram De Rock, Frederic Vermeulen ‘The Collective Model of

Household Consumption: A Nonparametric Characterization’ Econometrica V. 75, #2 March 2007

Cheridito Patrick, Damir Filipovic, Robert Kimmel ‘A Note on the Dai-Singleton Canonical Representation of Affine Term Structure Models’ Oct 2006

Cherny Alexander ‘Pricing Optimality and Equilibrium Based On Coherent Risk Measures’ Bachelier Conference 2006

Cherny Alexander, Pavel Grigoriev ‘Dilatation Monotone Risk Measures Are Law Invariant’ Finance and Stochastics Volume 11, Number 2, April, 2007

Cherubini Umberto ‘Accounting Fraud and the Pricing of Corporate Liabilities: Structural Models with Garbling’ Bachelier Conference 2006

Chiarella Carl ‘Pricing American Options under Stochastic Volatility’ Bachelier Conference 2006

Chiarella Carl, Chih-Ying Hsiao ‘The Impact of Short-Sale Constraints on Asset Allocation Strategies via the Backward Markov Chain Approximation Method’ Sept. 2006 Computational Economics

Chiarella Carl, Christina Nikitopoulos Sklibosios, Erik Schlögl ‘A Markovian Defaultable Term Structure Model with State Dependent Volatilities’ Feb 2007 IJT&AF

Chib Siddhartha, Federico Nardari, Neil Shephard ‘Analysis of High Dimensional Multivariate Stochastic Volatility Models’ Oct 2006 Journal of Econometrics <Bayesian inference; Markov chain Monte Carlo, MCMC; Marginal likelihood; Metropolis-Hastings algorithm; Particle filter; Simulation; State space model; Stochastic jumps; Student-t distribution; Volatility; Value-at-Risk; Risk measurement; Forecasting; Time-varying correlations>

Chollete Loran, Randi Naes, Johannes Skjeltorp ‘Pricing Implications of Shared Variance in Liquidity Measures’ SSRN 3/07

Choulli Tahir ‘Minimal Hellinger Martingale Measure of Order Q’ Bachelier Conference 2006

Chourdakis Kyriakos ‘Pricing of Interest Rate Sensitive Instruments under Markovian Interest Rate Models’ 2007

Chourdakis Kyriakos ‘Regime Switching Lévy Models: Finite Distributions and Option Pricing’ Bachelier Conference 2006

Christie Steve ‘Beware the Sharpe Ratio’ SSRN 1/07 Christoffersen Peter, Redouane Elkamhi, Bruno Feunou, Kris Jacobs ‘Option Valuation

with Conditional Heteroskedasticity and Non-Normality’ SSRN 2/07 Christoffersen Peter, Steve Heston, Kris Jacobs ‘Option Valuation with Conditional

Skewness’ March/April 2006 Journal of Econometrics Christoffersen Peter, Steve Heston, Kris Jacobs ‘The Shape and Term Structure of

the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work so Well’ SSRN 2/07

Chung San-Lin, Hsieh-Chung Chang ‘Generalized Analytical Upper Bounds for American Option Prices’ stochastic interest rates, stochastic volatility, and jumps> Journal of Financial and Quantitative Analysis Vol. 42, No. 1, March 2007

Cipra Barry ‘IMA Hosts 2006 Blackwell-Tapia Conference’ <Spanish Flu Pandemic> SIAM News Jan/Feb 2007

Cipra Barry ‘Invasion of the Shapeshifters’ < topology> SIAM News March 2007 Cipra Barry ‘The Long and the Short of It:Queueing Theory Goes Dynamic’ SIAM News

Jan/Feb 2007 Clark Todd, Kenneth West ‘Using Out-Of-Sample Mean Squared Prediction Errors to

Test the Martingale Difference Hypothesis’ Nov/Dec 2006 Journal of Econometrics Cleary Sean, Paul Povel, Michael Raith ‘The U-Shaped Investment Curve: Theory and

Evidence’ Journal of Financial and Quantitative Analysis Vol. 42, No. 1, March 2007

Cochrane John ‘A Cross-Sectional Test of a Production-Based Asset Pricing Model’ NBER Working Paper No. W4025 SSRN 1/07

Coeurdacier Nicolas, Robert Kollmann, Philippe Martin ‘Return Volatility and International Portfolio Choice’ SSRN 3/07

Cojocaru Alina, M. Murty ‘An Introduction to Sieve Methods & Their Applications’ <Goldbach’s conjecture> 2006 Cambridge Press

Coleman Thomas, Dmitriy Levchenkov, Yuying Li ‘Discrete Hedging of American Options using Local Risk Minimization’ 6/06

Coleman Thomas, Yuying Li, Jay Henniger ‘Minimizing Tracking Error While Restricting the Number of Assets’ May 2006

Coleman Thomas, Yuying Li, Maria Cristina Patron ‘Total Risk Minimization using Monte-Carlo Simulations’ April 2005

Coleman Thomas, Yuying Li, Maria-Cristina Patron ‘Discrete Hedging under Piecewise linear Risk Minimization’ December 2002

Colino Jesus ‘Weak Convergence in Credit Risk’ Bachelier Conference 2006 Collevecchio Andrea ‘Limit Theorems for Reinforced Random Walks on Certain Trees’

Probability Theory and Related Fields Volume 136, Number 1 / September, 2006  Cont Rama, Jean-Philippe Bouchaud, Marc Potters 'Scaling in Financial Data:Stable

Laws & Beyond' in Scaling Invariance and Beyond Springer 1997 Corcuera José Manuel ‘The Martingale Method In A Lévy Market’ Bachelier Conference

2006 Cornuejols Gerard, Reha Tutuncu 'Optimization Methods in Finance (Mathematics,

Finance and Risk)' Cambridge Press 2007 Corradi Valentina, Norman Swanson ‘Evaluation of Dynamic Stochastic General

Equilibrium Models Based On Distributional Comparison of Simulated and Historical Data’ 2/07 Journal of Econometrics

Cox D.R. ‘Principles of Statistical Inference’ 2006 Cambridge Press Cremers Martijn, David Weinbaum ‘Deviations from Put-Call Parity and Stock Returns’

SSRN 3/07 Crépey Stéphane ‘Valuation and Hedging of Convertible Bonds In the Standard Market

Model’ Bachelier Conference 2006 Cretarola Alessandra ‘Quadratic Hedging Methods for Defaultable Claims’ Bachelier

Conference 2006 Cuñat Vicente ‘Trade Credit: Suppliers as Debt Collectors and Insurance Providers’

Review of Financial Studies, V. 20, # 2, March 2007 d’Addona Stefano, Axel Kind ‘International Stock–Bond Correlations In A Simple

Affine Asset Pricing Model’ Oct 2006 Journal of Banking and Finance Dagpunar J.S. ‘Simulation and Monte Carlo:with Applications in Finance & MCMC’ 2007

Wiley Press Daníelsson Jón, Jean-Pierre Zigrand ‘On Time-Scaling of Risk and the Square-Root-

Of-Time Rule’ Oct 2006 Journal of Banking and Finance Das Sanjiv, Darrell Duffie, Nikunj Kapadia, Leandro Saita ‘Common Failings: How

Corporate Defaults Are Correlated’ Journal of Finance Volume 62: Issue 1, February 2007

Dassios Angelos ‘Parisian Barrier Options and Ruin Probabilities’ Bachelier Conference 2006

Davis Mark, Vicente Mataix-Pastor ‘Negative Libor Rates in the Swap Market Model’ Finance and Stochastics Volume 11, Number 2, April, 2007

Davison A.C., Richard Smith ‘Models for Exceedences of High Thresholds’ Journal of the Royal Statistical Society’ 1990

De Goeij Peter, Wessel Marquering ‘Macroeconomic Announcements and Asymmetric Volatility in Bond Returns’ Oct 2006 Journal of Banking and Finance

de Haan Laurens, Ana Ferreira ‘Extreme Value Theory:An Introduction’  2006 Springer De Vallière Dimitri,Yuri Kabanov, Christophe Stricker ‘No-Arbitrage Criteria for

Financial Markets With Transaction Costs and Incomplete Information’ Finance and Stochastics Volume 11, Number 2, April, 2007

Décamps Jean-Paul, Stéphane Villeneuve ‘Optimal Dividend Policy and Growth Option’ Finance and Stochastic Jan 2007, Vol 11 #1

Dekel Eddie, Barton L Lipman, Aldo Rustichini, Todd Sarver ‘Representing Preferences with a Unique Subjective State Space: A Corrigendum’ Econometrica V. 75, #2 March 2007

Delong Gayle, Robert Deyong ‘Learning By Observing: Information Spillovers in the Execution and Valuation of Commercial Bank M&As’ Journal of Finance Volume 62: Issue 1, February 2007

DeMarzo Peter, Michael Fishman ‘Agency and Optimal Investment Dynamics’ Review of Financial Studies, Volume 20, Issue 1, January 2007

Demchuk Andriy, Rajna Gibson ‘Stock Market Performance and the Term Structure of Credit Spreads’ <two factor default model> JF&QA 12/06

Den Iseger P. 'Numerical Transform Inversion Using Gaussian Quadrature' Probability in the Eng. & Inform. Sciences 20(1) 2006

Derrien Francois, Ambrus Kecskés ‘The Initial Public Offerings of Listed Firms’ Journal of Finance Volume 62: Issue 1, February 2007

Detemple Jérôme ‘Dynamic Asset Allocation: A Portfolio Decomposition Formula and Applications’ Bachelier Conference 2006

Detemple Jérôme, René Garcia, Marcel Rindisbacher ‘Asymptotic Properties of Monte Carlo Estimators of Diffusion Processes’ Sept 2006 Journal of Econometrics <Diffusion processes; Simulation-based estimation; Doss transformation, Mihlstein scheme, Euler scheme>

Deutsch Hans-Peter ‘Computational Methods in the Pricing and Risk Management of Modern Financial Derivatives’ Comp. Physics Com. 121-122 (1999)

Deutsch Hans-Peter ‘Portfolio Theory with a Drift’ Wilmott (September 2004) Di Giacinto Marina ‘Stochastic Consumption Investment Problem with Labor Income: An

Asymptotic Expansion Approach’ Bachelier Conference 2006 Di Matteo Tiziana ‘Multi-Scaling in Finance’ Quantitative Finance, Volume 7 Issue 1

2007 <generalize Hurst exponent> Diavatopoulos Dean, James Doran, David Peterson ‘Idiosyncratic Implied Volatility

and the Cross-Section of Stock Returns’ 2007 Diavatopoulos Dean, James Doran, David Peterson ‘Implied Idiosyncratic Volatility

and the Cross-Section of Stock Returns’ SSRN 1/07 Diebold Francis X., Glenn Rudebusch, S. BoragAn Aruoba ‘The Macroeconomy and the

Yield Curve: A Dynamic Latent Factor Approach’ March/April 2006 Journal of Econometrics

Dikos George ‘Option Implied PDFs':A Moment Problem Approach’ Bachelier Conference 2006

Dine Michael ‘Supersymmetry & String Theory’ 2006 Cambridge Press Dittmann Ingolf, Ernst Maug ‘Lower Salaries and No Options? On the Optimal

Structure of Executive Pay’ Journal of Finance Volume 62: Issue 1, February 2007 Dittmar Amy, Anjan Thakor ‘Why Do Firms Issue Equity?’ Journal of Finance Volume

62: Issue 1, February 2007 Dokuchaev Nikolai ‘Mean-Revering Discrete Time Market Models’ SSRN Jan 07

Dong Gang ‘Improving Risk-Adjusted Returns of Fixed-Portfolios with VIX Derivatives’ SSRN 1/07

Doran James, Ehud Ronn ‘The Bias In Black-Scholes/Black Implied Volatility: An Analysis of Equity and Energy Markets’ 12/05 Review of Derivatives Research

Dotsis George, Dimitris Psychoyios, George Skiadopoulos ‘An Empirical Comparison of Continuous-Time Models of Implied Volatility Indices’ tobe Journal of Banking and Finance 2007

Douady Raphael ‘The Nonlinearities of Hedge Fund Returns’ Bachelier Conference 2006 Dowd Kevin ‘Using Order Statistics to Estimate Confidence Intervals for

Probabilistic Risk Measures’ Journal of Derivatives Winter 2006 Downing Chris, Stephen Oliner ‘The Term Structure of Commercial Paper Rates’ 

Journal of Financial Economics 1/07 Dubner H., J. Abate 'Numerical Inversion of Laplace Transforms by Relating them to

the Finite Fourier Cosine Transform' J. ACM 15(1) 1998 Duffie Darrel, Rui Kan ‘Universal State Prices and Asymmetric Information’ Journal

of Mathematical Economics, 2002 Duffie Darrell, Leandro Saita, Ke Wang 'Multi-period Corporate Default Prediction

with Stochastic Covariates' Journal of Financial Economics 3/07 Dupire Bruno ‘Arbitrage Bounds for Volatility Derivatives’ Bachelier Conference

2006 Durand Robert, Dominic Lim, J. Kenton Zumwalt ‘Fear and the Fama-French Factors’

SSRN 2/07 Durham Garland ‘Monte Carlo Methods for Estimating, Smoothing, and Filtering One-

and Two-Factor Stochastic Volatility Models’ July 2006 Journal of Econometrics Ebenfeld Stefan, Damaris Hilzinger ‘Approximation of Continuous Monitoring with

Discrete Monitoring Applied to Down—and—Out Options’ Willmott (July 2006) Eberlein Ernst ‘Lévy Driven Market Models’ Bachelier Conference 2006 Eberlein Ernst, Wolfgang Kluge ‘Calibration of Lévy Term Structure Models’ Advances

in Mathematical Finance (ed. M. Fu, et all) 2007 Eckner Andreas ‘A Multivariate GARCH Model with Volatility Spill-Over and Time-

Varying Correlations’ SSRN 2/07 Edelsbrunner Herbert ‘Geometry & Topology for Mesh Generation’ 2006 Cambridge Press Ederington Louis, Wei Guan ‘Volatility Forecasts for Option Valuation’ SSRN 1/07 Efthimiou C.J., M.D. Johnson ‘Domino Waves’ SIAM Review 3/07 V. 49 #1 Egami Masahiko ‘A Direct Method for Solving Optimal Switching Problems of One-

Dimensional Diffusions’ Bachelier Conference 2006 Egelkraut Thorsten, Philip Garcia, Bruce Sherrick ‘The Term Structure of Implied

Forward Volatility’ American Journal of Agricultural Economics, Vol. 89, Issue 1, pp. 1-11, February 2007

Eggermont P. ‘Stability and Robustness of Collocation Methods for Abel-Type Integral Equations’  Numer. Math., 45 (1984), Pp. 431–445. 

Egorov Alexei, Yongmiao Hong, Haitao Li ‘Validating Forecasts of the Joint Probability Density of Bond Yields: Can Affine Models Beat Random Walk?’ Nov/Dec 2006 Journal of Econometrics

Ehlers Philippe ‘Dynamic Credit Portfolio Derivatives Pricing’ Bachelier Conference 2006

Ehlers Philippe, Philipp Schönbucher ‘Pricing Interest Rate-Sensitive Credit Portfolio Derivatives’ SSRN Jan 07

Ehrlichman Samuel, Shane Henderson 'Adaptive Control Variates for Pricing Multi-Dimensional American Options' 6/06 <Options-American>

Ekern Steinar ‘Simplifying and Generalizing Some Efficient Frontier and CAPM Related Results’ SSRN 2/07

Ekström Erik ‘Properties of Option Prices In Models with Jumps’ Bachelier Conference 2006

El-Bachir Naoufel ‘Options Pricing with A Jump Diffusion Intensity Model’ Bachelier Conference 2006

Elder John, Hyun Jin ‘Long Memory in Commodity Futures Volatility: A Wavelet Perspective’ Journal of Futures Markets May 2007

Elerian Ola, Siddhartha Chib, Neil Shephard ‘Likelihood Inference for Discretely Observed Non-Linear Diffusions’ 2000 Oxford Financial Research Center

Elhouar Mikael ‘Heath-Jarrow-Morton Models with Regime-Switching Volatility’ Bachelier Conference 2006

Elie Romuald ‘Optimal Greek Weights By Kernel Estimation’ Bachelier Conference 2006 Elliott Robert ‘Ito Formulas for Fractional Brownian Motions’ Bachelier Conference

2006 Elliott Robert, Hong Miao, Jin Yu ‘General Equilibrium Asset Pricing Under Regime

Switching’ SSRN 3/07 Elliott Robert, John van der Hoek ‘Ito Formulas for Fractional Brownian Motion’

Advances in Mathematical Finance (ed. M. Fu, et all) 2007 Embrechts Paul ‘Some Issues Underlying the AMA Modeling of Operational Risk’

Bachelier Conference 2006 Epstein David, Paul Wilmott ‘The Yield Envelope: Price Ranges For Fixed Income

Products’ 1999 Oxford Financial Research Center Epstein Larry, Angelo Melino ‘A Revealed Preference Analysis of Asset Pricing Under

Recursive Utility’ NBER Working Paper No. W4524 SSRN 1/07 Ermentroout Bard, David Pinto ‘Neurophysiology & Waves’ SIAM News March 2007 Escanciano J. Carlos, Carlos Velasco ‘Generalized Spectral Tests for the Martingale

Difference Hypothesis’ Sept 2006 Journal of Econometrics Evans David, A.R. Ahmad ‘The Numerical Solution of Multidimensional Partial

Differential Equations By the Explicit Alternating Direction (Ead) Method’ <Explicit Alternating Direction Method, 2/3 dimensions> International Journal of Computer Mathematics 1995, vol. 57, no1-2

Ewald Christian-Olivier, Klaus Reiner Schenk-Hoppé, Zhaojun Yang ‘Model and Their Relation to Locally R-Minimizing and Delta Hedges’ SSRN Jan 07

Ewald Christian-Olivier, Rolf Poulsen, Klaus Reiner Schenk-Hoppé ‘Stochastic Volatility: Risk Minimization and Model Risk’ SSRN 2/07

Ewlad Christian-Olivier, Zhaojun Yang, Yajun Xiao ‘Implied Volatility from Asian Options Via Monte Carlo Methods’ SSRN Jan 07

Faff Robert, Philip Gray ‘On the Estimation and Comparison of Short-Rate Models Using the Generalised Method of Moments’ Nov 2006 Journal of Banking and Finance

Fahrner Ingo ‘Modern Logarithms for the Heston Model’ Feb 2007 IJT&AF , <volatility><Lewis-Lipton formula, branch-cut complex logarithm not needed> wp Jan 2007

Fajardo Jose ‘Duality and Derivative Pricing with Time-Changed Lévy Processes’ Bachelier Conference 2006

Fan G., G.H. Liu 'Fast Fourier Transform for Discontinuous Functions' IEEE Trans. Antennas & Propagation 52(2) 2004

Fan Jianqing, Loriano Mancini ‘Option Pricing with Aggregation of Physical Models and Nonparametric Statistical Learning’ SSRN 2/07

Fan Jianqing, Qiwei Yao ‘Nonlinear Time Series’ 2003 Springer Press Fan Wei ‘On the Relationship Between Call Price and the Probability of the Call

Ending in the Money’ SSRN 2/07 Fang Sihai ‘The Risk-Neutral Hedging Strategy Based on Market-Index, Index-Futures

and Index-Options—a Case Study’ SSRN 2/07 Fathi Albert, J.-C. Yoccoz ‘Dynamical Systems’ 2006 Cambridge Press Fehr Ernst, Alexander Klein, Klaus M Schmidt ‘Fairness and Contract Design’

Econometrica Jan. 2007  Vol. 75 Issue 1 Feller M.N. ‘The Lévy Laplacian’ 2006 Cambridge Press Fernández-Rodríguez Fernando ‘Interest Rate Term Structure Modeling Using Free-Knot

Splines’ Journal of Business Vol 79, #6, Nov 2006 Ferris Stephen, Tomas Jandik, Robert Lawless, Anil Makhija ‘Derivative Lawsuits as

a Corporate Governance Mechanism: Empirical Evidence on Board Changes

Surrounding Filings’ Journal of Financial and Quantitative Analysis Vol. 42, No. 1, March 2007

Fink Jason, Michael Albert ‘Adaptive Mesh Modeling and Barrier Option Pricing Under a Jump-Diffusion Process’ SSRN 2/07

Firpo Sergio ‘Efficient Semiparametric Estimation of Quantile Treatment Effects’ Econometrica Jan. 2007  Vol. 75 Issue 1

Firth Neil, Jeff Dewynne, S. Chapman ‘An Asymptotic Analysis of an American Call Option with Small Volatility’ 2004 Oxford Financial Research Center

Fischer Tom ‘Consumption Processes and Positively Homogeneous Projection Properties’ Bachelier Conference 2006

Fonseca Irene, Giovanni Leoni ‘Modern Methods in Calculus of Variations:in Lp Spaces’ 2007 Springer

Fornari Fabio ‘Compensation for Volatility Risk in Interest Rate Derivatives’ SSRN Jan 07

Frahm Gabriel ‘Applicability of Random Matrix Theory Given the Stylized Facts of Empirical Finance’ Bachelier Conference 2006

Frey Ruediger ‘Portfolio Credit Risk Under Incomplete Information: A Nonlinear Filtering Approach’ Bachelier Conference 2006

Fridson Martin, Karen Sterling ‘Fallen Angels: A Separate and Superior Asset Class’ Journal of Fixed Income Winter 2006

Friedmann Ralph, Walter Sanddorf-Köhle ‘A Conditional Distribution Model for Limited Stock Index Returns’ Journal of Economic Dynamics and Control March 07

Frijns Bart, Thorsten Lehnert, Remco Zwinkels ‘Behavioral Heterogeneity in the Option Market’ SSRN 3/07

Frittelli Marco, Sara Biagini, Giacomo Scandolo ‘Duality in Mathematical Finance’ 2007 Springer Press

Frittelli Marco, Wolfgang Runggaldier ‘Stochastics Methods in Finance’ 2004 Springer Press

Fu Michael ‘Variance-Gamma and Monte Carlo ’ Advances in Mathematical Finance (ed. M. Fu, et all) 2007

Fu Michael, Robert Jarrow, Ju-Yi Yen, Robert Elliott ‘Advances in Mathematical Finance’ Birkhauser 2007

Funaki T., Y. Hariya, F. Hirsch, Marc Yor ‘On Some Fourier Aspects of the Construction of Certain Wiener Integrals’ SP&A 1/07

Fusai Gianluca, Andrea Roncoroni ‘Implementing Models in Quantitative Finance:Methods and Cases’ 2006 Springer Press

Fusai Gianluca, Maria Cristina Recchioni ‘Analysis of Quadrature Methods for Pricing Discrete Barrier Options’ Journal of Economic Dynamics and Control March 07

Galluccio Stefano ‘Constructive Theory of General Market Models for IR Derivatives:Graph Theory Admissible Sets of Swap Rates and Smile Modeling’ Bachelier Conference 2006

Gapeev Pavel ‘Pricing and Hedging Perpetual American Options In Jump-Diffusion Models:Barrier Lookback Switching and Credit Options’ Bachelier Conference 2006

Garg Rahul, Sanjiv Kappor 'Auction Algorithms for Market Equilibrium' Mathematics of Operations Research Vol 31,#4 Nov. 2006

Garlappi Lorenzo, Raman Uppal, Tan Wang ‘Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach’ Review of Financial Studies, Volume 20, Issue 1, January 2007

Gaul Juergen, Erik Theissen ‘A Partially Linear Approach to Modelling the Dynamics of Spot and Futures Prices’ SSRN 2/07

Geman Hélyette ‘Mean Reversion versus Random Walk in Oil and Natural Gas Prices’ Advances in Mathematical Finance (ed. M. Fu, et all) 2007

Gerber Anke, Thorsten Hens ‘Modelling Alpha-Opportunities within the CAPM’ SSRN 3/07

Geske Robert, Yi Zhou ‘Predicting the Volatility of the S&P 500 Equity Index’ SSRN 3/07

Geske Robert, Yi Zhou ‘Pricing S&P 500 Index Put Options: Smiles, Skews, and Leverage’ SSRN 3/07

Geske Robert, Yi Zhou ‘The Effects of Leverage on the Pricing of S&P 500 Index Call Options’ SSRN 1/07

Giaccotto Carmelo, Gerson Goldberg, Shantaram Hegde ‘The Value of Embedded Real Options: Evidence From Consumer Automobile Lease Contracts’ Journal of Finance Volume 62: Issue 1, February 2007

Giamouridis Daniel, Ioannis Vrontos ‘Hedge Fund Portfolio Construction: A Comparison of Static and Dynamic Approaches’ Jan 2007 Journal of Banking and Finance

Giesecke Kay, Pascal Tomecek, Xiaowei Ding ‘Time-Changed Birth Processes and Multi-Name Credit’ SSRN 1/07

Gikhman Ilya ‘Fixed-Income Instruments Pricing’ SSRN 2/07 Giles Michael, Niles Pierce ‘An Introduction to the Adjoint Approach’ Flow,

Turbulence & Control 65, 2000 Giot Pierre, Sébastien Laurent ‘The Information Content of Implied Volatility in

Light of the Jump/Continuous Decomposition of Realized Volatility’ Journal of Futures Markets April 2007

Glasserman Paul, Jesus Ruiz-Mata ‘Computing the Credit Loss Distribution in the Gaussian Copula Model: A Comparison of Methods’ Journal of Credit Risk Vol.2, #4 Winter 2006/2007

Glasserman Paul, Sandeep Juneja 'Uniformly Efficient Importance Sampling for the Tail Distribution of Sums of Random Variables' 12/06

Glasserman Paul, Sira Suchintabandid 'Correlation Expansion for CDO Pricing' Journal of Banking and Finance to appear 2007 <normal copula, factor models>

Golden Kevin, Stylianos G. Paganopoulos, Peter Taylor ‘Mean-Variance Spanning and OLS Regression Portfolio Return Models’ SSRN 2/07

Goldstein Daniel, Nassim Taleb ‘We Don't Quite Know What We are Talking About when We Talk About Volatility’ SSRN 3/07

Goldstein Michael, Edith Hotchkiss, Erik Sirri ‘Transparency and Liquidity: A Controlled Experiment on Corporate Bonds’ Review of Financial Studies, V. 20, # 2, March 2007

Gourieroux Christian, Alain Monfort ‘Econometric Specification of Stochastic Discount Factor Models’ 2/07 Journal of Econometrics

Gradojevic Nikola ‘Non-Linear, Hybrid Exchange Rate Modeling and Trading Profitability in the Foreign Exchange Market’ Journal of Economic Dynamics and Control Feb. 07

Granger Clive, Mark Machina ‘Structural Attribution of Observed Volatility Clustering’ Nov/Dec 2006 Journal of Econometrics

Grasselli Martino ‘Multidimensional Stochastic Volatility Models’ Bachelier Conference 2006

Grasselli Matheus ‘Indifference Price for Unbounded Semimartingales: An Orlicz Space Approach’ Bachelier Conference 2006

Graziano Giuseppe Di ‘The Bayesian Agent and the Co-Movement of Security Prices’ Bachelier Conference 2006

Green Richard, Burton Hollifield, Norman Schürhoff ‘Financial Intermediation and the Costs of Trading in an Opaque Market’ Review of Financial Studies, V. 20, # 2, March 2007

Greenspan Donald ‘Numerical Solution of Ordinary Differential Equations’ 2006 Wiley Press

Griewank Andreas ‘Evaluating Derivatives:Principles & Techniques of Algorithmic Differentiation’ SIAM 2000

Griffin James, Mark ‘Inference with Non-Gaussian Ornstein–Uhlenbeck Processes for Stochastic Volatility’ Oct 2006 Journal of Econometrics

Grigg Olivia, David Spiegelhalter ‘Simple Risk-Adjusted Exponentially Weighted Moving Average’ JASA 3/07

Grigoriev Pavel ‘Dilatation Monotonous and Comonotonic Additive Risk Measures Represented As Choquet Integral’ Bachelier Conference 2006

Grishchenko Olesya, Marco Rossi ‘Incomplete Markets and Asset Prices: How Well Can We Aggregate?’ SSRN 3/07

Groth Martin ‘The Minimal Entropy Martingale Measure and Numerical Option Pricing for the Barndorff-Nielsen & Shephard Stochastic Volatility Model’ Bachelier Conference 2006

Guasoni Paolo ‘Continuous Processes with Full Support Are Arbitrage-Free Under Transaction Costs’ Bachelier Conference 2006

Gubner John ‘Probability and Random Processes for Electrical and Computer Engineers’ 2006 Cambridge Press

Guidolin Massimo, Allan Timmermann ‘Term Structure of Risk Under Alternative Econometric Specifications’ March/April 2006 Journal of Econometrics

Gulisashvili Archil, Elias M. Stein Asymptotic Behavior of the Distribution of the Stock Price In Models with Stochastic Volatility: the Hull–White Model Oct. 06 Comptes Rendus Mathematique

Guo Chen ‘Dynamic Bond Pricing as Boundary Value Problem and Gaussian Solution with Predictable Risk Free Return’ SSRN 3/07

Guo Xin ‘Intensity Process and Compensator: A New Computation Approach Via Jeulin-Yor ‘Formula/Generalized Lando's Formula: A Filtration Expansion’ Bachelier Conference 2006

Guvenen Fatih, Hanno Lustig ‘Consumption Based Asset Pricing Models: Empirical Performance’ SSRN 3/07

Guvenen Fatih, Hanno Lustig ‘Consumption Based Asset Pricing Models: Theory’ SSRN 3/07

Gyöngy István, Teresa Martínez ‘On Numerical Solution of Stochastic Partial Differential Equations of Elliptic Type’ Stochastics Volume 78 Issue 4, 2006

Habib Michel, Pierre Mella-Barral ‘The Role of Knowhow Acquisition in the Formation and Duration of Joint Ventures’ Review of Financial Studies, Volume 20, Issue 1, January 2007

Hairer E., C. Lubich, M. Schlichte ‘Fast Numerical Solution of Weakly Singular Volterra Integral Equations’ J. Comput. Appl. Math., 23 (1988), Pp. 87–98.  

Haldrup Niels, Morten Ørregaard Nielsen ‘A Regime Switching Long Memory Model for Electricity Prices’ Nov/Dec 2006 Journal of Econometrics

Halevy Yoram ‘Ellsberg Revisited: An Experimental Study’ Econometrica V. 75, #2 March 2007

Hameed Allaudeen, Yuanto Kusnadi ‘Stock Return Cross-Autocorrelations and Market Conditions in Japan’ Journal of Business Vol 79, #6, Nov 2006

Hamerle Alfred, Daniel Rösch ‘Parameterizing Credit Risk Models’ Journal of Credit Risk Vol.2, #4 Winter 2006/2007

Hamerle Alfred, Michael Knapp, Nicole Wildenauer 'Default and Recovery Correlations--A Dynamic Econometric Approach' <LGD, loss given defaults> RISK Jan 07

Hanke Martin ‘Credit Risk, Capital Structure & the Pricing of Equity Options’ 2003 Springer Press

Hanqing Jin ‘Behavioral Portfolio Selection in Continuous Time Market’ Bachelier Conference 2006

Hansen Peter Reinhard, Asger Lunde ‘Consistent Ranking of Volatility Models’ March/April 2006 Journal of Econometrics

Hansen Peter, Asger Lunde ‘An Unbiased Measure of Realized Variance’ technical report, Brown University, Dept. of Economics. 2004

Hansen Peter, Asger Lunde ‘Realized Variance and IID Market Microstructure Noise’ technical report, Brown University, Dept. of Economics. 2004

Hanson Floyd ‘American Put Option Pricing for Stochastic-Volatility Jump-Diffusion Models’ Bachelier Conference 2006

Hanzon Bernard ‘An Arbitrage Analysis for Exchange Rates with Bid-Ask Spread /An Algebraic Optimization Approach To the Estimation of Zero-Beta Pricing Models’ Bachelier Conference 2006

Harmantzis Fotios ‘Pricing Corporate Bonds Using Dynamic Default Barriers’ Bachelier Conference 2006

Harrington Scott, David Shrider ‘All Events Induce Variance: Analyzing Abnormal Returns When Effects Vary across Firms’ Journal of Financial and Quantitative Analysis Vol. 42, No. 1, March 2007

Harrision Glenn, John List, Charles Towe ‘Naturally Occurring Preferences and Exogenous Laboratory Experiments: A Case Study of Risk Aversion’ Econometrica V. 75, #2 March 2007

Hartman Philip ‘Ordinary Differential Equations’ 2002 SIAM Press Hautsch Nikolaus, Dieter Hess ‘Bayesian Learning in Financial Markets: Testing for

the Relevance of Information Precision in Price Discovery’ Journal of Financial and Quantitative Analysis Vol. 42, No. 1, March 2007

Haven Emmanuel, Xiaoquan Liu, Chenghu Ma, Liya Shen ‘Revealling the Implied Risk-Neutral MGF with the Wavelet Method’ SSRN 2/07

Hayashi Takaki ‘Nonsynchronously Observed Diffusions and Covariance Estimation’ Bachelier Conference 2006

Heidari Massoud, Ali Hirsa, Dilip B. Madan ‘Pricing of Swaptions in Affine Term Structures with Stochastic Volatility’ Advances in Mathematical Finance (ed. M. Fu, et all) 2007

Heij Christiaan, André Ran, Freek van Schagen 'Introduction to Mathematical Systems Theory:Linear Systems, Identification and Control' <business, econometrics, computer, engineering students> 2007  Birkhäuser

Heitfield Erik, Steve Burton, Souphala Chomsiseng ‘Systematic and Idiosyncratic Risk in Syndicated Loan Portfolios’ Journal of Credit Risk Volume 2 /Number 3, Fall 2006

Henard Marc ‘Skewed Libor Market Model and Gaussian HJM Explicit Approaches to Rolled Deposit Options’ SSRN 1/07

Henderson Vicky, David Hobson, Tino Kluge ‘Is There An Informationally Passive Benchmark for Option Pricing Incorporating Maturity?’ Quantitative Finance, Volume 7 Issue 1 2007

Hendry David, Bent Nielsen 'Econometric Modeling:A Likelihood Approach' Princeton Press Feb/07

Henrad Marc ‘The Irony in the Derivatives Discounting’ SSRN 3/07 Herbertsson Alexander ‘Pricing Synthetic CDO Tranches in a Model with Default

Contagion Using the Matrix-Analytic Approach’ SSRN 2/07 Herbertsson Alexander, Holger Rootzén ‘Pricing k-th-to-Default Swaps under Default

Contagion: The Matrix-Analytic Approach’ SSRN 2/07 Herkommer Dirk ‘Correlation Effects In Credit Risk Models with Incomplete

Accounting Information’ Bachelier Conference 2006 Herkommer Dirk ‘Recovery Rates in Credit Default Models Theory and Application to

Corporate Bonds’ SSRN 3/07 Herzberg Frederik, Christoph Bennemann ‘Order Statistics for Value at Risk

Estimation and Option Pricing’ Willmott (November 2006) Hesthaven Jan, Sigal Gottlieb, David Gottlieb ‘Spectral Methods for Time-Dependent

Problems’ 2006 Cambridge Press Heston Steven, Mark Loewenstein, Gregory Willard ‘Options and Bubbles’ Review of

Financial Studies, V. 20, # 2, March 2007 Higham Desmond ‘A Matrix Perturbation View of the Small World Phenomenon’ SIAM

Review 3/07 V. 49 #1 Higham Nicholas ‘Accuracy and Stability of Numerical Algorithms’ 2002 SIAM Press Hille Christian, Christoph Burmester, Matthias Otto ‘Modelle zur risikoadjustierten

Kapitalallokation’ Die Bank (March 2000) Hillen Thomas ‘A Classification of Spikes and Plateaus’ SIAM Review 3/07 V. 49 #1

Hinnerich Mia ‘Pricing Equity Swaps In An Economy with Jumps’ Bachelier Conference2006

Hinz Juri ‘Storage Costs In Commodity Option Pricing’ Bachelier Conference 2006 Hirsa Ali ‘Swaption Pricing In Affine Framework Both In Continous and Discrete-

Time’ Bachelier Conference 2006 Hirukawa Junichi ‘Discriminant and Cluster Analysis for Multivariate Non-Gaussian

Locally Stationary Processes’ Bachelier Conference 2006 Ho Giang, Anthony Pennington-Cross ‘The Varying Effects of Predatory Lending Laws

on High-Cost Mortgage Applications’ FRB St. Louis Jan/Feb 2007 Hobson David ‘A Short Proof of an Identity for a Brownian Bridge Due to Donati-

Martin, Matsumoto and Yor’ Statistics and Probability Letters 77 (#2) 148-150 2007.

Hobson David ‘Optimal Stopping of the Maximum Process: A Converse to the Results of Peskir’ Stochastics Volume 79 Issue 1 & 2 2007

Hobson David, A.M.G. Cox ‘A Unifying Class of Skorokhod Embeddings: Connecting the Azema-Yor and Vallois Embeddings’ tobe Bernoulli.

Hobson David, A.M.G. Cox, Jan Obloj ‘Pathwise Inequalities of the Local Time: Applications to Skorokhod Embeddings and Optimal Stopping’

Hobson David, Jonathan Evans, Vicky Henderson ‘Optimal Timing for an Asset Sale in an Incomplete Market’

Hobson David, Jonathan Evans, Vicky Henderson ‘The Curious Incident of the Investment in the Market: Real Options and a Fair Gamble’

Hobson David, Vicky Henderson ‘Horizon Unbiased Utility Functions’ Hobson David, Vicky Henderson ‘Perpetual American Options in Incomplete Markets:

The Infinitely Divisible Case’ Hobson David, Vicky Henderson ‘Utility Indifference Pricing:an Overview’ To Appear

in Utility Indifference Pricing Editor: R. Carmona, Princeton University Press. Hobson David, Vicky Henderson, William Shaw, Rafal Wojakowski ‘Bounds for In-

Progress Floating-Strike Asian Options Using Symmetry’ Annals of Operations Research

Hochberg Yael, Alexander Ljungqvist, Yang Lu ‘Whom You Know Matters: Venture Capital Networks and Investment Performance’ Journal of Finance Volume 62: Issue 1, February 2007

Hochreiter Ronald, Georg Ch. Pflug ‘Polynomial Algorithms for Pricing Path-Dependent Interest Rate Instruments’ <recombining trees> Oct. 2006 Computational Economics

Hodder James, Jens Carsten Jackwerth ‘Incentive Contracts and Hedge Fund Management: a Numerical Evaluation Procedure’ SSRN 3/07

Hodges Stewart, Naru Parekh ‘Term Structure Slope Risk: Convexity Revisited’ Journal of Fixed Income Winter 2006

Hoerdahl Peter, Oreste Tristani ‘Inflation Risk Premia in the Term Structure of Interest Rates’ SSRN 2/07

Honda Toshiki ‘An Application of Multiperiod Optimization Methods To Currency Hedging Strategies’ Bachelier Conference 2006

Hopman Carl ‘Do Supply and Demand Drive Stock Prices?’ Quantitative Finance, Volume 7 Issue 1 2007

Hördahl Peter, Oreste Tristani, David Vestin ‘A Joint Econometric Model of Macroeconomic and Term-Structure Dynamics’ March/April 2006 Journal of Econometrics

Horst Ulrich ‘Climate Risk Securitization and Equilibrium Bond Pricing’ Bachelier Conference 2006

Howison Sam ‘Matched Asymptotic Expansions in Financial Engineering’ 2005 Oxford Financial Research Center

Howison Sam 'A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options:Part 2:Bermuda Options' wp 2005

Howison Sam, Avraam Rafailidis, Henrik. Rasmussen ‘A Note on the Pricing and Hedging of Volatility Derivatives’ 2001 Oxford Financial Research Center

Howison Sam, Mario Steinberg ‘A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 1: Barrier Options’ 2005 Oxford Financial Research Center

Hua Philip, Paul Wilmott ‘Crash Modelling, Value at Risk and Optimal Hedging’ 1999 Oxford Financial Research Center

Hua Philip, Paul Wilmott ‘Value-At-Risk and Market Crashes’ 1999 Oxford Financial Research Center

Huang Jingzhi ‘Stochastic Volatility Models for Asset Returns with Jump Leverage Effect and Heavy-Tails: A Specification Analysis Based On Mcmc’ Bachelier Conference 2006

Huang Ying, Salih Neftci ‘What Drives Swap Spreads, Credit or Liquidity?’ SSRN 3/07 Hughston Lane ‘Information-Based Asset Pricing’ Bachelier Conference 2006 Huisman Ronald, Ronald Mahieu, Arjen Mulder ‘Do Exchange Rates Move in Line with

Uncovered Interest Parity?’ SSRN 1/07 Hujer Reinhard, Sandra Vuleti? ‘Econometric Analysis of Financial Trade Processes

by Discrete Mixture Duration Models’ Journal of Economic Dynamics and Control Feb. 07

Hull John, Alan White ‘Valuing Credit Derivatives Using an Implied Copula Approach’ <alternative to Gaussian, CDO tranches> Journal of Derivatives Winter 2006

Hung Chi-Hsiou ‘Momentum, Size and Value Factors Versus Systematic Co-Moments in Stock Returns’ SSRN 2/07

Hyejin Ku ‘Liquidity Risk with Coherent Risk Measures’ Bachelier Conference 2006 Hyvärinen Aapo 'A Fast and Robust Fixed-Point Algorithms for Independent Component

Analysis' IEEE Trans. Neural Networks 1999 <statistics> <ICA> Ilhan Aytac ‘Risk Minimizing Static-Dynamic Hedges for Exotic Options’ Bachelier

Conference 2006 Imai Junichi ‘Enhancing the Dimension Reduction Technique Using the Effective

Dimension Distribution’ Bachelier Conference 2006 In Francis ‘Can the Risk Factors Explain the Cross-Sectional Variation of Stock

Returns In the Long Run?’ Bachelier Conference 2006 Indragoby Govindaraj, Olivier Pironneau 'Calibration by Automatic Differentiation'

<Black-Scholes, Dupire models> 2004 Ioannidis Christos, Julian M. Williams ‘A Black Box Approach to Copulas: the Non-

Parametric Empirical Copula Approach’ SSRN 1/07 Ioannou Petros, Baris Fidan ‘Adaptive Control Tutorial’ 2006 SIAM Press Irle Albrecht, Jörn Sass ‘Optimal Portfolio Policies Under Fixed and Proportional

Transaction Costs’ Advances In Applied Probability V. 38.4 Dec. 2006 Ishimura Naoyuki ‘On the Solvability of Nonlinear Black-Scholes Equations

Incorporating Transaction Costs’ Bachelier Conference 2006 Jacka Saul, Andreas Kyprianou, Goran Peskir ‘Optimal Stopping with Applications: An

Editorial Prelude’ Stochastics Volume 79 Issue 1 & 2 2007 Jackson Matthew, Hugo Sonnenschein ‘Overcoming Incentive Constraints by Linking

Decisions’ Econometrica Jan. 2007  Vol. 75 Issue 1 Jackwerth Jens ‘Mispricing of S&P 500 Index Options’ Bachelier Conference 2006 Jacoby Gady, Rose Liao, Jonathan Batten ‘Testing for the Elasticity of Corporate

Yield Spreads’ SSRN 3/07 Jain Sachin ‘Efficient Importance Sampling for Reduced Form Models In Credit Risk’

Bachelier Conference 2006 Jamshidian Farshid ‘The Duality f Optimal Exercise and Domineering Claims: A Doob-

Meyer Decomposition Approach To the Snell Envelope’ <American Options> Stochastics Volume 79 Issue 1 & 2 2007

Janecek Karel ‘Optimal Investments with Proportional Profit-Share Fee: Analysis of the Highwater-Mark Fee Structure’ Bachelier Conference 2006

Jang Bong, Kum-Hwan Roh ‘Valuing Qualitative Options with Stochastic Volatility’ SSRN 3/07

Jarrow Robert ‘A Tutorial on Zero Volatility and Option Adjusted Spreads’ Advances in Mathematical Finance (ed. M. Fu, et all) 2007

Jarrow Robert, Haitao Li, Feng Zhao ‘Interest Rate Caps "Smile" Too! But Can the Libor Market Models Capture the Smile?’ Journal of Finance Volume 62: Issue 1, February 2007

Jarrow Robert, Philip Protter, A. Deniz Sezer ‘Information Reduction via Level Crossings in a Credit Risk Model’ Finance and Stochastics Volume 11, Number 2, April, 2007

Jarrow Robert, Philip Protter, Kazuhiro Shimbo ‘Asset Price Bubbles in Complete Markets’ Advances in Mathematical Finance (ed. M. Fu, et all) 2007

Jeannin Marc ‘Stock Pinning: Theory and Simulations’ Bachelier Conference 2006 Jean-Sebastien Roy ‘Kernel-Based Stochastic Gradient Algorithms for Option Pricing’

Bachelier Conference 2006 Jerrum Mark ‘On The Approximation of One Markov Chain by Another’ Probability

Theory and Related Fields Volume 135, Number 1 / May, 2006  Jiang George, Tong Yao ‘The Cross-Section of Stock Price Jumps and Return

Predictability’ SSRN 3/07 Jiang Jennifer, John Birge 'Comparisons of Alternative Quasi-Monte Carlo Sequences

for American Option Pricing' <numerical integration, option pricing, low discrepancy sequences>  U. Chicago 11/04

Jin Xing, Frank Milne ‘Taxation and Transaction Costs in a General Equilibrium Asset Economy’ Advances in Mathematical Finance (ed. M. Fu, et all) 2007

Jiwook Jang ‘Jump Diffusion Processes and Their Applications in Insurance and Finance’ Bachelier Conference 2006

Jobert Arnaud ‘Pricing Operators and Dynamic Convex Risk Measures’ Bachelier Conference 2006

Johannes Michael, Suresh Sundaresan ‘The Impact of Collateralization on Swap Rates’ Journal of Finance Volume 62: Issue 1, February 2007

Johnson Neil, David Lamper, Paul Jefferies, Michael L. Hart, Sam Howison ‘Application of Multi-Agent Games to the Prediction of Financial Time-Series’ Oxford Financial Research Center 2001

Jondeau Eric, Ser-Huang Poon, Michael Rockinger ‘Financial Modeling Under Non-Gaussian Distributions’ Series: Springer Finance 2007

Jones David, V. Vance Roley ‘Bliss Points in Mean-Variance Portfolio Models’ NBER Working Paper No. T0019 SSRN 1/07

Jounin Elyès, Clotilde Napp ‘Arbitrage with Fixed Costs and Interest Rate Models’ > JF&QA 12/06

Ju Nengjiu, Hui Ou-Yang ‘Capital Structure, Debt Maturity and Stochastic Interest Rates’ Journal of Business Sept 2006

Jurczenko Emmanuel, Bertrand Maillet, Ghislain Yanou ‘Portfolio Selection with Higher-Order L-Moments: A Robust Non-Parametric Multi-Moment Efficient Frontier’ SSRN 3/07

Kalbfleisch John ‘The Statistical Analysis of Failure Time Data’ 2002 Wiley Press Kall Peter, Janos Mayer ‘Stochastic Linear Programming’ 2005 Springer Press Kamimura Shoji ‘Numerical Results for Rank Processes’ Bachelier Conference 2006 Kampen Joerg ‘Evaluation of Greeks In Continuous Diffusion Models Via Higher Order

Weak Schemes Based On Analytic Expansions of Probability Densities’ Bachelier Conference 2006

Kan Raymond, Cesare Robotti ‘Model Comparison Using the Hansen-Jagannathan Distance’ SSRN 2/07

Kanamura Takashi ‘A Time-Varying Volatility Model for Energy Prices’ Bachelier Conference 2006

Kang Choongoh ‘Restructuring Risk In Credit Default Swaps: An Empirical Analysis’ Bachelier Conference 2006

Kang Qiang, Canlin Li ‘Can a Risk-Based Factor Generate Momentum?’ SSRN 3/07Karatzas Ioannis, Constantinos Kardaras ‘The Numeraire Portfolio In Semimartingale

Financial Models’ 2006 Karatzas Ioannis, Ingrid-Mona Zamfirescu ‘Martingale Methods for Stochastic

Differential Games of Control and Stopping’ 2007

Karatzas Ioannis, William Sudderth ‘Stochastic Games of Control and Stopping for A Linear Diffusion’ 2005

Karoui Lotfi ‘Modeling the Term Structure of Defaultable Bonds Under Recovery Risk’ Bachelier Conference 2006

Kashiwabara Akira ‘Utility Indifference Pricing and Reserving of Untradable Risks in Insurance Contracts Via Backward Stochastic Differential Equation’ Bachelier Conference 2006

Kassberger Stefan ‘A Lévy-Driven Structural Model for the Valuation of Collateralized Debt Obligations and Other Credit Derivatives’ Bachelier Conference 2006

Kawai Reiichiro ‘An Importance Sampling Method Based On the Density Transformation of Lévy Processes’ Bachelier Conference 2006

Kawanishi Yasuhiro ‘A New Type of Barrier Options: Lizard Option’ Bachelier Conference 2006

Kawazu Kiyoshi, Yuki Suzuki ‘Limit Theorems for a Diffusion Process with a One-Sided Brownian Potential’ J. Applied Probability V. 43,4 12/2006

Kearns Jonathan ‘Commodity Currencies: Why Are Exchange Rate Futures Biased If Commodity Futures Are Not?’ Economic Record, Vol. 83, Issue 260, pp. 60-73, March 2007

Kellerhals B. Philipp ‘Asset Pricing:Modeling and Estimation’ 2004 Springer Press Kelley C.T. ‘Solving Nonlinear Equations with Newton’s Method’ 2003 SIAM Press Khadem Varqa, William Perraudin ‘Default Hazards and the Term Structure of Credit

Spreads in a Duopoly’ 2001 Oxford Financial Research Center Khuri Andre ‘Advanced Calculus with Applications in Statistics’ 2002 Wiley Press Kiefer Nicholas, C. Erik Larson ‘A Simulation Estimator for Testing the Time

Homogeneity of Credit Rating Transitions’ SSRN 1/07 Kilin Fiodar ‘Accelerating Calibration of the Stochastic Volatility Models’ SSRN

2/07 Kim Jin Gyo, Ulrich Menzefricke, Fred Feinberg ‘Capturing Flexible Heterogeneous

Utility Curves: A Bayesian Spline Approach’ Management Science Feb 2007 53(2) Kimmel Robert ‘Complex Times: Asset Pricing and Conditional Moments Under Non-

Affine Diffusions’ Bachelier Conference 2006 Kimura Toshikazu ‘Valuing Continuous-Installment Options’ Bachelier Conference 2006 Kjaer Mats ‘Fast Pricing of Cliquet Options with Global Floor’ Journal of

Derivatives Winter 2006 Klein Irene, L.C.G. Rogers ‘Duality in Optimal Investment and Consumption Problems

with Market Frictions’ Mathematical Finance April 2007 - Vol. 17 Issue 2 Kleinow Torsten ‘Fair Valuation of Participating Insurance Policies Under

Management Discretion’ Bachelier Conference 2006 Kling Jeffrey, Jeffrey Liebman, Lawrence Katz ‘Experimental Analysis of

Neighborhood Effects’ Econometrica Jan. 2007  Vol. 75 Issue 1 Klöppel Susanne ‘Utility Based Good Deal Bounds’ Bachelier Conference 2006 Kluge Wolfgang ‘The Lévy Libor Model with Default Risk’ Bachelier Conference 2006 Kogan Jacob ‘Introduction to Clustering Large & High-Dimensional Data’ 2006

Cambridge Press Koopman Siem Jan, Marius Ooms, Angeles Carnero’ Periodic Seasonal Reg-ARFIMA-GARCH

Models for Daily Electricity Spot Prices’  JASA 3/07 Korn Ralf, Paul Wilmott ‘Room for a View’ 1999 Oxford Financial Research Center Kouretas Georgios ‘Autoregressive Value At Risk By Regression Quantiles:Estimating

Market Risk for Major Stock Markets’ Bachelier Conference 2006 Kozhemiakin Alexander ‘Non-Idiosyncratic Alpha: A Case of the Corporate Bond

Market’ Journal of Fixed Income Winter 2006 Kraft Holger ‘How To Invest Optimally In Corporate Bonds: A Reduced-Form Approach’

Bachelier Conference 2006 Krekel Martin ‘Optimal Portfolios with Loan-Depending Credit Spread’ Bachelier

Conference 2006

Krepely Pool Veronika, Hans Stoll, Robert Whaley ‘Failure to Exercise Call Options: An Anomaly and a Trading Game’ SSRN 3/07

Krishnan C.N.V., Peter Ritchken, James Thomson ‘On Forecasting the Term Structure of Credit Spreads’ SSRN 3/07

Krueger Dirk, Hanno Lustig ‘The Irrelevance of Market Incompleteness for the Price of Aggregate Risk’ CEPR Discussion Paper No. 5936 SSRN 1/07

Kruse Susanne ‘Forward Starting Option In the Heston Model and Application To the Pricing of Year- On Year- Inflation Options’ Bachelier Conference 2006

Krzesinski Anthony, Andre Costa, Maya Ramakrishnan, Peter Taylor ‘A Comment on Two-Phase Behavior of Financial Markets’ Feb 2007 IJT&AF

Kumar Praveen, Sorin Sorescu, Rodney Boehme, Bartley Danielsen ‘Estimation Risk, Information and the Conditional CAPM: Theory and Evidence’ SSRN 1/07

Kumar Sunil, Kumar Muthuraman 'A Numerical Method for Solving Stochastic Singular Control Problems' Operations Research 52(4) 2004

Kunitomo Naoto ‘The General Evaluation Method of Guaranteed Annuity Options Based On Malliavin-Watanabe Calculus’ Bachelier Conference 2006

Kunitomo Naoto, Yong-Jin Kim ‘Effects Of Stochastic Interest Rates and Volatility on Contingent Claims’ Japanese Economic Review, Vol. 58, Issue 1, pp. 71-106, March 2007

Kuo Hui-Hsiung ‘Introduction to Stochastic Integration’ 2006 Springer Press Kupper Michael ‘Optimal Capital and Risk Transfers for Group Diversification’

Bachelier Conference 2006 Kurt Noemi ‘Entropic Repulsion for a Class of Gaussian Interface Models in High

Dimensions’ SP&A 1/07 Kushner Harold ‘Numerical Approximations for Stochastic Systems with Delays in the

State and Control’ Stochastics Volume 78 Issue 5, 2006 Kwok Yue Kuen ‘Intensity Based Framework for Optimal Stopping Problems’ Bachelier

Conference 2006 Kwok Yue Kuen ‘Mathematical Models of Financial Derivatives’ 2006 Springer Press Kwok Yue Kuen, Kwai Sun Leung, Seng Yuen Leung ‘Finite Time Dividend-Ruin Models’

SSRN 2/07 Kyprianou Andreas ‘Introductory Lectures on Fluctuations of Lévy Processes with

Applications’ 2006 Springer Press Kyprianou Andreas, Budhi Atra Surya ‘Principles of Smooth and Continuous Fit in the

Determination of Endogenous Bankruptcy Levels’ Finance and Stochastic Jan 2007, Vol 11 #1

Laeven Roger ‘Knightian Measures of Risk’ Bachelier Conference 2006 Laforge Christophe ‘Construction of Multivariate Copulas and the Compatibility

Problem’ SSRN 1/07 Larose Daniel ‘Data Mining Methods & Models’ 2006 Wiley Press Larsen Kasper ‘On the Semimartingale Property Via Bounded Logarithmic Utility’

Bachelier Conference 2006 Larsen Kristian Stegenborg, Michael Sørensen ‘Diffusion Models for Exchange Rates

in aTarget Zone’ Mathematical Finance April 2007 - Vol. 17 Issue 2 Le Courtois Olivier ‘Assessing the Market Value of Safety Loadings’ Bachelier

Conference 2006 Lee Bong-Soo, Oliver Meng Rui ‘Time-Series Behavior of Share Repurchases and

Dividends’ Journal of Financial and Quantitative Analysis Vol. 42, No. 1, March 2007

Lee Cheng-Few, Haim Riesman, Simaan Yusif 'A note on the multi-beta CAPM' Journal of Mathematical Finance, Vol. 4, No. 1, , pp 67-68, January 1994

Lee Hsiang-Tai, Jonathan Yoder ‘Optimal Hedging With A Regime-Switching Time-Varying Correlation GARCH Model’ Journal of Futures Markets May 2007

Lefebvre Mario ‘Applied Stochastic Processes’ 2007  Springer Lettau Martin, Jessica Wachter ‘Why Is Long-Horizon Equity Less Risky? A Duration-

Based Explanation of the Value Premium’ Journal of Finance Volume 62: Issue 1, February 2007

Leung Kwai Sun, Yue Kuen Kwok ‘Distribution of Occupation Times for Constant Elasticity of Variance Diffusion and the Pricing of -Quantile Options’ Quantitative Finance, Volume 7 Issue 1 2007

Levy Haim ‘Stochastic Dominance’ 2006 Springer Press Lewbel Arthur ‘Estimation of Average Treatment Effects with Misclassification’

Econometrica V. 75, #2 March 2007 Lewis John, S. Lakshmivarahan, Sudarshan Dhall ‘Dynamic Data Assimilation’ 2006

Cambridge Press Li George ‘Time-Varying Risk Aversion and Asset Prices’ Jan 2007 Journal of Banking

and Finance Li Jinliang, Chunchi Wu ‘Daily Return Volatility, Bid-Ask Spread and Information

Flow:Analyzing the Information Content of Volume’ Journal of Business Sept 2006 Li Ying, Hossein Kazemi ‘Conditional Performance of Hedge Funds: Evidence from

Daily Returns’ SSRN 1/07 Li Yingying, Per Mykland ‘Are Volatility Estimators Robust With Respect To Modeling

Assumptions’ TR 564, Dept of Statistics, Univ. of Chicago . 2006 Liang Faming, Chuanhai Liu, Chuanhai, Raymond Carroll ‘ Stochastic Approximation in

Monte Carlo Computation’ JASA 3/07 Liebmann Thomas ‘Fair Valuation of Insurance Contracts Under Lévy Process

Specifications’ Bachelier Conference 2006 Lien Donald, Keshab Shrestha ‘An Empirical Analysis of the Relationship Between

Hedge Ratio and Hedging Horizon Using Wavelet Analysis’ Journal of Futures Markets Feb 2007

Lillestöl Jostein ‘On Some Bivariate Models with Nig-Marginals In Finance’ Bachelier Conference 2006

Lim Andrew ‘A Benchmarking Approach to Robust Asset Allocation When There Is Model Ambiguity’ Bachelier Conference 2006

Lim Tiong Wee ‘A New Approach to Pricing and Hedging Options with Transaction Costs’ Bachelier Conference 2006

Lin Fangxia ‘Pricing Credit Default Swaps when Interest Rate Process and Hazard Rate Process are Stochastic’ SSRN 2/07

Lin Junze, Peter Ritchken ‘On Pricing Derivatives in the Presence of Auxiliary State Variables’ Journal of Derivatives Winter 2006

Lindberg Carl ‘Portfolio Optimization and a Factor Model In A Stochastic Volatility Market’ Stochastics Volume 78 Issue 5, 2006

Lindset Snorre ‘A Generalization of the Formulas for Options on the Maximum or the Minimum of Several Assets’ European Journal of Finance Vol 12 #8 2006

Lindset Snorre ‘Pricing American Exchange Options in a Jump-Diffusion Model’ Journal of Futures Markets March 2007 

Linz P. ‘Analytical and Numerical Methods for Volterra Equations’  SIAM Stud. Appl. Math. 7, SIAM 1985

Lipster Robert ‘Statistics of Random Processes:Applications’ 2001 Springer Press Lipster Robert ‘Statistics of Random Processes:General Theory’ 2001 Springer Press Liu Jun ‘Portfolio Selection in Stochastic Environments’ Review of Financial

Studies, Volume 20, Issue 1, January 2007 Liu Jun, Francis Longstaff, Ravit Mandell ‘The Market Price of Risk in Interest

Rate Swaps:The Roles of Default and Liquidity Risk’ Journal of Business Sept 2006

Liu Qiang ‘Options' Prices Under Arithmetic Brownian Motion and Their Implication for Modern Derivatives Pricing’ SSRN Jan 07

Liu Qiang ‘The M Out of N Provisional Call: An Auxiliary Reversed Binomial Tree Approximation’ SSRN Jan 07

Liu Weimin ‘A Liquidity-Augmented Capital Asset Pricing Model’ Journal of Financial Economics 12/06

Lobato Ignacio, Carlos Velasco ‘Efficient Wald Tests for Fractional Unit Roots’ Econometrica V. 75, #2 March 2007

Logan J. David ‘Applied Mathematics’ 2006 Wiley Press

Londo Jaime ‘State Dependent Utility’ Bachelier Conference 2006 Lord Roger, Fang Fang, Frank Bervoets, Cornelis Oosterlee 'A Fast and Accurate FFT-

Based Method for Pricing Early-Exercise Options under Lévy Processes' 2/07 <option-American> <Bermuda, convolution, VG, CGMY, KoBoL, EAJD>

Los Cornelis ‘Persistence Characteristics of the Chinese Stock Markets’ Bachelier Conference 2006

Lu Di, Shuming Du ‘The Effect of Size-Based Regulation on an Economic System Exhibiting Self-Organized Criticality’ Quantitative Finance, Volume 7 Issue 1 2007

Ludkovski Michael ‘Financial Hedging of Operational Risk’ Bachelier Conference 2006 Ludvigson Sydney, Serena Ng ‘The Empirical Risk–Return Relation: A Factor Analysis

Approach’  Journal of Financial Economics 1/07 Lutgens Frank, Jos Sturm, Antoon Kolen 'Robust One-Period Option Hedging'

<portfolio, nonnegative cones> Operations Research Vol. 54, # 6 Nov/Dec 2006 Macci Claudio ‘Large Deviations for Risk Models in Which Each Main Claim Induces a

Delayed Claim’ Stochastics Volume 78 Issue 2, 2006 Macrina Andrea ‘Beyond Hazard Rates: A New Framework for Credit Risk Modelling’

Bachelier Conference 2006 Madan Dilip ‘Representing the CGMY and Meixner Lévy Processes as Time Changed

Brownian Motions’ Bachelier Conference 2006 Madan Dilip, J. Yen 'Asset Alocation for CARA Utility with Multivariate Lévy

Returns' in Handbook of Financial Engineering ed. Birge/Linetsky forthcoming Maghsoodi Y. ‘Exact Solution of a Martingale Stochastic Volatility Option Problem

and Its Empirical Evaluation’ Mathematical Finance April 2007 - Vol. 17 Issue 2 Mahayni Antje Brigitte, Nicole Branger ‘Tractable Hedging With Additional

Instruments’ SSRN 3/07 Malamud Semyon ‘The Davis-Varaiya Multiplicity and Branching Numbers of a

Filtration’ <stochastic integrals, family of martingales, direct integral of Hilbert spaces, event tree, complete markets, spanning number> SSRN 3/07

Malamud Semyon, Eugene Trubowitz, Mario Wuethrich ‘Market Consistent Pricing of Insurance Products’ SSRN 3/07

Malcolm W.P. ‘Estimating Mean Returns Via M-Ary Detection’ Bachelier Conference 2006

Malevergne Yannick, Didier Sornette ‘A Two-Factor Asset Pricing Model and the Fat Tail Distribution of Firm Sizes’ SSRN 2/07

Malevergne Yannick, Didier Sornette ‘Extreme Financial Risks:From Dependence to Risk Management’ 2006 Springer Press

Mallier Roland, Ghada Alobaidi ‘Pricing Equity-linked Debt using the Vasicek Model’ Acta Mathematica Universitatis Comenianae Vol. LXXI, 2(2002)  

Mamon Rogemar 'Three Ways to Solve for Bond Prices in the Vasicek Model' Journal of Applied Mathematics & Decision Sciences 2004, Vol. 8, No. 1 <term structure>

Mandelbrot Benoit ‘Fractals & Scaling in Finance’ 1997 Springer Press Mannor Shie, Duncan Simester, Peng Sun, John Tsitsiklis ‘Bias and Variance

Approximation in Value Function Estimates’ Management Science Feb 2007 53(2) Mansuy Roger, Marc Yor ‘Aspects of Brownian Motion’ 2006 Springer Press Maringer Dietmar ‘Portfolio Management with Heuristic Optimization’  2005 Springer

Press Markov Zdravko, Daniel Larose ‘Data Mining the Web’ 2007 Wiley Press Marquardt Tina, Robert Stelzer ‘Multivariate CARMA Processes’ SP&A 1/07 Martin Richard 'The Saddlepoint Method & Portfolio Optionalities' RISK 12/06

<tranche payouts, expected shortfall> Martin Richard, Dirk Tasche 'Shortfall:a Tail of Two Parts' <systematic,

unsystematic> RISK 3/07 Masuda Hiroki ‘Ergodicity and Exponential Beta-Mixing Bounds for Multidimensional

Diffusions with Jumps’ SP&A 1/07 Mataix-Pastor Vicente ‘Arbitrage Free Interpolation of the Swap Curve’ Bachelier

Conference 2006

Matsumoto Koichi ‘Optimal Growth Rate with Liquidity Risk’ Bachelier Conference 2006

Matsumura Marco, Ajax Moreira ‘Comparing Models for Forecasting the Yield Curve’ IPEA Discussion Paper No. 1245a SSRN 1/07

Matsushita Tomo ‘Static Hedging In Supermarkets’ Bachelier Conference 2006 Mayer Philipp ‘Model Independent Bounds for the Price of Arithmetic Asian Options’

Bachelier Conference 2006 Mayor N., P. Schonbucher, PaulWilmott, A.E. Whalley, David Epstein ‘The Value Of

Market Research When A Firm Is Learning: Real Option Pricing And Optimal Filtering’ 1999 Oxford Financial Research Center

Mccausland William ‘Time Reversibility of Stationary Regular Finite-State Markov Chains’ 1/07 Journal of Econometrics

McCulloch James ‘Relative Volume as a Doubly Stochastic Binomial Point Process’ Quantitative Finance, Volume 7 Issue 1 2007 <Cox process, intrad-day cummulative volume, re-scaling>

Mcneil Alexander, Jonathan Wendin ‘Dependent Credit Migrations’ Journal of Credit Risk Volume 2 /Number 3, Fall 2006

Medeiros Carlos, Parmeshwar Ramlogan ‘A Primer on Sovereign Debt Buybacks and Swaps’ SSRN 3/07

Medvedev Alexey, Olivier Scaillet ‘Approximation and Calibration of Short-Term Implied Volatilities Under Jump-Diffusion Stochastic Volatility’ Review of Financial Studies, V. 20, # 2, March 2007

Medvedev Alexey, Olivier Scaillet ‘Pricing American Options under Stochastic Volatility and Stochastic Interest Rates’ SSRN 2/07

Mello Antonio, Unyong Pyo ‘Minimax Asset Price Bounds in Incomplete Markets’ SSRN 2/07

Mercurio Fabio ‘Swaption Smiles and Convexity Adjustments’ Bachelier Conference 2006

Messaoud Marouen ‘Malliavin Calculus for the Libor Market Model’ Bachelier Conference 2006

Mikhailov Sergei, Ulrich Nögel 'Heston's Stochastic Volatility Model Implementation, Calibration and Some Extensions' Wilmott Magazine July 2002

Milstein Gregori, M.V. Tretyakov ‘Discretization Of Forward–Backward Stochastic Differential Equations and Related Quasi-Linear Parabolic Equations’ IMA J. Numerical Analysis Jan 07 <numerical integration, mean square convergence, Ma, Protter and Yong>

Minenna Marcello ‘A Guide to Quantitative Finance: Tools and Techniques for Understanding and Implementing Financial Analytics’ RISK Books 2006

Minenna Marcello ‘The Detection of Market Abuse on Financial Markets: A Quantitative Approach’ Bachelier Conference 2006

Mingxin Xu ‘Risk Measure Pricing and Hedging In Incomplete Markets’ Bachelier Conference 2006

Miyahara Yoshio ‘Variance Minimal Martingale Measures for Geometric Lévy Processes’ Bachelier Conference 2006

Miyazaki Koichi ‘Option Pricing Models for Illiquid Assets’ Bachelier Conference 2006

Miyazaki Koichi, Satoshi Nomura 'When Did the JGB Market Become Efficient?' RISK 3/07 <1996 when Japanese repo market born>

Mnif Mohamed ‘Portfolio Optimization Under Constraints with An Application In High Dimension’ Bachelier Conference 2006

Moise Claudia ‘Stochastic Volatility Risk and the Size Anomaly’ SSRN 11/06 <Size and value anomalies, Volatility premium, Cross-sectional returns, IGARCH model, Asymmetric Student-GARCH model>

Molchanov Ilya ‘Theory of Random Sets’ Springer Press 2005 Molgedey Lutz, Elvis Galic ‘Beliefs and Stochastic Modelling of Interest Rate

Scenario Risk’ Eur. Phys. J. B (2001)

Molgedey Lutz, Elvis Galic ‘Extracting Factors for Interest Rate Scenarios’ Eur. Phys. J. B (2001)

Molgedey Lutz, Werner Ebeling ‘Intraday Patterns and Local Predictability of High-Frequency Financial Time Series’ Physica A287 (2000)

Morimune Kimio ‘Volatility Models’ Japanese Economic Review, Vol. 58, Issue 1, pp. 1-23, March 2007

Moriwaki Naruhiko ‘Volatility Smile/Smirk Properties of <GLP & MEMM> Models’ Bachelier Conference 2006

Mrad Moez, Nizar Touzi, Amina Zeghal ‘Monte Carlo Estimation of a Joint Density Using Malliavin Calculus, and Application to American Options’ June 2006 Computational Economics

Muroi Yoshifumi ‘Pricing Lookback Options with Knock-Out Boundaries’ Bachelier Conference 2006

Musiela Marek, Thaleia Zariphopoulou ‘Investment and Valuation under Backward and Forward Dynamic Exponential Utilities in a Stochastic Factor Model’ Advances in Mathematical Finance (ed. M. Fu, et all) 2007

Muthuraman Kumar ‘A Computational Scheme for Optimal Investment-Consumption with Proportional Transaction Costs’  accepted for publication in Journal of Economic Dynamics and Control

Muthuraman Kumar ‘A Moving Boundary Approach to American Option Pricing’ <stochastic control, Hamilton-Jacobi-Bellman>  

Muthuraman Kumar 'Multidimensional American Option Pricing' 2007 Muthuraman Kumar, Haining Zha ‘Simulation Based Portfolio Optimization for Large

Portfolios with Transaction Costs ‘ to be Mathematical Finance 2007 ? Mykland Per ‘Financial Data and the Hidden Semimartingale Model’ 2007 Mykland Per, Lan Zhang ‘ANOVA for Diffusions and Ito Processes’ Ann. Statist. 2006,

34 Nakatsuma Teruo ‘A Bayesian Model Averaging Approach for Portfolio Selection’

Bachelier Conference 2006 Narayan Paresh Kumar ‘Are Nominal Exchange Rates and Price Levels Co-Integrated?

New Evidence from Threshold Autoregressive and Momentum-Threshold Autoregressive Models’ Economic Record, Vol. 83, Issue 260, pp. 74-85, March 2007

Nashikkar Armrut, Lasse Heje Pedersen ‘Corporate Bond Specialness’ SSRN 3/07 Naundorf Björn, Jörg Raufeisen, Christoph Bennemann ‘You Can’t Always Get What You

Want — Estimating the Value at Risk from Historical Data with Limited Statistics’ Willmott (November 2006)

Nawalkha Sanjay, Natalia Beliaeva ‘Pricing American Interest Rate Options Under Jump-Extended CIR and CEV Short Rate Models’ <exponential jumps, and efficient lattice-based solutions for both exponential jumps and lognormal jumps> SSRN 3/07

Nesmith Travis, Barry Jones ‘Linear Cointegration of Nonlinear Time Series with an Application to Interest Rate Dynamics’ FRB NY SSRN 3/07

Nguyen XuanLong ‘Hedging of Contingent Claims in Incomplete Markets’ Berkeley 2002 Nica Alexandru, Roland Speicher ‘Lectures on the Combinatorics of Free Probability’

2006 Cambridge Press Nicolo Antonio, Loriana Pelizzon ‘Credit Derivatives, Capital Requirements and

Opaque OTC Markets’ SSRN 2/07 Ninomiya Mariko ‘A New Weak Approximation Scheme of Stochastic Differential

Equations By Using Extended Runge-Kutta Method’ Bachelier Conference 2006 Nocedal Jorge ‘Numerical Optimization’ 2006 Springer Nourdin Ivan, Ciprian Tudor ‘Some Linear Fractional Stochastic Equations’

Stochastics Volume 78 Issue 2, 2006 Nowman Ben ‘Estimating the Dynamics of Interest Rates In the Japanese Economy’

Bachelier Conference 2006 Nunes Joao Pedro Vidal ‘A General Characterization of the Early Exercise Premium’

Bachelier Conference 2006

Nunes João Pedro Vidal, Luís Alberto Ferreira De Oliveira ‘Multifactor and Analytical Valuation of Treasury Bond Futures with an Embedded Quality Option’ Journal of Futures Markets March 2007 

O’Shea Donal ‘The Poincare Conjecture: In Search of the Shape of the Universe’ Walker and Co. 2007

Odening Martin, Oliver Mußhoff, Norbert Hirschauer, Alfons Balma ‘Investment Under Uncertainty—Does Competition Matter?’ Journal of Economic Dynamics and Control March 07

Oehler Christian, Egbert Schark, Ulrike Volmar ‘Gemeinschaftliche Lösungen mit individuellen verbinden’  Bankmagazin (10-2003)

Oehler Christian, Ulrike Volmar, Egbert Schark ‘Fluch oder Segen: Datenpools für interne Ratings’ Zeitschrift für das gesamte Kreditwesen (9-2003)

Ohashi Kazuhiko ‘A Structural Model for Electricity Prices with Spikes Measurement of Jump Risk and Optimal Policies for Hydropower Plant Operation’ Bachelier Conference 2006

Ok Efe 'Real Analysis with Economic Applications' Princeton Press 2007 <order theory, convex analysis, functional analysis, fixed point, calculus of variations>

Okhrin Yarema, Wolfgang Schmid ‘Distributional Properties of Portfolio Weights’ Sept 2006 Journal of Econometrics

Olivieri Enzo ‘Large Deviations & Metastability’ 2005 Cambridge Press Olofsson Peter ‘Probability, Statistics & Stochastic Processes’ 2005 Wiley Press Ono Sadayuki ‘Equilibrium Bull and Bear Equity Market Cycles In An Incomplete

Information Monetary Economy’ Bachelier Conference 2006 Oomen Role ‘Properties of Realized Variance for a Pure Jump Process: Calendar Time

Sampling versus Business Time Sampling’ 2004 technical report, University of Warwick, Warwick Business School.

Ortu Fulvio ‘Multi-Period Arbitrage and the Marginal Utility of Optimal Inter-Temporal Wealth’ Bachelier Conference 2006

Osajima Yasufumi ‘The Asymptotic Expansion Formula of Implied Volatility for Dynamic SABR Model and FX Hybrid Model’ SSRN 2/07

Osajima Yasufumi ‘The Asymptotic Expansion of Implied Volatility for Long-Term Cross-Currency Hybrid Model’ Bachelier Conference 2006

Osterrieder Joerg ‘A Theoretical Model of the Limit Order Book and Some Applications’ Bachelier Conference 2006

Owen Mark ‘Optimal Investment with An Unbounded Random Bequest’ Bachelier Conference 2006

Ozdenoren Emre, Kathy Yuan ‘Feedback Effects and Asset Prices’ SSRN 3/07 Oztukel A., Paul Wilmott ‘Uncertain Parameters, an Empirical Stochastic Volatility

Model and Confidence Limits’ 1999 Oxford Financial Research Center Palma Wilfredo ‘Long-Memory Time Series’ 2007 Wiley Press Panjer Harry ‘Operational Risk’ 2006 Wiley Press Papapantoleon Antonis ‘Valuation of Exotic and Credit Derivatives In Lévy Models’

Bachelier Conference 2006 Pasquariello Paolo ‘Imperfect Competition, Information Heterogeneity, and Financial

Contagion’ Review of Financial Studies, V. 20, # 2, March 2007 Paul Wolfgang, Jörg Baschnagel ‘Stochastic Processes:From Physics to Finance’ 1999

Springer Press Pauwels Arnd ‘Variance-Optimal Hedging In Affine Stochastic Volatility Models’

Bachelier Conference 2006 Pearlman Joseph ‘Is There More than One Way to be E-Stable?’ <Rational

Expectations> CDMA Working Paper No. 0701 SSRN 1/07 Pearson Neil, Allen Poteshman, Joshua White ‘Does Option Trading Have a Pervasive

Impact on Underlying Stock Prices?’ SSRN 3/07 Perignon Christophe ‘Testing the Monotonicity Property of Option Prices’ Journal of

Derivatives Winter 2006

Peydró-Alcalde José Luis ‘The Impact of A Large Creditor and Its Capital Structure On the Financial Distress of Its Borrower’ Bachelier Conference 2006

Phillips Peter ‘A Study of the Diffusion of Asset Prices’ SSRN Jan 07 Phillips Peter ‘Computing the Probability of Equilibrium Existence’ SSRN 1/07 Phillips Peter ‘Potential Theory, Harmonic Functions and Volatility Surfaces: An

Analysis of the Relationship between Implied Volatility, Strike Price and Expiration in Equilibrium’ 2007

Phillips Peter, Jun Yu ‘Information Loss in Volatility Measurement with Flat Price Trading’ Cowles Foundation Discussion Paper No. 1598 SSRN 1/07

Phillips Peter, Jun Yu ‘Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance’ Yale U. Cowles Foundation 2007

Phillips Peter, Jun Yu ‘Simulation-based Estimation of Contingent-claims Prices’ Cowles Foundation Discussion Paper No. 1596 2007

Piazzesi Monika, Martin Schneider ‘Inflation Illusion, Credit, and Asset Pricing’ NBER SSRN 3/07

Pickands James ‘Statistical Inference Using Extreme Order Statistics’ Annals of Statistics 1975

Pilz Kay Frederik ‘A New Method for Nonparametric Option Pricing Under Constraints’ Bachelier Conference 2006

Pintus Patrick ‘Local Determinacy with Non-Separable Utility’ Journal of Economic Dynamics and Control Feb. 07

Piqueira Natalia Scotto ‘Marketwide Liquidity and Another Look at Liquidity Risk’ SSRN 2/07

Pironneau Olivier ‘Dupire-Like Identities for Complex Options’ Jan 07 Comptes Rendus Mathematique

Pironneau Olivier 'Calibration of Options on a Reduced Basis' 7/06 Pironneau Olivier 'Dupire Identities for Complex Options' 2006 Pirvu Traian ‘Maximizing Portfolio Growth Rate Under Risk Constraints’ Bachelier

Conference 2006 Platen Eckhard, David Heath ‘A Benchmark Approach to Quantitative Finance’ 2006

Springer Press Polkovnichenko Valery ‘Life-Cycle Portfolio Choice with Additive Habit Formation

Preferences and Uninsurable Labor Income Risk’ Review of Financial Studies, Volume 20, Issue 1, January 2007

Poti Valerio ‘Arbitrage, Good Deals and Stochastic Discount Factor Restrictions on Multi-Factor Models with Coskewness’ SSRN 3/07

Prestele Clemens ‘Elliptical Distribution Model for the Pricing of Cdos’ Bachelier Conference 2006

Prestini Elena ‘The Evolution of Applied Harmonic Analysis:Models of the Real World’ Birkhauser Press 2003 <FFT, compression>

Prigent Jean-Luc ‘Generalized Option Based Portfolio Insurance’ Bachelier Conference 2006

Qiang Liu ‘Closed-Form Solutions for European and Digital Calls in the Hull and White Stochastic Volatility’ SSRN Jan 07

Qiao Huijie, Xicheng Zhang ‘Homeomorphism of Solutions to Backward SDEs and Applications’ SP&A 3/07

Qu Zhongjun, Pierre Perron ‘Estimating and Testing Structural Changes in Multivariate Regressions’ Econometrica V. 75, #2 March 2007

Quah John K.-H. ‘The Comparative Statics of Constrained Optimization Problems’ Econometrica V. 75, #2 March 2007

Raczynski Stanislaw ‘Modeling & Simulation’ 2006 Wiley Press Rank Jörn ‘Copulas: From Theory to Application in Finance’ RISK Publications Rapisarda Francesco ‘Barrier Options On Underlyings with Time--Dependent

Parameters: A Perturbation Expansion Approach’ Bachelier Conference 2006 Rasmussen Kourosh Marjani, Jens Clausen ‘Mortgage Loan Portfolio Optimization Using

Multi-Stage Stochastic Programming’ Journal of Economic Dynamics and Control March 07

Realdon Marco ‘Credit Default Swap Rates and Stock Prices’ SSRN Jan 07 Realdon Marco ‘Mixed-Gaussian Term Structure Models’ SSRN 1/07 Realdon Marco ‘Sovereign Credit Default Swap Pricing’ SSRN 3/07 Reisinger Christoph ‘Numerical Algorithms for Incomplete Commodity Markets’

Bachelier Conference 2006 Reiß Oliver, John Schoenmakers, Martin Schweizer ‘From Structural Assumptions to a

Link Between Assets And Interest Rates’ Journal of Economic Dynamics and Control Feb. 07

Reiswich Dimitri ‘A Structured Products Pricing Tool’ <The Financial Engineering Tool found at http://longvega.com/index.php, free tool replicate and price any non path-dependent, continuous piecewise linear payoff function on a stock>

Remolona Eli, Michela Scatigna, Eliza Wu ‘The Pricing of Sovereign Risk in Emerging Markets: Fundamentals and Risk Aversion’ SSRN 3/07

Renegar James ‘A Mathematical View of Interior-Point Methods in Convex Optimization’ 2001 SIAM Press

Reno Roberto ‘Threshold Estimation of Jump-Diffusion Models and Interest Rate Modeling’ Bachelier Conference 2006

Resnick Sidney ‘Heavy-Tail Phenomena:Probabilistic & Statistical Modeling’ 2007 2006 Springer

Ribakova Elina, Renzo Avesani, Antonio Garcia Pascual ‘The Use of Mortgage Covered Bonds’ IMF Working Paper No. 07/20 SSRN 2/07

Rieder Ulrich ‘Portfolio Optimization Under A Conditional Value-At-Risk Constraint’ Bachelier Conference 2006

Rincó-Zapatero Juan Pablo ‘Optimal Asset Allocation for Aggregated Defined Benefit Pension Funds with Stochastic Interest Rates’ Bachelier Conference 2006

Rindisbacher Marcel ‘Monte Carlo Methods for Derivatives of Options with Discontinuous Payoffs’ Bachelier Conference 2006

Ripley Brian ‘Stochastic Simulation’ 2006 Wiley Press Robertson Scott ‘Optimal Importance Sampling for Pricing Rare Event Derivatives in

Diffusion Models’ Bachelier Conference 2006 Rogers L.C.G., Larry Shepp ‘The Correlation of The Maxima of Correlated Brownian

Motions’ J. Applied Probability V.43,3 2006 Rosenow Bernd, Rafael Weissbach, Frank Altrock ‘Modelling Correlations in Credit

Portfolio Risk’ SSRN 2/07 Rossi Richard ‘Theorems, Corollaries, Lemmas & Methods of Proof’ 2006 Wiley Press Rostek Stefan ‘Risk Preference Based Option Pricing In A Fractional Brownian

Market’ Bachelier Conference 2006 Rothschild Michael ‘Asset Pricing Theories’ NBER SSRN 1/07 Rousseau Nicolas ‘The Revisited Jarrow-Rudd and Corrado-Su Models’ Bachelier

Conference 2006 Rubinstein Mark 'The Fundamental Theorem of Parameter-Preference Security

Valuation' JF&QA 1973 Runggaldier Wolfgang ‘Estimating Instantaneous Rates and Their Volatilities From

Observed Discretely Compounded Rates - A Stochastic Filtering Approach’ Bachelier Conference 2006

Ruschendorf Ludger ‘On the Optimal Risk Allocation Problem’ Bachelier Conference 2006

Sahi Gurprett ‘Influence of Commodity Derivatives on Volatility of Underlying’ 2007 Samperi Dominick ‘The Mind of the Market: From Fractal Networks to Intelligent

Agents’ SSRN 1/07 Sanders Jan ‘Averaging Methods in Nonlinear Dynamical Systems’ 2007 Springer Sandmann Klaus, Philipp Schonbucher ‘Advances in Finance and Stochastics:Essays in

Honor of Dieter Sondermann’ 2002 Springer Press Sanfelici Simona ‘Calibration of a Nonlinear Feedback Option Pricing Model’

Quantitative Finance, Volume 7 Issue 1 2007 <Mancino/Ogawa model, dynamic hedge, jump-diffusion model, Heston model>

Sapiro Guillermo ‘Geometry, Partial Differential Equations and the Brain’ SIAM News March 2007

Sarno Lucio, Daniel L. Thornton, Giorgio Valente ‘The Empirical Failure of the Expectations Hypothesis of the Term Structure of Bond Yields’ Journal of Financial and Quantitative Analysis Vol. 42, No. 1, March 2007

Sass Jörn Ricam ‘Portfolio Optimization Under Partial Information: A Hidden Markov Model for Stock Returns with Jumps’ Bachelier Conference 2006

Sato Ken 'Basic Results on Lévy Processes' in Lévy Processes  Birkhäuser 2001 Satterthwaite Mark, Artyom Shneyerov ‘Dynamic Matching, Two-Sided Incomplete

Information, and Participation Costs: Existence and Convergence to Perfect Competition’ Econometrica Jan. 2007  Vol. 75 Issue 1

Savas Dayanik Savas, Michael Ludkovski ‘Filling the Gap Between American and Russian Options: Adjustable Regret’ Stochastics Volume 79 Issue 1 & 2 2007

Sbuelz Alessandro, Anna Battauz ‘Closed-Form Optimal Investment when Present Values and Costs are Jump-Diffusions’ SSRN 3/07

Scaillet Olivier ‘Structure Equations and Options Pricing’ Bachelier Conference 2006

Schelter B., M. Winterhalder, J. Timmer ‘Handbook of Time Series Analysis’ 2007 Wiley Press

Schennach Susanne ‘Instrumental Variable Estimation of Nonlinear Errors-in-Variables Models’ Econometrica Jan. 2007  Vol. 75 Issue 1

Scherer Matthias ‘A Structural Credit-Risk Model with Jumps; A Unified Model for Bond CDs and CDO Pricing’ Bachelier Conference 2006

Schied Alexander ‘Optimal Investments for Risk- and Ambiguity-Averse Preferences: a Duality Approach’ Finance and Stochastic Jan 2007, Vol 11 #1

Schilling René ‘Measures, Integrals and Martingales’ 2006 Cambridge Press Schmidt Thorsten ‘Pricing Corporate Securities Under Noisy Asset Information’

Bachelier Conference 2006 Schneider Paul, Leopold Sögner, Tanja Veza ‘Jumps and Recovery Rates Inferred from

Corporate CDS Premia’ SSRN 2/07 Schneider Paul, Leopold Sögner, Tanja Veza ‘Jumps and Recovery Rates Inferred from

Corporate CDS Premia’ SSRN 2/07 Schoenbucher Philipp ‘Portfolio Losses and the Term Structure of Loss Transition

Rates: A New Methodology for the Pricing of Portfolio Credit Derivatives’ Bachelier Conference 2006

Schoenmakers John ‘A Jump-Diffusion Libor Model and Its Robust Calibration’ Bachelier Conference 2006

Searle Shayle ‘Variance Components’ 2006 Wiley Press Sei Tomonari ‘Local Asymptotic Mixed Normality of Transformed Gaussian Models for

Random Fields’ SP&A 3/07 Sekine Jun ‘A Note on Long-Term Optimal Portfolios Under Drawdown Constraints’ 

Advances in Applied Probability V. 38,3 2006 Sekine Jun ‘An Asymptotic Analysis for Utility Indifference Price’ Bachelier

Conference 2006 Selivanov Andrey ‘Insurance Premiums Based On Coherent Risk Measures’ Bachelier

Conference 2006 Sellami Afef ‘Quantization of the Filter Process and Application To Optimal

Stopping Problems Under Partial Observation’ Bachelier Conference 2006 Semenov Andrei ‘High-Order Consumption Moments and Asset Pricing’ SSRN 2/07 Seneta Eugene ‘The Early Years of the Variance-Gamma Process’ Advances in

Mathematical Finance (ed. M. Fu, et all) 2007 Sethi Suresh ‘Optimal Control Theory:Applications to Management Science &

Economics’ 2000 Springer Press Shackleton Mark ‘A Multi-Horizon Comparison of Density Forecasts for the S&P 500

Using Index Returns and Option Prices’ Bachelier Conference 2006 Shao Xiaofeng, Wei Biao Wu ‘Local Asymptotic Powers of Nonparametric and

Semiparametric Tests or Fractional Integration’ SP&A 2/07

Sharp Nicholas ‘An Improved Fixed-Rate Mortgage Valuation Methodology with Interacting Prepayment and Default Options’ Bachelier Conference 2006

Shelyazhenko Pavlo ‘The Notion of Bounded Arbitrage for the Multi-Period Market with Discrete Time’ Bachelier Conference 2006

Shin Dong Wan, Oesook Lee ‘Asymmetry and Nonstationarity for A Seasonal Time Series Model’ 1/07 Journal of Econometrics

Shin Yong Hyun ‘Optimal Portfolio Consumption-Leisure and Retirement Choice Problem with A CES Utility’ Bachelier Conference 2006

Shiraishi Hiroshi, Masanobu Taniguchi ‘Statistical Estimation of Optimal Portfolios for Locally Stationary Returns of Assets’ Feb 2007 IJT&AF

Shirikyan Armen ‘Law of Large Numbers and Central Limit Theorem for Randomly Forced PDE's’ Probability Theory and Related Fields Volume 134, Number 2 / February, 2006 

Shiryaev Albert ‘Stochastic Finance’ 2006 Springer Press Shoup Victor ‘A Computational Introduction to Number Theory and Algebra’ 2005

Cambridge Press Shreve Steven ‘Futures Trading with Transaction Costs’ Bachelier Conference 2006 Simaan Yusif 'Estimation Risk in Portfolio Selection:The Mean Variance Model Versus

the Mean Absolute Deviation Model' Management Science Vol. 43, #10 Oct. 1997 Simaan Yusif 'Portfolio Selection & Asset Pricing-Three Parameter Framework'

Management Science Vol.39, #5 1993 Simaan Yusif, Cheng-Few Lee 'Alternative approach to unify CAPM and APT' Review of

Quantitative Finance and Accounting, (2), pp 391-408 , December 1992, Singpurwalla Nozer ‘Reliability & Risk:a Bayesian Perspective’ 2006 Wiley Press Sirbu Mihai ‘Sensitivity Analysis of Utility Based Prices and Risk-Tolerance Wealth

Processes’ Bachelier Conference 2006 Sircar Ronnie, Thaleia Zariphopoulou ‘Utility Valuation of Credit Derivatives:

Single and Two-Name Cases’ Advances in Mathematical Finance (ed. M. Fu, et all) 2007

Slinko Irima ‘Correlation Between Intensity and Recovery In Credit Risk Models’ Bachelier Conference 2006

Smedts Kristien, Jan Smedts ‘Dynamic Investment Strategies of Hedge Funds’ SSRN 2/07

Smith Richard ‘Estimating Tails of Probability Distributions’ Annals of Statistics 1987

Solé Josep Lluís, Frederic Utzet, Josep Vives ‘Canonical Lévy Process and Malliavin Calculus’ <Skorohod Integral> SP&A 2/07

Solin Pavel ‘Partial Differential Equations & the Finite Element Method’ 2005 Wiley Press

Somersalo Erkki ‘The Inverse Problem of Magnetoencephalography:Source Localization & the Shape of a Ball’ SIAM News March 2007

Soreff Alexander ‘Cubature On Wiener Space From A Numerical Point of View’ Bachelier Conference 2006

Sørensen Carsten ‘Interest Rate Uncertainty and Strategic Asset Allocation with Borrowing and Short Sales Constraints’ Review of Futures Market, Vol. 14, No. 4, 2006

Stace Antony ‘A Moment Matching Approach to the Valuation of a Volume Weighted Average Price Option’ Feb 2007 IJT&AF

Startz Richard, Kwok Ping Tsang ‘The Yield Curve Through Time and Across Maturities’ SSRN 3/07

Stefanov Valeri ‘Exact Distributions for Reward Functions on Semi-Markov And Markov Additive Processes’ J. Applied Probability V. 43,4 12/2006

Stefanova Denitsa ‘Dependence Modeling of Joint Extremes via Copulas: A Dynamic Portfolio Allocation Perspective’ SSRN 3/07

Steiger Gallus ‘Jump-Diffusion Processes and Optimal Hedging & the Minimal Entropy Martingale Measure for General Barndorff-Nielsen/Shephard Models’ Bachelier Conference 2006

Stein Harvey ‘Mortgage Backed Valuation’ Bloomberg Financial Markets SSRN 1/07 Stein Harvey ‘Risky Measures of Risk: Error Analysis of Numerical Differentiation’

Bloomberg Financial Markets SSRN 1/07 Stein Harvey, Alexander Belikoff, Kirill Levin, Xusheng Tian ‘Analysis of Mortgage

Backed Securities’ SSRN 1/07 Stoikov Sasha ‘Making Markets in Options’ Bachelier Conference 2006 Stojanovic Srdjan ‘Higher Dimensional Fair Option Pricing and Hedging Under HARA

and CARAUtilities’ Bachelier Conference 2006 Ströjby Jonas ‘Adaptive Calibration of Risk Neutral Parameters with Applications to

Option Valuation’ Bachelier Conference 2006 Stulajter Frantisek ‘Predictions in Time Series Using Regression Models’ 2002

Springer Press Su Xia ‘On Irreversible Investment’ Bachelier Conference 2006 Suchanecki Michael ‘Default Risk Bankruptcy Procedures and the Market Value of Life

Insurance Liabilities’ Bachelier Conference 2006 Suh Daniel ‘Term Structure of Interest Rates: Has the Expectations Theory Recently

Become More Valid?’ SSRN 3/07 Suzuki Atsuo ‘The Pricing of Callable Russian Options’ Bachelier Conference 2006 Switzer Lorne, Mario El-Khoury ‘Extreme Volatility, Speculative Efficiency, and the

Hedging Effectiveness of the Oil Futures Markets’ Journal of Futures Markets Jan 2007

Szimayer Alex ‘Discrete Time Finite State Space Almost Sure and L_1 Approximation Schemes for Lévy Processes’ Bachelier Conference 2006

Tahani Nabil ‘Exotic Options Pricing Under Stochastic Volatility’ Bachelier Conference 2006, wp 2006

Tahani Nabil, Xiaofei Li ‘Pricing Interest Rate Derivatives under Stochastic Volatility’ SSRN 3/07

Takamizawa Hideyuki ‘Interest Rate Volatility Implicit In Term Structure Data’ Bachelier Conference 2006

Takaoka Koichiro ‘A Complete-Market Generalization of the Black-Scholes Model’ Bachelier Conference 2006

Takhtamyshev George, Bart Vandewoestyne, Ronald Cools 'Quasi-random Integration in High Dimensions  Jan 2007 Mathematics and Computers in Simulation Vol 73,#5

Talbot John, Dominic Welsh ‘Complexity & Cryptography:An Introduction’ 2006 Tamaki Kenichiro ‘Higher Order Asymptotic Option Valuation for Non-Gaussian

Dependent Returns’ Bachelier Conference 2006 Tanaka Keiichi ‘Credit Derivatives with Recovery of Market Value for Multiple

Firms’ Bachelier Conference 2006 Tang Huarong, Yihong Xia ‘An International Examination of Affine Term Structure

Models and the Expectations Hypothesis’ Journal of Financial and Quantitative Analysis Vol. 42, No. 1, March 2007

Tankov Peter ‘Optimal Quadratic Hedging In Models with Jumps’ Bachelier Conference 2006

Tarashev Nikoa, Zhu Haibin ‘The Pricing of Correlated Default Risk: Evidence from the Credit Derivatives Market’ SSRN 3/07

Tasche Dirk ‘Measuring Sectoral Diversification in an Asymptotic Multifactor Framework’ Journal of Credit Risk Volume 2 /Number 3, Fall 2006

Taylor Nicholas ‘A New Econometric Model of Index Arbitrage’ European Financial Management, Vol. 13, Issue 1, pp. 159-183, January 2007

Tebaldi Claudio ‘Affine Term Structure Models on Symmetric Cone Domains’ Bachelier Conference 2006

Tel Tamas, Marton Gruiz ‘Chaotic Dynamics:An Introduction Based on Classical Mechanics’ 2006 Cambridge Press

Thompson James ‘Simulation:A Modelers Approach’ 1999 Wiley Press Thompson Kevin, Alistair Mcleod ‘Analytic Calculation of Conditional Default

Statistics and Risk Contributions Using the Ensemble Method’ Journal of Credit Risk Vol.2, #4 Winter 2006/2007

Todinov Michael ‘Reliability & Risk Models’ 2005 Wiley Press Tomecek Pascal ‘Viscosity Solutions Approach to Reversible Investment Under

Uncertainty with General Production Function’ Bachelier Conference 2006 Topper Jürgen ‘Probability Density Functions and Related Tools’ in Jürgen Hakala

und Uwe Wystup Foreign Exchange Risk, Risk Books (2002) Topper Jürgen ‘Taking a Corporate View: Zero-Cost Structures’ in Jürgen Hakala und

Uwe Wystup Foreign Exchange Risk, Risk Books (2002) Tsuda Hiroshi ‘Corporate Bonds Ratings Via A Bond Pricing Model:Prediction of Bond

Rating Changes’ Bachelier Conference 2006 Tsukahara Hideatsu ‘One-Parameter Families of Distortion Risk Measures’ Bachelier

Conference 2006 Tysk Johan ‘Convexity Preserving Jump Diffusion Models for Option Pricing’

Bachelier Conference 2006 Uberti Mariacristina ‘Interest Rate Dynamics with Monetary Policy Founded On Taylor

Rule:Extensions and Performances’ Bachelier Conference 2006 Uchida Yoshihiko ‘A New Computational Scheme for Computing Greeks by the Asymptotic

Expansion’ Bachelier Conference 2006 Vaihekoski Mika ‘A Note on the Calculation of the Risk Free Rate for Tests of Asset

Pricing Models’ SSRN Jan 07 Vaillancourt Jean, Francois Watier 'On an Optimal Multivariate Multiperiod Mean-

Variance Portfolio' C. R. Math. Rep. Acad. Sci. Canada  27,3  92-96. 2005 Van Assche Gilles ‘Quantum Cryptography & Secret-Key Distillation’ 2006 Cambridge

Press van Binsbergen Jules, Michael Brandt ‘Optimal Asset Allocation in Asset Liability

Management’ NBER SSRN 3/07 Van der Hoek John ‘Binomial Models in Finance’ 2006 Springer Press Van Kijk Nico, Karel Sladký ‘On The Total Reward Variance for Continuous-Time

Markov Reward Chains’ J. Applied Probability V. 43,4 12/2006 Van Loan C. ‘Computational Frameworks for the Fast Fourier Transform’  Frontiers

Appl. Math. 10, SIAM 1992 Vandenberghe Lieven, Stephen Boyd, Katherine Comanor ‘Generalized Chebyshev Bounds

via Semidefinite Programming’ SIAM Review 3/07 V. 49 #1 Vath Vathana Ly, Mohamed Mnif, Huyên Pham ‘A Model of Optimal Portfolio Selection

Under Liquidity Risk and Price Impact’ Finance and Stochastic Jan 2007, Vol 11 #1

Vecer Jan 'Maximum Draw-Down and Directional Trading' RISK 12/06 , wp 9/06 <Risk> <replication, momentum or contrarian trading>

Vedder Richard 'Going Broke by Degree: Why College Costs Too Much' AEI Press (June 2004)

Vorst Ton 'Optimal Portfolios under a Value at Risk Constraint' wp 2000 Wada Ryosuke ‘Stochastic Structure of Brokered Foreign Exchange Auction’ Bachelier

Conference 2006 Wageber Wulfgar ‘Ökonomisches Makro-Hedging unter IAS 39’  Zeitschrift für das

gesamte Kreditwesen (11-2003) Wallin Olli ‘A Semilinear Partial Integro-Differential Equation for American

Options’ Bachelier Conference 2006 Wang Xiaoqun 'On the Effects of Dimension Reduction Techniques on Some High-

Dimensional Problems in Finance' <simulation, quasi-Monte Carlo, asset pricing, bond value, analysis of variance, Brownian Bridge, Principal Components> Operations Research Vol. 54, # 6 Nov/Dec 2006

Wang Yaw-Huei ‘The Impact of Jump Dynamics on Density Prediction’ SSRN 2/07 Warren Jon ‘Dynamics and Endogeny for Recursive Processes On Trees’ Stochastics

Volume 78 Issue 5, 2006 Watson Joel ‘Contract, Mechanism Design, and Technological Detail’ Econometrica

Jan. 2007  Vol. 75 Issue 1 Wegner Torsten, Uwe Dörr, Andreas Werner ‘Risikomanagement mit Schwung’

Zeitschrift für Energie, Markt, Wettbewerb (12-2003)

Weinstein Jonathan, Muhamet Yildiz ‘A Structure Theorem for Rationalizability with Application to Robust Predictions of Refinements’ Econometrica V. 75, #2 March 2007

Whalley A., Paul Wilmott ‘Optimal Hedging of Options with Small But Arbitrary Transaction Cost Structure’ 1999 Oxford Financial Research Center

Whalley Elizabeth ‘Optimal Partial Hedging of Options with Transaction Costs’ Bachelier Conference 2006

Wheeler Christopher 'Trends in Neighborhood-Level Unemployment in the United States:1980 to 2000'  FRB St. Louis Review March/April 2007

Wiese Anke ‘Efficient Strong Integrators for Linear Stochastic Systems’ Bachelier Conference 2006

Williams Julian, Christos Ioannidis ‘Multivariate Asset Price Dynamics with Stochastic Covariation’ SSRN Jan 07

Woerner Jeannette ‘On the Fine Structure of Price Processes: Model Choice and Market Microstructure’ Bachelier Conference 2006

Woerner Jeannette ‘Purely Discontinuous Levy Processes and Power Variation: Inference for Integrated Volatility and the Scale Parameter’ 2003 Oxford Financial Research Center

Woerner Jeannette ‘Variational Sums and Power Variation: A Unifying Approach to Model Selection and Estimation in Semimartingale Models’ 2002 Oxford Financial Research Center

Wolters C.H. ‘The Finite Element Method in EEG/MEG Source Analysis’ SIAM News March 2007

Wong Bernard ‘Arbitrage and Approximate Arbitrage: the Fundamental Theorem of Asset Pricing’ Bachelier Conference 2006

Wong Hoi Ying ‘Analytical Valuation of Dynamic Fund Protection under CEV’ Transactions on Mathematics, Vol. 6, No. 2, pp. 324-329, 2007

Wystup Uwe 'FX Options and Structured Products' Wiley Press 2007 Xia Jianming, Xun Yu Zhou ‘Stock Loans’ Mathematical Finance April 2007 - Vol. 17

Issue 2 Xing Yuhang, Rui Zhao, Xiaoyan Zhang ‘What Does Individual Option Volatility Smirk

Tell Us About Future Equity Returns?’ SSRN 3/07 Xing Yuhang, Rui Zhao, Xiaoyan Zhang ‘What Does Individual Option Volatility Smirk

Tell Us About Future Equity Returns?’ SSRN 3/07 Xiong Wei, Hongjun Yan ‘Heterogeneous Expectations and Bond Markets’ SSRN 1/07 Xun Yu Zhou ‘Convex Stochastic Optimization Associated with Portfolio Selection’

Bachelier Conference 2006 Yagi Kyoko ‘On the Valuation of Callable Convertible Bonds with Reset Clauses of

Conversion Prices’ Bachelier Conference 2006 Yamauchi Hiroaki ‘On A Method for Selection of Financial Ratios for Credit Risk

Models Using Multi-Objective Genetic Algorithm’ Bachelier Conference 2006 Yan Li ‘Theoretical and Numerical Study On Continuous-Time Mean-Variance Efficient

Strategies’ Bachelier Conference 2006 Yang Hongtao ‘A New Finite Element Method for Pricing of Bond Options Under Time

Inhomogeneous Affine Term Structure Models of Interest Rates’ Feb 2007 IJT&AF Yang Jun ‘A No-Arbitrage Analysis of Macroeconomic Determinants of Term Structures

and the Exchange Rate’ SSRN 2/07 Yang Lijian, Byeong U. Park, Lan Xue, Wolfang Härdle ’Estimation and Testing for

Varying Coefficients in Additive Models With Marginal Integration’ JASA 9/06 Yao David, Hanqin Zhang, Xun Zhou ‘Stochastic Modeling & Optimization:With

Applications in Queues, Finance & Supply Chains’ 2003 Springer Press Ye George ‘Asian Options versus Vanilla Options’ SSRN 1/07 Yong Jiongmin ‘Linear Forward-Backward Stochastic Differential Equations with

Random Coefficients’ Probability Theory and Related Fields V.135, #1 5/06 Yor Marc ‘A Note about Selberg's Integrals in Relation with the Beta-Gamma Algebra’

Advances in Mathematical Finance (ed. M. Fu, et all) 2007

Yor Marc ‘Some Remarkable Properties of Gamma Processes’ Advances in Mathematical Finance (ed. M. Fu, et all) 2007

Yu Fan ‘Correlated Defaults in Intensity-Based Models’ Mathematical Finance April 2007 - Vol. 17 Issue 2

Zaffaroni Paolo ‘Aggregation and Memory of Models of Changing Volatility’ 1/07 Journal of Econometrics

Zakamouline Valeri ‘Optimal Hedging of Option Portfolios with Transaction Costs’ Bachelier Conference 2006

Zauderer Erich ‘Partial Differential Equations of Applied Mathematics’ 2006 Wiley Press

Zhang C., J. Jin ‘Computation of Special Functions’ John Wiley & Sons, New York 1996  

Zhang Lan ‘Estimate Covariation: Epps Effect Microstructure Noise’ Bachelier Conference 2006

Zhang Lan, Per Mykland, Yacine Aït-Sahalia ‘A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High-Frequency Data’ J. Amer. Statist. Assoc. 2005, 100 1394-1411

Zhang Xicheng 'Variational Approximation for Fokker–Planck Equation on Riemannian Manifold’ Probability Theory and Related Fields Volume 137, Numbers 3-4 / March, 2007 

Zhang Yuzhao ‘Does the Early Exercise Premium Contain Information about Future Underlying Returns’ Bachelier Conference 2006

Zheng Harry ‘Jump Liquidty Risk Measures’ Bachelier Conference 2006 Zheng Yao ‘Analytical Approximate Solutions for Vasicek Equation’ SSRN 3/07 Zhou B. ‘High-Frequency Data and Volatility in Foreign-Exchange Rates’ Journal of

Business & Economic Statistics, 14, 45–52. 1996 Zhu Jianwei ‘An Extended Libor Market Model with Nested Stochastic Volatility

Dynamics’ SSRN 1/07 Zhu Yingzi, Jin Zhang ‘Variance Term Structure and VIX Futures Pricing’ Feb 2007

IJT&AF Zhu Zhongyan ‘Pricing Corporate Coupon Bonds with Stochastic Volatility of Asset

Return’ 2007 Ziegler Alexandre ‘A Game Theory Analysis of Options’ 2004 Springer Press Ziegler Alexandre ‘Incomplete Information & Heterogeneous Beliefs in Continuous

Time Finance’ 2003 Springer Press Zilber Alex ‘A Market Model for Stochastic Smile: A Conditional Density Approach’

Bachelier Conference 2006 Ziogas Andrew ‘The Valuation of American Spread Options Under Jump Diffusion

Processes’ Bachelier Conference 2006, SSRN 8/06 Zitkovic Gordan ‘Are Option-Pricing and Utility-Maximization Problems Well-Posed’

Bachelier Conference 2006 Zumbach Gilles, Fulvio Corsi, Adrian Trapletti ‘Efficient Estimation of Volatility

Using High-Frequency Data’ technical report, Olsen & Associates. 2002 Zurek Paul ‘Momentum and Long Run Risks’ SSRN 3/07