Update March 08

Aaronson Scott 'The Limits of Quantum Computers' SA 3/08 <P, NP, NP-Complete,
etc.; what they can and cannot do>

Aas Kjersti, D. Hobaek Haff 'The Generalized Hyperbolic Skew Student's t-
Distribution' Journal of Financial Econometrics, Vol. 4, No. 2, 2006
Aase Knut 'On the Consistency of the Lucas Pricing Formula' Mathematical
Finance April 2008,V.18 #2
Abhyankar Abhay, Soyeon Lee 'Are Government Bonds Risky Assets?' SSRN 3/08
Acharya Viral,Tarun Ramadorai, Lars Lochstoer 'Does Hedging Affect Commodity
Prices: The Role of Producer Default Risk' SSRN 3/08
Adriaens Hendri, Bas Donkers, Bertrand Melenberg 'The CAPM with Endogenous
Beliefs' SSRN 3/08
Agarwal Vikas, Jayant Kale ‘On the Relative Performance of Multi-Strategy and
Funds of Hedge Funds’ Journal of Investment Management 3rd Quarter 2007
Agca Senay, Abon Mozumdar 'The Impact of Capital Market Imperfections on
Investment–Cash Flow Sensitivity' J. Banking and Finance V.32,#2 Feb 08
Akbas Ferhat, Ekkehart Boehmer, Bilal Erturk, Sorin Sorescu 'Why Do Short
Interest Levels Predict Stock Returns?' SSRN 3/08
Akhigbe Aigbe, Jeff Madura, Alan Tucker 'Motivation and Performance Following
Open-Ending of Closed-End Funds' 2nd Q. 2005 Journal of Investment
Management
Alabert Aureli, István Gyöngy 'On Numerical Approximation of Stochastic
Burgers' Equation' 2006 in Kabanov, Liptser, Stoyanov(Eds.), 'The
Shiryaev Festschrift: From Stochastic Calculus To Mathematical Finance'
Springer, Berlin
Albuquerue Rui, Neng Wang 'Agency Conflicts, Investment, and Asset Pricing'
JofF V.63,#1, Feb. 08
Alcock Jamie, Diana Auerswald 'Extended Nonparametric American Option
Pricing' SSRN 3/08
Alexander Carol, Anca Dimitriu 'A Comparison of Cointegration and Tracking
Error Models for Mutual and Hedge Funds' ISMA 2004
Alexander Carol, Andreza Barbosa 'Hedging Index Exchange Traded Funds' J.
Banking and Finance V.32,#2 Feb 08
Altman Edward, Andrea Resti, Andrea Sironi 'Recovery Risk: the next Challenge
in Credit Risk Management' Risk Books 2005
Altmann Timo, Thorsten Schmidt, Winfried Stute 'A Shot Noise Model for
Financial Assets' IJT&AF V.11,# 1 Feb. 2008
Ametrano Ferdinando, Mark Joshi 'Smooth Simultaneous Calibration of the LMM
to Caplets and Coterminal Swaptions' <avoid global optimization,
bootstrapping> SSRN 2/08
Anand Amber, Avanidhar Subrahmanyam 'Information and the Intermediary: Are
Market Intermediaries Informed Traders in Electronic Markets?' JF&QA
V.43, #1, March 2008
Andersen Torben, Luca Benzoni 'Realized Volatility' SSRN 2/08
Anderson Hamish, Christopher Malone, Ben Marshall 'Time Diversification in
Developed and Emerging Markets' SSRN 2/08
Andreasen Jesper 'Closed Form Pricing of FX Options under Stochastic Rates
and Volatility' 2006 Global Derivatives Conference wp?
Andreasen Jesper 'Stochastic Volatility for Real' SSRN March 2006 <combine
separable volatility structures in HJM framework with calibration SV,
multi-factor SV term structure models, Libor, Markov property, yield
curve models>
Andreasen Martin Møller 'A Nonlinear Micro Founded Term Structure Model with
Macro Variables' SSRN 2/08
Andrew Peter 'On the Limiting Behaviour of Lévy Processes at Zero' Prob.
Theory and Related Fields V.140,#1-2 Jan 2008
Andritzky Jochen, Manmohan Singh ‘The Pricing of Credit Default Swaps During
Distress’ Journal of Investment Management Fall 2007
Andritzky Jochen, Manmohan Singh 'The Pricing of Credit Default Swaps During
Distress' Journal of Investment Management, Vol. 5, No. 5
Ang Andrew, Jun Liu, Krista Schwarz 'Using Individual Stocks or Portfolios in
Tests of Factor Models' SSRN 3/08
Annaert Jan, Griselda Deelstra, Dries Heyman, Michèle Vanmaele 'Risk
Management of a Bond Portfolio using Options' Insurance:Mathematics and
Economics V.41,#3 Nov.07
Anson Mark 'The Beta Continuum' J. Portfolio Management V.34,#2 Winter 2008
Anson Mark, Ho Ho 'Short Volatility Strategies: Identification, Measurement,
and Risk Management' 2nd Q. 2003 Journal of Investment Management
Antoniou Antonios, Yilmaz Guney, Krishna Paudyal 'The Determinants of Capital
Structure: Capital Market-Oriented versus Bank-Oriented Institutions'
JF&QA V.43, #1, March 2008
Antonov Alexandre, Matthieu Arneguy, Nicolas Audet 'Markovian Projection to a
Displaced Volatility Heston Model' <volatility> <Gyöngy lemma,
Heston/Hull-White correlated hybrid, FX-options approximation> SSRN
3/08
Arai Takuji 'The p-Optimal Martingale Measure in Continuous Trading
Models' Statistics & Probability Letters Volume 54, Issue 1, 1 August
2001 <Incomplete market, Equivalent martingale measure, Minimal
martingale measure, BMO martingale>
Arapis Manuel, Jiti Gao 'Empirical Comparisons in Short-Term Interest Rate
Models Using Nonparametric Methods' Journal of Financial Econometrics,
Vol. 4, No. 2, 2006
Aray Henry 'The January Effect Across Volatility Regimes' SSRN 2/08
Areal Nelson M.P.C., Artur Rodrigues, Manuel J. Rocha Armada ' Improvements
to the Least Squares Monte Carlo Option Valuation Method' <monte carlo,
Halton low discrepancy, variance reduction, Brownian Bridge> SSRN 2/08
Aretz Kevin, Mark Shackleton 'Omitted Debt Risk, Financial Distress and the
Cross-Section of Expected Returns' SSRN 3/08
Arisoy Yakup Eser, Aslihan Altay Salih 'Nonnegative Wealth, Options, and C-
CAPM' SSRN 3/08
Arkin Vadim, Alexander Slatnikov 'Optimal Time to Invest under Tax
Exemptions' 2006 in Kabanov, Liptser, Stoyanov(Eds.), 'The Shiryaev
Festschrift: From Stochastic Calculus To Mathematical Finance'
Springer, Berlin
Arnott Robert, Jason Hsu 'Noise, CAPM and the Size and Value Effects' J.
Investment Management 1st Q 2008
Arora Navneet, Jeffrey Bohn, Fanlin Zhu 'Reduced Form vs. Structural Models
of Credit Risk: A Case Study of Three Models' 4th Q. 2005 Journal of
Investment Management
Asgharian Hossein, Christoffer Bengtsson 'Jump Spillover in International
Equity Markets' Journal of Financial Econometrics, Vol. 4, No. 2, 2006
Au Andrea, John Doukas, Zhan Onayev 'Daily Short Interest, Idiosyncratic
Risk, and Stock Returns' SSRN 2/08
Avramov Doron, Tarun Chordia , Gergana Jostova, Alexander Philipov 'Credit
Ratings and the Cross-Section of Stock Returns' SSRN 3/08
Bagchi Debasis 'An Analysis of the Cross-Sectional Impact of Option Trading
Volume, Strike Price and Premium of Options on the Volatility of
Underlying Stock Prices' The Icfai Journal of Derivatives Markets, Vol.
3, No. 4, October 2006
Balduzzi Pierluigi, Cesare Robotti 'Asset Pricing Models and Economic Risk
Premia: A Decomposition' SSRN 3/08
Bali Turan 'The Intertemporal Relation between Expected Returns and Risk' JFE
Jan. 2008 V.87,#1
Bali Turan, Hengyong Mo, Yi Tang 'The Role of Autoregressive Conditional
Skewness and Kurtosis in the Estimation of Conditional VaR' J. Banking
and Finance V.32,#2 Feb 08
Bali Turan, Nusret Cakici 'Aggregate Idiosyncratic Risk and Market Returns'
4th Q. 2006 Journal of Investment Management
Bali Turan, Nusret Cakici 'Idiosyncratic Volatility and the Cross Section of
Expected Returns' JF&QA V.43, #1, March 2008
Bali Turan, Robert Engle 'Investigating ICAPM with Dynamic Conditional
Correlations' SSRN 2/08
Bally Vlad 'An Elementary Introduction to Malliavin Calculus' INRIA #4718
2003
Bao Jack, Jun Pan 'Excess Volatility of Corporate Bonds' SSRN 3/08
Bao Jack, Jun Pan, Jiang Wang 'Liquidity of Corporate Bonds' SSRN 3/08
Barclay Michael, Terrence Hendershott, Charles M. Jones 'Order Consolidation,
Price Efficiency, and Extreme Liquidity Shocks' JF&QA V.43, #1, March
2008
Bardi Martino, Italo Capuzzo-Dolcetta 'Optimal Control and Viscosity
Solutions of Hamilton-Jacobi-Bellman Equations' 1997
Barndorff–Nielsen Ole, Svend Erik Graversen, Jean Jacod, Mark Podolskij, Neil
Shephard 'A Central Limit Theorem for Realised Power and Bipower
Variations of Continuous Semimartingales' 2006 in Kabanov, Liptser,
Stoyanov(Eds.), 'The Shiryaev Festschrift: From Stochastic Calculus To
Mathematical Finance' Springer, Berlin
Barone-Adesi Giovanni, Robert Engle, Loriano Mancini 'A GARCH Option Pricing
Model with Filtered Historical Simulation' SSRN 2/08
Bartram Söhnke, Frank Fehle, David Shrider 'Does Adverse Selection Affect
Bid-Ask Spreads for Options?' SSRN 2/08
Batterman James ‘A Brief Review of "The Basis"’ Journal of Investment
Management Fall 2007
Bäuerle Nicole, Anja Blatter, Alfred Müller 'Dependence Properties And
Comparison Results For Lévy Processes' <Lévy processes, Dependence
concepts, Lévy copula, Dependence ordering, Archimedean copula, Ruin
times, Option pricing> Mathematical Methods of O.R. Feb 2008,V.67,#1
Bauschke Heinz, Yves Lucet, Michael Trienis 'How to Transform One Convex
Function Continuously into Another' SIAM Review March 2008 V.51,#1
Beliaeva Natalia, Sanjay Nawalkha 'A Simple Approach to Pricing American
Options Under the Heston Stochastic Volatility Model' SSRN 3/08
Bell Dennis 'The Malliavin Calculus' Longman 1987
Ben Dor Arik, Ravi Jagannathan, Iwan Meier 'Understanding Mutual Funds and
Hedge Funds Styles Using Return-Based Style Analysis' 1st Q. 2003
Journal of Investment Management
Bender Christian, Anastasia Kolodko, John Schoenmakers 'Enhanced Policy
Iteration for American Options Via Scenario Selection' QF V.8,#2 2008
Benhamou Eric, Arnaud Rivoira, Anne Gruz 'Stochastic Interest Rates for Local
Volatility Hybrids Models' SSRN 3/08
Benhamou Eric, Olivier Croissant 'Local Time for the SABR Model: Connection
with the 'Complex' Black Scholes and Application to CMS and Spread
Options' <CMS, stochastic volatility> SSRN 12/07
Bera Anil, Matthew Higgins 'A Survey of Arch Models: Properties, Estimation
and Testing'. Risk Books, Volatility, June 98
Berrospide Jose, Amiyatosh Purnanandam, Uday Rajan 'Corporate Hedging,
Investment and Value' SSRN 3/08
Bertholon Henri, Alain Monfort, Fulvio Pegoraro 'Econometric Asset Pricing
Modelling' SSRN 3/08
Beveridge Christopher, Nick Denson, Mark Joshi 'Comparing Discretization of
the Libor Market Model in the Spot Measure' SSRN 2/08
Beveridge Christopher, Nick Denson, Mark Joshi 'Comparing Discretisations of
the Libor Market Model in the Spot Measure' <displaced diffusion,
predictor-corrector, Glasserman/Zhao method> SSRN 1/08
Beyer Scott, Gerald Jensen, Robert Johnson 'The Presidential Term' J.
Portfolio Management V.34,#2 Winter 2008
Bidarkota Prasad 'Incomplete Information in a Long Run Risks Model of Asset
Pricing' SSRN 2/08
Bingham Nick, Rafael Schmidt 'Interplay Between Distributional and Temporal
Dependence' 2006 in Kabanov, Liptser, Stoyanov(Eds.), 'The Shiryaev
Springer, Berlin
Bion-Nadal Jocelyne 'Dynamic Risk Measures: Time Consistency and Risk
Measures from BMO Martingales' Finance and Stochastics V.12, #2 April
2008 <Bounded Mean Oscillation>
Bogan Vicki 'Stock Market Participation and the Internet' <information,
transaction cost> JF&QA V.43, #1, March 2008
Bogel John 'Don't Count On It! The Perils of Numeracy' 1st Q. 2003 Journal of
Bogle John 'A Question So Important that it Should Be Hard to Think about
Anything Else' J. Portfolio Management V.34,#2 Winter 2008
Boivin Jean, Sen Dong, Andrew Ang 'Monetary Policy Shifts and the Term
Structure' SSRN 3/08
Bolder David Jamieson 'Affine Term-Structure Models: Theory and
Implementation' Bank of Canada Working Paper No. 2001-15
Bonacina Monica, Anna Creti 'Im-Perfectly Competitive Contract Markets for
Electricity' SSRN 2/08
Boogert Alexander 'Gas Storage Valuation Using a Monte Carlo Method' Journal
of Derivatives Spring 2008
Boudoukh Jacob, Matthew Richardson, Richard Stanton, Robert Whitelaw 'MaxVaR:
Long-Horizon Value at Risk in a Mark-to-Market Environment' 3rd Q. 2004
Box George, Mervin Muller 'A Note on the Generation of Normal Deviates'
Annals of Math. Statistics 29(2), 1958
Boyarchenko Nina 'Are Analysts Right? Macroeconomic Factors and Regime
Switching in the Term Structure of Interest Rates' SSRN 2/08
Boyd John, Ravi Jagannathan, Qianqiu Liu 'The Stock Market's Reaction to
Unemployment News, Stock-Bond Return Correlations, and the State of the
Economy' 4th Q. 2006 Journal of Investment Management
Bradley Daniel, Bradford Jordan, Jay Ritter, Jack Wolf 'The IPO Quiet Period
Revisited' 3rd Q. 2004 Journal of Investment Management
Braido Luis 'Trading Constraints Penalizing Default: a Recursive Approach' J.
Mathematical Economics V.44, #2 Jan 2008
Brandenburger Adam, Amanda Friedenberg, H. Jerome Keisler 'Admissibility in
Games' Econometrica Volume 76, Issue 2, March 2008
Bremmer Ian 'The J Curve:New Ways to Understand Why Nations Rise and Fall'
Simon Schuster 2006 (review) SIAM News 3/08
Brevik Frode 'Uncertainty Aversion and the Term Structure of Interest Rates'
SSRN 3/08
Brigo Damiano, Andrea Pallavicini 'Counterparty Risk and CCDSs under
Correlation' <stochastic intensity jump> RISK 2/08
Broadie Mark, Ashish Jain 'Pricing and Hedging Volatility Derivatives'
Journal of Derivatives Spring 2008 , wp 1/10/08 <variance options,
volatility swaps>
Broadie Mark, Ashish Jain 'Discrete and Continuously Sampled Volatility
and Variance Swaps' w.p. Columbia U. 2007
Brockwell Peter, Richard Davis, Yu Yang 'Estimation for Nonnegative Lévy-
Driven Ornstein-Uhlenbeck Processes' Journal of Applied Probability
12/07
Brody Dorje, Lane Hughston, Andrea Macrina 'Information-Based Asset Pricing'
IJT&AF V.11, #1 Feb. 2008
Brooks Chris, Simon Burke, Saeed Heravi, Gita Persand 'Autoregressive
Conditional Kurtosis' Journal of Financial Econometrics, Vol. 3, No. 3,
2005
Brown Stephen, William Goetzmann, Bing Liang 'Fees on Fees in Funds of Funds'
Buckdahn Rainer, Hans-Jürgen Engelbert 'On the Continuity of Weak Solutions
of Backward Stochastic Differential Equations' <pathwise uniqueness>
Theory of Probability and its Applications V.,#1 2008
Burq Zaeem, Owen Jones 'Simulation of Brownian Motion at First-Passage
Times' Mathematics and Computers in Simulation V7,#1 2/08
Cadenillas Abel, Suresh Sethi 'Consumption-Investment Problem with
Subsistence Consumption, Bankruptcy, and Random Market Coefficients'
Journal of Optimization Theory and Applications, Vol. 93, No. 2, May
1997
Cai Nianyun, Xiaoquan Jiang 'Corporate Bond Returns and Volatility' Financial
Review, Vol. 43, Issue 1, February 2008
Cakici Nusret, Sris Chatterjee ‘Hedge Fund Mergers’ Journal of Investment
Management 2nd Quarter 2007
Camara Antonio, Chung San-Lin, Yaw-Huei Wang 'Option Implied Cost of Equity
and Its Properties' SSRN 3/08
Câmara António, Steven Heston 'Closed-Form Option Pricing Formulas with
Extreme Events' Journal of Futures Markets, Mar 2008 V.28, #3
Camara Antonio, Timothy Krehbiel, Weiping Li 'Expected Returns, Risk Premia,
and Volatility Surfaces Implicit in Option Market Prices' SSRN 3/08
Campolieti Giuseppe, Roman Makarov 'Path Integral Pricing of Asian Options on
State-Dependent Volatility Models' QF V.8,#2 2008
Cantor Richard, David Hamilton, Jennifer Tennant 'Confidence Intervals for
Corporate Default Rates' RISK 3/08
Cao Dan Vu, Jerome Teiletche 'Reconsidering Asset Allocation Involving
Illiquid Assets' SSRN 3/08
Carkovs Jevgenijs, Jordan Stoyanov 'Asymptotic Methods for Stability Analysis
of Markov Dynamical Systems with Fast Variables' 2006 in Kabanov,
Liptser, Stoyanov(Eds.), 'The Shiryaev Festschrift: From Stochastic
Calculus To Mathematical Finance' Springer, Berlin
Carmona René, Nizar Touzi 'Optimal Multiple Stopping and Valuation of Swing
Options' Mathematical Finance April 2008,V.18 #2
Carmona Rene, Valdo Durrleman 'Pricing and Hedging Spread Options in a
Lognormal Model' wp 2003
Carnero M. Angeles, Daniel Peña, Esther Ruiz 'Persistence and Kurtosis in
GARCH and Stochastic Volatility Models' Journal of Financial
Econometrics, Vol. 2, No. 2, 2004
Carr Douglas 'Determinants of the Yield Curve - a Model Based on Volatility,
the Riskless Interest Rate and Expectations' SSRN 2/08
Carr Peter, Christian-Oliver Ewald, Yajun Xiao 'On the Qualitative Effect of
Volatility and Duration on Prices of Asian Options' SSRN 1/08
Carr Peter, Jian Sun 'A New Approach for Option Pricing under Stochastic
Volatility' J. Derivatives Research V.10,#2 May 2007 <european,
variance swap rate, stationary volatility ratio hypothesis, dynamic
trading, volatility derivatives>
Carr Peter, Roger Lee 'Put-Call Symmetry:Extensions and Applications' Math.
Finance tobe 2008?
Case James 'Breakthrough in Conformal Mapping' SIAM News Jan/Feb 2008 <multi-
dimensional>
Cerný Aleš, Jan Kallsen 'A Counterexample Concerning the Variance-Optimal
Martingale Measure' Mathematical Finance April 2008,V.18 #2
Chabi-Yo Fousseni, René Garcia, Eric Renault 'State Dependence Can Explain
the Risk Aversion Puzzle' RFS V.21,#2 April 2008
Chambers Robert, John Quiggin 'Narrowing the No-Arbitrage Bounds' J.
Mathematical Economics V.44,#1 Jan 2008
Chan Kalok, Hung Wan Kot 'Can Contrarian Strategies Improve Momentum Profits'
1st Quart. 2006 Journal of Investment Management
Chan Kaolk, Albert Menkveld, Zhishu Yang 'Information Asymmetry and Asset
Prices: Evidence from the China Foreign Share Discount' JofF V.63,#1,
Feb. 08
Chan Wing 'A Correlated Bivariate Poisson Jump Model for Foreign Exchange'
Empirical Economics V. 28, 2003 <extend multivariate GARCH to bivariate
correlated jump>
Chance Don 'A Documentative Look at Contract Approvals, Launches, and
Successes in U. S. Futures Markets' SSRN 2/08
Chan-Lau Jorge 'Is Systematic Risk Priced in Equity Returns? A Cross-Section
Analysis Using Credit Derivatives Prices' ICFAI Journal of Derivatives
Markets, Vol. 4, No.1, pp. 76-87, January 2007
Chan-Lau Jorge, Yoon Sook Kim 'Equity Prices, Bond Spreads, and Credit
Default Swaps in Emerging Markets' ICFAI Journal of Derivatives
Markets, Vol. 2, July 2005
Chaput J. Scott, Louis Ederington 'Ratio Spreads' Journal of Derivatives
Spring 2008
Charalambous Christakis, Eleni Constantinide, Spiros Martzoukos 'Option
Pricing on Non-Recombining Implied Trees Assuming Serial Dependence of
Returns' SSRN 3/08
Charalambous Christakis, Panayiotis Andreou, Spiros Martzoukos 'Generalized
Parameter Functions for Option Pricing' SSRN 3/08
Chatterjee Abhimanyu 'Optimisation of a Fund of Hedge Funds Portfolio Using
Price Maximisation of Basket Options' SSRN 1/08
Chen Gongmeng, Michael Firth, Yu Xin, Liping Xu 'Control Transfers,
Privatization, and Corporate Performance: Efficiency Gains in China ’s
Listed Companies' JF&QA V.43, #1, March 2008
Chen Guan-Yu, Ken Palmer, Yuan-Chung Sheu 'The Least Cost Super Replicating
Portfolio in the Boyle–Vorst Model With Transaction Costs' IJT&AF
V.11,#1 Feb. 2008
Chen Honghui, Gregory Noronha, Vijay Singal 'S&P 500 Index Changes and
Investor Awareness' 2nd Quarter 2006 Journal of Investment Management
Chen Honghui, Vijay Singal 'Do Short Sellers Cause the Weekend Effect?' 3rd
Q. 2003 Journal of Investment Management
Chen Long, Ralitsa Petkova, Lu Zhang 'The Expected Value Premium' JFE Feb.
2008 V.87,#2
Chen Ren-Raw, Xiaolin Cheng, Frank Fabozzi, Bo Liu 'An Explicit, Multi-Factor
Credit Default Swap Pricing Model with Correlated Factors' <when
interest rate and hazard rate correlated using the “change of measure”
approach and solving a bivariate Riccati equation> JF&QA V.43, #1,
March 2008
Chen Yong ‘Timing Ability in the Focus Market of Hedge Funds’ Journal of
Investment Management 2nd Quarter 2007
Cherny Alexander 'Some Particular Problems Of Martingale Theory' 2006 in
Kabanov, Liptser, Stoyanov(Eds.), 'The Shiryaev Festschrift: From
Stochastic Calculus To Mathematical Finance' Springer, Berlin
Cherny Alexander, Mikhail Urusov 'On Filtered Spaces: Separating Times' 2006
in Kabanov, Liptser, Stoyanov(Eds.), 'The Shiryaev Festschrift: From
Stochastic Calculus To Mathematical Finance' Springer, Berlin
Cherny Alexander, Mikhail Urusov 'On the Absolute Continuity and Singularity
of Measures' 2006 in Kabanov, Liptser, Stoyanov(Eds.), 'The Shiryaev
Springer, Berlin
Cherubini Umberto, Sabrina Mulinacci, Silvia Romagnoli Copula Based
Martingale Processes and Financial Prices Dynamics' SSRN 1/08
Chesney Marc, Luca Taschini 'The Endogenous Price Dynamics of the Emission
Allowances: An Application to CO2 Option Pricing' SSRN 2/08
Chollete Loran 'The Propagation of Financial Extremes: An Application to
Subprime Market Spillovers' SSRN 3/08
Chollete Loran, Randi Naes, Johannes Atle Skjeltorp 'The Risk Components of
Liquidity' SSRN 3/08
Chordia Tarun, Richard Roll, Avanidhar Subrahmanyam 'Liquidity and Market
Efficiency' JFE Feb. 2008 V.87,#2
Christelis Dimitris, Dimitris Georgarakos, Michael Haliassos 'Economic
Integration and Mature Portfolios' SSRN 2/08
Christoffersen Peter, Stefano Mazzotta 'The Accuracy of Density Forecasts
from Foreign Exchange Options' Journal of Financial Econometrics, Vol.
3, No. 4, 2005
Clark Jeffrey, Jared DeLisle, James Doran 'Bank Risk, Implied Volatility and
Bank Derivative Use: Implications for Future Performance' SSRN 1/08
Clarke Roger, Harindra De Silva, Steven Sapra, Steven Thorley 'Long/Short
Extensions: How Much is Enough?' FAJ Jan/Feb 2008 V.64,#1 <portfolio>
<130/30, factors determine size long/short extension, Short Selling,
Portfolio Optimization>
Clarke Roger, Harindra de Silva, Steven Thorley 'The Fundamental Law of
Active Portfolio Management' J. Investment Management V.4, #3 2006
Cliff Michael, David Denis 'How Do IPO Issuers Pay for Analyst Coverage?' 2nd
Quarter 2006 Journal of Investment Management
Coculescu Delia, Hélyette Geman, Monique Jeanblanc 'Valuation of Default-
Sensitive Claims under Imperfect Information' Finance and Stochastics
V.12, #2 April 2008
Constantinides George, Jens Carsten Jackwerth, Michal Czerwonko, Stylianos
Perrakis 'Are Options on Index Futures Profitable for Risk Averse
Investors? Empirical Evidence' SSRN 3/08
Cont Rama, Andreea Minca 'Recovering Portfolio Default Intensities Implied by
CDO Tranches' SSRN 3/08
Cont Rama, Cecilia Mancini 'Nonparametric Tests for Analyzing the Fine
Structure of Price Fluctuations' Financial Engineering Report No 2007-
13, Center for Financial Engineering, Columbia University
Coppejans Mark, Ananth Madhavan ‘The Value of Transaction Cost Forecasts:
Another Source of Alpha’ Journal of Investment Management 1st Quarter
2007
Coutin Laure, Peter Friz, Nicolas Victoir 'Good Rough Path Sequences and
Applications to Anticipating & Fractional Stochastic Calculus' Jan 2005
<anticipative Stratonovich SDE, no adaptedness assumed>
Crosby John 'A Multi-Factor Jump-Diffusion Model for Commodities' QF V.8,#2
2008
Cvitanic Jakša, Bradford Cornell, Levon Goukasian 'Optimal Investing with
Perceived Mispricing' SSRN 2/08
Cvitanic Jaksa, Zvi Wiener, Fernando Zapatero 'Analytic Pricing of Employee
Stock Options' RFS V.21,#2 April 2008
Czerwonko Michal, Stylianos Perrakis 'Can the Black-Scholes Model Survive
under Transaction Costs? An Affirmative Answer' SSRN 3/08
Daglish Toby 'A Pricing and Hedging Comparison of Parametric and
Nonparametric Approaches for American Index Options' Journal of
Financial Econometrics, Vol. 1, 2003
Dahlquist Germund, Ake Bjorck 'Numerical Methods in Scientific Computing' Vol
1 2008 SIAM Press
Dai Min, Hanqing Jin, Hong Liu 'Illiquidity, Portfolio Constraints, and
Diversification' SSRN 1/08
Danielsson Jón, Jean-Pierre Zigrand 'Equilibrium Asset Pricing with Systemic
Risk' Economic Theory V. 35,#2 May 08
Das Sanjiv 'Contagion' 3rd Q. 2003 Journal of Investment Management
Das Sanjiv 'Genetic Algorithms' 2nd Q. 2005 Journal of Investment Management
Das Sanjiv 'Hedge Funds' 2nd Q. 2003 Journal of Investment Management
Das Sanjiv 'Recovery Risk' 1st Q. 2005 Journal of Investment Management
Das Sanjiv 'The Internet and Investors' 1st Q. 2003 Journal of Investment
Management
Das Sanjiv, Alistair Sinclair 'A Markov Chain Monte Carlo Method for
Derivative Pricing and Risk Assessment' 1st Q. 2005 Journal of
Das Sanjiv, Gary Geng 'Correlated Default Processes: A Criterion-Based Copula
Approach' 2nd Q. 2004 Journal of Investment Management
Das Sanjiv, Hoje Jo, Yongtae Kim 'Venture Capital Syndication' 4th Q. 2004
Das Sanjiv, Jacob Sisk 'Power Laws' 3rd Q. 2005 Journal of Investment
Management
Das Sanjiv, Jan Ericsson, Madhu Kalimipalli 'Liquidity and Bond Markets' 4th
Das Sanjiv, Murali Jagannathan, Atulya Sarin 'The Private Equity Returns: An
Empirical Examination Of The Exit of Venture Backed Companies' 1st Q.
2003 Journal of Investment Management
Dastidar Siddhartha 'Does Asset Supply Affect Asset Prices Evidence from the
Agency Bond Market' SSRN 1/08
David Alexander 'Heterogeneous Beliefs, Speculation, and the Equity Premium'
JofF V.63,#1, Feb. 08
David Richard, Thomas Mikosch 'Extreme Value Theory for Space–Time Processes
with Heavy-Tailed Distributions' SP&A V.118, # 4 April 2008
Davis Mark 'Optimal Hedging With Basis Risk' 2006 in Kabanov, Liptser,
Stoyanov(Eds.), 'The Shiryaev Festschrift: From Stochastic Calculus To
Davis Mark, Jan Obloj 'Market Completion using Options' wp October 2007
de Finetti Bruno 'The Problem of Full-Risk Insurances' <Translated by Luca
Barone> 3rd Q. 2006 Journal of Investment Management
de Fontnouvelle Patrick, Raymond Fishe, Jeffrey Harris 'How New Entry in
Options Markets Affected Market Making and Trading Costs' 2nd Q. 2005
de Kerchove Cristobald, Paul Van Dooren 'Reputation Systems and Optimization'
SIAM News 3/08
Deangelo Harry, Linda Deangelo 'Reply To: Dividend Policy: Reconciling DD
with MM' JFE Feb. 2008 V.87,#2
Deistler Manfred, Eva Hamann 'Identification of Factor Models for Forecasting
Returns' Journal of Financial Econometrics, Vol. 3, No. 2, 2005
Delyon Bernard, Anatoly Juditsky, Robert Liptser 'Moderate Deviation
Principle for Ergodic Markov Chain Lipschitz Summands' 2006 in Kabanov,
Liptser, Stoyanov(Eds.), 'The Shiryaev Festschrift: From Stochastic
Calculus to Mathematical Finance' Springer, Berlin
Deng Shijie, Minqiang Li, Jieyun Zhou 'Multi-Asset Spread Option Pricing and
Hedging' wp 2008
Denisov Denis, Bert Zwart 'On a Theorem of Breiman and a Class Of Random
Difference Equations' Journal of Applied Probability 12/07
Derman Emanuel ‘A Simple Model for the Expected Premium for Hedge Fund
Lockups’ Journal of Investment Management 3rd Quarter 2007
Di Masi Giovanni, Lukasz Stettner 'Remarks on Risk Neutral and Risk Sensitive
Portfolio Optimization' 2006 in Kabanov, Liptser, Stoyanov(Eds.), 'The
Shiryaev Festschrift: From Stochastic Calculus to Mathematical Finance'
Springer, Berlin
Diebold Francis, Roberto Mariano 'Comparing Predictive Accuracy' Amer. Stat.
Assoc. 13(3), 1995
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Dorn Jochen 'On CPDO Modeling' SSRN 3/08
Doust Paul 'Geometric Mean Variance' RISK 2/08 <
Du Toit Jacques, Goran Peskir, Albert Shiryaev 'Predicting the Last Zero of
Brownian Motion with Drift' Stochastics Apr2008, Vol. 80 Issue 2/3
Duarte Jefferson, Christopher Jones 'The Price of Market Volatility Risk'
SSRN 3/08
Eberhart Allan, William Maxwell, Akhtar Siddique 'Does the Stock Market
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Edwards Courtney, John Graham, Mark Lang, Doug Shackelford 'Employee Stock
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Egan William 'A Better Test for Autocorrelation in Financial Time Series'
SSRN 2/08
Ehling Paul, Michael Gallmeyer, Sanjay Srivastava, Stathis Tompaidis
'Portfolio Choice with Capital Gain Taxation and the Limited Use of
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Elliott John, Doocheol Moon, Aloke Ghosh 'Asymmetric Valuation of Sustained
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Engelbert Hans-Jürgen, Vladimir Kurenok, Adrian Zalinescu 'On Existence and
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'The Shiryaev Festschrift: From Stochastic Calculus to Mathematical
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Engemann Kristie, Michael Owyang, Sarah Zubairy 'A Primer on the Empirical
Identification of Government Spending Shocks' FRB St. Louis Review
MARCH/APRIL 2008 Vol. 90, No. 2
Epstein Larry, Martin Scneider 'Ambiguity, Information Quality, and Asset
Pricing' JofF V.63,#1, Feb. 08
Esquivel Manuel 'Probability Generating Functions for Discrete Real-Valued
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Farinelli Simone 'Geometric Arbitrage Theory and Calibration of a Generator
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Fehr Ernst, Jean-Robert Tyran 'Limited Rationality and Strategic Interaction:
The Impact of the Strategic Environment on Nominal Inertia'
Econometrica Volume 76, Issue 2, March 2008
Ferguson Robert, Dean Leistikow 'Long-Run Investment Management Fee
Incentives and Discriminating Between Talented and Untalented Managers'
Ferson Wayne, Sergei Sarkissian, Timothy Simin 'Is Stock Return
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Filipovic Damir 'Optimal Numeraires for Risk Measures' Mathematical Finance
April 2008,V.18 #2
Fledelius Peter, David Lando, Jens Perch Nielson 'Non-Parametric Analysis of
Rating Transition and Default Data' 2nd Q. 2004 Journal of Investment
Management
Fleming Jeff 'A Closer Look at the Relation between GARCH and Stochastic
Autoregressive Volatility' Journal of Financial Econometrics, Vol. 1,
2003
Foucault Thierry, Albert Menkveld 'Competition for Order Flow and Smart Order
Routing Systems' JofF V.63,#1, Feb. 08
Fouque Jean-Pierre, Brian Wignall, Xianwen Zhou 'Modeling Correlated
Defaults: First Passage Model under Stochastic Volatility' <credit
derivatives>
French Craig 'The Treynor Capital Asset Pricing Model' 2nd Q. 2003 Journal of
French Craig, Damian Ko ‘How Hedge Funds Beat the Market’ Journal of
Investment Management 2nd Quarter 2007
Fridson Martin 'Ben Graham's Value Approach: Can It Still Work?' 3rd Q. 2003
Fries Christian, Mark Joshi 'Partial Proxy Simulation Schemes for Generic and
Robust Monte Carlo Greeks' <finite difference, digital caplets, target
redemption notes, LIBOR, CMS Index>
Friz Peter 'An Introduction to Malliavin Calculus' 2002
Froot Kenneth, Paul O'Connell 'On the Pricing Of Intermediated Risks: Theory
and Application to Catastrophe Reinsurance' J. Banking and Finance
V.32,#1 Jan 2008
Fung William, David Hsieh ‘Will Hedge Funds Regress towards Index-like
Products?’ Journal of Investment Management 2nd Quarter 2007
Fung William, David Hsieh 'Extracting Portable Alphas from Equity Long/Short
Hedge Funds' 4th Q. 2004 Journal of Investment Management
Galagedera Don U.A. (Tissa), Elizabeth Maharaj 'Wavelet Timescales and
Conditional Relationship between Higher-Order Systematic Co-Moments and
Portfolio Returns' QF V.8,#2 2008
Galema Rients, Auke Plantinga, Bert Scholtens 'Diversification of Socially
Responsible Investment Portfolios - Testing for Mean-Variance Spanning'
SSRN 1/08
Gamba Andrea 'Real Options Valuation: a Monte Carlo Approach' U. Verona 2003
Garcia João, Serge Goossens, Wim Schoutens 'Lévy Base Correlation' 2007
Garrett Thomas 'Pandemic Economics: The 1918 Influenza and Its Modern-Day
Implications' FRB St. Louis Review MARCH/APRIL 2008 Vol. 90, No. 2
Gasbarra Dario, Esko Valkeila, Lioudmila Vostrikova 'Enlargement of
Filtration and Additional Information In Pricing Models: Bayesian
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Festschrift: From Stochastic Calculus to Mathematical Finance'
Springer, Berlin
Gastineau Gary 'The Short Side of 130/30 Investing for the Conservative
Portfolio Manager' J. Portfolio Management V.34,#2 Winter 2008
Gautschi Walter 'Leonhard Euler: His Life, the Man, and His Works' SIAM
Review March 2008 V.51,#1
Gerding Erik 'Laws Against Bubbles: An Experimental-Asset-Market Approach to
Analyzing Financial Regulation' Wisconsin Law Review, Vol. 2007, No. 5,
2007
Getmansky Mila, Andrew Lo, Shauna Mei 'Sifting Through the Wreckage: Lessons
from Recent Hedge-Fund Liquidations' 4th Q. 2004 Journal of Investment
Management
Ghomrasni Raouf 'On Distributions Associated with the Generalized Lévy's
Stochastic Area Formula' University of Aarhus, Centre for Mathematical
Physics and Stochastics (MaPhySto) <MPS>; RR 2003/4. 2003
Ghosh Arpita, Stephen Boyd, Amin Saberi 'Minimizing Effective Resistance of a
Graph' SIAM Review March 2008 V.51,#1
Giesecke Kay 'Portfolio Credit Risk: Top-Down Vs. Bottom-Up Approaches' SSRN
2/08
Giesecke Kay, Lisa Goldberg 'In Search of a Modigliani-Miller Economy' 3rd Q.
Giesecke Kay, Shahriar Azizpour 'Premia for Correlated Default Risk' SSRN
3/08
Gikhman Ilya 'Risky Swaps' SSRN 2/08
Goetzmann William, Massimo Massa 'Disposition Matters: Volume, Volatility,
and Price Impact of a Behavioral Bias' J. Portfolio Management V.34,#2
Winter 2008
Gondat-Larralde Celine, Kevin James 'IPO Pricing and Share Allocation: The
Importance of Being Ignorant' JofF V.63,#1, Feb. 08
Goyenko Ruslan, Avanidhar Subrahmanyam, Andrey Ukhov 'The Term Structure of
Bond Market Liquidity' SSRN 3/08
Gray Dale, Robert Merton, Zvi Bodie ‘Contingent Claims Approach to Measuring
and Managing Sovereign Credit Risk’ Journal of Investment Management
Fall 2007
Greatrex Catlin Ann 'The Credit Default Swap Market's Determinants' SSRN 3/08
Greatrex Catlin Ann 'The Credit Default Swap Market's Reaction to Earnings
Announcements' SSRN 3/08
Greene Jason, Conrad Ciccotello 'Mutual Fund Dilution from Market Timing
Trades' 1st Quart. 2006 Journal of Investment Management
Gregory Jon 'A Trick of the Credit Tail' <Leveraged Super-Senior(LSS)> RISK
3/08
Griffiths Mark, Drew Winters 'The Year-End Price of Risk in a Market for
Liquidity' 1st Q. 2005 Journal of Investment Management
Grinold Richard 'A Dynamic Model of Portfolio Management' 2nd Quarter 2006
Grinold Richard 'Alpha is Volatility Times IC Times Score or Real Alphas
Don't Get Eaten' J. Portfolio Management V20,#4 1994
Grinold Richard, Ronald Kahn 'Active Portfolio Management: Quantitative
Theory and Applications' Probus Press 1995
Groh Alexander Peter, Rainer Baule, Oliver Gottschalg 'Measuring
Idiosyncratic Risks in Leveraged Buyout Transactions' SSRN 3/08
Guegan Dominique, Julien Houdain 'Hedging Tranched Index Products:
Illustration of Model Dependency' The Icfai Journal of Derivatives
Markets, Vol. 3, No. 4, October 2006
Guo Jia-Hau, Mao-Wei Hung 'A Generalization of Rubinstein's Pay Now, Choose
Later' J. Futures Markets V.28,#5 May 2008
Gupta Pranay, Jan Straatman 'Skill - Based Investment Management: The Next
Evolution in the Asset Management Industry' 1st Quart. 2006 Journal of
Gushchin Alexander, Denis Zhdanov 'A Minimax Result for F-Divergences' 2006
in Kabanov, Liptser, Stoyanov(Eds.), 'The Shiryaev Festschrift: From
Stochastic Calculus to Mathematical Finance' Springer, Berlin
Gutiérrez Óscar 'Option Valuation, Time-Changed Processes and the Fast
Fourier Transform' QF V.8,#2 2008
Gutierrez Roberto, Eric Kelley 'The Long-Lasting Momentum in Weekly Returns'
JofF V.63,#1, Feb. 08
Gyöngy István 'A Note on Euler's Approximation' Potential Analysis V.8, #3
1998 <Stochastic differential equations, strong solutions>
Hameed Allaudeen, Dong Hong, Mitch Warachka 'Momentum and Informed Trading'
SSRN 3/08
Hamza Karis, Fima Klebaner 'On the Implicit Black-Scholes Formula'
Stochastics V.80,#1 2008
Han Bing, Alok Kumar 'Retail Clienteles and the Idiosyncratic Volatility
Puzzle' SSRN 2/08
Handley John 'Dividend Policy: Reconciling DD With MM' JFE Feb. 2008 V.87,#2
Harlow W.V., Keith Brown 'The Right Answer to the Wrong Question' 4th Q. 2006
Harvey Campbell, John Liechty, Merrill Liechty 'Bayes Vs. Resampling: A
Rematch' J. Investment Management 1st Q 2008
Hasanhodzic Jasmina, Andrew Lo ‘Can Hedge-Fund Returns Be Replicated?: The
Linear Case’ Journal of Investment Management 2nd Quarter 2007
Haug Espen Gaarder 'Derivativies: Models on Models' Wiley 2007
Haug Stephan, Claudia Czado 'An Exponential Continuous-Time GARCH Process'
Journal of Applied Probability 12/07
Hauser Shmuel, Matityahu Marcus, Uzi Yaari 'Investing in Emerging Stock
Markets: Is it Worthwhile Hedging Foreign Exchange Risk?' Journal of
Portfolio Management, Vol. 20, No. 3, 1994
Henrard Marc 'Explicit European Swaption Formula in a Separable One-Factor
Libor Market Model; Extension to Bond Futures and 2-Bermudan Swaptions'
SSRN 2/08
Hentschel Ludger, John Long 'Numeraire Portfolio Tests of the Size and Source
of Gains from International Diversification' presentation 2003
Heston Steven, Ronnie Sadka 'Seasonality in the Cross-Section of Stock
Returns' JFE Feb. 2008 V.87,#2
Higham Nicholas 'Functions of Matrices:Theory and Computation' 2008
SIAM Press
Hilliard Jitka, Jimmy Hilliard 'Why is There a Home Bias? Count The Teeth!’
J. Investment Management 1st Q 2008
Ho Thomas 'Asset/Liability Management and Enterprise Risk Management of an
Insurer' 1st Q. 2005 Journal of Investment Management
Ho Thomas, Blessing Mudavanhu 'Decomposing and Managing Multivariate Risks:
The Case of Variable Annuities' 4th Q. 2005 Journal of Investment
Management
Ho Thomas, Sang Bin Lee 'Valuing High Yield Bonds: a Business Modeling
Approach' 2nd Q. 2004 Journal of Investment Management
Ho Thoms, Blessing Mudavanhu ‘Interest Rate Models Implied Volatility
Function Stochastic Movements’ Journal of Investment Management Fall
2007
Horn David, Eva Schneider 'Systematic Risk and Option Prices' SSRN 3/08
Hornstein Andreas 'Evolving Inflation Dynamics and the New Keynesian Phillips
Curve' FRB Richmond Economic Quarterly Fall 2007 V. 93,#4
Horst Ulrich, Jan Wenzelburger 'On Non-Ergodic Asset Prices' Economic Theory
V.34,#2 Feb. 08
Hsieh Jim , Qinghai Wang 'Insiders’ Tax Preferences and Firms’ Choices
between Dividends and Share Repurchases' JF&QA V.43, #1, March 2008
Hsieh Wen-Liang, Chin-Shen Lee, Shu-Fang Yuan 'Price Discovery in the Options
Markets: An Application of Put-Call Parity' Journal of Futures Markets
Apr 2008. V.28, #4
Hsu Jason 'CapWeighted Portfolios are Sub-Optimal Portfolios' 3rd Q. 2006
Hu Wei, Zhenlong Zheng 'CAPM with View Bias Adjustment under Imperfect
Information' SSRN 3/08
Huang Dashan, Shu-Shang Zhu, Frank Fabozzi, Masao Fukushima 'Portfolio
Selection with Uncertain Exit Time: a Robust CVaR Approach' JED&C
V.32,#2 Feb. 08
Huang Jiekun 'Dynamic Liquidity Preferences of Mutual Funds' SSRN 3/08
Huang Zhi-Yuan, Jia-An Yan 'Introduction to Infinite Dimensional Stochastic
Analysis' Science Press 2000
Hwang Chuan-Yang, Thomas George 'Leverage, Financial Distress and the Cross
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Complete and Incomplete Markets' J. Banking and Finance V.32,#2 Feb 08
Ikeda Masayuki 'Equilibrium Preference Free Pricing of Derivatives Under
Generalized Beta Distributions' SSRN 3/08
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Stochastic Analysis Proc. 1982
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Sovereign Debt and Volatility Transmission Across Emerging Markets'
SSRN 2/08
Jack Andrew, Mihail Zervos 'Impulse and Absolutely Continuous Ergodic Control
Of One-Dimensional Ito Diffusions' 2006 in Kabanov, Liptser,
Stoyanov(Eds.), 'The Shiryaev Festschrift: From Stochastic Calculus to
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Investment Management 1st Q 2008
Janosi Tibor, Robert Jarrow, Yildiray Yildirim 'Estimating Default
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Jarrell Sherry, Edward O'Neal 'Institutional Management Fees: Are the Annual
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Information Based Perspective' 2nd Q. 2004 Journal of Investment
Management
Jeffrey Andrew, Dennis Kristensen, Oliver Linton, Thong Nguyen, Peter C.B.
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Model: An Integrated Approach' Journal of Financial Econometrics, Vol.
2, No. 2, 2004 <HJM>
Jiraporn Pornsit, Yixin Liu 'Capital Structure, Staggered Boards, and Firm
Value' FAJ V.64,#1 Jan/Feb 2008
Joaquin Domingo 'Value at Risk: Is a Theoretically Consistent Axiomatic
Formulation Possible?' Quarterly Review of Economics and Finance,
Forthcoming 2008
Joe Harry 'Mutivariate Models and Dependence Concepts' Chapman Hall 1997
Johnson Gerald, Michel Lapidus 'The Feynman Integral and Feynman's
Operational Calculus' Oxford Mathematical Monographs 2000
Johnson Timothy 'Volume, Liquidity, and Liquidity Risk' JFE Feb. 2008 V.87,#2
Jondeau Eric 'Contemporaneous Aggregation of GARCH Models and Evaluation of
the Aggregation Bias' SSRN 3/08
Jorion Philippe 'Risk Management for Event-Driven Funds' FAJ V.64,#1 Jan/Feb
2008
Jouini Elyès, Walter Schachermayer, Nizar Touzi 'Optimal Risk Sharing for Law
Invariant Monetary Utility Functions' Mathematical Finance April
2008,V.18 #2
Kabanov Yuri, Masaaki Kijima 'A Consumption–Investment Problem with
Production Possibilities' 2006 in Kabanov, Liptser, Stoyanov(Eds.),
Kabanov Yuri, Yuliya Mishura, Ludmila Sakhno 'Multiparameter Generalizations
of the Dalang–Morton–Willinger Theorem' 2006 in Kabanov, Liptser,
Kacperczyk Marcin, Clemens Sialm, Lu Zheng ‘Industry Concentration and Mutual
Fund Performance’ Journal of Investment Management 1st Quarter 2007
Kaisajuntti Linus, Joanne Kennedy 'An N-Dimensional Markov-Functional
Interest Rate Model' SSRN 1/08
Kaishev Vladimir, Dimitrina Dimitrova, Steven Haberman 'Modelling the Joint
Distribution of Competing Risks Survival Times Using Copula Functions'
Insurance:Mathematics and Economics V.41,#3 Nov.07
Kakati R.P. 'Effectiveness of the Black-Scholes Model for Pricing Options in
Indian Option Market' ICFAI Journal of Derivatives Markets, Vol. III,
No. 1, January 2006
Kallsen Jan 'A Didactic Note on Affine Stochastic Volatility Models' 2006 in
Kaminska Iryna, Andrea Carriero 'No-Arbitrage Restrictions and Yield Curve
Forecasting' SSRN 1/08
Kaniel Ron, Gideon Saar, Sheridan Titman 'Individual Investor Trading and
Stock Returns' JofF V.63,#1, Feb. 08
Kaplan Paul 'Why Fundamental Indexation Might—or Might Not—Work' FAJ V.64,#1
Jan/Feb 2008
Kassberger Stefan, Thomas Liebmann 'q-Optimal Martingale Measures for
Exponential Lévy Processes' SSRN 3/08
Kat Harry 'Managed Futures and Hedge Funds: A Match Made in Heaven' 1st Q.
Kat Harry 'The Dangers of Mechanical Investment Decision-Making: The Case of
Hedge Funds' 4th Q. 2004 Journal of Investment Management
Kat Harry, Roel Oomen ‘What Every Investor Should Know About Commodities Part
I’ Journal of Investment Management 1st Quarter 2007
Kat Harry, Roel Oomen ‘What Every Investor Should Know About Commodities Part
II: Multivariate Return Analysis’ Journal of Investment Management 3rd
Quarter 2007
Katyshev Pavel 'Uniform Optimal Transmission of Gaussian Messages' 2006 in
Kawazu Kiyoshi 'A Note on the Brownian Motion' 2006 in Kabanov, Liptser,
Kazamaki Norihiko 'Exponential Martingales','BMO-Martingales','Exponential of
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Keller-Ressel Martin, Thomas Steiner 'Yield Curve Shapes and the Asymptotic
Short Rate Distribution in Affine One-Factor Models' Finance and
Stochastics V.12, #2 April 2008
Keswani Aneel, David Stolin 'Which Money Is Smart Mutual Fund Buys and Sells
of Individual and Institutional Investors' JofF V.63,#1, Feb. 08
Khan Aubhik, Julia Thomas 'Idiosyncratic Shocks and the Role of
Nonconvexities in Plant and Aggregate Investment Dynamics' Econometrica
Volume 76, Issue 2, March 2008
Khandani Amir, Andrew Lo ‘What Happened to the Quants in August 2007’ Journal
of Investment Management Fall 2007
Khovansky Serguey 'On the Bounds of Option Prices and Embedded Risk-Premium
Parameters' SSRN 3/08
Kiefer Nicholas 'The Probability Approach to Default Probabilities' RISK 1/08
<Basel II>
Kijima Masaaki, Tony Wong 'Pricing of Ratchet Equity-Indexed Annuities under
Stochastic Interest Rates' Insurance:Mathematics and Economics V.41,#3
Nov.07
Kim Yong, J. Jimmy Yang 'The Effect of Price Limits on Intraday Volatility
and Information Asymmetry' Pacific-Basin Finance Journal, Forthcoming
Kloeden Peter 'The Systematic Derivation of Higher Order Numerical Schemes
for Stochastic Differential Equations' Milan Journal of Mathematics.
2002
Knight John, Fuchun Li, Mingwei Yuan 'A Semiparametric Two-Factor Term
Structure Model' Journal of Financial Econometrics, Vol. 4, No. 2, 2006
Kohlmann Michael, Dewen Xiong, Zhongxing Ye 'Change of Filtrations and Mean-
Variance Hedging' Stochastics V.79,#6 2007
Kolsrud1 Dag Olaf 'Stochastiic Ceteris Paribus Simulations' Computational
Economics 2/08 <common random numbers, variance reduction>
Korajczyk Robert, Ronnie Sadka 'Pricing The Commonality Across Alternative
Measures of Liquidity' JFE Jan. 2008 V.87,#1
Korkeamaki Timo, William Moore 'Call Protection in Convertible Bonds: How
Much and Why?' 3rd Q. 2005 Journal of Investment Management
Kostakis Alexandros 'Performance Measures and Incentives: Loading Negative
Coskewness to Outperform the CAPM' SSRN 3/08
Kotomin Vladimir, Stanley Smith, Drew Winters 'Preferred Habitat for
Liquidity in International Short-Term Interest Rates' J. Banking and
Finance V.32,#2 Feb 08
Kraft Holger, Mogens Steffensen 'How to Invest Optimally in Corporate Bonds:
a Reduced-Form Approach' JED&C V.32,#2 Feb. 08
Kristensen 'Nonparametric Filtering of the Realised Spot Volatility: A
Kernel-Based Approach' SSRN 2/08
Kuipers David 'Does Deliverability Enhance the Value of U.S. Treasury Bonds?'
Journal of Futures Markets Mar 2008 V.28, #3
Kuo Hui-Hsiung 'Gaussian Measures in Banach Spaces' Springer Lect. 463, 1975
Kupiec Paul 'A Generalized Single Common Factor Model of Portfolio Credit
Risk' Journal of Derivatives Spring 2008
Kurenok V.P. 'Stochastic Equations with Time-Dependent Drift Driven by Lévy
Processes' J. of Theoretical Probability V.20,#4 12/07
Kushner Harold 'Numerical Methods for Controlled Stochastic Delay Systems'
2008 Birkauser
Lajbcygier Paul 'A Model of Fund Growth For Managed Futures: Evidence of
Managerial Skill' J. Investment Management 1st Q 2008
Lan Chunhua 'Dynamic Portfolio Choices in the ICAPM Setting' SSRN 3/08
Lando David, Allan Mortensen 'Revisiting the Slope of the Credit Curve' 4th
Latham Mark ‘Proxy Voting Brand Competition’ Journal of Investment Management
1st Quarter 2007
LeBaron Dean 'Phase Shifts' 2nd Q. 2003 Journal of Investment Management
Lee Eugene 'Indexation of Momentum Effects' 4th Q. 2003 Journal of Investment
Management
Lee Jaime, Terry Marsh, Robert Maxim, Paul Pfleiderer 'The Relation between
Fixed Income and Equity Return Factors' 4th Q. 2006 Journal of
Leeper Eric 'Fiscal Policy and Inflation: Pondering the Imponderables' 2nd Q.
Leibowitz Martin, Anothony Bova ‘Active 130/30 Extensions: Alpha Hunting at
the Fund Level’ Journal of Investment Management 3rd Quarter 2007
Leif Andersen 'Simple and Efficient Simulation of the Heston Stochastic
Volatility Model' <Monte Carlo, time discretization, affine transforms>
Journal of Computational Finance V. 11, #3, Spring 2008
Leitner Johannes 'Optimal Portfolios with Lower Partial Moment Constraints
and Lpm-Risk-Optimal Martingale Measures' Mathematical Finance April
2008,V.18 #2
Leland Hayne 'Predictions of Default Probabilities in Structural Models of
Debt' 2nd Q. 2004 Journal of Investment Management
Leobacher Gunther 'On A Class Of Optimization Problems Emerging When Hedging
With Short Term Futures Contracts' Mathematical Methods of O.R. Feb
Lévy Paul 'Wiener's Random Function, and other Laplacian Random Functions'
Proceedings of the Second Berkeley Symposium on Mathematical Statistics
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Levy Tamir, Joseph Yagil 'An Empirical Comparison of Price-Limit Models'
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Li Liang-Xin 'Analysis of Financial Correlation Matrix Using Random Matrix
Theory' <in Chinese> SSRN 3/08
Li Liang-Xin 'Random Matrix Approach for Financial Data Correlation' SSRN
3/08
Li Minqiang 'Approximate Inversion of the Black-Scholes Formula Using
Rational Functions' European Journal of Operational Research, V. 185, #
2, March 2008
Li Minqiang 'The Impact of Return Nonnormality on Exchange Options' Journal
of Futures Markets, 2008
Li Minqiang, Neil Pearson 'A 'Horse Race' Among Competing Option Pricing
Models Using S&P 500 Index Options' SSRN 3/08
Li Minqiang, Shi-Jie Deng 'Closed-Form Approximations for Spread Option
Prices and Greeks' Journal of Derivatives Spring 2008 , wp 1/21/08
<option-spread>
Li Minqiang, Shijie Deng, Jieyun Zhou 'Closed-Form Approximations for Spread
Option Prices and Greeks' Journal of Derivatives, Forthcoming 2008
Li Yan, Liyan Yang 'Complementarities in Information Acquisition with
Heterogeneous Investment Opportunities' SSRN 1/08
Liang Bing 'Alternative Investments: CTAs, Hedge Funds, and Funds-of-Funds'
Liao Wenchao 'Trading Treasury Futures: A Vector Autoregressive(VAR) Analysis
on the Volume-Volatility Relation' SSRN 2/08
Lien Donald 'A Further Note on the Optimality of the OLS Hedge Strategy'
Journal of Futures Markets Mar 2008. V.28, #3
Lien Donald, Li Yang 'Asymmetric Effect of Basis on Dynamic Futures Hedging:

Empirical Evidence from Commodity Markets' J. Banking and Finance
V.32,# 2 Feb. 2008
Lindell Andreas, Lars Holst 'Distributions of the Longest Excursions in a
Tied Down Simple Random Walk and in a Brownian Bridge' Journal of
Applied Probability 12/07
Lippman Steven, Sheldon Ross, Sridhar Seshadri 'A Weakest Link Marked
Stopping Problem' Journal of Applied Probability 12/07
Lipton Alexander 'Dynamic Credit Correlation Models:Jump-Diffusion of the
Market Factors and its Implications' Credit Risk Summit 2006
Liptser Robert, Alexander Novikov 'Tail Distributions of Supremum and
Quadratic Variation of Local Martingales' 2006 in Kabanov, Liptser,
Liu Hong 'A New Explanation for Underdiversification' SSRN 3/08
Lo Andrew, Constantin Petrov, Martin Wierzbicki 'It's 11PM - Do You Know
Where Your Liquidity Is? The Mean-Variance Liquidity Frontier' 1st Q.
Lo Andrew, Pankaj Patel '130/30: The New Long-Only' J. Portfolio Management
V.34,#2 Winter 2008 <better index needed for 130/30 comparisons>
Lo Chi Fai, T.K. Chung, Cho-Hoi Hui 'Double Barrier Hitting Time Distribution
of a Mean-Reverting Lognormal Process and its Application to Pricing
Exotic Options' SSRN 1/08
Lopes Alexsandro Broedel, Fernando Caio Galdi 'Limits to Arbitrage and
Returns to Value Investing' SSRN 3/08
Lord Roger, Christian Kahl 'Complex Logarithms in Heston-Like Models' SSRN
3/08
Lototsky Sergey, Boris Rozovskii 'Stochastic Differential Equations: A Wiener
Chaos Approach' 2006 in Kabanov, Liptser, Stoyanov(Eds.), 'The Shiryaev
Springer, Berlin
Lu Jialiu 'The Replacement-Cost of State-Contingent Claims: A Perspective on
Security Prices' SSRN 3/08
Lubik Thomas 'Non-Stationary and Instability in Small Open-Economy Models
Even When they are “Closed”' FRB Richmond Economic Quarterly Fall 2007
V. 93,#4
Lui Daphne, Stanimir Markov, Ane Tamayo 'The Information Content of Analysts'
Risk Ratings' SSRN 1/08
Macey-Dare Rupert 'Intra-Day Interest Rates and Exchange Rate
Destabilization' SSRN 2/08
Mahul Olivier 'Hedging under Counterparty Credit Uncertainty' Journal of
Futures Markets Mar 2008 V.28, #3
Maio Paulo 'Intertemporal CAPM with Bond Risk Premia' SSRN 3/08
Malamud Semyon 'Long Run Forward Rates and Long Yields of Bonds And Options
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