Update Jan 08

Abdel-Rehim Entsar, Rudolf Gorenflo ‘Simulation of the Continuous Time Random Walk
of the Space-Fractional Diffusion Equations’ J. Computational and Applied

Mathematics tobe 2007
Abken Peter, Sailesh Ramamurtie, Dilip Madan ‘Estimation of Statistical and Risk-
Neutral Densities by Hermite Polynomial Approximation: With an Application to
Eurodollar Futures Options’ (1996). Unpublished
Acerbi Carlo, Dirk Tasche ‘Expected Shortfall:A Natural Coherent Alternative to
Value at Risk’ Econ. Notes 2002
Acerbi Carlo, Propsero Simonetti ‘Portfolio Optimization with Spectral Measures of
Risk’ Abaxbank 2002
Acerbi Carolo ‘Coherent Representations of Subjective Risk-Aversion’ in Giorgio
Szego ‘Risk Measures for the 21st Century’ 2004 Wiley
Acharya Sankarshan, Dilip Madan ‘Asset Pricing in an Incomplete Market with a
Locally Risky Discount Factor’ (1995). Unpublished
Adams Gil, Yuhua Yuan, Michael Kelly ‘Comments on “A Theory of Non-Gaussian Option
Pricing”' Quantitative Finance V.7, #6, 2007
Ahoniemi Kataj ‘Modeling and Forecasting the VIX Index’ SSRN 12/07
Ahoniemi Katja, Markku Lanne ‘Joint Modeling of Call and Put Implied Volatility’
SSRN 12/07
AitSahlia Farid, Andreas Runnemo ‘A Canonical Optimal Stopping Problem for American
Options in a Jump-Diffusion Model’ Journal of Risk Special Issue 2007
Albanese Claudio ‘Callable Swaps, Snowballs and Videogames’ SSRN 10/07 <GPU
architectures makes compute short-rate models more feasible, callable range
accruals, target redemption notes (TARNs)>
Albanese Claudio ‘Operator Methods, Abelian Processes and Dynamic Conditioning’
<computational finance speed-up, Path dependent processes, Cameron-Dyson-
Feynman-Girsanov-Ito-Kac-Martin, cliquets, target-redemption-notes, volatility
derivatives snowballs and soft calls> 2007
Albanese Claudio, Adel Osseiran ‘Moment Methods for Exotic Volatility Derivatives’
<realized variance, Dyson expansions, state-dependent local volatility, jumps,
stochastic volatility and regime switching, variance knockouts, conditional
corridor variance swaps, gamma swaps, variance swaptions> 2007
Albanese Claudio, Aleksandar Mijatovic ‘Spectral Methods for Volatility
Derivatives’ SSRN 10/07 <VIX, lifted generator too large matrix diagonalized
numerically; solution semi-analytic algorithm for block-diagonalisation;evaluate
joint distribution>
Albanese Claudio, Alexey Kuznetsov ‘Transformation of Markov Processes and
Classification Scheme for Solvable Driftless Diffusions’ wp 2002
Albanese Claudio, Harry Lo, Stathis Tompaidis ‘A Numerical Method for Pricing
Electricity Derivatives for Jump-Diffusion Processes Based on Continuous Time
Lattices’ SSRN 10/07
Albanese Claudio, Stephan Lawi ‘Spectral Risk Measures for Credit Portfolios’ in
Giorgio Szego ‘Risk Measures for the 21st Century’ 2004 Wiley
Alexander Carol, Leonardo Nogueira ‘Model-Free Price Hedge Ratios for Homogeneous
Claims on Tradable Assets’ Quantitative Finance V.7, #5 2007
Alexander Siddharth, Thomas Coleman, Yuying Li ‘Derivative Portfolio Hedging Based
on CVaR’ in Giorgio Szego ‘Risk Measures for the 21st Century’ 2004 Wiley
Alfarano Simone, Thomas Lux, Friedrich Wagner ‘Time Variation of Higher Moments In
a Financial Market with Heterogeneous Agents: an Analytical Approach’ JED&C V.
32, #1 Jan. 2008
Almeida Heitor, Thomas Philippon ‘The Risk-Adjusted Cost of Financial Distress’
JofF 12/07
Aloui Chaker ‘Price and Volatility Spillovers between Exchange Rates and Stock
Indexes for the Pre- and Post-Euro Period’ Quantitative Finance V.7, #6, 2007
Alpanda Sami, Geoffrey Woglom ‘The Case Against Power Utility and a Suggested
Alternative: Resurrecting Exponential Utility’ SSRN 11/07
Amato Jeffery, Jacob Gyntelberg 'CDS Index Tranches and the Pricing of Credit Risk
Correlations' BIS Quarterly Review 3/05 <Risk>
Ammer John, Fang Cai ‘Sovereign CDS and Bond Pricing Dynamics in Emerging Markets:
Does the Cheapest-to-Deliver Option Matter?’ FRB International Finance
Discussion Paper No. 912 SSRN 12/07
An Yunbi, Wulin Suo ‘The Compatibility of One-Factor Market Models in Caps and
Swaptions Markets: Evidence from Their Dynamic Hedging Performance’ J. Futures
Markets V.28, #2 Feb. 2008
Andersen Torben, Luca Benzoni ‘Stochastic Volatility’ SSRN 12/07
Andersen Torben, Oleg Bondarenko ‘Construction and Interpretation of Model-free
Implied Volatility’ in “Volatility as an Asset Class” 2007 ed(I. Nelken)
Andersson Jonas ‘On the Estimation of Correlations for Irregularly Spaced Time
Series’ SSRN 10/07
Andreou Elena, Eric Ghysels ‘Structural Breaks in Financial Time Series’ SSRN 12/07
Andrikopoulos Andreas, Dimosthenis Drivaliaris ‘Options on Multiple Assets: Power
and Product Payoffs’ SSRN 12/07
Ang Andrew, Joseph Chen, Yuhang Xing ‘Downside Risk’ RFS V. 19, #4, Winter 2006
Ankirchner Stefan, Peter Imkeller ‘Financial Markets with Asymmetric Information:
Information Drift, Additional Utility and Entropy’ in ‘Stochastic Processes and
Applications to Mathematical Finance 6th Ritsumeikan Sym. 2006, ed. Akahori,
Ogawa, Watanabe
Aoki Masanao ‘Thermodynamic Limits of Macroeconomic or Financial Models: One- and
Two-Parameter Poisson–Dirichlet Models’ JED&C V. 32, #1 Jan. 2008
Apreda Rodolfo ‘Simple and Enlarged Separation Portfolios: On their Use when
Arbitraging and Synthesizing Securities’ SSRN 10/07
Arisawa Mariko ‘A Localization of the Lévy Operators Arising in Mathematical
Finances’ in ‘Stochastic Processes and Applications to Mathematical Finance 6th
Ritsumeikan Sym. 2006, ed. Akahori, Ogawa, Watanabe
Asmussen Søren, Dilip Madan, Martijn Pistorius ‘Pricing Equity Default Swaps under
an Approximation to the CGMY Levy Model’ J. Computational Finance V.11,#2 2007
Atiya Amir, Steve Metwally 'An Efficient Maximum Likelihood Volatility Estimation
Method for the Heston Model' submitted 2007
Atiya Amir, Steve Metwally 'Efficent Estimation of First Passage Time Density
Function for Jump Diffusion Processes' <monte carlo, Poisson, inverse Gaussian
density> 2004
Atkins Karla, Achla Marathe, Chris Barrett ‘A Computational Approach to Modeling
Commodity Markets’ Computational Economics V.30, #2 9/07
Audrino Francesco, Dominik Colangelo ‘Forecasting Implied Volatility Surfaces’ SSRN
11/07
Avramov Doron, Tarun Chordia, Amit Goyal ‘The Impact of Trades on Daily
Volatility’RFS V. 19, #4, Winter 2006
Axelson Ulf ‘Security Design with Investor Private Information’ JofF 12/07
Azariadis Costas, Leo Kaas ‘Asset Price Fluctuations without Aggregate Shocks’ JET
V. 136,#1 Sept 07
Azzimonti Marina, Pierre-Daniel Sarte ‘Barriers to Foreign Direct Investment under
Political Instability’ FRB Richmond Economic Quarterly V. 93,#3 Summer 2007
Bacry Emmanuel, Alexey Kozhemyak, Jean-François Muzy ‘Continuous Cascade Models for
Asset Returns’ JED&C V. 32,#1 Jan. 2008
Bai Zhidong, Huixia Liu, Wing-Keung Wong ‘Test Statistics for Prospect and
Markowitz Stochastic Dominances with Applications’ SSRN 11/07
Baker Malcolm, Jeffrey Wurgler ’Investor Sentiment in the Stock Market’ J. Economic
Perspectives Spring 2007, V.21, #2
Baksahi Gurdip, Dilip Madan ‘The Distribution of Risk Aversion’ (2005) Unpublished
Bakshi Gurdip, Dilip Madan ‘Crash Discovery in Options Markets’ (1999). Unpublished
Bakshi Gurdip, Frank Zhang, Dilip Madan ‘Recovery in Default Risk Modeling:
Theoretical Foundations and Empirical Applications’ (2001). Unpublished
Bakshi Gurdip, I. Kirgiz , Dilip Madan ‘Risk Aversion, Physical Skew and Kurtosis,
and the Dichotomy between Risk - Neutral and Physical Index Volatility’ (2001).
Unpublished
Bakshi Gurdip, Peter Carr, Liuren Wu ‘Stochastic Risk Premiums, Stochastic Skewness
in Currency Options, and Stochastic Discount Factors in International Economies’
J. Financial Economics V.878,#1 Jan 2008
Bali Turan ‘The Intertemporal Relation Between Expected Returns And Risk’ J.
Financial Economics V.878, #1 Jan 2008
Bali Turan, Armen Hovakimian ‘Volatility Spreads and Expected Stock Returns’ SSRN
11/07
Ballestra Luca Vincenzo, Graziella Pacelli, Francesco Zirilli ‘A Numerical Method
to Price Exotic Path-Dependent Options on an Underlying Described by the Heston
Stochastic Volatility Model’ J. Banking and Finance V. 31,#11 Nov.2007
Bandreddi Santhosh, Sanjiv Das, Rong Fan ‘Correlated Default Modeling with a Forest
of Binomial Trees’ J.of Fixed Income Winter 2007
Bandyopadhyay Subhayu, Howard Wall ‘The Determinants of Aid in the Post-Cold War
Era’ St. Louis Review Nov/Dec 2007, V. 89, #6
Banerjee Prithviraj, James Doran, David Peterson ‘Implied Volatility and Future
Portfolio Returns’ J. Banking and Finance V. 31, #10 Oct. 2007
Barbe Philippe, William Mccormick, Chenhua Zhang ‘Tail Expansions for the
Distribution of the Maximum of a Random Walk with Negative Drift and Regularly
Varying Increments’ SP&A V.117,#12 12/07
Barcelo J., M. Delgado, G. Funes, D. Garcia, J. Peranau, A. Torday ‘Online
Microscopic Traffic Simulation Supports Real-Time Traffic-Management Strategies’
SIAM News Nov. 2007
Barinov Alexander ‘Idiosyncratic Volatility, Growth Options, and the Cross-Section
of Returns’ SSRN 11/07
Barndorff-Nielsen Ole, Alexander Lindner ‘Lévy Copulas: Dynamics and Transforms of
Upsilon-Type’ 2007 Scand. J. Statistics 34 No. 2,2007
Baxter Martin ‘Gamma Process Dynamic Modelling of Credit’ <correlated credits> RISK
Oct. 07
Baxter Martin ‘Levy Process Dynamic Modelling of Singlename Credits and CDO
Tranches’ Nomura F.I. Group 4/06 <gamma models>
Beaglehole David, Mark Tenney ‘A Non-Linear Equilibrium Model of the Term Structure
of Interest Rates:Corrections and Additions’ JFE 1992
Bégyn Arnaud ‘Functional Limit Theorems for Generalized Quadratic Variations of
Gaussian Processes’ SP&A V.117,#12 12/07
Bekaert Geert Bekaert, Campbell Harvey, Christian Lundblad ‘Liquidity and Expected
Returns: Lessons from Emerging Markets’ RFS V.20, #6, Nov.07
Bélanger A.C., Peter Forsyth ‘Infinite Reload Options: Pricing and Analysis’ J.
Computational and Applied Mathematics tobe 2007
Bell Robert, Thomas Cover ‘Competitive Optimality of Logarithmic Investment’
Math.of O.R. May 1980
Bellini Fabio, Gianna Figà-Talamanca ‘Conditional Tail Behaviour and Value At Risk’
<VaR> Quantitative Finance V.7, #6, 2007
Bender Christian, Robert Denk ‘A Forward Scheme for Backward SDEs’ SP&A V.117,#12
12/07
Benner Peter ‘Model Reduction at ICIAM 2007’ SIAM News 10/07
Benth Fred Espen, Jrat Altyt Benth ‘The Volatility of Temperature and Pricing of
Weather Derivatives’ Quantitative Finance V.7, #5 2007
Benzschawel Terry ‘Corporate Loan and LCDS Pricing and Relative Value’ 2007
U.Chicago Credit Conference
Berg Tobias, Christoph Kaserer ‘Credit Risk Premia and a Link to the Equity
Premium’ SSRN 10/07
Berndt Antje, Robert Jarrow, Choongoh Kang ‘Restructuring Risk in Credit Default
Swaps: An Empirical Analysis’ SP&A V.117, # 11 Nov. 2007
Berridge Steffan John, Johannes Schumacher ‘An Irregular Grid Approach for Pricing
High-Dimensional American Options’ J. Computational and Applied Mathematics tobe
2007
Bertoin Jean, Alexander Lindner, Ross Maller ‘On Continuity Properties of Integrals
of Lévy Processes’ 2006 Séminaire De Probabilités, To Appear.
Berzins M. ‘Adaptive Polynomial Interpolation on Evenly Spaced Meshes’ SIAM Review
Dec. 07 V.49,#4
Best Michael, Robert Grauer ‘On the Sensitivity of Mean-Variance-Efficient
Portfolios to Changes in Asset Means:Some Analytical and Computational Results’
RFS Jan 1991
Bevan Andrew, Kurt Winkelmann ’Using the Black-Litterman Global Asset Allocation
Model: Three Years of Practical Experience’ Goldman Sachs 1998
Beyer Horst Reinhard ‘Beyond Partial Differential Equations: On Linear and Quasi-
Linear Abstract Hyperbolic Evolution Equations’ Lecture Notes in Mathematics
(Springer-Verlag) #1898, 2007
Bhansali Vineer ‘Volatility and the Carry Trade’ J.of Fixed Income Winter 2007
Biagini Sara, Rama Cont ‘Model-free Representation of Pricing Rules as Conditional
Expectations’ in ‘Stochastic Processes and Applications to Mathematical Finance
6th Ritsumeikan Sym. 2006, ed. Akahori, Ogawa, Watanabe
Bielecki Tomasz, Stéphane Crépey, Monique Jeanblanc, Marek Rutkowski ‘Defaultable
Options in a Markovian Intensity Model of Credit Risk’Mathematical Finance tobe
2007
Bierbrauer Michael, Christian Menn, Svetlozar Rachev, Stefan Trück ‘Spot and
Derivative Pricing in the EEX Power Market’ J. Banking and Finance V. 31,#11
Nov.2007
Birge John, Song Yang ‘A Model for Tax Advantages of Portfolios with Many Assets’
J. Banking and Finance V. 31,#11 Nov.2007
Black Fischer, Robert Litterman ‘Global Asset Allocation with Equities, Bonds and
Currencies’ Goldman Sachs 1991
Blamont D., N. Firoozy ‘Asset Allocation Model’ Deutsche Bank 7/03
Blitz David, Pim Van Vliet ‘The Volatility Effect’ J. Portfolio Management Fall
2007
Bluhm Christian, Ludger Overbeck ‘Calibration of PD Term Structures: To Be Markov
or Not To Be’ <credit risk, term structure default probabilities by Markov
Chain, probability density> RISK 11/07
Bluhm Christian, Ludger Overbeck ‘Structured Credit Portfolio Analysis, Baskets and
CDO’s’ 2007 CRC Press
Blundell Richard, Xiaohong Chen, Dennis Kristensen ‘Semi-Nonparametric IV
Estimation of Shape-Invariant Engel Curves’ Econometrica V. 75, # 6, Nov. 2007
Board Simon ‘Bidding into the Red: A Model of Post-Auction Bankruptcy’ JofF 12/07
Board Simon ‘Selling Options’ JET V. 136,#1 Sept 07
Bochud Thierry, Damien Challet ‘Optimal Approximations of Power Laws with
Exponentials: Application to Volatility Models with Long Memory’ Quantitative
Finance V.7, #6, 2007
Bodeau Jerome, Gael Riboulet, Thierry Roncalli ‘Non-Uniform Grids for PDE in
Finance’ SSRN 11/07
Bodeau Jérôme, Gaël Riboulet, Thierry Roncalli ‘Non-Uniform Grids for PDE in
Finance’ SSRN 12/07
Bodie Zvi, Doriana Ruffino, Jonathan Treussard ‘Contingent Claims Analysis and
Life-Cycle Finance’ SSRN 12/07
Bogolyubov N.N., G.K. Mikhailov, A.P. Yushkevich (ed) ‘Euler and Modern Science’
MAA Press 2007
Borland Lisa ‘A Theory of Non-Gaussian Option Pricing:Erratua’ Quantitative
Finance V.7, #6, 2007
Borland Lisa, Jean-Philippe Bouchaud ‘A Non-Gaussian Option Pricing Model with
Skew:Errata’ Quantitative Finance V.7, #6, 2007
Bouye Eric, Valdo Durrleman, Ashkan Nikeghbali, Gael Riboulet, Thierry Roncalli
‘Copulas for Finance- A Reading Guide and Some Applications’ SSRN 11/07
Boyarchenko Svetlana, Sergei Levendorski ‘American Options in Levy Models with
Stochastic Volatility’ SSRN 11/07
Brace Alan ‘Engineering BGM’ 2007 CRC Press
Bradley Robert, Lawwrence D’Antonio, C. Edward Sandifer (ed) ‘Euler at 300’ MAA
Press 2007
Branger Nicole, Christina Schlag ‘Option Betas: Risk Measures for Options’ IJT&AF
V.10, #7, Nov. 2007
Breiman Leo ‘Investment Policies for Expanding Business Optimal in a Long-Rune
Sense’ Naval Research Logistics Quarterly 1960
Brennan Michael, Ravi Jain ‘Capital Gains Taxes, Agency Costs, and Closed-End Fund
Discounts’ SSRN 10/07
Brightwell Graham, Imre Leader, Alex Scott, Andrew Thomason ‘Combinatorics and
Probability’ 2007 Cambridge Press
Brigo Damiano ‘Default Correlation, Cluster Dynamics and Single Names: The GPCL
Dynamical Loss Model’ 2007 U.Chicago Credit Conference
Brigo Damiano, Massimo Morini ‘Arbitrage-Free Pricing of Credit Index Options: The
No-Armageddon Pricing Measure and the Role of Correlation after the Subprime
Crisis’ SSRN Jan 2008
Brigo Damiano, Naoufel El-Bachir ‘An Exact Formula for Default Swaptions' Pricing
in the SSRJD Stochastic Intensity Model’ SSRN 11/07 <shifted square root jump
diffusion default intensity model>
Brockwell Peter, Erdenebaatar Chadraa, Alexander Lindner ‘Continuous Time GARCH
Processes’ Ann. Appl. Probab. 16 No. 2, 2006
Brody Dorje, Irene Constantinou, Bernhard Meister ‘Term Structure of Vanilla
Options’ IJT&AF V. 10, #8 Dec. 2007
Brown David, Brian Ciochetti, Timothy Riddiough ‘Theory and Evidence on the
Resolution of Financial Distress’ RFS V. 19, #4, Winter 2006
Brown Gregory, Zeigham Khokher ‘Corporate Risk Management and Speculative Motives’
Journal of Risk 2007, V. 10, #2
Brunetti Celso, Peter Liholdt ‘Time Series Modeling of Daily Log-Price Ranges for
CHF/USD and USD/GBP’ Journal of Derivatives Winter 2007
Buchmann Boris, Stefan Weber ‘A Continuous Time Approximation of an Evolutionary
Stock Market Model’ IJT&AF V.10, #7, Nov. 2007
Buraschi Andrea, Alexei Jiltsov ‘Habit Formation and the Term Structure of Interest
Rates’ JofF 12/07
Burtschell Xavier Jon Gregory, Jean-Paul Laurent ‘Beyond the Gaussian Copula:
Stochastic and Local Correlation’ <copula skew models, CDOs, default risk, local
correlation> Vol 3 #1 2007, Journal of Credit Risk
Burtschell Xavier, Jon Gregory, Jean-Paul Laurent ‘A Comparative Analysis of CDO
Pricing Models’ 2005
Butler Ronald ‘Saddlepoint Approximations with Applications’ <first passage,
bootstrapping> 2007 Cambridge Press
Bystrom Hans ‘Instantaneous Credit Risk Correlation’ Journal of Fixed Income Fall
2007
Cai Nianyun (Kelly), Jean Helwege, Arthur Warga ‘Underpricing in the Corporate Bond
Market’ RFS V.20, #6, Nov.07
Campello Murillo, Long Chen, Lu Zhang ‘Expected Returns, Yield Spreads, and Asset
Pricing Tests’ tobe RFS SSRN 11/07
Candés Emmanuel, Laurent Demanet, Lexing Ying ‘Fast Computation of Fourier Integral
Operators’ SIAM J. Sci.Comp. 10/07
Cantor Richard, Owain ap Gwilym, Stephen Thomas ‘The Use of Credit Ratings in
Investment Management in the U.S. and Europe’ Journal of Fixed Income Fall 2007
Carassus Laurence, Emmanuel Gobet, Emmanuel Temam ‘A Class of Financial Products
and Models Where Super-replication Prices are Explicit’ in ‘Stochastic Processes
and Applications to Mathematical Finance 6th Ritsumeikan Sym. 2006, ed. Akahori,
Ogawa, Watanabe
Carceles-Poveda Eva ‘Asset Prices and Business Cycles under Market Incompleteness’
SSRN 11/07
Carey Mark, Greg Nini ‘Is the Corporate Loan Market Globally Integrated? A Pricing
Puzzle’ JofF 12/07
Carr Peter, Alexander Lipton, Dilip Madan ‘Option Pricing and Heat Transfer’ (2002)
Unpublished
Carr Peter, Alexander Lipton, Dilip Madan ‘Reduction Method for Valuing Derivative
Securities’(2001). Unpublished
Carr Peter, Dilip Madan ‘Factor Models for Option Pricing’ (2001). Unpublished
Carr Peter, Dilip Madan ‘On the Nature of Options’ (2001). Unpublished
Carr Peter, Hélyette Geman, Marc Yor, Dilip Madan ‘Absence of Arbitrage and Local
Levy Models’ (2003) Unpublished
Carr Peter, Keith Lewis ‘Corridor Variance Swaps’ in “Volatility as an Asset Class”
2007 ed(I. Nelken)
Carrieri Francesca, Vihang Errunza, Ked Hogan ‘Characterizing World Market
Integration through Time’ JF&QA V. 42, #4 Dec. 2007
Cartea Álvaro, Pablo Villaplana ‘Spot Price Modeling and the Valuation of
Electricity Forward Contracts: The Role of Demand and Capacity’ SSRN 11/07
Cartea Álvaro, Sam Howison ‘Option Pricing With Lévy-Stable Processes Generated by
Lévy-Stable Integrated Variance’ SSRN 10/07
Cartea Álvaro, Thilo Meyer-Brandis ‘How Does Duration between Trades of Underlying
Securities Affect Option Prices’ SSRN 12/07
Cartwright Natalie, Kurt Oughstun ‘Uniform Asymptotics Applied to Ultrawideband
Pulse Propagation’ SIAM Review Dec. 07 V.49,#4
Carvalho Marcelo ‘A Smooth Transition Multivariate GARCH Approach to Contagion’
SSRN Jan 2008
Case James ‘Fit to be Tied’ <games, game theory, checkers> SIAM News Dec. 07
Case James ‘Flagrant Gerrymandering:Help from the Isopherimetric Theorem?’ SIAM
News Nov. 2007
Cassese Gianluca ‘Asset Pricing with No Exogenous Probability Measure’ Mathematical
Finance Jan. 2008 V.18,#1
Castagna Antonio, Fabio Mercurio ‘Building Implied Volatility Surfaces from the
Available Market Quotes: A Unified Approach’ in “Volatility as an Asset Class”
2007 ed(I. Nelken)
Catalán Beatriz, F. Javier Trívez ‘Forecasting Volatility in GARCH Models with
Additive Outliers’ Quantitative Finance V.7, #6, 2007
Chaing Mi-Hsu, Meng-Lan Yueh, Ming-Hua Hsieh ‘An Efficient Algorithm for Basket
Default Swap Valuation’ Journal of Derivatives Winter 2007
Chalamandaris George, A.G. Malliaris ‘Itô's Calculus and the Derivation of the
Black-Scholes Option-Pricing Model’ SSRN 10/07
Challet Damien ‘Inter-Pattern Speculation: Beyond Minority, Majority and $-Games’
JED&C V. 32, #1 Jan. 2008
Chan Louis K.C., Jason Karceski, Josef Lakonishok ‘Analysts’ Conflicts of Interest
and Biases in Earnings Forecasts’ JF&QA V. 42, #4 Dec. 2007
Chance Don ‘Taxation without Replication’ J. Portfolio Management Fall 2007
Chan-Lau Jorge, Li Lian Ong ‘Estimating the Exposures of Major Financial
Institutions to the Global Credit Risk Transfer Market: Are They Slicing the
Risks or Dicing with Danger??’ J.of Fixed Income Winter 2007
Chan-Lau Jorge, Li Ong ‘Estimating the Exposures of Major Financial Institutions to
the Global Credit Risk Transfer Market: Are They Slicing the Risks or Dicing
with Danger?’ SSRN 12/07
Charpin Francoise, Dominique Lacaze ‘Using Binary Variables to obtain Small Optimal
Portfolios’ <quadratic integer programming> J. Portfolio Management Fall 2007
Chatterjee Satyajit, Dean Corbae, Makoto Nakajima, Jose-Victor Ríos-Rull ‘A
Quantitative Theory of Unsecured Consumer Credit with Risk of Default’
Econometrica V. 75, # 6, Nov. 2007
Chaudhary Suneal ‘A Simple American Option Pricing Method Using the Fast Fourier
Transform’ IJT&AF V.10, #7, Nov. 2007
Chaumont Loïc, Víctor Rivero ‘On Some Transformations between Positive Self-Similar
Markov Processes’ SP&A V.117,#12 12/07
Chen A.-S., P.-F. Shen 'Computational Complexity Analysis of Least-Squares Monte
Carlo (LSM) for Pricing US Derivatives' Applied Economics Letters V.10, #4 2003
<American options>
Chen Chen, Rong Chen, Gilbert Bassett ‘Fundamental Indexation via Smoothed Cap
Weights’ J. Banking and Finance V. 31,#11 Nov.2007
Chen Long, Pierre Collin-Dufresne, Robert Goldstein ‘On the Relation between the
Credit Spread Puzzle and the Equity Premium Puzzle’ tobe RFS SSRN 11/07
Chen Nan, Paul Glasserman ‘Malliavin Greeks without Malliavin Calculus’ SP&A V.117,
# 11 Nov. 2007
Chen Sichong, Ser-Huang Poon ‘Modelling International Stock Market Contagion Using
Copula and Risk Appetite’ SSRN 10/07
Chen Xinfu, John Chadam, Lishang Jiang, Weian Zheng ‘Convexity of the Exercise
Boundary of the American Put Option on a Zero Dividend Asset’ Mathematical
Finance Jan. 2008 V.18,#1
Chen Ying, Navin Kartik, Joel Sobel ‘Selecting Cheap-Talk Equilibria’ Econometrica
V. 76, # 1, January 2008
Chen Yong, Bing Liang ‘Do Market Timing Hedge Funds Time the Market?’ JF&QA V. 42,
#4 Dec. 2007
Cheng Shijun,, Venky Nagar, Madhav Rajan ‘Insider Trades and Private Information:
The Special Case of Delayed-Disclosure Trades’ RFS V.20, #6, Nov.07
Cherny Alexander, Albert Shiryaev ‘Some Distributional Properties of the Brownian
Motion with Drift and an Extension of P. Lévy’s Theorem’ Theory of Prob. and
Applications 44,2, 1999
Cherny Alexander, Dilip Madan ‘CAPM, Rewards and Empirical Asset Pricing with
Coherent Risk’ (2005)
Cherny Alexander, Dilip Madan ‘Coherent Measurement of Factor Risks’ (2005)
Unpublished
Cherny Alexander, Dilip Madan ‘Measuring the Degree of Market Efficiency’ (2006).
Unpublished
Cherny Alexander, Dilip Madan ‘Pricing and Hedging in Incomplete Markets with
Coherent Risk’ (2005) Unpublished
Chiang Thomas Chinan, Hooi Hooi Lean, Wing-Keung Wong ‘Do REITS Outperform Stocks
and Fixed-Income Assets? New Evidence from Mean-Variance and Stochastic
Dominance Approaches’ SSRN Jan 2008
Chiang Thomas, Lin Tan, Huimin Li ‘Empirical Analysis of Dynamic Correlations of
Stock Returns: Evidence from Chinese A-Share and B-Share Markets’ Quantitative
Finance V.7, #6, 2007
Cho David, Hwagyun Kim, Jung. S Shin ‘The Effect of Seniority and Security
Covenants on Bond Price Reactions to Credit News’ SSRN 10/07
Cho Jin Seo, Halbert White ‘Testing for Regime Switching’ Econometrica V. 75, # 6,
Nov. 2007
Choi Jongmoo Jay, Sae Woon Park, Sean Sehyun Yoo ‘The Value of Outside Directors:
Evidence from Corporate Governance Reform in Korea’ JF&QA V. 42, #4 Dec. 2007
Chow Pao-Liu ‘Stochastic Partial Differential Equations’ 2007 CRC Press
Christensen Jens Henrik Eggert, Francis Diebold, Glenn Rudebusch ‘The Affine
Arbitrage-Free Class of: Nelson-Siegel Term Structure Models’ NBER Working Paper
No. W13611, FRB of San Francisco Working Paper No. 2007-20
Christensen Morten Mosegaard, Eckhard Platen ‘Sharpe Ratio Maximization and
Expected Utility When Asset Prices Have Jumps’ IJT&AF V. 10, #8 Dec. 2007
Christodoulakis George ‘Markovian Credit Transition Probabilities under Inequality
Constraints: The US Portfolio 1984-2004’ Journal of Credit Risk V.3,#3 2007
Christoffersen Susan, Christopher Geczy, David Musto, Adam Reed ‘Vote Trading and
Information Aggregation’ JofF 12/07
Chung Kai Lai, farid Aitsahlia 'Elementary Probability Theory: With Stochastic
Processes and an Introduction to Mathematical Finance' Springer Verlag March
2003
Chung Kee, William T. Smith, Tao Wu ‘Time Diversification: Definitions and Some
Closed-Form Solutions’ SSRN 12/07
Cipra Barry ‘A Wake-Up Call for Squirrel Dynamics’ SIAM News Nov. 2007
Cipra Barry ‘Applied Math Enters the Digital Age’ SIAM News Dec. 07
Cipra Barry ‘Dune Dynamics at DS 07’ <sand piles, chaos> SIAM News Nov. 2007
Clark Roger, Harindra de Silva, Stephen Thorley ‘Portfolio Constraints and the
Fundamental Law of Active Management’ FAJ V. 58, #5 Sept/Oct 2002
Clark Roger, Harindra de Silva, Steven Sapra ‘Toward More Information-Efficient
Portfolios’ J. Port. Management Fall 2004
Cohen Albert ‘Approximation by Greedy Algorithms’ SIAM News 10/07
Coleman Thomas, Dmitriy Levchenkov, Yuying Li ‘Discrete Hedging of American-Type
Options Using Local Risk Minimization’ J. Banking and Finance V. 31,#11 Nov.2007
Collin-Dufresne Pierre, Robert Goldstein, Jean Helwege ‘Are Jumps in Corporate Bond
Yields Priced? Modeling Contagion via the Updating of Beliefs’ 2002 CMU
Connor Gregory, Robert Korajczyk ‘Factor Models of Asset Returns’ SSRN 10/07
Consigli Giorgio ‘Estimation of Tail Risk and Portfolio Optimisation with Respect
to Extreme Measures’ in Giorgio Szego ‘Risk Measures for the 21st Century’ 2004
Wiley
Cont Rama ‘Recovering Credit Portfolio Loss Rates from CDO Tranches’ 2007 U.Chicago
Credit Conference
Cont Rama, Peter Tankov ‘Constant Proportion Portfolio Insurance in Presence of
Jumps in Asset Prices’ Columbia University Center for Financial Engineering,
Financial Engineering Report No. 2007-10 SSRN 10/07
Cousot Laurent ‘Conditions on Option Prices for Absence of Arbitrage and Exact
Calibration’ J. Banking and Finance V. 31,#11 Nov.2007
Cox James, Daniel Friedman,Vjollca Sadiraj ‘Revealed Altruism’ Econometrica V. 76,
# 1, January 2008
Cox Steven 'The Spectral Representation of a Symmetric Matrix' <PDE>
Craig Ben, Joachim Keller ‘The Empirical Performance of Option-Based Densities of
Foreign Exchange’ FRB of Cleveland Working Paper No. 03-13
Craig Ben, Joseph Haubrich ‘Pricing Kernels, Inflation, and the Term Structure of
Interest Rates’ FRB of Cleveland Working Paper No. 03-08
Crawford Vincent, Nagore Iriberri ‘Level-k Auctions: Can a Nonequilibrium Model of
Strategic Thinking Explain the Winner's Curse and Overbidding in Private-Value
Auctions?’ Econometrica V. 75, # 6, Nov. 2007
Cremers K.J. Martijn, Jianping Mei ‘Turning over Turnover’ RFS V.20, #6, Nov.07
Crépey Stéphane ‘About the Pricing Equation In Finance’ 2007 Submitted.
Crépey Stéphane ‘Markovian Reflected and Doubly Reflected BSDEs in a Jump–Diffusion
Setting with Regimes’ 2007 Submitted
Cummins J. David ‘CAT Bonds and Other Risk-Linked Securities: State of the Market
and Recent Developments’ SSRN 12/07
Cvitanic Jakša ‘Methods of Partial Hedging’ Asia-Pacific Finance Markets 1999
Cvitanic Jakša, Ali Lazrak, Lionel Martellini, Fernando Zapatero ‘Dynamic Portfolio
Choice with Parameter Uncertainty and the Economic Value of Analysts'
Recommendations’ RFS V. 19, #4, Winter 2006
Da Fonseca José, Martino Grasselli, Florian Ielpo ‘Estimating the Wishart Affine
Stochastic Correlation Model Using the Empirical Characteristic Function’ SSRN
12/07
Daglish Toby, John Hull, Wulin Suo ‘Volatility Surfaces: Theory, Rules of Thumb,
and Empirical Evidence’ Quantitative Finance V.7, #5 2007
Dagpunar John ‘Novel Importance Sampling for the Valuation of Basket and Asian
Options’ SSRN 10/07
Dai Min, Yue Kuen Kwok, Hong You ‘Intensity-Based Framework and Penalty Formulation
of Optimal Stopping Problems’ JED&C V.31,#12 12/07
Danielsen Bartley, BonnieVan Ness, Richard Warr ‘Reassessing the Impact of Option
Introductions on Market Quality: A Less Restrictive Test for Event-Date Effects’
JF&QA V. 42, #4 Dec. 2007
Danielsson Jon ‘The Emperor Has No Clothes: Limits To Risk Modelling’ in Giorgio
Danielsson Jon, Bjørn Jorgensen, Casper De Vries ‘Regulation and Incentives for
Risk Management in Incomplete Markets’ in Giorgio Szego ‘Risk Measures for the
21st Century’ 2004 Wiley
Dark Jonathan ‘Basis Convergence and Long Memory in Volatility When Dynamic Hedging
with Futures’ <long memory> JF&QA V. 42, #4 Dec. 2007
Das Sanjiv ‘Implied Recovery’ 2007 U.Chicago Credit Conference
Das Sanjiv Ranjan, Paul Hanouna ‘Hedging Credit: Equity Liquidity Matters’ SSRN
11/07
Das Sanjiv, Paul Hanouna ‘Hedging Credit: Equity Liquidity Matters’ SSRN 11/07
Das Sanjiv, Paul Hanouna ‘Implied Recovery’ SSRN 11/07
Das Sanjiv, Rangarajan Sundaram 'An Integrated Model for Hybrid Securities'
Management Science Sept 07
Dash Jan ‘Multivariate Integral Perturbation Techniques I: Theory’ IJT&AF V. 10, #8
Dec. 2007
Davis Paul, Michael Pagano, Robert Schwartz ‘Divergent Expectations’ J. Portfolio
Management Fall 2007
Davydenko Sergei, Ilya Strebulaev ‘Strategic Actions and Credit Spreads: An
Empirical Investigation’ JofF 12/07
Dellaportas Petros, Ioannis Vrontos ‘Modelling Volatility Asymmetries: A Bayesian
Analysis of a Class of Tree Structured Multivariate GARCH Models’ Econometrics
Journal, Vol. 10, Issue 3, pp. 503-520, November 2007
DeMarzo Peter, Michael Fishman ‘Optimal Long-Term Financial Contracting’ RFS V.20,
#6, Nov.07
Dempster Micahel, Elena Medova, Seung Yang ‘Erratum: "Empirical Copulas for CDO
Tranche Pricing Using Relative Entropy"’ IJT&AF V.10, #7, Nov. 2007
Dempster Michael, Igor Evstigneev, Klaus Reiner Schenk-Hoppé ‘Financial Markets.
The Joy of Volatility’ QF Vo. 8,#1 2008
Demyanyk Yuliya, Charlotte Ostergaard, Bent Sørensen ‘ U.S. Banking Deregulation,
Small Businesses, and Interstate Insurance of Personal Income’ JofF 12/07
Desai Mihir, C. Fritz Foley, James Hines Jr. ‘Capital Controls, Liberalizations,
and Foreign Direct Investment’ RFS V. 19, #4, Winter 2006
Dhaene Geert, Piet Sercu, Cédric de Ville de Goyet ‘Testing Futures Returns
Predictability: Implications for Hedgers’ SSRN 11/07
Di Crescenzo Antonio, Franco Pellerey ‘On Prices Evolution based on Geometric
Telegraphers Processes’ App. Stoch. Models Bus. Ind. 2002
di Pietro Vadim, Gregory Vainberg ‘Systematic Variance Risk and Firm
Characteristics in the Equity Options Market’ Kellogg NU SSRN 10/07
Dias Alexandra, Paul Embrechts ‘Change-Point Analysis for Dependence Structures in
Finance and Insurance’ in Giorgio Szego ‘Risk Measures for the 21st Century’
2004 Wiley
DiCecio Riccardo, Kristie Engemann, Michael Owyang, Christopher Wheeler ‘Changing
Trends in the Labor Force: A Survey’ Review FRB St. Louis JAN/Feb 2008 V. 90, #1
Diebold Francis X., Canlin Li, Vivian Zhanwei Yue ‘Global Yield Curve Dynamics and
Interactions: A Dynamic Nelson-Siegel Approach’ SSRN 10/07
Dimitrov Valentin, Sheri Tice ‘Corporate Diversification and Credit Constraints:
Real Effects across the Business Cycle’ RFS V. 19, #4, Winter 2006
Doberkat Ernst-Erich ‘Stochastic Relations:Foundations for Markov Transition
Systems’ 2007 CRC Press
Doffou Ako ‘Stochastic Interest Rates and Short Maturity Currency Options’
Financial Decisions, Vol. 18, No. 2, Winter 2006
Doffou Ako, Jimmy Hilliard ‘Information Inherent in Implicit Distributions’
Research in Finance, Vol.18, 2001
Doffou Ako, Jimmy Hilliard ‘Pricing Currency Options Under Stochastic Interest
Rates and Jump-Diffusion Processes’ Journal of Financial Research, Vol. 24, No.
4, Winter 2001
Doffou Ako, Jimmy Hilliard ‘Testing a Jump-Diffusion Stochastic Interest Rates
Model in Currency Options Markets’ Advances in Futures and Options Research,
Vol. 11, 2001, Journal of Risk, Forthcoming
Doran James, Andy Fodor ‘Firm Specific Option Risk and Implications for Asset
Pricing’ SSRN 10/07
Dorn Jochen ‘Modeling of CDO Squareds: Capturing the Second Dimension’ Journal of
Fixed Income Fall 2007
Dorobantu Diana, Monique Pontier ‘Risky Debt and Optimal Coupon Policy and Other
Optimal Strategies’ in ‘Stochastic Processes and Applications to Mathematical
Finance 6th Ritsumeikan Sym. 2006, ed. Akahori, Ogawa, Watanabe
Drechsler Itamar, Amir Yaron ‘What's Vol Got to Do With It’ SSRN Jan 2008
Driscoll Tobin, Kara Maki ‘Searching for Rare Growth Factors Using Multicanonical
Monte Carlo Methods’ SIAM Review Dec. 07 V.49,#4
Duffie Darrell, Nicolae Gârleanu, Lasse Heje Pedersen ‘Valuation in Over-the-
Counter Markets’ RFS V.20, #6, Nov.07
Dufour Francois, Boris Miller ‘Necessary Conditions for Optimal Singular Stochastic
Control Problems’ Stochastics <S&SR> V. 79, #5 2007
Dunham William (ed) ‘The Genius of Euler:Reflection on His Life and Work’ MAA Press
2007
Durham J. Benson ‘Implied Interest Rate Skew, Term Premiums, and the Conundrum’
FEDS Working Paper No. 2007-55 SSRN 12/07
Durrleman Valdo, Adam Kurpiel, Gael Riboulet, Thierry Roncalli 'Topics on Two-State
Option Pricing' 6/2000 <option-numeric> <Malliavin,hopscotch,Heston model,quasi-
random>
Durrleman Valdo, Ashkan Nikeghbali, Thierry Roncalli ‘A Simple Transformation of
Copulas’ SSRN 11/07
Durrleman Valdo, Ashkan Nikeghbali, Thierry Roncalli ‘Copulas Approximation and New
Families’ SSRN 11/07
Eberlein Ernst ‘Jump-type Lévy Processes’ to appear in Handbook of Financial Time
Series, Springer Verlag 2007
Eberlein Ernst, Arend Janssen ‘Correlations in Lévy Interest Rate Models’ 2007
Eberlein Ernst, Dilip Madan ‘From Required Returns to Required Sharpe Ratios’
(2007). Unpublished
Eberlein Ernst, Dilip Madan ‘Hedge Fund Replication Beyond Alphas and Betas’ 2007
Eberlein Ernst, Dilip Madan 'Sato Processes and the Valuation of Structured
Products' 7/07 <option-pricing>
Eberlein Ernst, Rüdiger Frey, Ernst August von Hammerstein ‘Advanced Credit
Portfolio Modeling and CDO Pricing’ 2007
Eberlein Ernst, Rüdiger Frey, Michael Kalkbrener, Ludger Overbeck ‘Mathematics in
Financial Risk Management’ to appear in Jahresbericht der DMV 2007
Ederington Louis, Doung Le ‘What Moves Interest Rates? Ex-Ante Determinants of
Interest Rate Volatility’ SSRN Jan 2008
Edirisinghe Chanaka, X. Zhang ‘Generalized DEA Model of Fundamental Analysis and
its Application to Portfolio Optimization’ J. Banking and Finance V. 31,#11
Nov.2007
Egloff Daniel, Michael Kohler, Nebojsa Todorovic ‘A Dynamic Look-Ahead Monte Carlo
Algorithm for Pricing Bermudan Options’ Ann. Appl. Probab. V.17, # 4 (2007)
<Optimal stopping, American options, Bermudan basket, nonparametric regression,
Monte Carlo, continuation values>
Eisenber Larry ‘Properties of the Marginal Price of Risk with a VaR Constraint’
SSRN 11/07
Ekström Erik, Johan Tysk ‘Convexity Theory for the Term Structure Equation’ FS Jan
2008, V. 12, #1
Elaydi Saber ‘Discrete Chaos:With Applications in Science and Engineering’ 2nd Ed.
2007 CRC Press
Elliott Robert, Dilip Madan ‘Multiple Prior Asset Pricing Models’ (2003)
Unpublished
Emsermann Markus, Burton Simon ‘Improving Simulation Efficiency with Quasi Control
Variates’ Stochastic Models 18(3) 2002
Es-Sebaiy Khalifa, Youssef Ouknine ‘How Rich is the Class of Processes which are
Infinitely Divisible with Respect to Time’ 9/06 <stochastics> <Sato, Self-
similar>
Estrada Javier ‘Black Swans and Market Timing: How Not to Generate Alpha’ SSRN
11/07
Estrada Javier ‘Mean-Semivariance Optimization: A Heuristic Approach’ SSRN 11/07
Evstigneev Igor, Dhruv Kapoor ‘Arbitrage in Stationary Markets’ Swiss Finance
Institute Research Paper No. 07-32 SSRN 10/07
Eymard Robert, Sophie Mercier, Alain Prignet ‘An Implicit Finite Volume Scheme for
a Scalar Hyperbolic Problem with Measure Data Related to Piecewise
Deterministic Markov Processes’ J. Computational and Applied Mathematics tobe
2007
Fabian Csaba, Anna Veszpremi ‘Algorithms for Handling CVaR Constraints in Dynamic
Stochastic Programming’ Journal of Risk Special Issue 2007
Fabozzi Frank, Radu Tunaru ‘On Some Inconsistencies in Modeling Credit Portfolio
Products’ IJT&AF V. 10,# 8 Dec. 2007
Fantazzini Dean, Elena Maria Degiuli, Mario Maggi ‘A New Approach for Firm Value
and Default Probability Estimation Beyond Merton Models’ Computational
Economics, Forthcoming 2008
Fasen Vicky, Claudia Klüppelberg, Alexander Lindner ‘Extremal Behavior of
Stochastic Volatility Models’ 2006 In: Grossinho, M.D.R., Shiryaev, A.N.
Esquivel, M. And Oliviera, P.E. (Eds.), Stochastic Finance, 107-155, Springer,
New York.
Fatone Lorella, Maria Cristina Recchioni, Francesco Zirilli ‘A Perturbative Formula
to Price Barrier Options with Time Dependent Parameters in the Black and Scholes
World’ Journal of Risk 2007, V. 10, #2
Favre Laurent, Jose-Antonio Galeano ‘Mean-Modified Value-at-Risk with Hedge Funds’
J. of Alternative Investments, 5,2, 2002
Feinberg Eugene, Mark Lewis ‘Optimality Inequalities for Average Cost Markov
Decision Processes and the Stochastic Cash Balance Problem’ Math. of OR 11/07
Fengler Matthias, Kay Pilz, Peter Schwendner ‘Basket Volatility and Correlation’ in
“Volatility as an Asset Class” 2007 ed(I. Nelken)
Fernandez Viviana ‘Multi-Period Hedge Ratios for a Multi-Asset Portfolio When
Accounting for Returns Co-Movement’ J. Futures Markets V.28, #2 Feb. 2008
Figelman Ilya ‘Stock Return Momentum and Reversal’ J. Portfolio Management Fall
2007
Filipovic Damir, Michael Kupper ‘Optimal Capital and Risk Transfers for Group
Diversification’ Mathematical Finance Jan. 2008 V.18,#1
Filipovic Damir, Stefan Tappe ‘Existence of Lévy Term Structure Models’ FS Jan
2008, V. 12, #1
Fischer Tom ‘Examples of Coherent Risk Measures Depending on One-Sided Moments’
Darmstadt U. of Tech. 2001
Fishwick Paul ‘Handbook of Dynamic System Modeling’ 2007 CRC Press
Flesaker Bjorn ‘Replication Based Pricing of Default Contingent Claims’ 2007
Florens Jean-Pierre Florens, Eric Renault, Nizar Touzi ‘Testing for Embeddability
by Stationary Reversible Continuous-Time Markov Processes’ Econometric Theory
14, 1998
Forsyth Peter, George Labahn ‘Numerical Methods for Controlled Hamilton-Jacobi-
Bellman PDEs In Finance’ J. Computational Finance V.11,#2 2007
Foufas Georgios, Mats Larson ‘Valuing Asian Options Using the Finite Element Method
And Duality Techniques’ J. Computational and Applied Mathematics tobe 2007
Franzen Laurel, Kimberly Rodgers, Timothy Simin ‘Measuring Distress Risk: The
Effect of R&D Intensity’ JofF 12/07
Frey Rüdiger, Cecilia Prosdocimi, Wolfgang Runggaldier ‘Affine Credit Risk Models
under Incomplete Information’ in ‘Stochastic Processes and Applications to
Mathematical Finance 6th Ritsumeikan Sym. 2006, ed. Akahori, Ogawa, Watanabe
Frey Ruediger ‘Dynamic Hedging of Synthetic CDO Tranches with Spread and Contagion
Risk’ 2007 U.Chicago Credit Conference
Fridson Martin ‘Original Issue High-Yield Bonds’ J. Portfolio Management Fall 2007
Frittelli Marco, Emanuela Rosazza Gianin ‘Dynamic Convex Risk Measures’ in Giorgio
Gabaix Xavier ‘Linearity-Generating Processes: A Modelling Tool Yielding Closed
Forms for Asset Prices’ NBER Working Paper No. W13430 10/07
Gabaix Xavier, Parameswaran Gopikrishnan, Vasiliki Plerou, H. Eugene Stanley
‘Quantifying and Understanding the Economics of Large Financial Movements’ JED&C
V. 32,#1 Jan. 2008
Galloway Mack, Craig Nolder 'Option Pricing with Selfsimilar Additive Processes'
2/07 <option-pricing> <Sato, NIG>
Gan Jie ‘The Real Effects of Asset Market Bubbles: Loan- and Firm-Level Evidence of
a Lending Channel’ RFS V.20, #6, Nov.07
Gapeev Pavel ‘Discounted Optimal Stopping for Maxima of Some Jump-Diffusion
Processes’ J. of Applied Probability V. 4, #3 Sept 07
Geman Hélyette, Cecile Kharoubi ‘Hedge Funds: A Copula Approach for Risk
Management’ in Giorgio Szego ‘Risk Measures for the 21st Century’ 2004 Wiley
Geman Hélyette, Dilip Madan ‘Pricing in Incomplete Markets: from Absence of Good
Deals to Acceptable Risk’ in Giorgio Szego ‘Risk Measures for the 21st Century’
2004 Wiley
George Thomas, Chuan-Yang Hwang ‘Long-Term Return Reversals: Overreaction or
Taxes?’ JofF 12/07
Georgiev Iliyan ‘A Mixture-Distribution Factor Model for Multivariate Outliers’
Econometrics Journal, Vol. 10, Issue 3, pp. 605-636, November 2007
Gerstner Thomas, Markus Holtz ‘Valuation of Performance-Dependent Options’ Applied
Mathematical Finance, V. 15, # 1, 2008
Giacometti Rosella, Sergio Ortobelli Lozza ‘Risk Measures for Asset Allocation
Models’ in Giorgio Szego ‘Risk Measures for the 21st Century’ 2004 Wiley
Gibson Michael ‘Credit Derivatives and Risk Management’ FEDS Working Paper No.
2007-47 SSRN 12/07
Giesecke Kay `Correlated Default with Incomplete Information', J. of Banking and
Finance 28, 2004
Giesecke Kay ‘Pricing, Hedging and Calibrating Credit from the Top Down’ 2007
Giesecke Kay ‘The Correlation-Neutral Measure for Portfolio Credit‘ 10/07 < Fourier
transform of counting process arrival unpredictable events, future arrival
feedback, point process, compensator, characteristic function, Laplace
transform, complex measure, credit derivative>
Giesecke Kay, Pascal Tomecek ‘Dependent Defaults and Changes of Time’ Cornell 2005
Gikhman Ilya ‘Corporate Debt Pricing I’ SSRN 10/07
Gikhman Ilya ‘Corporate Debt Pricing I’ SSRN 12/07
Gil-Alana Luis, Antonio Moreno ‘Uncovering the U.S. Term Premium: An Alternative
Route’ SSRN 10/07
Gilbert R. Alton, David Wheelock ‘Measuring Commercial Bank Profitability: Proceed
with Caution’ St. Louis Review Nov/Dec 2007, V. 89, #6
Giles Michael ‘Monte Carlo Evaluation of Sensitivities in Computational Finance’
2007(?) <algorithmic differentiation>
Giles Michael ‘Multi-Level Monte Carlo Path Simulation’ May 2006 <Euler> tobe
Operations Research
Giles Michael 'Improved Multilevel Monte Carlo Convergence using the Milstein
Scheme' <monte carlo> <Asian, barrier, digital>
Giles Michael, Ronnie Sicar ‘Financial Mathematics at ICIAM’ <El Karoui> SIAM News
10/07
Glynn Peter, Ward Whitt ‘Asymptotic Efficiency of Simulation Estimators’ Operations
Research 40, 1992
Gomes João, Amir Yaron, Lu Zhang ‘Asset Pricing Implications of Firms’ Financing
Constraints’ RFS V. 19, #4, Winter 2006
Goodman Laurie, Daniel Newman, Douglas Lucas, Frank Fabozzi ‘Event of Default
Provisions and the Valuation of ABS CDO Tranches’ J.of Fixed Income Winter 2007
Gordy Michael ‘Granularity Adjustment in Portfolio Credit Risk Measurement’ in
Gordy Michael ‘The Bank as Grim Reaper: Debt Composition and Recoveries on
Defaulted Debt’ 2007 U.Chicago Credit Conference
Graczyk Piotr, Lioudmila Vostrikova ’The Moments of Wishart Processes via Itô
Calculus’ Theory of Prob. & its Applic V. 51,#4 2007
Grasselli Martino, Claudio Tebaldi ‘Solvable Affine Term Structure Models’
Mathematical Finance Jan. 2008 V.18,#1
Grecu Alex, Burton Malkiel, Atanu Saha ‘Why Do Hedge Funds Stop Reporting
Performance?’ J. Portfolio Management Fall 2007
Greenberg Edward ‘Introduction to Bayesian Econometrics’ 2007 Cambridge Press
Grinold Richard ‘Domestic Grapes from Imported Wine’ J. Portfolio Management 1996
Grinold Richard ‘Dynamic Portfolio Analysis’ J. Portfolio Management Fall 2007
Grinold Richard, Richard Meese ‘The Bias Against International Investing: Strategic
Asset Allocation and Currency Hedging’ Barclays Global 2000
Grootveld Henk, Winfried Hallerbach ‘Upgrading Value-At-Risk from Diagnostic Metric
to Decision Variable: A Wise Thing To Do?’ in Giorgio Szego ‘Risk Measures for
the 21st Century’ 2004 Wiley
Grüne Lars, Willi Semmler, Lucas Bernard ‘Firm Value, Diversified Capital Assets,
and Credit Risk: Towards a Theory of Default Correlation’ Journal of Credit Risk
2007 V. 3, #4
Gu Zhihui, Qingyuan Zhang ‘A Remark on Managerial Behaviour and Agency Cost’
Quantitative Finance V.7, #5 2007
Guasoni Paolo, Scott Robertson ‘Optimal Importance Sampling with Explicit Formulas
in Continuous Time’ FS Jan 2008, V. 12, #1
Guidolin Massimo, Elizabeth La Jeunesse ‘The Decline in the U.S. Personal Saving
Rate: is it Real and is it Puzzle? St. Louis Review Nov/Dec 2007, V. 89, #6
Gulko Les ‘A Test of the Beta Model on Eurodollar Futures Options’ Quantitative
Finance V.7, #5 2007
Gundel Anne, Stefan Weber ‘Robust Utility Maximization with Limited Downside Risk
in Incomplete Markets’ SP&A V.117, # 11 Nov. 2007
Gunderson James ‘Information-Aggregation Bias in Representative Agent Pricing
Models’ SSRN 10/07
Gurrola Pedro ‘Capturing Fat Tail Risk in Exchange Rate Returns Using SU-Curves: A
Comparison with the Normal Mixture and Skewed Student Distributions’ Journal of
Risk 2007, V. 10, #2
Gürtler Marc, Nora Hartmann ‘The Equity Premium Puzzle and Emotional Asset Pricing’
IJT&AF V. 10, #6 9/07
Habermann Christian, Fabian Kindermann ‘Multidimensional Spline Interpolation:
Theory and Applications’ Computational Economics V.30, #2 9/07
Hakansson Nils ‘Capital Growth and the Mean-Variance Approach to Portfolio
Selection’ JF&QA 1971
Hallerbach Winfried ‘Capital Allocation, Portfolio Enhancement and Performance
Measurement: A Unified Approach’ in Giorgio Szego ‘Risk Measures for the 21st
Century’ 2004 Wiley
Halperin Igor ‘Credit Top Down Models: Climbing Down from the Top’ 2007 U.Chicago
Credit Conference
Han Bing, Francis Longstaff, Craig Merrill ‘The U.S. Treasury Buyback Auctions: The
Cost Of Retiring Illiquid Bonds’ JofF 12/07
Han Heejoon, Joon Park ‘ARCH with Persistent Covariate’ SSRN 12/07
Hansen Lars Peter, Jose Scheinkman ‘Semigroup Pricing’ 10/02 <option-pricing>
Hanson Floyd ‘Optimal Portfolio Problem for Stochastic-Volatility, Jump-Diffusion
Models with Jump-Bankruptcy Condition: Practical Theory’ SSRN Jan 2008
Hanson Floyd ‘Stochastic Processes and Control for Jump-Diffusions’ SSRN 10/07
Hara Keisuke, Terry Lyons ‘Smooth Rough Paths and the Applications’ in ‘Stochastic
Processes and Applications to Mathematical Finance 6th Ritsumeikan Sym. 2006,
ed. Akahori, Ogawa, Watanabe
Härdle Wolfgang, Torsten Kleinow, Alexander Korostelev, Camille Logeay, Eckhard
Platen ‘Semiparametric Diffusion Estimation and Application to a Stock Market
Index’ QF Vo. 8,#1 2008
Hartzell Jay, Tobias Muhlhofer, Sheridan Titman ‘Alternative Benchmarks for
Evaluating REIT Mutual Fund Performance’ SSRN 11/07
Hassett Brendan ‘Introduction to Algebraic Geometry’ 2007 Cambridge Press
Hatchondo Juan Carlos, Leonardo Martinez, Horacio Sapriza ‘Quantitative Models of
Sovereign Default and the Threat of Financial Exclusion’ FRB Richmond Economic
Quarterly V. 93,#3 Summer 2007
Haug Stephan, Claudia Klüppelberg, Alexander Lindner, Matthias Zapp ‘Method Of
Moment Estimation in the COGARCH(1,1) Model’ Econometrics Journal, 10, 2007
Hawkes Alan ‘Spectra of Some Self-Exciting and Mutually Exciting Point Processes',
Biometrika 58(1), 1971
Hawkes Alan, David Oakes `A Cluster Process Representation of a Self-Exciting
Process', Journal of Applied Probability 11, 1974
Haworth Helen, Christoph Reisinger ‘Modeling Basket Credit Default Swaps with
Default Contagion’ Journal of Credit Risk 2007 V. 3, #4
He Changhong, Thomas Coleman, Yuying Li ‘Computation and Analysis for a Constrained
Entropy Optimization Problem in Finance’ J. Computational and Applied
He Xue-Zhong, Youwei Li ’Heterogeneity, Convergence, and Autocorrelations’ QF Vo.
8,#1 2008
Heider Pascal ‘The Condition of the Integral Representation of American Options’ J.
Computational Finance V.11,#2 2007
Heinrich Stefan ‘Multilevel Monte Carlo Methods’ V. 2179 Springer Lect. Notes in
Computer Science 2001
Henderson Vicky, David Hobson ‘Horizon-Unbiased Utility Functions’ SP&A V.117, # 11
Nov. 2007
Henry-Labordere Pierre ‘Combining the SABR and LMM Models’ <stochastic volatility,
BGM, analytic swaption, implied volatility> RISK Oct. 07
Henry-Labordère Pierre ‘Solvable Local and Stochastic Volatility Models:
Supersymmetric Methods in Option Pricing’ Quantitative Finance V.7, #5 2007
Henry-Labordere Pierre 'Unifying the BGM and SABR Models: A Short Ride in
Hyperbolic Geometry' 1/07 <term structure><Heat Kernel, swaption smile, Heston
process, Stochastic Libor Markets, CEV, calibration, hyperbolic geometry,
'freeze method", saddlepoint, local volatility>
Herold Ulf ‘Portfolio Construction with Qualitative Forecasts’ J. Portfolio
Management Fall 2003
Hesthaven Jan, Sigal Gottlieb, David Gotlieb ‘Spectral Methods for Time-Dependent
Problems’ 2007 Cambridge Press
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Hiatt John, Catherine Shalen ‘Exchange-Traded Volatility: CBOE and CFE VIX and
Variance Derivatives’ in “Volatility as an Asset Class” 2007 ed(I. Nelken)
Hikspoors Samuel, Sebastian Jaimungal ‘Energy Spot Price Models and Spread Options
Pricing’ IJT&AF V.10, #7, Nov. 2007
Hilbe Joseph ‘Negative Binomial Regression’ 2007 Cambridge Press
Hintikka Mari ‘Market Reactions to Differences of Opinion’ SSRN 11/07
Ho Thomas ‘Managing Interest Rate Volatility Risk: Key Rate Vega’ J.of Fixed Income
Winter 2007
Ho Thomas, Sang Bin Lee ‘Generalized Ho-Lee Model: A Multi-Factor State-Time
Dependent Implied Volatility Function Approach’ J.of Fixed Income Winter 2007
Höcht Stephan Rudi Zagst ‘Generalized Maximum Expected Utility Models for Default
Risk: A Comparison of Models with Different Dependence Structures’ Journal of
Credit Risk V.3,#3 2007
Hodder James, Jens Carsten Jackwerth ‘Incentive Contracts and Hedge Fund
Management’ <manager power utility> JF&QA V. 42, # 4 Dec. 2007
Hong Harrison, Jeremy Stein Disagreement and the Stock Market’ J. Economic
Perspectives Spring 2007, V.21, #2
Hong Harrison, José Scheinkman, Wei Xiong ‘Advisors and Asset Prices: A Model of
the Origins of Bubbles’ NBER Working Paper No. W13504 2007?
Hori Keiichi, Keizo Mizuno ‘From Access to Bypass: A Real Options Approach’ in
‘Stochastic Processes and Applications to Mathematical Finance 6th Ritsumeikan
Sym. 2006, ed. Akahori, Ogawa, Watanabe
Hornik Kurt, Rainer Jankowitsch, Manuel Lingo, Stefan Pichler, Gerhard Winkler
‘Validation of Credit Rating Systems Using Multi-Rater Information’ Journal of
Credit Risk 2007 V. 3, #4
Horst Matthias, Matthias Müller ‘On the Spanning Property of Risk Bonds Priced by
Equilibrium’ Math. of OR 11/07
Hu Yaozhong, Bernt Øksendal ‘Optimal Smooth Portfolio Selection for an Insider’
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Hu Yingyao, Susanne Schennach ‘Instrumental Variable Treatment of Nonclassical
Measurement Error Models’ Econometrica V. 76, # 1, January 2008
Huang Tzu-Man, Peter Locke ‘Interdealer Inference and Price Discovery’ J. Futures
Markets V.28, #2 Feb. 2008
Huang Xinzheng, Cornelis Oosterlee, Mâcé Mesters ‘Computation of VaR and VaR
Contribution in the Vasicek Portfolio Credit Loss Model: A Comparative Study’
Journal of Credit Risk V.3,#3 2007
Hui Meng, Chunsheng Zhang, Rong Wu ‘On a Joint Distribution for the Classical Risk
Process with a Stochastic Return on Investments’ Stochastic Models, V.23, # 3
July 2007
Hull John ‘Dynamic Models of Portfolio Credit Risk: A Simplified Approach’ 2007
Hyer Tom, Alexander Lipton, Dmitry Pugachevsky, S. Qui ‘A Hidden-Variable Model for
Risky Bonds’ Bankers Trust 1998
Ibragimov Rustam, Johan Walden ‘Value at Risk under Dependence and Heavy-
Tailedness: Models with Common Shocks’ Harvard Institute of Economic Research
Discussion Paper No. 2139 SSRN 10/07
Imai Junichi, Ken Seng Tan ‘Enhanced Quasi-Monte Carlo Method with Dimension
Reduction’ Proceedings of the 2002 Winter Simulation Conference
Imai Junichi, Ken Seng Tan ‘Minimizing Effective Dimension using Linear
Transformation. Monte Carlo and Quasi-Monte Carlo Methods’ 2004. H. Niederreiter
(ed)Springer-Verlag 2005
Imai Junichi, Takahiro Watanabe ‘The Investment Game under Uncertainty: An Analysis
of Equilibrium Values in the Presence of First or Second Mover Advantage’ in
Imre Kondor, Andras Szepessy, Tunde Ujvarosi ‘Concave Risk Measures in
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Inglis Stewart, Alex Lipton 'Factor Models for Credit Correlation' wp. June/07,
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Ion Sue 'Nuclear Energy:Current Situation and Prospects to 2020' Phil. Trans. Royal
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Iori Giulia, Giulia De Masi, Ovidiu Vasile Precup, Giampaolo Gabbi, Guido
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Iscoe Ian, Alexander Kreinin ‘Valuation of Synthetic CDOs’ J. Banking and Finance
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