Aas Kjersti, Ingrid Hobæk Haff 'The Generalized Hyperbolic Skew Student’s t-

Distribution' J. Financial Econometrics V.4,#2 Spring 2006

Abergel Frederic 'Credit Risk in the Pricing and Hedging of Derivatives' SSRN
3/09
Aboura Sofiane, Niklas Wagner 'Extreme Asymmetric Volatility, Leverage, Feedback
and Asset Prices' SSRN 3/09
Acharya Viral, Lars Lochstoer, Tarun Ramadorai 'Does Hedging Affect Commodity
Prices? The Role of Producer Default Risk' SSRN 3/09
Adam Alexandre, Mohamed Houkari, Jean Paul Laurent 'Hedging Interest Rate
Margins on Demand Deposits' SSRN 3/09
Adamic Lada, Celso Brunetti, Jeffrey Harris, Andrei Kirilenko 'On the
Informational Properties of Trading Networks' SSRN 3/09
Adams John, Sattar Mansi 'CEO Turnover and Bondholder Wealth' J. Banking and
Finance V. 33, #3,March 2009
Agapova Anna 'Conventional Mutual Index Funds Versus Exchange Traded Funds' SSRN
2/09
Agarwal Deepak, Jeffrey Bohn 'Humpbacks in Credit Spreads' SSRN 1/09
Agarwal Nipun 'Is the CAPM Incorrect? Asset Pricing Under the Conditions of Risk
with Heterogeneous Expectations' SSRN 1/09
Aguerrevere Felipe 'Real Options, Product Market Competition, and Asset Returns'
JofF April 2009 V.64,#2
Ahn Dong-Hyun, Robert Dittmar 'Quadratic Term Structure Models: Theory and
Evidence' 1999 U. North Carolina
Aït-Sahalia Yacine, Loriano Mancini 'Out of Sample Forecasts of Quadratic
Variation' J. Econometrics V.147, #1 Nov. 2008
Alcock Jamie, Philip Gray 'Dynamic, Nonparametric Hedging of European Style
Contingent Claims Using Canonical Valuation' Finance Research Letters
V.2,#1 3/05
Alghalith Moawia 'General Explicit Solutions to a Random-Coefficient Incomplete-
Market Investment-Consumption Model' SSRN 3/09
Aliprantis Charalambos, Rabee Tourky 'Equilibria in Incomplete Assets Economies
with Infinite Dimensional Spot Markets' Economic Theory Feb. 2009 38(2)
Almeida Caio, José Vicente 'Identifying Volatility Risk Premia from Fixed Income
Asian Options' J. Banking and Finance V. 33, #4,April 2009
Almeida Caio, Rene Garcia 'Assessing Misspecified Asset Pricing Models with
Empirical Likelihood Estimators' SSRN 3/09
Alvarez Fernando, Francesco Lippi 'Financial Innovation and the Transactions
Demand for Cash' Econometrica V.77,#2 March 2009
Amdur David 'Capital Structure Over the Business Cycle' SSRN 1/09
Ametrano Ferdinando, Marco Bianchetti 'Bootstrapping the Illiquidity: Multiple
Yield Curves Construction for Market Coherent Forward Rates Estimation'
MODELING INTEREST RATES, Fabio Mercurio, ed., Risk Books
Ammann Manuel, Michael Verhofen 'The Effect of Market Regimes on Style
Allocation' SSRN 1/09
Amromin Gene, Steven Sharpe 'Expectations of Risk and Return among Household
Investors: Are Their Sharpe Ratios Countercyclical?' SSRN 1/09
Anderluh J.H.M, J. A. M. van der Weide 'Double-sided Parisian Option Pricing'
F&S V.13,#2 April 2009 <excursions, Fourier>
Andersen Leif 'Discount Curve Construction with Tension Splines' Review of
Derivatives Research V.10,#3 Dec. 2007
Andersen Leif, Nicolas Hutchings 'Parameter Averaging of Quadratic SDEs with
Stochastic Volatility' SSRN 2/09 <Piterbarg, parameter-averaging, local
volatility non-zero convexity, correlation volatility/asset non-zero &
 deterministic; small-noise SDE expansions; Heston-type volatility; Time-
averaging>
Andersen Leif, Vladimir Piterbarg 'Modeling Interest Rate Exotics: A Modern
View' Book in progress, 2009
Andersen Torben, Tim Bollerslev 'Answering the Skeptics: Yes, Standard
Volatility Models do Provide Accurate Forecasts' International Economic
Review 39, 1998
Andersen Torben, Tim Bollerslev 'Intraday Periodicity and Volatility Persistence
in Financial Markets' J. Empirical Finance 4, 1997
Andersen Torben, Tim Bollerslev, Nour Meddahi 'Analytic Evaluation of Volatility
Forecasts' International Economic Review, 2004, 45
Andersen Torben, Tim Bollerslev, Nour Meddahi 'Market Microstructure Noise and
Realized Volatility Forecasting' August 2006
Ando Masakazu, Jiro Hodoshima 'The Robustness o Asset Pricing Models: Coskewness
and Cokurtosis' Finance Research Letters V.3,#2 June 06
Ang Andrew, Dennis Kristensen 'Testing Conditional Factor Models' SSRN 3/09
Ang James, Yingmei Cheng 'Single Stock Futures: Listing Selection and Trading
Volume' Finance Research Letters V.2,#1 3/05
Angelini Paolo, Giovanni Guazzarotti 'Information Uncertainty and the Reaction
of Stock Prices to News' SSRN 3/09
Angerer Xiaohong, Pok-Sang Lam 'Income Risk and Portfolio Choice: An Empirical
Study' JofF April 2009 V.64,#2
Anginer Deniz, Celim Yildizhan 'Pricing of Default Risk Revisited: Corporate
Bond Spread as a Proxy for Default Risk' SSRN 2/09
Antolin Pablo 'Pension Fund Performance' SSRN 3/09
Antolin Pablo 'Policy Options for the Payout Phase' SSRN 3/09
Antonelli Fabio, Sergio Scarlatti 'Pricing Options under Stochastic Volatility:
A Power Series Approach' <SDE, Heston, Stein, Hull White, Duhamel’s
principle> F&S V.13,#2 April 2009
Antonelli Fabio, Valentina Prezioso 'Rate of Convergence of Monte Carlo
Simulations for the Hobson–Rogers Model' IJT&AF V.11,#8 Dec. 2008 <no-
arbitrage condition, stochastic volatility, market completeness, European,
Asian and digital options, time step size, Malliavin Calculus>
Antonov Alexandre, Matthieu Arneguy 'Analytical Formulas for Pricing CMS
Products in the LIBOR Market Model with the Stochastic Volatility' SSRN
3/09
Aragon George, Vikram Nanda 'On Tournament Behavior in Hedge Funds: High Water
Marks, Managerial Horizon, and the Backfilling Bias' SSRN 3/09
Arai Takuji 'Lp-Projections of Random Variables and its Application to Finance'
IJT&AF V.11,#8 Dec. 2008 <extension of the mean-variance hedging problem,
optimal hedging, feedback representation>
Arbel Avner, Richard Kolodny, Josef Lakonishok 'The Relationship Between Risk of
Default and Return on Equity: An Empirical Investigation the Relationship
Between Risk of Default and Return on Equity: an Empirical Investigation'
JF&QA Nov. 1977 V.12,#4
Areal Nelson, Artur Rodrigues, Manuel R. Armada 'On Improving the Least Squares
Monte Carlo Option Valuation Method'  Review of Derivatives Research
V.11,#1-2 March 2008
Arellano Manuel, Stéphane Bonhomme 'Robust Priors in Nonlinear Panel Data
Models' Econometrica V.77,#2 March 2009
Aretz Kevin, Sohnke Bartram 'Corporate Hedging and Shareholder Value' SSRN 3/09
Arnsdorf Matthias, Igor Halperin 'BSLP: Markovian Bivariate Spread-Loss Model
for Portfolio Credit Derivatives' J. Computational Finance V.12,#2 Winter
2008
Artemenkov Andrey Igorevich 'Pricing and Valuation on the Capital Markets: How
to Clear the Fallout?' SSRN 2/09
Arugaslan Onur, Douglas Cook, Robert Kieschnick 'Is Liquidity Endogenously
Determined?' SSRN 3/09
Asem Ebenezer 'Dividends and Price Momentum' J. Banking and Finance V. 33,
#3,March 2009
Asgharian Hossein 'A Conditional Asset Pricing Model with the Optimal Orthogonal
Portfolio' SSRN 3/09
Aslan Hadiye, David Easley, Soeren Hvidkjaer, Maureen O'Hara 'Firm
Characteristics and Informed Trading: Implications for Asset Pricing' SSRN
1/09
Asness Clifford, Tobias Moskowitz, Lasse Heje Pedersen 'Value and Momentum
Everywhere' SSRN 3/09
Assefa Samson 'Calibration and Pricing in a Multi-Factor Quadratic Gaussian
Model' 2007 U. Tech. Sydney
Assefa Samson 'Pricing of Defaultable Securities in a Multi-Factor Quadratic
Gaussian Model' September 2007
Atanassov Julian, E. Han Kim 'Labor and Corporate Governance: International
Evidence from Restructuring Decisions' JofF V.64,#1 Feb. 2009
Avramov Doron, Tarun Chordia, Gergana Jostova, Alexander Philipov 'Dispersion in
Analysts’ Earnings Forecasts and Credit Rating' JFE Jan.09 V.91,#1
Baba Naohiko, Frank Packer 'Interpreting Deviations from Covered Interest Parity
during the Financial Market Turmoil of 2007-08' SSRN 2/09
Babenko Ilona 'Share Repurchases and Pay-Performance Sensitivity of Employee
Compensation Contracts' JofF V.64,#1 Feb. 2009
Backus David, Mikhail Chernov, Ian Martin 'Disasters Implied by Equity Index
Options' SSRN 3/09
Badshah Ihsan 'Asymmetric Return-Volatility Relation, Volatility Transmission
and Implied Volatility Indexes' SSRN 2/09
Badshah Ihsan 'Modeling the Dynamics of Implied Volatility Surfaces' SSRN 3/09
Bae Kee-Hong, Vidhan Goyal 'Creditor Rights, Enforcement, and Bank Loans' JofF
April 2009 V.64,#2
Bai Jennie 'Equity Premium Predictions with Adaptive Macro Indices' SSRN 2/09
Bai Zhidong, Keyan Wong, Wing-Keung Wong 'An Improvement of the Sharpe-Ratio
Test on Small Samples -- Mean-Variance Ratio Test' SSRN 2/09
Baillie Richard, George Kapetanios 'Nonlinear Models for Strongly Dependent
Processes with Financial Applications' J. Econometrics V.147, #1 Nov. 2008
Bakshi Gurdip, Georgios Skoulakis 'Do Subjective Expectations Explain Asset
Pricing Puzzles?' SSRN 3/09
Bali Turan, Anna Scherbina, Yi Tang 'Unusual News Events and the Cross-Section
of Stock Returns' SSRN 3/09
Bali Turan, Kamil Yilmaz 'The Intertemporal Relation between Expected Return and
Risk on Currency' SSRN 3/09
Bali Turan, Nusret Cakici, Robert Whitelaw 'Maxing Out: Stocks as Lotteries and
the Cross-Section of Expected Returns' SSRN 3/09
Bali Turan, Robert Engle 'A Cross-Sectional Investigation of the Conditional
ICAPM' SSRN 3/09
Ballestra Luca Vincenzo, Graziella Pacelli 'A Numerical Method to Price
Defaultable Bonds Based on the Madan and Unal Credit Risk Model' Applied
Mathematical Finance V.16,#1 2009
Bandi Federico, Benoit Perron 'Long Memory and the Relation Between Implied and
Realized Volatility' J. Financial Econometrics V. 4,#4 Fall 2006
Bandi Federico, Jeffrey Russell, Chen Yang 'Realized Volatility Forecasting and
Option Pricing' J. Econometrics V.147, #1 Nov. 2008
Banerjee Anurag Narayan, Chi-Hsiou Hung 'The Momentum Effect: A Statistical
Illusion?' SSRN 3/09
Banerjee Snehal, Jeremy Graveline 'Short Selling Liquid Treasuries' SSRN 3/09
Bansal Ravi, Ivan Shaliastovich 'Confidence Risk and Asset Prices' SSRN 3/09
Bansal Ravi, Ivan Shaliastovich 'Learning and Asset-Price Jumps' SSRN 3/09
Bansal Ravi, Robert Dittmar, Dana Kiku 'Cointegration and Consumption Risks in
Asset Returns' RFS V.22,#3 March 2009
Bao Yong, Aman Ullah 'Bias of a Value-at-Risk Estimator' Finance Research
Letters V.1,#4 12/04
Baranchuk Nina, Philip Dybvig 'Consensus in Diverse Corporate Boards' RFS 2/09
V.22,#2
Barbarin Jérôme 'Heath-Jarrow-Morton Modelling of Longevity Bonds and the Risk
Minimization of Life Insurance Portfolios' SSRN 2/09
Barbarin Jérôme 'Risk Minimizing Strategies for Life Insurance Contracts with
Surrender Option' SSRN 1/09
Barber Brad, Yi-Tsung Lee, Yu-Jane Liu, Terrance Odean 'Just How Much Do
Individual Investors Lose by Trading?' RFS 2/09 V.22,#2
Barberis Nicholas, Wei Xiong 'What Drives the Disposition Effect? An Analysis of
a Long-Standing Preference-Based Explanation' JofF April 2009 V.64,#2
Barinov Alexander 'Turnover: Liquidity or Uncertainty?' SSRN 1/09
Barndorff-Nielsen Ole 'Superposition of Ornstein-Uhlenbeck Type Processes'
Theory Probab. Appl. 45, 2001
Barndorff-Nielsen Ole, Neil Shephard 'Econometric Analysis of Realized
Volatility and its use in Estimating Stochastic Volatility Models' J.
Royal Society Series B 2002
Barndorff-Nielsen Ole, Neil Shephard 'Econometrics of Testing for Jumps in
Financial Economics Using Bipower Variation' J. Financial Econometrics
V.4,#1 Winter 2006
Barndorff-Nielsen Ole, Neil Shephard 'Financial Volatility: Volatility and Lévy
Based Models' Cambridge Press 2004
Barndorff-Nielsen Ole, Neil Shephard 'Integrated OU Processes' 2001
Barndorff-Nielsen Ole, Neil Shephard 'Realized Power Variation and Stochastic
Volatility' Bernoulli 2003
Barndorff-Nielsen Ole, Peter Hansen, Asger Lunde, Neil Shephard 'Multivariate
Realised Kernels: Consistent Positive Semi-Definite Estimators of the
Covariation of Equity Prices with Noise and Non-Synchronous Trading' w.p.
2008
Barra Research 'A Look at the Liquidity Factor in GEM2' SSRN 1/09
Barrieu Pauline, Nicole El Karoui 'Dynamic Financial Risk Management'  in
'Aspects of Mathematical Finance' Springer 2008 (ed) Marc Yor
Barrieu Pauline, Nicole El Karoui 'Pricing, Hedging and Optimally Designing
Derivatives via Minimization of Risk Measures' VOLUME ON INDIFFERENCE
PRICING, Rene Carmona, ed., Princeton University Press
Barry Christopher, Steven Mann, Vassil Mihov, Mauricio Rodríguez 'Interest Rate
Changes and the Timing of Debt Issues' J. Banking and Finance V. 33,
#4,April 2009
Bartlett Bruce 'Hedging under SABR Model, Wilmott Mag., July/August, 2 - 4
(2006)
Bartram Söhnke, Yaw-Huei Wang 'Another Look at the Relationship Between Cross-
Market Correlation and Volatility' Finance Research Letters V.2,#2 6/05
Basak Suleyman, Dmitry Makarov 'Strategic Asset Allocation in Money Management'
SSRN 1/09
Basch Donald 'Changes in the Portfolio Allocation of Private Colleges'
Endowments: Recent Trends and Implications for Relative Investment
Performance' SSRN 2/09
Basu Devraj, Joelle Miffre 'The Performance of Simple Dynamic Commodity
Strategies' SSRN 3/09
Bates David 'Hedging the Smirk' Finance Research Letters V.2,#4 12/05
Bauer Michael 'Revisions to Short Rate Expectations: Policy Shocks and
Macroeconomic News' SSRN 2/09
Bauer Rob, Mathijs Cosemans, Piet Eichholtz 'Option Trading and Individual
Investor Performance' J. Banking and Finance V. 33, #4,April 2009
Bauwens Luc, Nikolaus Hautsch 'Stochastic Conditional Intensity Processes' J.
Financial Econometrics V.4,#3 Summer 2006
Bayraktar Erhan 'A Proof of the Smoothness of the Finite Time Horizon American
Put Option for Jump Diffusions' SIAM J. Control and Optim. Jan 2009
Bebchuk Lucian, Alma Cohen, Allen Ferrell 'What Matters in Corporate
Governance?' RFS 2/09 V.22,#2
Beber Alessandro, Michael Brandt, Kenneth Kavajecz 'Flight-to-Quality or Flight-
to-Liquidity? Evidence from the Euro-Area Bond Market' RFS V.22,#3 March
2009
Bec Frederique, Christian Gollier 'Term Structure and Cyclicity of Value-at-
Risk: Consequences for the Solvency Capital Requirement' SSRN 3/09
Becker E. 'Theorems Limite Pour des Processus Discrétisés' Thesis Doctorat Paris
6, 1998
Becker Ralf, Adam Clements, Andrew McClelland 'The Jump Component of S&P 500
Volatility and the VIX Index' J. Banking and Finance V.33,#6 June 2009
Bedendo Mascia, Stewart Hodges 'The Dynamics of the Volatility Skew: a Kalman
Filter Approach' J. Banking and Finance V.33,#6 June 2009
Beechey Meredith, Erik Hjalmarsson, Pär Österholm 'Testing the Expectations
Hypothesis when Interest Rates are Near Integrated' J. Banking and Finance
May 2009 V.33,#5
Beeler Jason, John Campbell 'The Long-Run Risks Model and Aggregate Asset
Prices: An Empirical Assessment' SSRN 3/09
Beeller Jason, John Campbell 'The Long-Run Risks Model and Aggregate Asset
Prices: An Empirical Assessment' SSRN 3/09
Beirne John, Guglielmo Maria Caporale, Marianne Schulze-Ghattas, Nicola Spagnolo
'Volatility Spillovers and Contagion from Mature to Emerging Stock
Markets' SSRN 2/09
Bekaert Geert, Eric Engstrom, Yuhang Xing 'Risk, Uncertainty, and Asset Prices'
JFE Jan.09 V.91,#1
Bekaert Geert, Xiaozheng Wang 'Home Bias Revisited' SSRN 2/09
Bekker Paul, Kees Bouwman 'A Unified Approach to Dynamic Mean-Variance Analysis
in Discrete and Continuous Time' SSRN 3/09
Bekkers Niels, Ronald Doeswijk, Trevin Lam 'Strategic Asset Allocation:
Determining the Optimal Portfolio with Ten Asset Classes' SSRN 3/09
Ben-Abdallah Ramzi, Hatem Ben-Ameur, Michèle Breton 'An Analysis of the True
Notional Bond System Applied to the CBOT T-Bond Futures' J. Banking and
Finance V. 33, #3,March 2009
Ben-Ameur Hatem, Michèle Breton, Juan-Manuel Martinez 'Dynamic Programming
Approach for Valuing Options in the GARCH Model' Management Science Feb.
2009 V.55,#2
Benigno Pierpaolo, Salvatore Nistico 'International Portfolio Allocation under
Model Uncertainty' NBER Working Paper w14734 SSRN 3/09
Benmelech Efraim, Nittai Bergman 'Collateral Pricing' JFE V.91,#3 March 2009
Bensoussan Alain, Anshuman Chutani, Suresh Sethi 'Optimal Cash Management under
Uncertainty' SSRN 3/09
Bensoussan Alain, E. Gerard Hurst, Bertil Naslund 'Management Applications of
Modern Control Theory' North Holland 74
Bensoussan Alain, Jussi Keppo, Suresh Sethi 'Optimal Consumption and Portfolio
Decisions with Partially Observed Real Prices' Mathematical Finance
V.19,#2 April 2009
Berg Tobias 'From Actual to Risk-Neutral Default Probabilities: Merton and
Beyond' SSRN 3/09
Bergemann Dirk, Ulrich Hege, Liang Peng 'Venture Capital and Sequential
Investments' SSRN 3/09
Berger Marc 'Stochastic Derivatives and Integral Equations' Advances in Applied
Probability V.12,#2 June 1980
Bergomi Lorenzo 'Smile Dynamics III' RISK Oct. 2008 <Vix futures and options
calibration, Variance Swap, Realized Volatility>
Bernardo Antonio Hongbin Cai, Jiang Luo 'Motivating Entrepreneurial Activity in
a Firm' RFS V.22,#3 March 2009
Berndt Antje, Peter Ritchken, Zhiqiang Sun 'On Correlation and Default
Clustering in Credit Markets' SSRN 3/09
Berrada Tony 'Incomplete Information, Heterogeneity, and Asset Pricing' J.
Financial Econometrics V.4,#1 Winter 2006
Bertin William, David Michayluk, Laurie Prather 'Liquidity Issues Surrounding
Neglected Firms' Investment Management and Financial Innovations, V. 5,#1,
2008
Bester Alan, Victor Hugo Martinez, Ioanid Rosu 'Option Pricing on Cash Mergers'
SSRN 3/09
Bettis J. Carr, John Bizjak, Swaminathan Kalpathy 'Insiders' Use of Hedging
Instruments: An Empirical Examination' SSRN 3/09
Betton Sandra, B. Espen Eckbo, Karin Thorburn 'Merger Negotiations and the
Toehold Puzzle'  JFE V.91,#2 Feb.2009
Beveridge Christopher, Mark Joshi 'Practical Policy Iteration: Generic Methods
for Obtaining Rapid and Tight Bounds for Bermudan Exotic Derivatives Using
Monte Carlo Simulation' SSRN 1/09
Bhamra Harjoat Singh 'Stock Market Liberalization and the Cost of Capital in
Emerging Markets' SSRN 3/09
Biagini Sara, Rama Cont 'Model-Free Representation of Pricing Rules as
Conditional Expectations' SSRN 3/09
Bianchetti Marco 'Two Curves, One Price: Pricing & Hedging Interest Rate
Derivatives using Different Yield Curves for Discounting and Forwarding'
SSRN 1/09
Bick Bjorn, Holger Kraft, Claus Munk 'Investment, Income, and Incompleteness'
SSRN 3/09
Bierman Harold 'Stockholder Rights and Carl Icahn' J. Investment Management 1Q
2009
Biffis Enrico, David Blake 'Mortality-Linked Securities and Derivatives' SSRN
2/09
Bikbov Ruslan, Mikhail Chernov 'Monetary Policy Regimes and the Term Structure
of Interest Rates' SSRN 2/09
Biktimirov Ernest 'All Stocks are Not Created Equal: Evidence from the S&P
Indexes Float Adjustment' SSRN 3/09
Bimonte Giovanna, Maria Gabriella Graziano 'The Measure of Blocking Coalitions
in Differential Information Economies' Economic Theory Feb. 2009 38(2)
Binswanger Mathias 'How Do Stock Prices Respond to Fundamental Shocks?' Finance
Research Letters V.1,#2 June 04
Bion-Nadal Jocelyne 'Time Consistent Dynamic Risk Processes' SP&A V.119,#2 Feb.
2009
Birke Melanie, Kay Pilz 'Nonparametric Option Pricing with No-Arbitrage
Constraints' Journal of Financial Econometrics, V. 7,# 2, 2009  
BIS 'Financial Globalisation and Emerging Market Capital Flows' SSRN 2/09
Bladt Mogens, Michael Sørensen 'Efficient Estimation of Transition Rates Between
Credit Ratings from Observations at Discrete Time Points' QF V.9,#2 2009
Blath Jochen, Peter Mörters, Michael Scheutzow 'Trends in Stochastic Analysis'
2009 Cambridge Press
Blau Benjamin, Chip Wade 'A Comparison of Short Selling and Put Option Activity'
SSRN 3/09
Blazenko George, Yufen Fu 'Value Investing with Constant Growth Common Shares'
SSRN 2/09
Bleaney Michael, R. Todd Smith 'Explaining Inertia in Closed-End Fund Prices'
Finance Research Letters V.3,#2 June 06
Blenman Lloyd, Steven Clark 'Power Exchange Options' Finance Research Letters
V.2,#2 6/05
Bloch Daniel Alexandre, Samson Assefa 'Fast Calibration of Interest Rate Claims
in the Quadratic Gaussian Model: 1 the Caplets' SSRN 3/09
Board Simon 'Revealing Information in Auctions: the Allocation Effect' Economic
Theory Jan. 2009 38(1)
Bodnaruk Andriy, Massimo Massa, Lei Zhang 'Conglomerate Discount and Financial
Constraints: A Novel View to an Old Puzzle' SSRN 3/09
Bodnaruk Andriy, Per Ostberg 'Does Investor Recognition Predict Returns?' JFE
V.91,#2 Feb.2009
Boguth Oliver, Lars-Alexander Kuehn 'Consumption Volatility Risk' SSRN 2/09
Bollen Nicolas, Robert Whaley 'Hedge Fund Risk Dynamics: Implications for
Performance Appraisal' JofF April 2009 V.64,#2
Bollerslev Tim, Julia Litvinova, George Tauchen 'Leverage and Volatility
Feedback Effects in High-Frequency Data' J. Financial Econometrics V.4,#3
Summer 2006
Bollerslev Tim, Lars Forsberg 'Bridging the Gap between the Distribution of
Realized (ECU) and ARCH Modelling (of the Euro): The GARCH-NIG Model' J.
Applied Econometrics 17, 2002
Bollerslev Tim, Natalia Sizova, George Tauchen 'Volatility in Equilibrium:
Asymmetries and Dynamic Dependencies' SSRN 2/09
Bolton Patrick, Hui Chen, Neng Wang 'A Unified Theory of Tobin's Q, Corporate
Investment, Financing, and Risk Management' SSRN 4/09
Bond Shaun, Paul Mitchell 'Alpha and Persistence in Real Estate Fund
Performance' SSRN 3/09
Bontemps Christian, Nour Meddahi 'Testing Distributional Assumptions: A GMM
Approach' May 2006
Bontemps Christian, Nour Meddahi 'Testing Normality: A GMM Approach' Journal of
Econometrics, 2005
Börger Reik, Álvaro Cartea, Rüdiger Kiesel, Gero Schindlmayr 'Cross-Commodity
Analysis and Applications to Risk Management' J. Futures Markets V.29,#3
March 2009
Borovkova Svetlana, Hélyette Geman 'Seasonal and Stochastic Effects in Commodity
Forward Curves' Review of Derivatives Research V.9,#2 Sept. 2006
Borri Nicola, Adrien Verdelhan 'Sovereign Risk Premia' SSRN 2/09
Bose Subir, Arup Daripa 'Optimal Sale across Venues and Auctions with a Buy-Now
Option' Economic Theory Jan. 2009 38(1)
Bossaerts Peter, William Zame 'Asset Trading Volume in Infinite-Horizon
Economies with Dynamically Complete Markets and Heterogeneous Agents:
Comment' Finance Research Letters V.3,#2 June 06
Bossy Mireille, Rajna Gibson, Francois-Serge Lhabitant, Nathalie Pistre, Denis
Talay ''Model Misspecification Analysis for Bond Options and Markovian
Hedging Strategies' Review of Derivatives Research V.9,#2 Sept. 2006
Boudt Kris, Brian Peterson, Christophe Croux 'Estimation and Decomposition of
Downside Risk for Portfolios with Non-Normal Returns' J. of Risk Winter
2008 V.11,#2
Bouwman Christa, Kathleen Fuller, Amrita Nain 'Market Valuation and Acquisition
Quality: Empirical Evidence' RFS 2/09 V.22,#2
Boyarchenko Nina 'Ambiguity, Information Quality and Credit Risk' SSRN 2/09
Boyarchenko Svetlana, Sergei Levendorski 'Discount Factors Ex Post and Ex Ante,
and Discounted Utility Anomalies II' SSRN 1/09
Boyle Phelim, Lorenzo Garlappi, Raman Uppal, Tan Wang 'Keynes Meets Markowitz:
The Tradeoff between Familiarity and Diversification' SSRN 3/09
Bradely Daniel, Brandon Cline, Qin Lian 'Do Insiders Practice What They Preach?
Informed Option Exercises Around Acquisitions' SSRN 3/09
Brandouy Olivier, Walter Briec, Kristiaan Kerstens, Ignace Van de Woestyne
'Portfolio Performance Gauging in Discrete Time Using a Luenberger
Productivity Indicator' SSRN 3/09
Brandt Michael, Christopher S. Jones ' Bayesian Range-Based Estimation of
Stochastic Volatility Models' Finance Research Letters V.2,#4 12/05
Branger Nicole, Alexandra Hansis, Christian Schlag 'Expected Option Returns and
the Structure of Jump Risk Premia' SSRN 2/09
Branger Nicole, Angelika Esser, Christian Schlag 'Attainability of European
Path-Independent Claims in Incomplete Markets' Finance Research Letters
V.1,#3 9/04
Branger Nicole, Christian Schlag 'Can Tests Based on Option Hedging Errors
Correctly Identify Volatility Risk Premia?' JF&QA 12/08 V.43,#4
Brav Omer 'Access to Capital, Capital Structure, and the Funding of the Firm'
JofF V.64,#1 Feb. 2009
Briand Remy, Frank Nielsen, Dan Stefek 'Portfolio of Risk Premia: A New Approach
to Diversification' Barra SSRN 1/09
Broadie Mark, Ashish Jain 'The Effect of Jumps And Discrete Sampling on
Volatility and Variance Swaps' IJT&AF V.11,#8 Dec. 2008
Brock William, A.G.(Tassos) Malliaris 'Differential Equations, Stability & Chaos
in Dynamic Economies' North 
Brockman Paul, Maria Schutte, Wayne Yu 'Is Idiosyncratic Volatility Priced? The
International Evidence' SSRN 3/09
Brooks Chris, Xiafei Li, Joelle Miffre 'Time-Varying Volatility and the Cross-
Section of Equity Returns' SSRN 3/09
Brophy David, Paige Ouimet, Clemens Sialm 'Hedge Funds as Investors of Last
Resort?' RFS 2/09 V.22,#2
Brown Christine, Kevin Davis 'Capital Management in Mutual Financial
Institutions' J. Banking and Finance V. 33, #3,March 2009
Brown Gregory, Michael Cliff 'Growth Options and Dynamic Risk: An Empirical
Evaluation' SSRN 3/09
Brown James, Bruce Petersen 'Why Has the Investment-Cash Flow Sensitivity
Declined So Sharply? Rising R&D and Equity Market Developments' J.
Banking and Finance May 2009 V.33,#5
Brown James, Steven Fazzari, Bruce Petersen 'Financing Innovation and Growth:
Cash Flow, External Equity, and the 1990s R&D Boom' JofF V.64,#1 Feb. 2009
Brown Keith, W. Van Harlow, Hanjiang Zhang 'Staying the Course: The Role of
Investment Style Consistency in the Performance of Mutual Funds' SSRN 3/09
Brown Stephen, William Goetzmann, Bing Liang, Christopher Schwarz 'Estimating
Operational Risk for Hedge Funds: The Omega-Score' FAJ V.65,#1 Jan/Feb
2009
Bruckstein Alfred, David L. Donoho, Michael Elad 'From Sparse Solutions of
Systems of Equations to Sparse Modeling of Signals and Images' SIAM Review
V.51,#1 March 2009
Brunnermeier Markus 'Deciphering the Liquidity and Credit Crunch 2007–2008' J.
of Economic Perspectives V.23,#1 Winter 2009
Brunnermeier Markus, Motohiro Yogo 'A Note on Liquidity Risk Management' SSRN
1/09
Brusco Sandro, Giuseppe Lopomo 'Simultaneous Ascending Auctions with
Complementarities and Known Budget Constraints' Economic Theory Jan. 2009
38(1)
Burke Jonathan 'Virtual Determinacy in Overlapping Generations Models'
Econometrica Jan. 09 V77,#1
Burlacu Radu, Patrice Fontaine, Sonia Jimenez-Garces, Mark Seasholes
'Information Precision, Noise, and the Cross-Section of Stock Returns'
SSRN 3/09
Busch Thomas 'Testing the Martingale Restriction for Option Implied Densities'
Review of Derivatives Research V.11,#1-2 March 2008
Bushman Robert, Abbie Smith, Regina Wittenberg Moerman 'Price Discovery and
Dissemination of Private Information by Loan Syndicate Participants' SSRN
3/09
Butler Alexander, Jess Cornaggia, Gustavo Grullon, James Weston 'Corporate
Financing Decisions and Managerial Market Timing' SSRN 3/09
Buttler Alexander, Michael Keefe, Robert Kieschnick 'What Can One Million
Regressions Tell Us About IPO Underpricing?' SSRN 3/09
Cabrera Juan, Tao Wang, Jian Yang 'Do Futures Lead Price Discovery in Electronic
Foreign Exchange Markets?' J. Futures Markets Feb.2009 V.29,#2
Cai Fang, Lu Zheng 'Institutional Trading and Stock Returns' Finance Research
Letters V.1,#3 9/04
Cai Zongwu, Xian Wang 'Nonparametric Estimation of Conditional VaR and Expected
Shortfall' J. Econometrics V.147, #1 Nov. 2008
Cakan Esin 'Non-Linear Dynamic Linkages in the International Stock Markets'
Physica, 2007
Calvet Laurent, Adlai Fisher 'How to Forecast Long-Run Volatility: Regime
Switching and the Estimation of Multifractal Processes' J. Financial
Econometrics V.2,#1 Winter 2004
Calvet Laurent, Adlai Fisher 'Multifractal Volatility: Theory, Forecasting, and
Pricing' Academic Press 3rd ed. 2008
Câmara António 'Two Counters of Jumps' <Jump options> J. Banking and Finance V.
33, #3,March 2009
Câmara António, Ali Nejadmalayeri 'Asset Liquidity, Business Risk, and Beta'
SSRN 3/09
Câmara António, Ivilina Popova, Betty Simkins 'An Analysis of the Implied
Probability of Bankruptcy for Chapter 11 Firms and Global Banks Impacted
by the Subprime Crisis' SSRN 2/09
Cao Bolong 'Testing Generic Rebalancing Policies for Retirement Portfolios' SSRN
3/09
Cao Charles, Jing-Zhi Huang 'Determinants of S&P 500 Index Option Returns'
Review of Derivatives Research V.10,#1 Jan. 2007
Cao Jerry, Josh Lerner 'The Performance of Reverse Leveraged Buyouts' JFE
V.91,#2 Feb.2009
Cao Jie 'Idiosyncratic Risk, Costly Arbitrage, and the Cross-Section of Stock
Returns' SSRN 3/09
Cao Melanie, Rong Wang 'Search for Optimal CEO Compensation: Theory and
Empirical Evidence' SSRN 3/09
Caporin Massimiliano, Frans de Roon, Loriana Pelizzon 'Any Role for Mean
Reversion in Short Term Asset Allocation?' SSRN 2/09
Caporin Massimiliano, Michael McAleer 'Do We Really Need Both BEKK and DCC? A
Tale of Two Covariance Models' SSRN 2/09
Caporin Massimiliano, Michael McAleer 'Dynamic Asymmetric GARCH' J. Financial
Econometrics V.4,#3 Summer 2006
Carbonez Katelijne, Van Thi Tuong Nguyen, Piet Sercu 'Do Inventories Really
Yield a Convenience? An Empirical Analysis of the Risk-Adjusted Spread'
SSRN 2/09
Carlin Bruce Ian, Simon Gervais 'Work Ethic, Employment Contracts, and Firm
Value' JofF April 2009 V.64,#2
Carmona Julio, Angel León 'Investment Option under CIR Interest Rates' Finance
Research Letters V.4,#4 12/07
Carmona René (ed) 'Indifference Pricing:Theory and Applications' 2008 Princeton
Press
Carmona René, Ronnie Sircar 'Mathematics and the Financial Crisis' SIAM News
Jan/Feb 2009 <SIAM Group on Financial Math. Nov.18/19/08>
Carpenter Jennifer, Richard Stanton, Nancy Wallace 'Estimation of Employee Stock
Option Exercise Rates' SSRN 3/09
Carr Peter, Dilip Madan 'Saddlepoint Methods for Option Pricing' to be J.
Computational Finance 2009? , wp 2008 <option-numeric>
Carr Peter, Peter Laurence 'Multi-asset Stochastic Local Variance' to be
Mathematical Finance 2009? <variance swaps, robust hedge>
Carr Peter, Roger Lee 'Hedging Variance Options on Continuous Semimartingales'to
be Finance and Stochastics 2009?
Carrasco Marine, Mikhail Chernov, Jean-Pierre Florens, Eric Ghysels 'Efficient
Estimation of Jump Diffusions and General Dynamic Models with a Continuum
of Moment Conditions' J. Econometrics 140, 2007
Casas Isabel, Jiti Gao 'Econometric Estimation in Long-Range Dependent
Volatility Models: Theory and Practice' J. Econometrics V.147, #1 Nov.
2008
Case James 'Economics Nobel to Paul Krugman' SIAM News Jan/Feb 2009
Cassimon Danny, Peter-Jan Engelen, Liesbeth Thomassen, Martine Van Wouwe
'Closed-form Valuation of American Call Options on Stocks Paying Multiple
Dividends' Finance Research Letters V.4,#1 3/07
Castagna Antonio 'The Hedging Costs of Discrete Monitoring of FX Barrier
Options' SSRN 2/09
Castro Carlos 'Portfolio Choice Under Local Factors' SSRN 3/09
Cavaliere Giuseppe, A.M. Robert Taylor ''Testing for a Change in Persistence in
the Presence of Non-Stationary Volatility' J. Econometrics V.147, #1 Nov.
2008
Cecchetti Stephen 'Crisis and Responses: The Federal Reserve in the Early Stages
of the Financial Crisis' J. of Economic Perspectives V.23,#1 Winter 2009
Cetin Coskun, Fernando Zapatero 'Optimal Acquisition of a Partially Hedgeable
House' SSRN 3/09
Chabakauri Georgy 'Asset Pricing in General Equilibrium with Constraints' SSRN
2/09
Chabi-Yo Fousseni 'Pricing Kernels with Coskewness and Volatility Risk' SSRN
3/09
Chabi-Yo Fousseni, Jun Yang 'Default Risk, Idiosyncratic Coskewness and Equity
Returns' SSRN 3/09
Chalamandaris George, Andrianos Tsekrekos 'Can Static Models Predict Implied
Volatility Surfaces? Evidence from OTC Currency Options' SSRN 2/09
Chamberlain Gary, Marcelo Moreira 'Decision Theory Applied to a Linear Panel
Data Model' Econometrica Jan. 09 V77,#1
Chambers Christopher 'An Axiomatization of Quantiles on the Domain of
Distribution Functions' Mathematical Finance V.19,#2 April 2009
Chambers Donald, Sanjay Nawalkha 'An Improved Approach to Computing Implied
Volatility' The Financial Review, 38, 2001. & SSRN 1/09
Chan Kalok, Vicentiu Covrig 'What Determines Mutual Funds Trading in Foreign
Stocks?' SSRN 3/09
Chang Candie, Robert Faff, Chuan-Yang Hwang 'Sentiment Contagion, Corporate
Governance, Information and Legal Environments' SSRN 3/09
Chang Eric, Yan Luo 'Investor Psychology and Misvaluation Comovement'  SSRN 3/09
Chang Lung-Fu, Mao-Wei Hung 'Valuation of Vulnerable American Options with
Correlated Credit Risk' Review of Derivatives Research V.9,#2 Sept. 2006
Charoenwong Charlie, Nattawut Jenwittayaroje, Buen Sin Low 'Who Knows More about
Future Currency Volatility?' J. Futures Markets V.29,#3 March 2009
Chatrath Arjun, Rohan Christie-David, Kiseop Lee, William Moore 'Competitive
Inventory Management in Treasury Markets' J. Banking and Finance May 2009
V.33,#5
Chatterjee Satyajit, Burcu Eyigungor 'Maturity, Indebtedness, and Default Risk'
SSRN 3/09
Chatterjee Sris, An Yan 'Using Innovative Securities under Asymmetric
Information: Why Do Some Firms Pay with Contingent Value Rights?' JF&QA
12/08 V.43,#4
Chaudhuri Ranadeb, Mark Schroder 'Monotonicity of the Stochastic Discount Factor
and Expected Option Returns' SSRN 2/09
Cheang Gerald, Carl Chiarella 'Exchange Options under Jump-Diffusion Dynamics'
SSRN 3/09
Chen An-Sing, Hung-Gay Fung, Erin H.C. Kao 'The Dynamic Relations among Return
Volatility, Trading Imbalance, and Trading Volume in Futures Markets'
Mathematics and Computers in Simulation V.79,#3 12/08
Chen Cathy, Richard Gerlach, Amanda Tai 'Testing for Nonlinearity in Mean and
Volatility for Heteroskedastic Models' Mathematics and Computers in
Simulation V.79,#3 12/08
Chen Huafeng (Jason), Shaojun Jenny Chen, Feng Li 'Firm-Level Return Comovement'
SSRN 3/09
Chen Hui, Jianjun Miao, Neng Wang 'Entrepreneurial Finance and Non-diversifiable
Risk' SSRN 3/09
Chen Hui, Nengjiu Ju, Jianjun Miao 'Dynamic Asset Allocation with Ambiguous
Return Predictability' SSRN 3/09
Chen Qi, Wei Jiang 'Positive Hurdle Rates without Asymmetric Information'
Finance Research Letters V.1,#2 June 04
Chen Xiaohong, Yanqin Fan 'Evaluating Density Forecasts via the Copula Approach'
Finance Research Letters V.1,#1 3/04
Chen Yu-chin, Kwok Ping Tsang 'What Does the Yield Curve Tell Us about Exchange
Rate Predictability?' SSRN 2/09
Chen Yu-Ting, Cheng-Few Lee, Yuan-Chung Sheu 'An Integral-Equation Approach for
Defaultable Bond Prices with Application to Credit Spreads' J. Applied
Prob. V.46,#1 March 2009
Cheridito Patrick, Tianhui Li 'Risk Measures on Orlicz Hearts' Mathematical
Finance V.19,#2 April 2009
Chesney Marc, Rajna Gibson 'Stock Options and Managers’ Incentives to Cheat'
Review of Derivatives Research V.11,#1-2 March 2008
Cheuk Terry, Sigurd Dyrting, Andrew Carverhill 'The Smirk in the S&P500 Futures
Options Prices: A Linearized Factor Analysis' SSRN 2/09
Cheung Wing 'The Augmented Black-Litterman Model: A Ranking-Free Approach to
Factor-Based Portfolio Construction and Beyond' SSRN 3/09
Cheung Wing 'The Black-Litterman Model Explained' SSRN 2/09
Cheung Yan-Leung, Yuehua Qi, P. Raghavendra Rau, Aris Stouraitis 'Buy High, Sell
Low: How Listed Firms Price Asset Transfers in Related Party Transactions'
J. Banking and Finance May 2009 V.33,#5
Chhaochharia Vidhi, Yaniv Grinstein 'CEO Compensation and Board Structure' JofF
V.64,#1 Feb. 2009
Chherawala Tasneem 'Valuation of Linear Financial Derivatives' SSRN 4/09
Chiang Kevin 'Discovering REIT Price Discovery: A New Data Setting' Journal of
Real Estate Finance and Economics, V.39,#1, 2009
Chiang Thomas Chinan, Jiandong Li 'The Dynamic Correlation between Stock and
Bond Returns: Evidence from the U.S. Market' SSRN 3/09
Chiarella Carl, Andrew Ziogas 'American Call Options Under Jump-Diffusion
Processes - A Fourier Transform Approach' Applied Mathematical Finance
V.16,#1 2009
Chiarella Carl, Boda Kang 'The Evaluation of American Compound Option Prices
under Stochastic Volatility Using the Sparse Grid Approach' SSRN 3/09
Chiarella Carl, Chih-Ying Hsiao, Willi Semmler 'Intertemporal Investment
Strategies under Inflation Risk' January 2007
Chiarella Carl, Giulia Iori, Josep Perelló 'The Impact of Heterogeneous Trading
Rules on the Limit Order Book and Order Flows' JED&C March 09, V.33,#3
Chiarella Carl, Roberto Dieci, Xue-Zhong 'Tony' He 'Heterogeneity, Market
Mechanisms, and Asset Price Dynamics' SSRN 3/09
Chiarolla Maria, Ulrich Haussmann 'On a Stochastic, Irreversible Investment
Problem' SIAM J. Control and Optim. Jan 2009
Chichilnisky Graciela 'Manipulations and Repeated Games in Futures Markets' SSRN
4/09
Chincarini Ludwig 'On the Efficiency of the Weather Derivatives Market' SSRN
2/09
Chng Michael 'Economic Linkages across Commodity Futures: Hedging and Trading
Implications' J. Banking and Finance May 2009 V.33,#5
Cho Sungjun 'The Cross-Section of Stock Returns and Monetary Policy: The Roles
of the Capital Market Imperfection and Interest Rate Channel' SSRN 2/09
Choi Darwin, Mila Getmansky, Heather Tookes 'Convertible Bond Arbitrage,
Liquidity Externalities, and Stock Prices' JFE V.91,#2 Feb.2009
Choi Jaewon, Matthew Richardson 'The Volatility of the Firm's Assets' SSRN 3/09
Choi Youngsoo, Tony Wirjanto 'An Analytic Approximation Formula for Pricing
Zero-Coupon Bonds' Finance Research Letters V.4,#2 6/07
Chou Pin-Huang, Mei-Chen Lin, Min-Teh Yu 'Risk Aversion and Price Limits in
Futures Markets' Finance Research Letters V.2,#3 9/05
Chou Ray, Nathan Liu 'The Economic Value of Volatility Timing using a Range-
Based Volatility Model' SSRN 1/09
Christelis Dimitris, Dimitris Georgarakos, Michael Haliassos 'Stockholding: From
Participation to Location and to Participation Spillovers' SSRN 3/09
Christensen Kim, Mark Podolskij, Mathias Vetter 'Bias-correcting the Realized
Range-Based Variance In the Presence of Market Microstructure Noise' F&S
V.13,#2 April 2009
Christensen Peter, Kasper Larsen, Claus Munk 'Bond and Stock Market Equilibrium
with Heterogeneous Agents Receiving Unspanned Income' SSRN 3/09
Christensen Terry 'John Wheelers Mentorship: An Enduring Legacy' Physics Today
April 2009 <physics>
Christodoulakis George 'Financial Forecasts in the Presence Of Asymmetric Loss
Aversion, Skewness and Excess Kurtosis' Finance Research Letters V.2,#4
12/05
Christodoulakis George, David Peel 'The Relationship between Expected Utility
and Higher Moments for Distributions Captured by the Gram–Charlier Class'
Finance Research Letters V.3,#4 12/06
Christoffersen Peter, Denis Pelletier 'Backtesting Value-at-Risk: A Duration-
Based Approach' J. Financial Econometrics V.2,#1 Winter 2004
Chuang Chia-Chang, Chung-Ming Kuan, Hsin-Yi Lin 'Causality in Quantiles and
Dynamic Stock Return–Volume Relations' J. Banking and Finance V.33,#7 July
2009
Chuang Hwei-Lin, Shih-Cheng Lee, Yi-Chun Lin, Min-Teh Yu 'Estimating the Cost of
Deposit Insurance with Stochastic Interest Rates: The Case of Taiwan' QF
V.9,#1 2009
Ciccarelli Matteo, Juan Garcia 'What Drives Euro Area Break-Even Inflation
Rates?'  SSRN 2/09
Clark Ephraim Alois, Octave Jokung, Konstantinos Kassimatis 'Making Inefficient
Market Indices Efficient' SSRN 2/09
Clayton Matthew 'Debt, Investment, and Product Market Competition: a Note on the
Limited Liability Effect' J. Banking and Finance V. 33, #4,April 2009
Cochrane John, Monika Piazzesi 'Decomposing the Yield Curve' SSRN 1/09
Cohen Lauren 'Loyalty-Based Portfolio Choice' RFS V.22,#3 March 2009
Cohen Lauren, Karl Diether, Christopher Malloy 'Shorting Demand and
Predictability of Returns' J. Investment Management 1Q 2009
Cole Rebel 'The Housing-Asset Relief Program: A Plan for Stabilizing the Housing
and Securities Markets' SSRN 2/09
Comer George, Norris Larrymore, Javier Rodriguez 'Controlling for Fixed-Income
Exposure in Portfolio Evaluation: Evidence from Hybrid Mutual Funds' RFS
2/09 V.22,#2
Conlon John 'Two New Conditions Supporting the First-Order Approach to
Multisignal Principal–Agent Problems' Econometrica Jan. 09 V77,#1
Conniffe Denis, Donal O'Neill 'Efficient Probit Estimation with Partially
Missing Covariates' SSRN 4/09
Connolly Robert, Richard Rendleman 'Properties of Portfolio-Based Estimates of
Market Risk Premia' SSRN 3/09
Conrad Christian, Berthold Haag 'Inequality Constraints in the Conrad Jennifer
'The Effects of Derivatives on Firm Risk and Value' SSRN 3/09
Constantinides George, Jens Carsten Jackwerth, Stylianos Perrakis 'Mispricing of
S&P 500 Index Options' RFS V.22,#3 March 2009
Cont Rama, Yu Hang Kan 'Dynamic Hedging of Portfolio Credit Derivatives' SSRN
3/09
Contessi Silvio, Ariel Weinberger 'Foreign Direct Investment, Productivity, and
Country Growth: An Overview' FRB St. Louis Review March/April 2009 V.91,#2
Cooley William, Paul Lohnes 'Multivariate Data Analysis'
Cooper Ian 'On Tests of the Conditional Relationship between Beta and Returns'
Applied Financial Economics, Vol. 19, 2009
Cootner Paul 'The Theorems of Modern Finance in a General Equilibrium Setting:
Paradoxes Resolved The Theorems of Modern Finance in a General Equilibrium
Setting: Paradoxes Resolved' JF&QA Nov. 1977 V.12,#4
Copeland Craig 'Use of Target-Date Funds in 401(k) Plans, 2007' SSRN 3/09
Copeland Thomas 'A Probability Model of Asset Trading A Probability Model of
Asset Trading' JF&QA Nov. 1977 V.12,#4
Corcoran 'The Determinants of Carry Trade Risk Premia' SSRN 2/09
Cornell Bradford 'Luck, Skill, and Investment Performance' J. Portfolio
Management Winter 2009
Cornet Bernard, Lionel De Boisdeffre 'Elimination of Arbitrage States In
Asymmetric Information Models' Economic Theory Feb. 2009 38(2)
Corradin Stefano, Jose Fillat, Carles Vergara-Alert 'Optimal Portfoliio Choice
with Predictability in House Prices and Transaction Costs' SSRN 3/09
Corrado Charles 'Tweaking Black-Scholes' SSRN 1/09
Corrado Charles 'Why We Have Always Used the Black-Scholes-Merton Option Pricing
Formula' SSRN 3/09
Corski Fulvio 'A Simple Approximate Long-Memory Model of Realized Volatility'
Journal of Financial Econometrics, V. 7, #2, 2009
Cortelezzi Flavia, Giovanni Villani 'Valuation of R&D Sequential Exchange
Options Using Monte Carlo Approach' Computational Economics  April 2009
V.33,#3
Cortés Jorge, Francesco Bullo 'Nonsmooth Coordination and Geometric Optimization
via Distributed Dynamical Systems' SIAM Review V.51,#1 March 2009
Cotter John 'Scaling Conditional Tail Probability and Quantile Estimators' RISK
April 2009
Cotter John, Kevin Dowd 'The Tail Risks of FX Return Distributions: a Comparison
of the Returns Associated with Limit Orders and Market Orders' Finance
Research Letters V.4,#3 9/07
Coval Joshua, Jakub Jurek, Erik Stafford 'The Economics of Structured Finance'
J. of Economic Perspectives V.23,#1 Winter 2009
Crack Timothy Falcon, David Timothy Duval, Robin Grieves 'Portfolio Theory for
Optimal Market Mix' SSRN 4/09
Crémer Jacques, Yossi Spiegel, Charles Zheng 'Auctions with Costly Information
Acquisition' Economic Theory Jan. 2009 38(1)
Cremers Martijn, Hongjun Yan 'Uncertainty and Valuations' SSRN 3/09
Croci Ettore, Dimitris Petmezas, Nickolaos Travlos 'Idiosyncratic Volatility,
Takeover Premiums and Target Gains' SSRN 3/09
Cronqvist Henrik, Fredrik Heyman, Mattias Nilsson, Helena Svaleryd, Jonas
Vlachos 'Do Entrenched Managers Pay Their Workers More?' JofF V.64,#1 Feb.
2009
Cull Robert, Asli Demirgüç-Kunt, Jonathan Morduch 'Microfinance Meets the
Market' J. of Economic Perspectives V.23,#1 Winter 2009
Cuñat Vicente, Maria Guadalupe 'Executive Compensation and Competition in the
Banking and Financial Sectors' J. Banking and Finance V. 33, #3,March 2009
Cvitanic Jakša, Semyon Malamud 'Asset Prices, Funds' Size and Portfolio Weights
in Equilibrium with Heterogeneous and Long-Lived Funds' SSRN 2/09
Cvitanic Jakša, Xuhu Wan, Jianfeng Zhang 'Optimal Compensation with Hidden
Action and Lump-Sum Payment in a Continuous-Time Model' Applied Math. And
Optimization V.59,#1 March 2009
Da Fonseca José, Martino Grasselli, Claudio Tebaldi 'Option Pricing When
Correlations are Stochastic: an Analytical Framework' Review of
Derivatives Research V.10,#2 May 2007
Da Silva Alexandre, Wai Lee, Bobby Pornrojnangkool 'The Black–Litterman Model
for Active Portfolio Management' J. Portfolio Management Winter 2009
Da Zhi 'Cash Flow, Consumption Risk, and the Cross-section of Stock Returns'
JofF April 2009 V.64,#2
Da Zhi, Ernst Schaumburg 'The Pricing of Volatility Risk Across Asset Classes
and the Fama and French Three Factor Model' SSRN 3/09
Da Zhi, Mitch Warachka 'Long-Term Earnings Growth Forecasts, Limited Attention,
and Return Predictability' SSRN 2/09
Dacorogna Michel, Ulrich Müller, Richard Olsen, Olivier Pictet 'Modelling Short
Term Volatility with GARCH and HARCH' in Dunis, Zhou 'Nonlinear Modelling
of High Frequency Financial Time Series' Wiley 1998
Daglish Toby 'What Motivates a Subprime Borrower To Default?' J. Banking and
Finance V. 33, #4,April 2009
Dai Feng, Dachuan Zhang, Songtao Wu, Jianping Du 'Group Assets Pricing and Risk
Management in Hedging Based on Multivariate Partial Distribution'
International Journal of Management Science and Engineering Management,
V.2,#2, 2007
Dai Min, Hanqing Jin, Hong Liu 'Illiquidity, Position Limits, and Optimal
Investment' SSRN 3/09
Dai Min, Lishang Jiang, Peifan Li, Fahuai Yi 'Finite Horizon Optimal Investment
and Consumption with Transaction Costs' SIAM J. Control and Opt. March
2009
Dai Tian-Shyr, Jr-Yan Wang, Hui-Shan Wei 'Adaptive Placement Method on Pricing
Arithmetic Average Options' Review of Derivatives Research V.11,#1-2 March
2008
Dangl Thomas, Michael Halling 'Predictive Regressions with Time-Varying
Coefficients' SSRN 3/09
Daniels H. E.  'Tail Probability Approximations' International Statistical
Review, 55, 1987 <probability>
Danielsson Jon, Hyun Song Shin, Jean-Pierre Zigrand 'Risk Appetite and
Endogenous Risk' SSRN 3/09
Danthine Jean-Pierre, John Donaldson, Christos Giannikos, Hany Guirguis 'On the
Consequences of State Dependent Preferences for the Pricing of Financial
Assets' Finance Research Letters V.1,#3 9/04
Darvas Zsolt 'Leveraged Carry Trade Portfolios' J. Banking and Finance May 2009
V.33,#5
Das Sanjiv, Paul Hanouna, Atulya Sarin 'Accounting-Based Versus Market-Based
Cross-Sectional Models of CDS Spreads' J. Banking and Finance V. 33,
#4,April 2009
Dasgupta Amil, Andrea Prat, Michela Verardo 'The Price Impact of Institutional
Herding' SSRN 3/09
Dash Mihir, Jay Dagha, Pooja Sharma, Rashmi Singhal 'GARCH Models for
Forecasting Volatility and Determining Arbitrage in Options' SSRN 1/09
Dass Nishant, Massimo Massa 'The Advantage of Multiple Maturity Borrowing' SSRN
3/09
Datta Kaushik, Shoaib Kamil, Samuel Williams, Leonid Oliker, John Shalf,
Katherine Yelick 'Optimization and Performance Modeling of Stencil
Computations on Modern Microprocessors' SIAM Review V.51,#1 March 2009
Davis Richard, Thomas Mikosch 'The Limit Theory for the Sample ACF of Stationary
Process with Heavy Tails with Applications to ARCH' Annals of Statistics
26, 1998
Dawson Paul, Kevin Dowd, Andrew Cairns, David Blake 'Completing the Survivor
Derivatives Market: A General Pricing Framework' SSRN 2/09
Dawson Paul, Kevin Dowd, Andrew Cairns, David Blake 'Options on Normal
Underlyings with an Application to the Pricing of Survivor Swaptions' SSRN
2/09
de Benoist Antonin, Hervé Alexandre 'Oil Prices and Sovereign Bonds Risk
Premium' SSRN 3/09
De Fontnouvelle Patrick 'Information Dynamics in Financial Markets'
Macroeconomic Dynamics 2001
De Fontnouvelle Patrick 'Searching for Sources of ARCH Behavior: Testing the
Mixture of Distributions Model' in P. Rothman, ed., Nonlinear Time Series
Analysis of Economic and Financial Data, Kluwer Academic Publishers, 1999.
De Fontnouvelle Patrick, John Jordan, Eric Rosengren 'Implications of
Alternative Operational Risk Modelling Techniques' in The Risks of
Financial Institutions, NBER/University of Chicago Press, 2006.
De Fontnouvelle Patrick, Raymond Fishe, Jeffrey Harris 'How New Entry in Options
Markets Affected Market Making and Trading Costs' Journal of Investment
Management V.,#2 2005 2Q
De Fontnouvelle Patrick, Virginia De Jesus-Rueff, John Jordan, Eric Rosengren
'Using Loss Data to Quantify Operational Risk' 2003 SSRN
De Fontnouvelle Patrick, Virginia De Jesus-Rueff, John Jordan, Eric Rosengren
'Capital and Risk: New Evidence on Implications of Large Operational
Losses' Journal of Money, Credit and Banking 2006
de Goeij Peter, Wessel Marquering 'Modeling the Conditional Covariance Between
Stock and Bond Returns: A Multivariate GARCH Approach' J. Financial
Econometrics V.2,#4 Fall 2004
de Goeij Peter, Wessel Marquering 'The Generalized Asymmetric Dynamic Covariance
Model' Finance Research Letters V.2,#2 6/05
De Prisco Ben, Ian Iscoe, Yijun Jiang, Helmut Mausser 'Compound Scenarios: an
Efficient Framework for Integrated Market-Credit Risk' J. of Risk Winter
2008 V.11,#2
de Roon Frans, Theo Nijman, Marta Szymanowska, Rob van den Goorbergh 'An Anatomy
of Commodity Futures Returns: Time-Varying Risk Premiums' SSRN 2/09
Dean Thomas, Paul Dupuis 'Splitting for Rare Event Simulation: a Large Deviation
Approach to Design and Analysis' SP&A V.119,#2 Feb. 2009
Décamps Jean-Paul, Thomas Mariotti, Stéphane Villeneuve 'Investment Timing under
Incomplete Information: Erratum' Mathematics of Operations Research 2009
34(1)
Decamps Marc, Ann De Schepper, Marc Goovaerts 'Spectral Decomposition Of Optimal
Asset–Liability Management' JED&C March 09, V.33,#3
Del Guercio Diane, Paula Tkac 'Star Power: The Effect of Morningstar Ratings on
Mutual Fund Flow' JF&QA 12/08 V.43,#4
Delbaen Freddy 'Risk Measures for Non-Integrable Random Variables' Mathematical
Finance V.19,#2 April 2009
Dellavigna Stefano, Joshua Pollet 'Investor Inattention and Friday Earnings
Announcements' JofF April 2009 V.64,#2
DeLong J. Bradford, Konstantin Magin 'The U.S. Equity Return Premium: Past,
Present, and Future' J. of Economic Perspectives V.23,#1 Winter 2009
Deloof Marc, Wouter De Maeseneire, Koen Inghelbrecht 'How Do Investment Banks
Value Initial Public Offerings (IPOs)?' Journal of Business Finance and
Accounting, vol. 36 no. 1/2, 2009
Demirakos Efthimios, Norman Strong, Martin Walker 'Does Valuation Model Choice
Affect Target Price Accuracy?' European Accounting Review, forthcoming 
Dempsey Michael 'The Fama and French Three-Factor Model and Leverage:
Compatibility with the Modigliani and Miller Propositions' SSRN 3/09
Demyanyk Yuliya 'Quick Exits of Subprime Mortgages' FRB St. Louis Review
March/April 2009 V.91,#2
den Iseger Peter 'Laplace Transform Inversion on the Entire Line' SSRN 3/09
den Iseger Peter, Emöke Oldenkamp 'High Dimensional Transformation Algorithms'
SSRN 3/09
Denault Michel, Geneviève Gauthier, Jean-Guy Simonato 'Estimation of Physical
Intensity Models for Default Risk' J. Futures Markets Feb.2009 V.29,#2
Deng Yongheng , Stuart Gabriel, Anthony Sanders 'CDO Market Implosion and the
Pricing of Subprime Mortgage-Backed Securities' SSRN 3/09
Denis Laurent, Begoña Fernández, Ana Meda 'Estimation of Value at Risk and Ruin
Probability for Diffusion Processes with Jumps' Mathematical Finance
V.19,#2 April 2009
Denzler Stefan, Michel Dacorogna, Ulrich Müller, Alexander McNeil 'From Default
Probabilities to Credit Spreads: Credit Risk Models Do Explain Market
Prices' Finance Research Letters V.3,#2 June 06
Derman Emanuel 'Models' FAJ V.65,#1 Jan/Feb 2009
Desvilles Gilles 'Early Unwinding of Futures Arbitrage' SSRN 4/09
Desvilles Gilles 'The Cost of Accuracy in the Least Squares Monte Carlo
Approach'SSRN 4/09
Deuskar Prachi, Tim Johnson 'The Liquidity of the Market Portfolio' SSRN 3/09
Devos Erik, Andrew Prevost, Ramesh Rao 'The Structure of Executive Stock Option
Compensation and the Cost of Debt' SSRN 3/09
Devos Erik, Palani-Rajan Kadapakkam, Srinivasan Krishnamurthy 'How Do Mergers
Create Value? A Comparison of Taxes, Market Power, and Efficiency
Improvements as Explanations for Synergies' RFS V.22,#3 March 2009
Dewachter Hans, Konstantijn Maes, Kristien Smedts 'Monetary Unification and the
Price of Risk: An Unconditional Analysis' Review of World Economics, V.
139,#2, 2003
Di Graziano Giuseppe, L. C. G. Rogers 'Equity with Markov-Modulated Dividends' 
QF V.9,#1 2009
Dia Baye 'Option Pricing with Fourier Series' SSRN 4/09
Dia Baye 'Option Valuation in a Fast Mean-Reverting GARCH Diffusion Model' SSRN
4/09
DiasparraMaikol, Rosario Romera 'Bounds for the Ruin Probability of a Discrete-
Time Risk Process' J. Applied Prob. V.46,#1 March 2009 <Lundberg's
inequality; proportional reinsurance>
Dichev Ilia, Gwen Yu 'Higher Risk, Lower Returns: What Hedge Fund Investors
Really Earn' SSRN 3/09
Dick-Nielsen Jens, Peter Feldhütter, David Lando 'Corporate Bond Liquidity
Before and After the Onset of the Subprime Crisis' SSRN 3/09
Didier Tatiana, Alexandre Lowenkron 'The Current Account as a Dynamic Portfolio
Choice Problem' SSRN 3/09
Didier Tatiana, Roberto Rigobon, Sergio Schmukler 'Unexploited Gains from
International Diversification' SSRN 3/09
Diebold Francis, Monika Piazzesi, Glenn Rudebusch 'Modeling Bond Yields in
Finance and Macroeconomics' AER V. 95,#2,  2005
Diebold Francis, Todd Gunter, Anthony Tay 'Evaluating Density Forecasts with
Applications to Financial Risk Management' International Economic Review
39,1998
Diesinger Peter, Holger Kraft, Frank Seifried 'Asset Allocation and Liquidity
Breakdowns: What If Your Broker Does Not Answer the Phone?' F&S tobe 2009
Diether Karl, Kuan-Hui Lee, Iingrid Werner 'It's SHO Time! Short-Sale Price
Tests and Market Quality' JofF V.64,#1 Feb. 2009
Diether Karl, Kuan-Hui Lee, Ingrid M. Werner 'Short-Sale Strategies and Return
Predictability' RFS 2/09 V.22,#2
Dimmock Stephen, William Christopher Gerken, Jennifer Marietta-Westberg
'Employee Ownership of Institutional Investment Management Firms' SSRN
3/09
Ding Bill, Hany Shawky, Jianbo Tian 'Liquidity Shocks, Size and the Relative
Performance of Hedge Fund Strategies' J. Banking and Finance May 2009
V.33,#5
Ding Letian, Peng Fei 'Optimal Portfolio Choice with Dynamic Asymmetric
Correlations and Transaction Constraints' SSRN 2/09
Dionysius Glycopantis, Carlos Hervés-Beloso and Konrad Podczeck 'Symposium on:
Equilibria with Asymmetric Information' Economic Theory Feb. 2009 38(2)
Dobránszky Péter, Wim Schoutens 'Do Not Forget the Cancellation - Marking-to-
Market and Hedging LCDX Tranches' SSRN 3/09
Doffou Ako 'New Methodologies in the Valuation of Interest Rate Options' SSRN
2/09
Doh Taeyoung 'Long Run Risks in the Term Structure of Interest Rates:
Estimation' SSRN 1/09
Doh Taeyoung 'Yield Curve in an Estimated Nonlinear Macro Model' SSRN 3/09
Doidge Craig, G. Andrew Karolyi, Karl Lins, Darius Miller, René Stulz 'Private
Benefits of Control, Ownership, and the Cross-listing Decision' JofF
V.64,#1 Feb. 2009
Dong Ming, Jean-Sebastien Michel 'Does Investor Heterogeneity Lead to IPO
Overvaluation?' SSRN 3/09
Dong Xi 'Developed Market Crises and Developed-Emerging Return Comovements: A
New Form of Contagion' SSRN 2/09
Dong Zhao, Tiange Xu, Tusheng Zhang 'Invariant Measures for Stochastic Evolution
Equations of Pure Jump Type' SP&A V.119,#2 Feb. 2009
Dorfleitner Gregor, Paul Schneider, Tanja Veza 'Flexing the Default Barrier'
SSRN 2/09
Dostál Petr 'Investment Strategies in the Long Run with Proportional Transaction
Costs and a HARA Utility Function' QF V.9,#2 2009
Douglas Alan V.S., Alan Guoming Huang, Kenneth Vetzal 'Cash Flow Volatility and
Corporate Bond Yield Spreads' SSRN 2/09
Drimus Gabriel 'A Forward Started Jump-Diffusion Model and Pricing of Cliquet
Style Exotics' SSRN 4/09
Drimus Gabriel 'Closed Form Convexity and Cross-Convexity Adjustments for Heston
Prices' SSRN 4/09
Du Du 'General Formulas for Valuing Stocks and Bonds with Regime Switching' SSRN
3/09
Duarte Jefferson, Lance Young 'Why is PIN Priced? <Probability of Informed
Trading> JFE V.91,#2 Feb.2009
Duchin Ran, Haim Levy 'Markowitz versus the Talmudic Portfolio Diversification
Strategies' J. Portfolio Management Winter 2009
Duffie Darrell, Haoxiang Zhu 'Does a Central Clearing Counterparty Reduce
Counterparty Risk?' SSRN 3/09
Dumas Bernard, Alexander Kurshev, Raman Uppal 'Equilibrium Portfolio Strategies
in the Presence of Sentiment Risk and Excess Volatility' JofF April 2009
V.64,#2
Dumitrescu Ariadna 'Corporate Governance and Market Liquidity' SSRN 3/09
Dungey Mardi, Luba Fakhrutdinova, Charles Goodhart 'After-Hours Trading in
Equity Futures Markets' J. Futures Markets Feb.2009 V.29,#2
Dunne Peter, Harald Hau, Michael Moore 'A Tale of Two Platforms: Dealer
Intermediation in the European Sovereign Bond Market' SSRN 3/09
Durand Robert, Paul Lloyd, Hong Wee Tee 'Myopic Loss Aversion and the Equity
Premium Puzzle Reconsidered' Finance Research Letters V.1,#3 9/04
Dynkin E.B., D. E. Brown, T. Kovary 'Theory of Markov Processes' 1961 Dover
Press
Eberlein Ernst, Antonis Papapantoleon, Albert Shiryaev 'Esscher Transform and
the Duality Principle for Multidimensional Semimartingales' 2008
Eberlein Ernst, Dilip Madan 'Maximally Acceptable Portfolios' Jan. 2009
Eberlein Ernst, Dilip Madan 'Sato Processes and the Valuation of Structured
Products' QF V.9,#1 2009 ) 7/07, <option-pricing>
Eberlein Ernst, Dilip Madan 'Short Positions, Rally Fears and Option Markets' WP
2007
Eberlein Ernst, Kathrin Glau, Antonis Papapantoleon 'Analysis of Valuation
Formulae and Applications to Exotic Options in Lévy Models' 2008
Ebrahim M. Shahid, Mark Shackleton, Rafal Wojakowski 'Participating Mortgages
and the Efficiency of Financial Intermediation' SSRN 2/09
Ech-Chatbi Charaf 'Geometrical Loss Model' SSRN 2/09
Ederington Louis, Wei Guan 'The Bias in Time-Series Volatility Forecasts' SSRN
3/09
Egloff Daniel 'Monte Carlo Algorithms for Optimal Stopping and Statistical
Learning Convergence Rates and Sample Complexity' SSRN 2003
Egozcue Martin, Wing-Keung Wong 'Do Investors Like to Diversify? A Study of
Markowitz Preferences, with Discussions on Prospect Preference' SSRN 2/09
Eikseth Hans Marius, Snorre Lindset 'A Note on Capital Asset Pricing and
Heterogeneous Taxes' J. Banking and Finance V. 33, #3,March 2009
Eikseth Hans Marius, Snorre Lindset 'What is the Economic Value of Backdating
Executive Stock Options?' SSRN 2/09
Ekström Erik, Henrik Wanntorp 'Optimal Stopping of a Brownian Bridge' J. Applied
Prob. V.46,#1 March 2009
El Karoui Nicole, Ying Jiao 'Stein’s Method and Zero Bias Transformation for CDO
Tranche Pricing' F&S V.13,#2 April 2009
El Karoui Nicole, Ying Jiao, David Kurtz 'Gaussian and Poisson Approximation:
Applications to CDOs Tranche Pricing' <Stein’s method, zero bias
transformation, first-order correction terms with Gaussian and Poisson
approximations> J. Computational Finance V.12,#2 Winter 2008
Elkouby Simon 'Revisting Short Rate Models' Barclays Capital 2007
Elliott Robert, Tak Kuen Siu 'On Markov-modulated Exponential-affine Bond Price
Formulae' Applied Mathematical Finance V.16,#1 2009
Ellison Glenn, Sara Fisher Ellison 'Search, Obfuscation, and Price Elasticities
on the Internet' Econometrica V.77,#2 March 2009
Ellul Andrew, Pab Jotikasthira, Christian Lundblad 'Regulatory Pressure and Fire
Sales in the Corporate Bond Markets' SSRN 3/09
Engelmann Bernd, Matthias Fengler, Morten Nalholm, Peter Schwendner 'Static
Versus Dynamic Hedges: An Empirical Comparison For Barrier Options' Review
of Derivatives Research V.9,#3 Nov. 2006
Engle Charles, Akio Matsumoto 'The International Diversification Puzzle When
Goods Prices are Sticky: It's Really About Exchange-Rate Hedging, Not
Equity Portfolios' SSRN 3/09
Engle Robert 'Anticipating Correlations' <dynamic conditional correlation> 2009
Princeton Press
Engsted Tom 'Explosive Bubbles In the Cointegrated VAR Model' Finance Research
Letters V.3,#2 June 06
Ennis Huberto,Todd Keister 'Understanding Monetary Policy Implementation' FRB
Richmond Quarterly Summer 2008 V.94,#3
Eriksson Anders, Eric Ghysels, Fangfang Wang 'The Normal Inverse Gaussian
Distribution and the Pricing of Derivatives' Journal of Derivatives Spring
2009
Escobar Marcos, Barbara Götz, Luis Seco, Rudi Zagst 'Pricing of Spread Options
on Stochastically Correlated Underlyings' Journal of Computational Finance
V.12,#3 2009
Espinoza Raphaël, Charles Goodhart, Dimitrios Tsomocos 'State Prices, Liquidity,
and Default' Economic Theory May 2009 39(2)
Etula Erkko 'On Forward-Looking Exchange Rates and Commodity Prices' SSRN 3/09
Ezra Don 'The Second Moment' FAJ V.65,#1 Jan/Feb 2009
Fabozzi Frank, Radu Tunaru, George Albota 'Estimating Risk-Neutral Density with
Parametric Models in Interest Rate Markets' QF V.9,#1 2009
Fabozzi Frank, Xiaolin Cheng, Ren-Raw Chen 'Exploring the Components of Credit
Risk in Credit Default Swaps' Finance Research Letters V.4,#1 3/07
Farhi Emmanuel 'Rare Disasters and Exchange Rates' SSRN 3/09
Faugère Christophe, Julian Van Erlach 'A Required Yield Theory of Stock Market
Valuation and Treasury Yield Determination' Financial Markets,
Institutions & Instruments, V.18,#1, February 2009
Favara Giovanni, Enrique Schroth, Philip Valta 'Is Shareholders' Strategic
Default Behavior Priced? Evidence from the International Cross-Section of
Stocks' SSRN 3/09
Feldhütter Peter, Anders Trolle, Paul Schneider 'Jumps in Interest Rates and
Pricing of Jump Risk -- Evidence from the Eurodollar Market' SSRN 2/09
Feng Dingan, George Jiang, Peter X.-K. Song 'Stochastic Conditional Duration
Models with "Leverage Effect" for Financial Transaction Data' J. Financial
Econometrics V.2,#3 Summer 2004
Fernandes Nuno 'Sovereign Wealth Funds: Investment Choices and Implications
around the World' SSRN 2/09
Ferreira Eva, Javier Gil-Bazo 'Beyond Single-Factor Affine Term Structure
Models' J. Financial Econometrics V.2,#4 Fall 2004
Ferreira Miguel, Jose A. Lopez 'Evaluating Interest Rate Covariance Models
Within a Value-at-Risk Framework' J. Financial Econometrics V.3,#1 Winter
2005
Feunou Bruno 'No-Arbitrage VARMA Term Structure Models with Macroeconomic
Variables' SSRN 3/09
Feunou Bruno, Nour Meddahi 'Generalized Affine Models' 11/07 <term structure>
<cumulant function, option pricing, ARMA, GARCH, VARMA, non-Markovian>
Feunou Bruno, Nour Meddahi 'Realized Term Structure of Risk' 2007
Feunou Bruno, Peter Christoffersen, Kris Jacobs, Nour Meddahi 'Realized Option
Pricing Models' 2007
Feunou Bruno, Roméo Tédongap 'A Multifactor Stochastic Volatility Model with
Time-Varying Conditional Skewness' SSRN 3/09
Feunou Bruno, Roméo Tédongap 'Modeling Market Downside Volatility' SSRN 3/09
Feunou Bruno, Roméo Tédongap 'Affine Stochastic Skewness Models' 2007
Figelman Ilya 'Effect of Non-Normality Dynamics on the Expected Return of
Options' J. Portfolio Management Winter 2009
Figlewski Stephen 'Viewing the Financial Crisis from 20,000 Feet Up' Journal of
Derivatives Spring 2009
Filipovic Damir, Eberhard Mayerhofer 'Affine Diffusion Processes: Theory and
Applications' SSRN 1/09 <Vasicek, Cox–Ingersoll–Ross and Heston models>
Finger Christopher 'Testing Hedges under the Standard Tranched Credit Model'
RiskMetrics Journal, V.9,#1,2009
Finlay Richard, Eugene Seneta 'Option Pricing with VG–Like Models' <Variance-
Gamma, flexible skewness, dependence of squared returns, accommodation of
the leverage effect> IJT&AF V.11,#8 Dec. 2008
Fitzpatrick Julie, Joseph Ogden 'Do Asset Pricing Anomalies Have a Common Link?
An Empirical Analysis of Interactions among Failure Risk Proxies, External
Financing, and Stock Returns' SSRN 3/09
Fitzpatrick Thomas James, Chris Sagers 'Faith-Based Financial Regulation: A
Primer on Oversight of Credit Rating Organizations' SSRN 3/09
Fleming Jeff, Chris Kirby 'A Closer Look at the Relation between GARCH and
Stochastic Autoregressive Volatility' J. Financial Econometrics V.1,#2
Summer 2003
Folks William 'Integrating International Finance into a Unified Business Program
Integrating International Finance into a Unified Business Program' JF&QA
Nov. 1977 V.12,#4
Föllmer Hans 'Financial Uncertainty, Risk Measures and Robust Preferences' in
'Aspects of Mathematical Finance' Springer 2008 (ed) Marc Yor
Ford Kenneth 'John Wheelers Work on Particles, Nuclei, and Weapons' Physics
Today April 2009 <physics>
Forsberg Lars, Eric Ghysels 'Why Do Absolute Returns Predict Volatility So
Well?' J. Financial Econometrics V.5,#1 Winter 2007
Forster Barbara, Eva Lütkebohmert, Josef Teichmann 'Absolutely Continuous Laws
of Jump-Diffusions in Finite and Infinite Dimensions With Applications to
Mathematical Finance' SIAM J. Math. Analysis 1/09 V.40,#5 <Greeks,
Malliavin weights, Vasicek>
Fortnow Lance, Rakesh Vohra 'The Complexity of Forecast Testing' Econometrica
Jan. 09 V77,#1
Fouque Jean-Pierre, George Papanicolaou, Ronnie Sircar, Knut Solna 'Volatility
Perturbations in Financial Markets' Cambridge Press 2009
Franke Guenter 'Approximated Portfolio Choice - Do We Dance on a Pinhead?' SSRN
2/09
Franke Guenter, James Huang, Richard Stapleton 'Two-Dimensional Risk-Neutral
Valuation Relationships For The Pricing Of Options' Review of Derivatives
Research V.9,#3 Nov. 2006
Frei Christoph, Martin Schweizer 'Exponential Utility Indifference Valuation in
a General Semimartingale Model' NCCR FINRISK working paper No. 499, ETH
Zurich2008 <indifference valuation, minimal entropy martingale measure,
BSDE, BMO-martingales, fundamental entropy representation (FER)>
Fridson Martin 'A Guide to Equity Index Construction' FAJ V.65,#1 Jan/Feb 2009
Frijns Bart, Thorsten Lehnert, Remco Zwinkels 'A Volatility Targeting GARCH
Model with Time-Varying Coefficients' SSRN 2/09
Frino Alex, Andrew Lepone, Brad Wong 'Derivative Use, Fund Flows and Investment
Manager Performance' J. Banking and Finance May 2009 V.33,#5
Froot Kenneth, Melvyn Teo 'Style Investing and Institutional Investors' <size,
value/growth, sector> JF&QA 12/08 V.43,#4
Frostig Esther 'On Ruin Probability for a Risk Process Perturbed by a Lévy
Process with No Negative Jumps' Stochastic Models V.24,#2 2008
Fu Fangjian 'Idiosyncratic Risk and the Cross-Section of Expected Stock Returns'
JFE Jan.09 V.91,#1
Fu Shihe, Liwei Shan 'Corporate Equality and Equity Prices: Doing Well While
Doing Good?' SSRN 3/09
Fuerst Franz, Gianluca Marcato 'Style Analysis in Real Estate Markets: Beyond
the Sectors and Regions Dichotomy' SSRN 3/09
Fugarolas-Alvarez-Ude Guadalupe, Carlos Hervés-Beloso, Emma Moreno-García, Juan
Pablo Torres-Martínez 'A Market Game Approach to Differential Information
Economies' Economic Theory Feb. 2009 38(2)
Fukasawa Masaaki 'Central Limit Theorem for the Realized Volatility Based on
Tick Time Sampling' F&S tobe 2009
Funaki Tadahisa, Bin Xie 'A Stochastic Heat Equation with the Distributions of
Lévy Processes as Its Invariant Measures' SP&A V.119,#2 Feb. 2009
Gabaix Xavier 'Crash Risk in Currency Markets' SSRN 3/09
Galvani Valentina 'Option Spanning with Exogenous Information Structure' J.
Math. Econ V.45,#1-2  Jan 2009
Galvani Valentina 'Underlying Assets for which Options Complete The Market'
Finance Research Letters V.4,#1 3/07
Gao Jiti Isabel Casas 'Specification Testing in Discretized Diffusion Models:
Theory and Practice' J. Econometrics V.147, #1 Nov. 2008
Garcia René, Éric Renault, Andrei Semenov 'Disentangling Risk Aversion and
Intertemporal Substitution through a Reference Level' Finance Research
Letters V.3,#3 9/06
Garcia René, Nour Meddahi, Romeo Tedongap 'An Analytical Framework for Assessing
Asset Pricing Models and Predictability' May 2006
Garfinkel Jon, Jarjisu Sa-Aadu 'A Decade of Living Dangerously: The Causes and
Consequences of the Mortgage and Financial Crises' SSRN 1/09
Garlappi Lorenzo, Georgios Skoulakis 'Numerical Solutions to Dynamic Portfolio
Problems: The Case for Value Function Iteration using Taylor
Approximation' Computational Economics March 2009 V.33,#2
Gârleanu Nicolae, Jeffrey Zwiebel 'Design and Renegotiation of Debt Covenants'
RFS 2/09 V.22,#2
Gârleanu Nicolae, Lasse Heje Pedersen 'Dynamic Trading with Predictable Returns
and Transaction Costs' SSRN 3/09
Garmaise Mark, Tobias Moskowitz 'Catastrophic Risk and Credit Markets' JofF
April 2009 V.64,#2
Gasbarro Dominic, J. Kenton Zumwalt, Wing-Keung Wong 'A Stochastic Dominance
Analysis of Risk Averse and Risk Seeking Behavior' SSRN 3/09
Gatev Evan, Til Schuermann, Philip Strahan 'Managing Bank Liquidity Risk: How
Deposit-Loan Synergies Vary with Market Conditions' RFS V.22,#3 March 2009
Gavin William 'More Money: Understanding Recent Changes in the Monetary Base'
FRB St. Louis Review March/April 2009 V.91,#2
Geman Hélyette 'Stochastic Clock and Financial Markets' in 'Aspects of
Mathematical Finance' Springer 2008 (ed) Marc Yor
Genberg Hans, C. H. Hui, Alfred Wong, T. K. Chung 'The Link between FX Swaps and
Currency Strength during the Credit Crisis of 2007-2008' SSRN 2/09
Geske Robert 'The Valuation of Corporate Liabilities as Compound Options' JF&QA
V.12,#4 Nov. 1977
Geske Robert, Yi Zhou 'Capital Structure Effects on Prices of Firm Stock
Options: Tests Using Implied Market Values of Corporate Debt' SSRN 2/09
Ghysels Eric, Andrew Harvey, Eric Renault 'Stochastic Volatility' in Rao,
Maddala 'Statistical Methods in Finance' North Holland 1996 , <volatility>
11/95 CIRANO wp
Giambona Erasmo, Joseph Golec 'Mutual Fund Volatility Timing and Management
Fees' J. Banking and Finance V. 33, #4,April 2009
Giamouridis Daniel, Ioanna Ntoula 'A Comparison of Alternative Approaches for
Determining the Downside Risk of Hedge Fund Strategies' J. Futures Markets
V.29,#3 March 2009
Giampaoli Iacopo, Wing Lon Ng, Nick Constantinou 'Analysis of Ultra-High-
Frequency Financial Data using Advanced Fourier Transforms' Finance
Research Letters V.6,#1 3/09
Giat Yahel, Steve Hackman, Ajay Subramanian 'Venture Capital Investment Under
Uncertainty and Asymmetric Beliefs: A Continuous-Time, Stochastic
Principal-Agent Model' SSRN 3/09
Gibson Rajna, Ramazan Gencay, Yi Xue 'The Role of Signal Precision and
Transaction Costs in Stock, Option and Volatility Trading' SSRN 4/09
Giddy Ian 'A Note on the Macroeconomic Assumptions of International Financial
Management:  a Note on the Macroeconomic Assumptions of International
Financial Management' JF&QA Nov. 1977 V.12,#4
Giesecke Kay, Baeho Kim 'Risk Analysis of Collateralized Debt Obligations' SSRN
2/09
Gikhman Ilya 'Multiple Risky Securities Valuation' SSRN 3/09
Gikhman Ilya 'Remarks on Basics of Financial Modeling' SSRN 3/09
Gilli Manfred, Enrico Schumann 'An Empirical Analysis of Alternative Portfolio
Selection Criteria' SSRN 3/09
Gilli Manfred, Enrico Schumann 'Implementing Binomial Trees' SSRN 2/09
Gimeno Ricardo, J. Manuel Marqués 'Extraction of Financial Market Expectations
about Inflation and Interest Rates from a Liquid Market' SSRN 4/09
Giofré Maela 'Bias in Foreign Equity Portfolios: Households Versus Professional
Investors' SSRN 2/09
Giovanis Eleftherios 'The Arbitrage Pricing Theory and the Capital Asset Pricing
Models and Artificial Neural Networks Modeling with Particle Swarm
Optimization (PSO)' SSRN 3/09
Giraitis Liudas, Remigijus Leipus, Peter Robinson, Donatas Surgailis 'LARCH,
Leverage, and Long Memory' J. Financial Econometrics V.2,#1 Spring 2004
Gisiger Nicolas 'Portfolio Credit Derivatives Based on Rating Migration' SSRN
3/09
Glasserman Paul, Kyoung-Kuk Kim 'Gamma Expansion of the Heston Stochastic
Volatility Model' 8/08 <Monte Carlo simulation, integral of the variance
process over an interval, conditional on the level of the variance at the
endpoints. Pitman-Yor decomposition of Bessel bridges & Broadie-Kaya exact
simulation>
Glode Vincent, Burton Hollifield, Marcin Kacperczyk, Shimon Kogan 'Is Investor
Rationality Time Varying? Evidence from the Mutual Fund Industry' SSRN
3/09
Glycopantis Dionysius, Allan Muir, Nicholas Yannelis 'On Non-Revealing Rational
Expectations Equilibrium' Economic Theory Feb. 2009 38(2)
Gobet Emmanuel, Gilles Pagès, Marc Yor 'Mathematics and Finance' in 'Aspects of
Mathematical Finance' Springer 2008 (ed) Marc Yor
Gockenbach Mark 'Partial Differential Equations: Analytical and Numerical
Methods' 2002 SIAM Press
Gokcen Umut 'Information Revelation and Stock Returns' SSRN 3/09
Goldstein Itay, Emre Ozdenoren, Kathy Yuan 'Coordination in Financial Markets
and its Impact on Real Economic Activities' SSRN 3/09
Gollier Christian 'Maximizing the Expected Net Future Value as an Alternative
Strategy to Gamma Discounting' Finance Research Letters V.1,#2 June 04
Gomes Joao, Lukas Schmid 'Equilibrium Credit Spreads and the Macroeconomy'SSRN
2009
Gomez Juan Pedro, Richard Priestley, Fernando Zapatero 'Implications of Keeping
up with the Joneses Behavior for the Equilibrium Cross Section of Stock
Returns: International Evidence' Journal of Finance, Forthcoming  
Gonçalves Silvia, Nour Meddahi 'Bootstrapping Realized Volatility' Econometrica
Jan. 09 V77,#1
Gonçalves Silvia, Nour Meddahi 'Box-Cox Transforms for Realized Volatility' July
2006
Gonzalez Angel Gavilan, Juan Rojas 'Solving Portfolio Problems with the Smolyak-
Parameterized Expectations Algorithm' SSRN 2/09
González-Rivera Gloria, Tae-Hwy Lee, Emre Yoldas 'Optimality of the RiskMetrics
VaR Model' Finance Research Letters V.4,#3 9/07
Gopalan Radhakrishnan, Ohad Kadan, Mikhail Pevzner 'Managerial Decisions, Asset
Liquidity, and Stock Liquidity' SSRN 3/09
Gorton Gary, Matthias Kahl 'Blockholder Scarcity, Takeovers, and Ownership
Structures' JF&QA 12/08 V.43,#4
Gouriéroux Christian 'Positivity Conditions for a Bivariate Autoregressive
Volatility Specification' J. Financial Econometrics V.5,#4 Fall 2007
Gouriéroux Christian, Alain Monfort 'Econometric Specifications of Stochastic
Discount Factor Models' J. of Econometrics 136, 2006
Gouriéroux Christian, Alain Monfort, Vassilis Polimenis 'Affine Term Structure
Models' 2002
Gouriéroux Christian, Joann Jasiak 'Autoregressive Gamma Processes' J. of
Forecasting 25, 2006
Gouriéroux Christian, Joann Jasiak 'Value at Risk' Handbook of Financial
Econometrics 2002
Gourio Francois 'Time-Varying Risk of Disaster, Time-Varying Risk Premia, and
Macroeconomic Dynamics' SSRN 3/09
Govindan Srihari, Robert Wilson 'On Forward Induction' Econometrica Jan. 09
V77,#1
Govindaraj Suresh 'Hypothesis Testing for Diffusion Processes with Continuous
Observations: Direct Computation of Large Deviation Results for Error
Probabilities' Finance Research Letters V.2,#4 12/05
Graciela Chichilnisky 'Bootstrapping the Illiquidity: Multiple Yield Curves
Construction for Market Coherent Forward Rates Estimation' MODELING
INTEREST RATES, Fabio Mercurio, ed., Risk Books 
Graham John, Campbell Harvey 'The Long-Run Equity Risk Premium' Finance Research
Letters V.2,#4 12/05
Graja Asma 'Bayesian Analysis of Stochastic Volatility Models' SSRN 4/09
Grass Gunnar 'The Impact of Corporate Diversification on the Option Value of
Equity' SSRN 3/09
Grass Gunnar 'Using Structural Models for Default Prediction' SSRN 2/09
Grauer Robert, Johannus Janmaat 'On the Power Of Cross-Sectional And
Multivariate Tests of the CAPM' J. Banking and Finance May 2009 V.33,#5
Graversen Svend 'Proof of Two Theorems on Power Variation and Stochastic
Volatility' wp Aarhus U. 2003
Greenleaf Allan, Yaroslav Kurylev, Matti Lassas, Gunther Uhlmann 'Cloaking
Devices, Electromagnetic Wormholes, and Transformation Optics' SIAM Review
V.51,#1 March 2009
Greenwood Robin 'Trading Restrictions and Stock Prices' RFS 2/09 V.22,#2
Gregory Jon 'Being Two-Faced over Counterparty Credit Risk' RISK 2/09
Griffin Dale, Kai Li, Heng Yue, Longkai Zhao 'Cultural Values and Corporate
Risk-Taking' SSRN 3/09
Griffin Jim, Roel Oomen 'Measurement in the Presence Of Non-Synchronous Trading
and Market Microstructure Noise' 2006 wp (CIREQ Conf. on realized
volatility).
Grinblatt Mark, Matti Keloharju 'Sensation Seeking, Overconfidence, and Trading
Activity' JofF April 2009 V.64,#2
Grinold Richard, Mark Taylor 'The Opportunity Set: Market Opportunities and the
Effective Breadth of a Portfolio' J. Portfolio Management Winter 2009
Grishchenko Olesya, Jing-Zhi Huang 'Inflation Risk Premium: Evidence from the
Tips Market' SSRN 2/09
Grüne Lars, Willi Semmler 'Default Risk, Asset Pricing, and Debt Control' J.
Financial Econometrics V.3,#1 Winter 2005
Grzelak Lech, Kees Oosterlee, Sacha van Weeren 'Extension of Stochastic
Volatility Equity Models with Hull-White Interest Rate Process' SSRN 2/09
Guastaroba Gianfranco, Renata Mansini, M. Grazia Speranza 'Models and
Simulations for Portfolio Rebalancing' Computational Economics  April 2009
V.33,#3
Guillaume Tristan 'Making the Best of Best-Of' <options on maximum> Review of
Derivatives Research V.11,#1-2 March 2008
Gulisashvili Archil, Elias Stein 'Implied Volatility in the Hull–White Model'
Mathematical Finance V.19,#2 April 2009
Gunduz Yalin, Marliese Uhrig-Homburg 'Does Modeling Framework Matter? A
Comparative Study of Structural and Reduced-Form Models' SSRN 2/09
Guo Hui 'Data Revisions and Out-of-Sample Stock Return Predictability' Economic
Inquiry, V47,#1, January 2009
Gurkaynak Refet, Brian Sack, Jonathan Wright 'The TIPS Yield Curve and Inflation
Compensation' SSRN 1/09
Guthrie Graeme 'House Prices, Construction Costs, and the Value of Waiting' SSRN
3/09
Guthrie Graeme 'Learning Options and Binomial Trees' SSRN 2/09
Haas Markus, Stefan Mittnik, Marc Paolella 'A New Approach to Markov-Switching
GARCH Models' J. Financial Econometrics V.2,#4 Fall 2004
Haas Markus, Stefan Mittnik, Marc Paolella 'Mixed Normal Conditional
Heteroskedasticity' J. Financial Econometrics V.2,#1 Spring 2004
Hackbarth Dirk 'Managerial Traits and Capital Structure Decisions' JF&QA 12/08
V.43,#4
Hagan Patrick, Andrew Lesniewski 'Libor Market Model with SABR Style Stochastic
Volatility' wp 2008 <LMM> <term structure>
Hahn Jaehoon, Hangyong Lee 'Financial Constraints, Debt Capacity, and the Cross-
section of Stock Returns' JofF April 2009 V.64,#2
Haley M. Ryan 'A Simple Nonparametric Approach to Low-Dimension, Shortfall-Based
Portfolio Selection' Finance Research Letters V.5,#3 9/08
Haley M. Ryan, M. Kevin McGee ' Tilting Safety First and the Sharpe Portfolio'
Finance Research Letters V.3,#3 9/06
Hall Jason, Ben McVicar 'Impact of Sector versus Security Choice on Equity
Portfolios' SSRN 3/09
Hallerbach Winfried 'An Improved Estimator for Black-Scholes-Merton Implied
Volatility' SSRN 1/09
Hallerbach Winfried 'Holding Period Return-Risk Modeling: The Importance of
Dividends' SSRN 1/09
Hallerbach Winfried, Igor Pouchkarev 'A Relative View on Tracking Error' SSRN
1/09
Hamilton David 'Measuring the Credit Risk of Synthetic CDOs with CDS-Implied
Ratings' SSRN 2/09
Han Bing, Alok Kumar 'Retail Habitat, Speculation, and Stock Prices' SSRN 4/09
Han Chulwoo, Jangkoo Kang 'An Extended <Creditrisk.sup.+> Framework for
Portfolio Credit Risk Management' Journal of Credit Risk V.4,#4 Winter
2008
Han Song, Dan Li 'Liquidity Crisis, Runs, and Security Design -- Lessons from
the Collapse of the Auction Rate Securities Market' SSRN 3/09
Hann Rebecca, Maria Ogneva, Oguzhan Ozbas 'Corporate Diversification and the
Cost of Capital' SSRN 3/09
Hansen Lars Peter, José Scheinkman 'Long-Term Risk: An Operator Approach'
Econometrica Jan. 09 V77,#1
Hansen Peter Reinhard, Asger Lunde 'A Realized Variance for the Whole Day Based
on Intermittent High-Frequency Data' J. Financial Econometrics V.3,#4 Fall
2005
Härdle Wolfgang, Helmut Herwartz, Vladimir Spokoiny 'Time Inhomogeneous Multiple
Volatility Modeling' J. Financial Econometrics V.1,#1 Spring 2003
Harrison J. Michael 'Martingales and Stochastic Integrals in the Theory of
Securities Markets' Advances in Applied Probability V.12,#2 June 1980
Hartman-Glaser Barney, Tomasz Piskorski, Alexei Tchistyi 'Optimal Securitization
with Moral Hazard' SSRN 4/09
Hasseltoft Henrik 'The 'Fed Model' and the Changing Correlation of Stock and
Bond Returns: An Equilibrium Approach' SSRN 3/09
Haubrich Joseph, Peter Ritchken, George Gaetano Pennacchi 'Estimating Real and
Nominal Term Structures Using Treasury Yields, Inflation, Inflation
Forecasts, and Inflation Swap Rates' SSRN 3/09
Haven Emmanuel, Xiaoquan Liu, Chenghu Ma, Liya Shen 'Revealing the Implied Risk-
Neutral MGF from Options: the Wavelet Method'   JED&C March 09, V.33,#3
<moment generating functions>
Hayashi Takaki, Jean Jacod, Nakahiro Yoshida 'Irregular Sampling and Central
Limit Theorems for Power Variations: the Continuous Case' 12/2/08
<realized quadratic variation, jumps> <volatility>  
Hayashi Takaki, Nakahiro Yoshida 'Asymptotic Normality of a Covariance Estimator
for Nonsynchronously Observed Diffusion Processes' Annals of the Institute
of Statistical Mathematics, 60, 2008
Hayashi Takaki, Nakahiro Yoshida 'Nonsynchronous Covariance Estimator and Limit
Theorem' 2006
Hayashi Takaki, Nakahiro Yoshida 'On Covariance Estimation of Nonsynchronously
Observed Diffusion Processes' Bernoulli, 11, 2005
He Ling, Chenyi Hu 'Impacts of Interval Computing on Stock Market Variability
Forecasting' Computational Economics  April 2009 V.33,#3
He Zhiguo 'Optimal Executive Compensation when Firm Size Follows Geometric
Brownian Motion' RFS 2/09 V.22,#2
He Zhiguo, Arvind Krishnamurthy 'A Model of Capital and Crises' SSRN 3/09
Hearn Bruce, Jenifer Piesse, Kate Phylaktis 'Legal Regime, Size, and Liquidity
Factors in Asset Pricing' SSRN 3/09
Hege Ulrich, Stefano Lovo, Myron Slovin, Marie Sushka 'Equity and Cash in
Intercorporate Asset Sales: Theory and Evidence' RFS 2/09 V.22,#2
Henrard Marc 'The Irony in the Derivatives Discounting' Wilmott Magazine July
2007
Herbertsson Alexander 'Pricing Synthetic CDO Tranches in a Model with Default
Contagion using the Matrix Analytic Approach' Journal of Credit Risk
V.4,#4 Winter 2008
Hervés-Beloso Carlos, V. Filipe Martins-da-Rocha, Paulo Monteiro 'Equilibrium
Theory with Asymmetric Information and Infinitely Many States' Economic
Theory Feb. 2009 38(2)
Heston Steven 'A Model of Discontinuous Interest Rate Behavior, Yield Curves,
and Volatility' Review of Derivatives Research V.10,#3 Dec. 2007 , <term
structure> <gamma process> wp 1/95
Heydenreich Birgit, Rudolf Müller, Marc Uetz, Rakesh Vohra 'Characterization of
Revenue Equivalence' Econometrica Jan. 09 V77,#1
Hiebert Paul, Matthias Sydow 'What Drives Returns to Euro Area Housing? Evidence
from a Dynamic Dividend-Discount Model' SSRN 3/09
Hirth Stefan, Marliese Uhrig-Homburg 'Investment Timing, Liquidity, and Agency
Costs of Debt' SSRN 3/09
Ho Chienwei, Chi-Hsiou Hung 'Investor Sentiment as Conditioning Information in
Asset Pricing' J. Banking and Finance May 2009 V.33,#5
Hobson David 'Comparison Results for Stochastic Volatility Models via Coupling'
F&S tobe 2009
Hoffmann Mathias, Ronald MacDonald 'Real Exchange Rates and Real Interest Rate
Differentials: A Present Value Interpretation' SSRN 3/09
Holden Craig 'Penny Wise, Dollar Foolish: The Left-Digit Effect in Security
Trading' SSRN 3/09
Hombert Johan, David Thesmar 'Limits of Limits of Arbitrage: Theory and
Evidence' SSRN 3/09
Hong L. Jeff, Guangwu Liu 'Simulating Sensitivities of Conditional Value at
Risk' V.55,#2  Management Science Feb. 2009
Hooper Vincent, Kevin Ng, Jonathan Reeves 'Quarterly Beta Forecasting: An
Evaluation' International Journal of Forecasting, V. 24,# 3, 2008
Hoppe Eva, Patrick Schmitz 'Can Contracts Solve the Hold-Up Problem?
Experimental Evidence' SSRN 3/09
Hoque Hafiz, Meziane Lasfer 'Insider Trading Before IPO Lockup Expiry Dates: The
UK Evidence' SSRN 3/09
Hörner Johannes, Nicolas Vieille 'Public vs. Private Offers in the Market for
Lemons' Econometrica Jan. 09 V77,#1
Hörner Johannes, Stefano Lovo 'Belief-Free Equilibria in Games with Incomplete
Information' Econometrica V.77,#2 March 2009
Horváth Lajos, Piotr Kokoszka, Ricardas Zitikis 'Sample and Implied Volatility
in GARCH Models' J. Financial Econometrics V. 4,#4 Fall 2006
Howard Ronald 'Dynamic Probabilistic Systems, Volume I: Markov Models' 1971
Dover Press
Howard Ronald 'Dynamic Probabilistic Systems, Volume II: Semi-Markov and
Decision Processes' 1971 Dover Press
Hsu Chih-Chiang 'The MOSUM of Squares Test for Monitoring Variance Changes'
Finance Research Letters V.4,#4 12/07
Hu Shengsui, Yannick Malevergne, Didier Sornette 'Investors Misperception: A
Hidden Source of High Markups in the Mutual Fund Industry' SSRN 3/09
Huang James 'Are We Extracting the True Risk Neutral Density from Option Prices?
A Question with No Easy Answer' SSRN 2/09
Huang Jinggang, Craig Friedman 'Modeling Multi-Period Corporate Default
Probability When Hazard Ratios Decay' J. Credit Risk V.5,#1 2009
Huang Tai-Hsin, Ying-Hsiu Chen 'A Study on Long-Run Inefficiency Levels of a
Panel Dynamic Cost Frontier under the Framework of Forward-Looking
Rational Expectations' J. Banking and Finance May 2009 V.33,#5
Huang Weihua 'The Role of Financial Media in Corporate Financing' SSRN 3/09
Huang Xin, George Tauchen 'The Relative Contribution of Jumps to Total Price
Variance' J. Financial Econometrics V.3,#4 Fall 2005
Huang Zhijian (James) 'Real-Time Profitability of Published Anomalies: An Out-
of-Sample Test' SSRN 3/09
Hürlimann Werner 'A Note on Generalized Distortion Risk Measures' Finance
Research Letters V.3,#4 12/06
Hughson Eric, Moonsoo Kang 'Does More Informed Trading Necessarily Lead to
Higher Expected Returns?' SSRN 3/09
Hugonnier Julien, Tony Berrada 'Incomplete Information, Idiosyncratic Volatility
and Stock Returns' SSRN 1/09
Huian Maria Carmen 'Some Aspects Regarding the Role of Fair Value Accounting
During the Current Financial Crisis' SSRN 4/09
Hulley Hardy, Eckhard Platen 'Laplace Transform Identities for Diffusions, with
Applications to Rebates and Barrier Options' October 2007
Hunter Delroy 'Do Bank-Credit Constraints Affect the Cost of Equity?' SSRN 3/09
Hurd Thomas 'Credit Risk Modelling using Time-Changed Brownian Motion' in
Further Developments in Quant. Fiance Workshop 2007
Hurd Thomas, Alexey Kuznetsov 'On the First Passage Time for Brownian Motion
Subordinated by a Lévy Process' J. Applied Prob. V.46,#1 March 2009
Hurlin Christophe, Patrick Kouontchou, Bertrand Maillet 'A Robust Conditional
Realized Extended 4-CAPM' SSRN 2/09
Hurst Simon, Eckhard Platen, Svetolzar Rachev 'A Comparison of Subordinated
Asset Price' wp 1995
Hurst Simon, Eckhard Platen, Svetolzar Rachev 'Subordinated Market Index Models:
A Comparison' Journal Asia-Pacific Financial Markets  V.4, #2 May  1997
Hurvich Clifford, Bonnie Ray 'The Local Whittle Estimator of Long-Memory
Stochastic Volatility' J. Financial Econometrics V.1,#2 Summer 2003
Huskaj Bujar, Marcus Nossman 'A Market Model for the VIX Futures Market' SSRN
2/09
Huth Nicolas, Frederic Abergel 'The Times Change: Multivariate Subordination,
Empirical Facts' SSRN 3/09
Hwang Lee-Seok, Byungcherl Charlie Sohn 'Return Predictability and Shareholders'
Real Options' Review of Accounting Studies, Forthcoming
Hwang Soosung, Chensheng Lu 'Is Share Price Relevant?' SSRN 2/09
Hyung Namwon, Casper G. de Vries 'Portfolio Diversification Effects of Downside
Risk' J. Financial Econometrics V.3,#1 Winter 2005
Ibragimov Rustam, Dwight Jaffee, Johan Walden 'Nondiversification Traps in
Catastrophe Insurance Markets' RFS V.22,#3 March 2009
Ignatieva Katja, Paulo Rodrigues, Norman Seeger 'Stochastic Volatility and
Jumps: Exponentially Affine Yes or No? An Empirical Analysis of S&P500
Dynamics' SSRN 3/09
Illeditsch Philipp 'Ambiguous Information, Risk Aversion, and Asset Pricing'
SSRN 3/09
In Francis, Sangbae Kim 'A Note on the Relationship Between Fama–French Risk
Factors and Innovations of ICAMP State Variables' Finance Research Letters
V.4,#3 9/07
Inglis Stewart, Alex Lipton, Artur Sepp 'Factor Models for Credit Correlation'
RISK April 2009
Iosifescu Marius 'Finite Markov Processes and Their Applications' Dover Press
Irvine Paul, Jeffrey Pontiff 'Idiosyncratic Return Volatility, Cash Flows, and
Product Market Competition' RFS V.22,#3 March 2009
Jackson James 'Treynor on Institutional Investing' FAJ V.65,#1 Jan/Feb 2009
Jackson Kenneth, Sebastian Jaimungal, Vladimir Surkov 'Fourier Space Time-
Stepping for Option Pricing with Lévy Models' <Jump-diffusion, Lévy
models, partial integro-differential equation (PIDE), transform methods,
American, Bermudan> J. Computational Finance V.12,#2 Winter 2008
Jacod Jean 'Limit of Random Measures Associated with the Increments of a
Brownian Semimartingale' U. Marie Curie 1994
Jacod Jean 'Statistics and High Frequency Data' SEMSTAT Seminar 2007
Jaimungal Sebastian, Georg Sigloch 'Incorporating Risk Aversion and Model
Misspecification into Structural Models of Default' SSRN 3/09
Jakubczyc Jerzy 'Discounting Process and Perspective Projection' SSRN 3/09
James Jessica, Kristjan Kasikov, Aysu Secmen 'Uncovered Interest Parity and the
FX Carry Trade' QF V.9,#2 2009
Jang Bong-Gyu, Kum-Hwan Roh, Ji Hee Yoon 'An Analytic Valuation Method for
Multivariate Contingent Claims with Stochastic Volatility' SSRN 3/09
Jansen Dennis, Qi Li, Zijun Wang, Jian Yang ''Fiscal Policy and Asset Markets: A
Semiparametric Analysis' J. Econometrics V.147, #1 Nov. 2008
Janssen Jacques, Raimondo Manca, Ernesto Volpe 'Mathematical Finance:
Deterministic and Stochastic Models' Wiley 2009
Jardet Caroline, Alain Monfort, Fulvio Pegoraro 'No-Arbitrage Near-Cointegrated
Var(p) Term Structure Models, Term Premia and GDP Growth' SSRN 2/09
Jarque Arantxa 'CEO Compensation: Trends, Market Changes, and Regulation' FRB
Richmond Quarterly Summer 2008 V.94,#3
Jarrow Robert 'Risky Coupon Bonds as a Portfolio of Zero-Coupon Bonds' Finance
Research Letters V.1,#2 June 04
Jarrow Robert, Amiyatosh Purnanandam 'A Generalized Coherent Risk Measure: the
Firm's Perspective' Finance Research Letters V.2,#1 3/05
Jarrow Robert, Amiyatosh Purnanandam 'The Valuation of a Firm’s Investment
Opportunities: a Reduced Form Credit Risk Perspective' Review of
Derivatives Research V.10,#1 Jan. 2007
Jarrow Robert, Vikrant Tyagi 'Tax Liens: A Novel Application of Asset Pricing
Theory' Review of Derivatives Research V.10,#2 May 2007
Jeanblanc Monique 'Mathematical Methods for Financial Markets' Springer 2009
Jensen Jens 'Saddlepoint Approximations' Oxford University Press, 1995
Jha Ranjini, Bob Korkie, Harry Turtle 'Measuring Performance in a Dynamic World:
Conditional Mean-Variance Fundamentals' SSRN 4/09
Ji Xinyu, Gaurav Jetley 'The Shrinking Merger Arbitrage Spread: Reasons and
Implications' SSRN 3/09
Jiang George, Roel Oomen 'Estimating Latent Variables and Jump Diffusion Models
Using High-Frequency Data' J. Financial Econometrics V.5,#1 Winter 2007
Jiang George, Shu Yan 'Linear-Quadratic Term Structure Models – Toward the
Understanding of Jumps in Interest Rates' J. Banking and Finance V. 33,
#3,March 2009
Jiang Xianfeng, Yongdong Shi, George Jiang 'Real Options Under Jump Diffusion
Processes: What Types of Jumps?' SSRN 3/09
Jiménez-Martin Juan-Angel, Alfonso Novales Cinca 'State-Uncertainty Preferences
and the Risk Premium in the Exchange Rate Market' SSRN 3/09
Jiménez-Martin Juan-Angel, Michael McAleer, Teodosio Perez Amaral 'The Ten
Commandments for Managing Value-at-Risk Under the Basel II Accord' SSRN
3/09
Jin Xing, Leping Wang, Jun Yu 'Temporal Aggregation and Risk–Return Relation'
Finance Research Letters V.4,#2 6/07
Johnson Simon, Bereshad Nonas 'Arbitrage-Free Construction of the Swaption Cube'
SSRN 1/09
Johnson Tim 'Inequality Risk Premia' SSRN 2/09
Jondeau Eric, Michael Rockinger 'The Impact of Shocks on Higher Moments' Journal
of Financial Econometrics, V. 7, #2, 2009  
Jones C. Kenneth 'Calendar Based Mean Reversion Risk and Digital Signal
Processing' SSRN 3/09
Jones C. Kenneth 'Digital Portfolio Theory: Portfolio Size, versus Alpha, Beta,
and Horizon Risk' SSRN 3/09
Jongen Ron, Christian Wolff, Remco Zwinkels, Willem Verschoor 'Chartists,
Fundamentalists, and Dispersion in the Foreign Exchange Market' SSRN 3/09
Jönsson Henrik, Wim Schoutens 'Pricing Constant Maturity Credit Default Swaps
under Jump Dynamics' J. Credit Risk V.5,#1 2009
Jönsson Henrik, Wim Schoutens  'Single Name Credit Default Swaptions Meet Single
Sided Jump Models' Review of Derivatives Research V.11,#1-2 March 2008
Jorgensen Bjorn, Li Jing, Gil Sadka 'Earnings Dispersion and Aggregate Stock
Returns' SSRN 4/09
Joshi Mark 'Achieving Smooth Asymptotics for the Prices of European Options in
Binomial Trees' QF V.9,#2 2009
Jouini Elyès, Clotilde Napp 'Unbiased Disagreement and the Efficient Market
Hypothesis' SSRN 3/09
Joyce Michael, Peter Lildholdt, Steffen Sorensen 'Extracting Inflation
Expectations and Inflation Risk Premia from the Term Structure: A Joint
Model of the UK Nominal and Real Yield Curves' SSRN 2/09
Ju Nengjiu, Rui Zhong 'Fourier Transformation and the Pricing of Average-Rate
Derivatives' Review of Derivatives Research V.9,#3 Nov. 2006
Judd Kenneth, Felix Kubler, Karl Schmedders 'Reply to “Asset Trading Volume In
Infinite-Horizon Economies with Dynamically Complete Markets and
Heterogeneous Agents: Comment”' Finance Research Letters V.3,#2 June 06
Juneja Januj 'A Globally Identifiable Arbitrage-Free Dynamic Nelson-Seigel
Model' SSRN 3/09
Juneja Sandeep, Himanshu Kalra 'Variance Reduction Techniques for Pricing
American Options using Function Approximations' Journal of Computational
Finance V.12,#3 2009
Jylha Petri, Matti Suominen 'Arbitrage Capital and Currency Carry Trade Returns'
SSRN 2/09
Kaas Leo 'Firm Volatility and Credit: A Macroeconomic Analysis' FRB St. Louis
Review March/April 2009 V.91,#2
Kadan Ohad, Leonardo Madureira, Rong Wang, Tzachi Zach 'Do Industry
Recommendations Have Investment Value?' SSRN 3/09
Kaishev Vladimir, Dimitrina Dimitrova 'Dirichlet Bridge Sampling for the
Variance Gamma Process: Pricing Path-Dependent Options' Management Science
March 2009 <Options-Path Dependent> <Kingman limit, Gamma Bridge,
difference of gamma representation, Monte Carlo, Quasi-Monte Carlo,
lookback, barrier, Asian Options>
Kalimipalli Madhu, Subhankar Nayak 'Idiosyncratic Volatility vs. Liquidity?
Evidence from the U.S. Corporate Bond Market' SSRN 2/09
Kaliva Kasimir, Lasse Koskinen 'The Long-Term Risk Caused by the Stock Market
Bubble' J. of Risk Winter 2008 V.11,#2
Kan Raymond, Cesare Robotti, Jay Shanken 'Pricing Model Performance and the Two-
Pass Cross-Sectional Regression Methodology' SSRN 3/09
Kanamura Takashi 'A Classification Study of Carbon Assets into Commodities' SSRN
1/09
Kanamura Takashi 'Convenience Yield-Based Pricing of Commodity Futures' SSRN
2/09
Kanatani Taro 'Iterative Method for Exponentially Weighted Rolling Regression'
Finance Research Letters V.1,#3 9/04
Kapadia Nikunj,Xiaoling Pu 'Limited Arbitrage between Equity and Credit Markets'
SSRN 3/09
Kaplan Steven, Berk Sensoy, Per Strömberg 'Should Investors Bet on the Jockey or
the Horse? Evidence from the Evolution of Firms from Early Business Plans
to Public Companies' JofF V.64,#1 Feb. 2009
Kaplan Steven, Strömberg 'Leveraged Buyouts and Private Equity' J. of Economic
Perspectives V.23,#1 Winter 2009
Kardaras Constantinos 'No-Free-Lunch Equivalences for Exponential Lévy Models
under Convex Constraints on Investment' Mathematical Finance V.19,#2 April
2009
Karni Edi 'A Mechanism for Eliciting Probabilities' Econometrica V.77,#2 March
2009
Kasahara Hiroyuki, Katsumi Shimotsu 'Nonparametric Identification of Finite
Mixture Models of Dynamic Discrete Choices' Econometrica Jan. 09 V77,#1
Kasahara Yuji, Shinzo Watanabe 'Occupation Time Theorems for One-Dimensional
Random Walks and Diffusion Processes in Random Environments' SP&A V.119,#2
Feb. 2009
Kasch Maria, Asani Sarkar 'Are Comovements Excessive?' SSRN 3/09
Kau James, Donald Keenan, Yildiray Yildirim 'Estimating Default Probabilities
Implicit in Commercial Mortgage Backed Securities (CMBS)' Journal of Real
Estate Finance and Economics, V. 39, #2, 2009
Kauko Karlo 'Managers and Efficiency in Banking' J. Banking and Finance V. 33,
#3,March 2009
Kazemi Hossein, Ying Li 'Managerial Incentives and Shift of Risk-Taking in Hedge
Funds' SSRN 3/09
Kebabci Deniz 'Allocation to Industry Portfolios under Markov Switching Returns'
SSRN 3/09
Kebabci Deniz 'Portfolio Choice Implications of Parameter and Model Uncertainty
in Factor Models' SSRN 2/09
Kebabci Deniz 'Style Investing with Uncertainty' SSRN 2/09
Khorana Ajay, Henri Servaes, Peter Tufano 'Mutual Fund Fees Around the World'
RFS V.22,#3 March 2009
Khurshed Arif, Alok Pande, Ajai K. Singh 'A Dissection of Bookbuilt IPOs:
Subscriptions, Underpricing, and Initial Returns' SSRN 3/09
Kijima Masaaki, Keiichi Tanaka, Tony Wong 'A Multi-Quality Model of Interest
Rates' QF V.9,#2 2009
Kim Dongcheol, Darius Palia, Anthony Saunders 'The Impact of Commercial Banks on
Underwriting Spreads: Evidence from Three Decades' JF&QA 12/08 V.43,#4
Kim Hwagyun 'Yield Forecasts and Stochastic Volatility in Affine Models with
Macro Factors' SSRN 3/09
Kim In Joon, Gun Youb Park, Jung-Soon Hyun 'What is the Correct Meaning of
Implied Volatility?' Finance Research Letters V.4,#3 9/07
Kim Min 'Time Variation in Expected Returns and Aggregate Asset Growth' SSRN
3/09
Kim Tae-Hwan, Halbert White 'On More Robust Estimation of Skewness and Kurtosis'
Finance Research Letters V.1,#1 3/04
Kim Tong Suk, Jangkoo Kang, ByoungKyu Min, ChangJun Lee 'Macroeconomic Risk and
the Cross-Section of Stock Returns' SSRN 3/09
Kinnunen Jyri, Mika Vaihekoski 'Time-Varying Risk Premiums and Conditional
Global Market Risk in Ten European Stock Markets' SSRN 4/09
Kisgen Darren, Jun “QJ” Qian, Weihong Song 'Are Fairness Opinions Fair? The Case
of Mergers and Acquisitions' JFE V.91,#2 Feb.2009
Kisgen Darren, Philip Strahan 'Do Regulations Based on Credit Ratings Affect a
Firm's Cost of Capital?' SSRN 3/09
Klebanov Igor, Juan Maldacena 'Solving Quantum Field Theories via Curved
Spacetimes' Physics Today Jan. 2009 <physics-quantum>
Klein April, Emanuel Zur 'Entrepreneurial Shareholder Activism: Hedge Funds and
Other Private Investors' JofF V.64,#1 Feb. 2009
Klein Manuel 'Comment on "Investment Timing under Incomplete Information"'
Mathematics of Operations Research 2009 34(1)
Kleven Henrik Jacobsen, Claus Thustrup Kreiner, Emmanuel Saez 'The Optimal
Income Taxation of Couples' Econometrica V.77,#2 March 2009
Klößner Stefan 'A High-Low-Based Omnibus Test for Symmetry, the Lévy Property,
and Other Hypotheses on Intraday Returns' F&S tobe 2009
Knif Johan, James Kolari, Seppo Pynnonen 'Asset Pricing with Exchange and
Inflation Risks' SSRN 3/09
Kogan Shimon, Anthony Kwasnica, Roberto Weber 'Coordination in the Presence of
Asset Markets' SSRN 3/09
Kolasinski Adam, S. P. Kothari 'Investment Banking and Analyst Objectivity:
Evidence from Analysts Affiliated with Mergers and Acquisitions Advisors'
JF&QA 12/08 V.43,#4
Konchitchki Yaniv 'Inflation and Nominal Financial Reporting: Implications for
Performance and Stock Prices' SSRN 3/09
Kondor Péter 'Risk in Dynamic Arbitrage: The Price Effects of Convergence
Trading' JofF April 2009 V.64,#2
Kong Aiguo, David Rapach, Jack Strauss, Jun Tu, Guofu Zhou 'How Predictable are
Components of the Aggregate Market Portfolio?' SSRN 3/09
Konstantinovsky Vadim, Bruce Phelps, Brian Upbin 'Alpha-Beta Recombination: Can
Synthetic Fixed Income Compete with Traditional Long-Only Managers?' J.
Portfolio Management Winter 2009
Kopa Milos 'An Efficient LP Test for SSD Portfolio Efficiency' SSRN 2/09
Kopman Leonid, Schucheng Scott Liu, Dong Shaw 'Using Lagrangian Relaxation to
Obtain Small Portfolios' J. Portfolio Management Winter 2009
Kordzakhia Nino, Alexander Novikov 'Pricing of Defaultable Securities under
Stochastic Interest' February 2007
Korn Ralf, Stefanie Müller 'The Decoupling Approach to Binomial Pricing of
Multi-Asset Options' Journal of Computational Finance V.12,#3 2009
Koziol Christian, Jochen Lawrenz 'Optimal Design of Rating-Trigger Step-Up
Bonds: Agency Conflicts versus Asymmetric Information' SSRN 2/09
Koziol Christian, Jochen Lawrenz 'What Makes a Bank Risky? Insights from the
Optimal Capital Structure of Banks' J. Banking and Finance May 2009
V.33,#5
Koziol Philipp 'Enhancing FX Risk Management with Inflation and Interest Rate
Derivatives' SSRN 1/09
Kraft Holger 'Pitfalls in Static Superhedging of Barrier Options' Finance
Research Letters V.4,#1 3/07
Krause Andreas, K. C. John Wei, Zhishu Yang 'Determinants of Disposition and
Reverse Disposition Effects' SSRN 3/09
Kritzman Mark, Simon Myrgren, Sebastien Page 'Optimal Rebalancing: A Scalable
Solution' J. Investment Management 1Q 2009
Kubler Felix, Karl Schmedders 'Non-Parametric Counterfactual Analysis in Dynamic
General Equilibrium' SSRN 3/09
Küchler Uwe, Eckhard Platen 'Time Delay and Noise Explaining Cyclical
Fluctuations in Prices of Commodities' April 2007
Küchler Uwe, Kristen Neumann, Michael Sørensen, Arnfried Streller 'Stock Returns
and Hyperbolic Distributions' Humboldt U. 1994
Kuester Keith, Stefan Mittnik, Marc Paolella 'Value-at-Risk Prediction: A
Comparison of Alternative Strategies' J. Financial Econometrics V.4,#1
Winter 2006
Kulik Alexey 'Exponential Ergodicity of the Solutions to SDE’s with a Jump
Noise' SP&A V.119,#2 Feb. 2009
Kumar Alok, Jeremy Page, Oliver Spalt 'Religious Beliefs, Gambling Attitudes,
and Financial Market Outcomes' SSRN 1/09
Kutsuna Kenji, Janet Kiholm Smith, Richard Smith 'Public Information, IPO Price
Formation, and Long-Run Returns: Japanese Evidence' JofF V.64,#1 Feb. 2009
Kwiatkowski Jan 'A Technical Note on the Allocation of Risk Capital in Credit
Portfolios' Journal of Credit Risk V.4,#4 Winter 2008
Kyle Albert, Hui Ou-Yang, Bin Wei 'A Model of Portfolio Delegation and Strategic
Trading' SSRN 3/09
Lagos Ricardo, Guillaume Rocheteau 'Liquidity in Asset Markets with Search
Frictions' Econometrica V.77,#2 March 2009
Lahr Henry, Florian Tobias Herschke 'Organisational Forms and Risk in Listed
Private Equity' SSRN 3/09
Lai Van Son, Issouf Soumaré 'Risk-Based Capital and Credit Insurance Portfolios'
SSRN 2/09
Lai Van Son, Yves Langlois, Issouf Soumaré 'Hedging Portfolios of Financial
Guarantees' J. of Risk Winter 2008 V.11,#2
Lam Keith, Frank K. Li, Simon M. S. So 'On the Validity of the Augmented Fama-
French Four-Factor Model' SSRN 2/09
Lamberton Damien 'Options and Partial Differential Equations' in 'Aspects of
Mathematical Finance' Springer 2008 (ed) Marc Yor
Landier Augustin, Vinay Nair, Julie Wulf 'Trade-offs in Staying Close: Corporate
Decision Making and Geographic Dispersion' RFS V.22,#3 March 2009
Lanne Markku 'A Mixture Multiplicative Error Model for Realized Volatility' J.
Financial Econometrics V. 4,#4 Fall 2006
Lanza Alessandro, Matteo Manera, Michael McAleer 'Modeling Dynamic Conditional
Correlations in WTI Oil Forward and Futures Returns' Finance Research
Letters V.3,#2 June 06
Lao Wei, Wolfgang Stummer 'Bayesian Decisions and Cross-Entropy Type Measures
for Binomial Asset Price Models' SSRN 2/09
Large Jeremy 'A Market-Clearing Role for Inefficiency on a Limit Order Book' JFE
Jan.09 V.91,#1
Larsen Kasper 'Continuity of Utility-Maximization with Respect to Preferences'
Mathematical Finance V.19,#2 April 2009
Lee Bong-Soo 'Stock Returns and Inflation Revisited' SSRN 1/09
Lee Hyoung Il, Joon Y. Park, Hyosung Yeo, Hwagyun Kim 'Macroeconomic Uncertainty
and Asset Prices: A Stochastic Volatility Model' SSRN 3/09
Lee Jung 'Do They Vote with Their Feet? Evidence from Fund of Funds' SSRN 3/09
Lee Sokbae, Oliver Linton, Yoon-Jae Whang 'Testing for Stochastic Monotonicity'
Econometrica V.77,#2 March 2009
Lehmann E.L. 'Some Concepts of Dependence' Annals of Math. Statistics 37, 1966
Lehnert Thorsten, Christian Wolff 'Scale-Consistent Value-at-Risk' Finance
Research Letters V.1,#2 June 04
Leisen Dietmar 'Contractual and Asset Values in Venture Capital Financings' SSRN
3/09
Lemmon Michael, Sophie Ni 'The Effects of Investor Sentiment on Speculative
Trading and Prices of Stock and Index Options' SSRN 2/09
León Angel, Antoni Vaello-Sebastià 'American GARCH Employee Stock Option
Valuation' J. Banking and Finance V.33,#6 June 2009
Leoni Patrick 'Downside Risk Control of Derivative Portfolios with Mean-
Reverting Underlyings' SSRN 2/09
Leoni Patrick 'Market Crashes, Speculation and Learning in Financial Markets'
Economic Theory May 2009 39(2)
Leoni Patrick 'Stochastic Volatility in Underlyings and Downside Risk of
Derivative Portfolios' SSRN 3/09
Lettau Martin, Jessica Wachter 'The Term Structures of Equity and Interest
Rates' SSRN 2/09
Levy Haim 'Behavioral Economics and Asset Pricing' SSRN 3/09
Li Daniel, Michael Markov, Russ Wermers 'Monitoring Daily Hedge Fund Performance
When Only Monthly Data is Available' SSRN 3/09
Li Dongmei, Lu Zhang 'Costly External Equity: Implications for Cross-Sectional
Predicatability' SSRN 3/09
Li Haitao, Junbo Wang, Chunchi Wu, Yan He 'Are Liquidity and Information Risks
Priced in the Treasury Bond Market?' JofF V.64,#1 Feb. 2009
Li Yadong 'A Dynamic Correlation Modelling Framework with Consistent Stochastic
Recovery' SSRN 3/09
Liao Hsien-hsing, Tsung-kang Chen, Chia-Wu Lu, Wu Yi-Chieh 'Information
Uncertainty, Information Asymmetry and Corporate Bond Yield Spreads' SSRN
3/09
Limthanakom Natcha, Charles Collver Jr. 'An Analysis of Style Momentum in U.S.
Equity Markets' SSRN 3/09
Lin Hai, Sheen Liu, Chunchi Wu 'Liquidity Premia in the Credit Default Swap and
Corporate Bond Markets' SSRN 3/09
Lin Wenling, Phil Hoffman, Ann Duncan 'Investing in Global Equities: An
Alternative Approach to Structuring Equity Portfolios' J. Portfolio
Management Winter 2009
Lindset Snorre, Svein-Arne Persson 'A Note on a Barrier Exchange Option: The
World's Simplest Option Formula?' Finance Research Letters V.3,#3 9/06
Lipkin Mike, Marco Avellaneda 'A Dynamic Model for Hard-to-Borrow Stocks' SSRN
3/09
Lipson Marc, Sandra Mortal, Michael Schill 'What Explains the Asset Growth
Effect in Stock Returns?' SSRN 3/09
Litterman Robert, Thomas Iben 'Corporate Bond Valuation and the Term Structure
of Credit Spreads' Financial Analysts Journal 1991
Liu Hailiang, Jue Yan 'The Direct Discontinuous Galerkin (DDG) Methods for
Diffusion Problems' SIAM J. Numer. Analysis Jan 09
Liu Hening 'Optimal Consumption and Portfolio Choice Under Ambiguity for a Mean-
Reverting Risk Premium in Complete Markets: A Closed-Form Solution' SSRN
3/09
Liu Hening 'Portfolio and Consumption Decisions under Ambiguity for Regime
Switching Mean Returns' SSRN 2/09
Liu Hong 'Market Closure, Portfolio Selection, and Liquidity Premia' SSRN 3/09
Liu Ji-Chun 'Stationarity of a Markov-Switching GARCH Model' J. Financial
Econometrics V. 4,#4 Fall 2006
Liu Jinlin, Lorne Switzer 'Liquidity Risk, Firm Risk, and Issue Risk Premium
Effects on the Abnormal Returns to New Issues of Convertible Bonds' SSRN
3/09
Liu Jun, Allan Timmermann 'Risky Arbitrage Strategies: Optimal Portfolio Choice
and Economic Implications' SSRN 3/09
Liu Qiang 'Buffett's Miscalculation on His Long-Dated Put Deals' SSRN 3/09
Liu Shu-Ing 'An Alternative Threshold GARCH Option Pricing Model: A Bayesian
Approach' SSRN 3/09
Liu Shu-Ing 'Pricing American Call Options with Dividend and Stochastic Interest
Rates' SSRN 3/09
Liu Shu-Ing, Yu-Chung Liu 'Pricing Vulnerable Options by Binomial Trees' SSRN
3/09
Ljungqvist Lars, Harald Uhlig 'Optimal Endowment Destruction under Campbell-
Cochrane Habit Formation' NBER Working Paper w14772
Lo Keng-Hsin, Kehluh Wang, Ming-Feng Hsu 'Pricing American Asian Options with
Higher Moments in the Underlying Distribution' J. Computational and
Applied Math. V.223,#1 Jan. 2009
Loeffen Ronnie 'An Optimal Dividends Problem with a Terminal Value for
Spectrally Negative Lévy Processes with a Completely Monotone Jump
Density' J. Applied Prob. V.46,#1 March 2009
Londoño Jaime 'State-Dependent Utility' J. Applied Prob. V.46,#1 March 2009
Long Michael 'Leasing and the Cost of Capital Leasing and the Cost of Capital'
JF&QA Nov. 1977 V.12,#4
Longarela I. Rodriguez 'SDF-Based Estimation of Linear Factor Models with
Alternative Loss Functions' SSRN 1/09
Lopez Jose 'Empirical Analysis of the Average Asset Correlation for Real Estate
Investment Trusts' QF V.9,#2 2009
Lou Wujiang 'Valuation of Mortgage-Backed Securities: A Portfolio Credit
Derivatives Approach' SSRN 3/09
Loutskina Elena, Philip Strahan 'Securitization and the Declining Impact of Bank
Finance on Loan Supply: Evidence from Mortgage Originations' JofF April
2009 V.64,#2
Love David, Paul Smith, David Wilcox 'Should Risky Firms Offer Risk-Free DB
Pensions?' SSRN 4/09
Lu Hai, Kevin Wang, Xiaolu Wang 'The Long Memory in Stock Price Shocks' SSRN
2/09
Lu Jingfeng 'Auction Design with Opportunity Cost' Economic Theory Jan. 2009
38(1)
Lu Lei, Jun Wang, Ge Zhang 'Long Term Performance of Leveraged ETFs' SSRN 2/09
Ludkovski Michael 'Financial Hedging of Operational Flexibility' IJT&AF V.11,#8
Dec. 2008
Lugannini R., S. Rice 'Saddlepoint Approximations for the Distribution of the of
Independent Random Variables' Advances in Applied Probability, 12, 1980
<probability>
Lundtofte Frederik 'A Note on the Pricing of IPOs' SSRN 3/09
Ma Jin, Jianfeng Zhang, Ziyu Zheng 'Weak Solutions for Forward–Backward SDEs—A
Martingale Problem Approach' Annals of Probability 11/08 V.36,#6
Maalaoui Olfa, Georges Dionne, Pascal Francois 'Credit Spread Changes within
Switching Regimes' SSRN 2/09
Maberly Edwin, Raylene Pierce, Patrick Catania 'Threshold Levels, Strike Price
Grid and Other Market Microstructure Issues Associated with Exchange
Traded Equity Options: A Note' The Journal of Futures Markets Forthcoming 
Madan Dilip, Bernard Roynette, Marc Yor 'Option Prices as Probabilities' Finance
Research Letters, 5, 2008
Madar Laurel, Anthony Rodrigues, Michelle Steinberg 'The Impact of News on the
Term-Structure of Breakeven Inflation' SSRN 2/09
Magee Shane 'Foreign Currency Hedging and Firm Value: A Dynamic Panel Approach'
SSRN 1/09
Maheswaran S., Christopher Sims 'Empirical Implications of Arbitrage-Free Asset
Markets' in Models, Methods and Applications in Econometrics 1993
Maheu John, Thomas McCurdy 'Components of Market Risk and Return' J. Financial
Econometrics V.5,#4 Fall 2007
Mahoney Michael, Lek-Heng Lim, Gunnar Carlsson 'Algorithmic and Statistical
Challenges in Modern Large-Scale Data Analysis:Part 1' SIAM News Jan/Feb
2009
Maier Ramona, Mario Wüthrich 'Law of Large Numbers and Large Deviations for
Dependent Risks' QF V.9,#2 2009
Maio Paulo 'Intertemporal CAPM with Time-Varying Risk Aversion' SSRN 3/09
Maio Paulo 'The FED Model and Expected Asset Returns' SSRN 3/09
Malliaris A.G.(Tassos) 'Ito's Calculus & Economic Analysis' PhD Math UofC 1986 
Malone Crisis Samuel, Abel Rodriguez, Enrique ter Horst 'The GARCH Structural
Credit Risk Model: Simulation Analysis and Application to the Bank CDS
Market During the 2007-2008' SSRN 3/09
Maltritz Dominik 'Modelling the Dependency between Currency and Debt Crises: An
Option Based Approach' SSRN 2/09
Manganelli Simone 'Asset Allocation by Variance Sensitivity Analysis' J.
Financial Econometrics V.2,#3 Summer 2004
Manning Robert 'Conjugate Points Revisited and Neumann–Neumann Problems' SIAM
Review V.51,#1 March 2009
Markowitz Harry 'Proposals Concerning the Current Financial Crisis' FAJ V.65,#1
Jan/Feb 2009
Marquering Wessel, Marno Verbeek 'A Multivariate Nonparametric Test for Return
and Volatility Timing' Finance Research Letters V.1,#4 12/04
Marquering Wessel, Marno Verbeek 'The Economic Value of Predicting Stock Index
Returns and Volatility' SSRN 1/09
Marquez Elena, Belen Nieto, Gonzalo Rubio 'Consumption, Liquidity and the Cross-
Sectional Variation of Expected Returns' SSRN 1/09
Mayer Christopher, Karen Pence, Shane Sherlund 'The Rise in Mortgage Defaults'
J. of Economic Perspectives V.23,#1 Winter 2009
McAleer Michael 'The Ten Commandments for Optimizing Value-at-Risk and Daily
Capital Charges' SSRN 3/09
McAleer Michael, Teodosio Perez Amaral, Juan-Angel Jiménez-Martin 'A Decision
Rule to Minimize Daily Capital Charges in Forecasting Value-at-Risk' SSRN
3/09
McCoy Patricia, Andrey Pavlov, Susan Wachter 'Systemic Risk through
Securitization: The Result of Deregulation and Regulatory Failure'
Connecticut Law Review, Forthcoming SSRN 3/09
McMillan David, Numan Ülkü 'Persistent Mispricing in a Recently Opened Emerging
Index Futures Market: Arbitrageurs Invited' J. Futures Markets V.29,#3
March 2009
McPherron Pat 'The Role of Wealth Preferences in the Equity Premium Puzzle' SSRN
3/09
Meddahi Nour 'A Theoretical Comparison between Integrated and Realized
Volatility' Journal of Applied Econometrics, 2002, 17
Meddahi Nour 'ARMA Representation of Two-Factor Models' October 2002
Meddahi Nour 'Moments of Continuous Time Stochastic Volatility Models' May 2002
Meddahi Nour 'ARMA Representation of Integrated and Realized Variances'
Econometrics Journal, 2003, 6
Meddahi Nour, Eric Renault 'Aggregations and Marginalization of GARCH and
Stochastic Volatility Models' 1996
Meddahi Nour, Eric Renault 'Quadratic M-estimators for ARCH-Type Processes' 1997
Meddahi Nour, Eric Renault, Bas Werker 'GARCH and Irregularly Spaced Data'
Economics Letters, 2006, 90
Medeiros Marcelo, Alvaro Veiga 'Modeling Multiple Regimes In Financial
Volatility With A Flexible Coefficient GARCH(1,1) Model' Econometric
Theory V.25,#1 Feb. 2009
Medema Lydian, Ruud Koning, Robert Lensink 'A Practical Approach to Validating a
PD Model' <Basel Ii, Credit Risk Models> J. Banking and Finance V. 33,
#4,April 2009
Mencia Javier, Enrique Sentana 'Distributional Tests in Multivariate Dynamic
Models with Normal and Student t Innovations' SSRN 4/09
Mendoza Rafael, Peter Carr, Vadim Linetsky 'Time Changed Markov Processes in
Unified Credit-Equity Modelling' to be Mathematical Finance 2009? <credit-
equity hybrid, state-dependent jumps, local-stochastic volatility, default
intensity with time changes Markov processes with killing; defaultable
stock price, Lévy subordinator>
Menkhoff Lukas, Maik Schmeling 'Learning from Post-Trade Identity Disclosure in
Electronic Trading' SSRN 3/09
Meo Claudia 'Existence of Edgeworth Equilibria for Economies with Asymmetric
Information' Economic Theory Feb. 2009 38(2)
Mercuri Lorenzo 'Option Pricing in a GARCH Model with Tempered Stable
Innovations' Finance Research Letters V.5,#3 9/08
Mercurio Fabio 'Post Credit Crunch Interest Rates: Formulas and Market Models'
SSRN 1/09
Mercurio Fabio, Massimo Morini 'Joining the SABR and Libor Models Together' RISK
3/09
Mertens Thomas 'Excessively Volatile Stock Markets: Equilibrium Computation and
Policy Analysis' SSRN 3/09
Mescall Devan 'How Do Transfer Pricing Policies Affect Premia in Cross-Border
Mergers and Acquisitions?' SSRN 4/09
Metzner Philipp, Christof Schütte, Eric Vanden-Eijnden 'Transition Path Theory
for Markov Jump Processes' SIAM J. Multiscale Modeling and Simulation' Jan
09
Meucci Attilio 'Fully Flexible Views:Theory and Practice' RISK Oct. 2008 <non-
linear views from user's views non-normal market, stress test, scenario
analysis>
Meucci Attilio 'Managing Diversification' SSRN 3/09
Meyn Sean, Richard Tweedie 'Markov Chains and Stochastic Stability' 2009-02-07
Cambridge Press
Michayluk David, Laurie Prather, Li-Anne Elizabeth Woo, Henry Yip 'What Do
Options Have to Do with It? Including Information from the Options Market
in the Bid-Ask Spread Decomposition' Asia Pacific Journal of Financial
Studies, 2009
Michel Allen 'Municipal Bond Ratings: A Discriminant Analysis Approach Municipal
Bond Ratings: A Discriminant Analysis Approach' JF&QA Nov. 1977 V.12,#4
Michel Gaston, Lutz Johanning 'Real Estate Risk in Equity Returns' SSRN 2/09
Michel Jean-Sebastien 'Does Managerial Optimism Lead to Long-Run
Underperformance? Evidence from Venture Capital-Backed IPOs' SSRN 3/09
Mijatovic Aleksandar 'Local Time and the Pricing of Time-Dependent Barrier
Options' F&S tobe 2009
Mikosch Thomas, Catalin Starica 'Limit Theory for the Sample Autocorrelations
and Extremes of a GARCH(1,1) Process' Annals of Statistics 28, 2000
Mikosch Thomas, Rimas Norvaisa 'Stochastic Integral Equations without
Probability' Bernoulli, 6, 2000
Miller Shane, Eckhard Platen 'Analytic Pricing of Contingent Claims under the
Real-World Measure' IJT&AF V.11,#8 Dec. 2008 <analytic formulae, stylised
minimal market model (SMMM),realistic dynamics for growth optimal
portfolio (GOP) & diversified equity index, leptokurtic returns, correct
tail properties & leverage effect, time-transformed squared Bessel process
of dimension four, relationship to non-central chi-square random
variables, options on GOP, options on exchange prices &  zero-coupon
bonds, interest rate caps and floors>
Min ByoungKyu, Jangkoo Kang, ChangJun Lee 'Macroeconomic Risk and the Cross-
Section of Stock Returns' SSRN 2/09
Misner Charles, Kip Thorne, Wojciech Zurek 'John Wheeler, Relativity and Quantum
Information' Physics Today April 2009 <physics>
Mitchell John 'A Mean-Variance Approach to Withdrawal Rate Management: Theory
and Simulation' SSRN 4/09
Mizrach Bruce 'Integration of the Global Emissions Trading Markets' SSRN 3/09
Monfort Alain, Fulvio Pegoraro 'Multi-Lag Term Structure Models with Stochastic
Risk Premia'
Monfort Alain, Fulvio Pegoraro 'Switching VARMA Term Structure Models' J.
Financial Econometrics 5(1), Winter 2007
Moore David, George Philippatos 'Conditional Estimation of Linear Asset Pricing
Models Using Alternative Marginal Utility Growth Instruments' SSRN 2/09
Moraux Franck 'A Closed Form Solution for Pricing Defaultable Bonds' Finance
Research Letters V.1,#2 June 04
Morellec Erwan, Norman Schürhoff 'Dynamic Investment and Financing under
Asymmetric Information' SSRN 4/09
Moreno Camilo Serrano, Martin Hoesli 'Predicting Securitized Real Estate
Returns: Financial and Real Estate Factors vs. Economic Variables' SSRN
3/09
Mounfield Craig 'Synthetic CDOs: Modeling, Valuation and Risk Management' 2009
Cambridge Press
Muhlhofer Tobias, Andrey Ukhov 'Do Stock Prices Move Too Much to Be Justified by
Changes in Dividends? Evidence from Real Estate Investment Trusts' SSRN
3/09
Muller Monika, Siegfried Trautmann 'Robust Recovery Risk Hedging: Only the First
Moment Matters' SSRN 2/09
Musiela Marek, Thaleia Zariphopoulou 'Portfolio Choice under Dynamic Investment
Performance Criteria' QF V.9,#2 2009
Napp Clotilde, Elyès Jouini 'Optimal Strategic Beliefs' SSRN 3/09
Nascimento Juliana, Warren Powell 'An Optimal Approximate Dynamic Programming
Algorithm for the Lagged Asset Acquisition Problem' Mathematics of
Operations Research 2009 34(1)
Natcheva-Acar Kalina, Sarp Kaya Acar, Martin Krekel 'Modeling Credit Spreads
with the Cheyette Model and its Application to Credit Default Swaptions'
J. Credit Risk V.5,#1 2009
Nejadmalayeri Ali, Takeshi Nishikawa, Ramesh Rao 'Sarbanes-Oxley Act and
Corporate Credit Spreads' SSRN 3/09
Nelson Karen, Richard Price III, Brian Rountree 'Why Do Investors Pay Attention
to Stock Spam?' SSRN 4/09
Neuberger Anthony 'The Slope of the Smile, and the Comovement of Volatility and
Returns' SSRN 3/09
Ng Wing Lon 'Modeling Duration Clusters with Dynamic Copulas' Finance Research
Letters V.5,#2 6/08
Nielsen J. Aase, Klaus Sandmann, Erik Schlogl 'Equity-Linked Pension Schemes
with Guarantees' SSRN 2/09
Nielsen Morten Ørregaard 'Nonparametric Cointegration Analysis of Fractional
Systems with Unknown Integration Orders' SSRN 1/09
Niinimäki J.-P. 'Does Collateral Fuel Moral Hazard in Banking?' J. Banking and
Finance V. 33, #3,March 2009
Ning Cathy, Dinghai Xu, Tony Wirjanto 'Modeling the Leverage Effect with Copulas
and Realized Volatility' Finance Research Letters V.5,#4 12/08
Nishide Katsumasa 'Equilibrium Pricing of Contingent Claims in Tradable Permit
Markets' SSRN 2/09
Nishimura Kazuo, John Stachurski'Equilibrium Storage with Multiple Commodities'
J. Math. Econ V.45,#1-2  Jan 2009
Nocetti Diego 'Markowitz Meets Kahneman: Portfolio Selection under Divided
Attention' Finance Research Letters V.3,#2 June 06
Novikov Alex, Nino Kordzakhia 'Martingales and First Passage Times of AR(1)
Sequences'  October 2007
Novy-Marx Robert, Joshua Rauh 'Public Pension Promises: How Big are They and
What are They Worth?' SSRN 3/09
Ntantamis Christos 'A Duration Hidden Markov Model for the Identification of
Regimes in Stock Market Returns' SSRN 2/09
Nualart David, Bruno Saussereau 'Malliavin Calculus for Stochastic Differential
Equations Driven by a Fractional Brownian Motion' SP&A V.119,#2 Feb. 2009
Nunes João Pedro Vidal 'Analytical Valuation of American Options and Callable
Bonds under Stochastic Interest Rates and Endogenous Bankruptcy' SSRN 2/09
O'Brien Thomas 'Economic Fundamentals of Operating Beta' SSRN 4/09
Ogden Joseph 'Momentum and Occam's Razor: Behavioral Delayed Overreaction or
Arbitrage-Cost and Risk-Premium Dynamics?' SSRN 3/09
Okada Yohei, Hiroshi Konno 'Failure Discrimination by Semi-Definite Programming
Using a Maximal Margin Ellipsoidal Surface' Journal of Computational
Finance V.12,#3 2009
Oomen Roel 'Properties of Bias-Corrected Realized Variance Under Alternative
Sampling Schemes' J. Financial Econometrics V.3,#4 Fall 2005
Ortobelli Sergio, Svetlozar Rachev, Haim Shalit, Frank Fabozzi 'Orderings and
Probability Functionals Consistent with Preferences' Applied Mathematical
Finance V.16,#1 2009
Osambela Emilio 'Fear of Default and Volatility in a Dynamic Financial-Market
Equilibrium' SSRN 3/09
Oseni Ezekiel Jimoh 'Determinants of Equity Prices in the Stock Markets' SSRN
1/09
Ottesen Oddgeir 'The Volatility Puzzle: A Reexamination' SSRN 3/09
Ou-Yang Hui 'The Value of Private Information Under Transactions Costs' SSRN
3/09
Ozsoylev Hans, Johan Walden 'Asset Pricing in Large Information Networks' SSRN
3/09
Palazzo Berardino 'Firms' Cash Holdings and the Cross-Section of Equity Returns'
SSRN 2/09
Panageas Stavros, Mark Westerfield 'High-Water Marks: High Risk Appetites?
Convex Compensation, Long Horizons, and Portfolio Choice' JofF V.64,#1
Feb. 2009
Pang Huadong (Henry) 'A Novel Simple But Empirically Consistent Model for Stock
Price and Option Pricing' SSRN 4/09 <Nonlinear model, Random walk, Stock
price, Option pricing, Default risk, Realized volatility, Local
volatility, Volatility skew, EGARCH, stochastic volatility>
Pang Jiaren, Haibin Wu 'Financial Markets, Financial Dependence, and the
Allocation of Capital' J. Banking and Finance May 2009 V.33,#5
Park Beum-Jo 'Risk-Return Relationship In Equity Markets: Using a Robust GMM
Estimator For GARCH-M Models' QF V.9,#1 2009
Parker Gareth 'Directional Exposure to Volatility Via Listed Futures' SSRN 3/09
Parlour Christine, Richard Stanton, Johan Walden 'The Term Structure in an
Exchange Economy with Two Trees' SSRN 1/09
Parnes Dror 'The Systematic and Idiosyncratic Modules of Bankruptcy Risk' J.
Credit Risk V.5,#1 2009
Parnes Dror 'Time Series Patterns in Credit Ratings' Finance Research Letters
V.4,#4 12/07
Paschke Raphael, Marcel Prokopczuk 'Investing in Commodity Futures Markets: Can
Spot Price Models Help?' SSRN 3/09
Pastor Lubos, Robert Stambaugh 'Are Stocks Really Less Volatile in the Long
Run?' SSRN 3/09
Patton Andrew, Michela Verardo 'Does Beta Move with News? Systematic Risk and
Firm-Specific Information Flows' SSRN 3/09
Paulsen Dirk 'General Equilibrium with Irreversible Investment and Money Market
Returns' SSRN 1/09
Peijnenburg Kim, Theo Nijman, Bas J. M. Werker 'Optimal Annuitization with
Background Risk and Equity Exposure during Retirement' SSRN 3/09
Peltomaki Jarkko 'Do Investors Really Need Complex Derivative Strategies?
Evidence from Hedge Funds' SSRN 2/09
Pen Yannick Le, Benoît Sévi 'Volatility Transmission and Volatility Impulse
Response Functions in European Electricity Forward Markets' SSRN 1/09
Penaranda Francisco 'Understanding Portfolio Efficiency with Conditioning
Information' SSRN 2/09
Perrakis Stylianos 'Can the Black-Scholes-Merton Model Survive Under Transaction
Costs? An Affirmative Answer' SSRN 3/09
Perraudin William, Robert Lamb, Astrid Van Landschoot 'Dynamic Pricing of
Synthetic Collateralized Debt Obligations' SSRN 2/09
Perraudin William, Shi Wu 'Determinants of Asset-Backed Security Prices in
Crisis Periods' SSRN 2/09
Petrasek Lubomir 'Commonality in Liquidity and Corporate Yield Spreads: Evidence
from Yankee Bonds' SSRN 3/09
Petratos Pythagoras 'Real Option Applications to Information Security'
Communications & Strategies, #70, 2nd Quarter 2008
Petrelli Andrea, Ram Balachandran, Jun Zhang, Olivia Siu, Rupak Chatterjee,
Vivek Kapoor 'Optimal Dynamic Hedging of Multi-Asset Options' SSRN 3/09
Phalippou Ludovic 'Beware of Venturing into Private Equity' J. of Economic
Perspectives V.23,#1 Winter 2009
Pham Huyên, Peter Tankov 'A Coupled System of Integrodifferential Equations
Arising in Liquidity Risk Model' Applied Math. And Optimization V.59,#2
April 2009
Pikoulakis Emmanuel 'The Real Exchange Rate and its Real Fundamentals: A Story
of Success in a Nutshell' SSRN 3/09
Pirrong Craig 'Stochastic Fundamental Volatility, Speculation, and Commodity
Storage' SSRN 2/09
Pirrong Craig 'The Economics of Clearing in Derivatives Markets: Netting,
Asymmetric Information, and the Sharing of Default Risks Through a Central
Counterparty' SSRN 2/09
Pirrong Craig 'The Economics of the Manipulation End Game with Private
Information about Positions' SSRN 2/09
Platen Eckhard, Renata Sidorowicz 'Empirical Evidence on Student-t Log-Returns
of Diversified World Stock Indices' March 2007
Platen Eckhard, Wolfgang Runggaldier 'A Benchmark Approach to Portfolio
Optimization under Partial Information' January 2007
Plisner Evan 'Rethinking Portable Alpha: A Beta-Free Alternative' SSRN 3/09
Poirier Dale 'Economics of Structural Change:Emphasis on Splines' North Holland
Polonik Wolfgang, Qiwei Yao 'Testing for Multivariate Volatility Functions using
Minimum Volume Sets and Inverse Regression' J. Econometrics V.147, #1 Nov.
2008
Porchia Paolo, Fabio Trojani 'Defaultable Trees' SSRN 2/09
Pospisil Libor, Jan Vecer 'PDE Methods for Maximum Drawdown' J. Computational
Finance V.12,#2 Winter 2008
Post Thierry, Pim van Vliet, Simon Lansdorp 'Sorting Out Downside Beta' SSRN
3/09
Poti Valerio 'A Note on Return Predictability and Price Bubbles' SSRN 2/09
Power Gabriel, Calum Turvey 'On the Exit Value of a Forward Contract' J. Futures
Markets Feb.2009 V.29,#2
Prado Melissa Porras, Wei Qin 'Rational Vs. Irrational Sentiment: The Dynamic
Nature of Prices' SSRN 2/09
Proelss Juliane, Denis Schweizer 'The Role of Consumption and Listed Alternative
Investments on the Lifetime-Ruin Probability of U.S. Households' SSRN 3/09
Prono Todd 'Market Proxies, Correlation, and Relative Mean-Variance Efficiency:
Still Living with the Roll Critique' SSRN 3/09
Pukthuanthong Kuntara, Lee Thomas III 'Random Walk Currency Futures Profits
Revisited' International Journal of Managerial Finance, V3, #3, 2007
Qi Min, Xiaolong Yang 'Loss Given Default of High Loan-to-Value Residential
Mortgages' J. Banking and Finance May 2009 V.33,#5
Qian Edward, Eric Sorensen, Ronald Hua 'Global Value Investing Delivers
Diversification: A Multi-Strategy Perspective' J. Portfolio Management
Winter 2009
Quarteroni Alfio 'Numerical Models of Differential Problems' Springer 2009
Rakotondratsimba Yves 'Necessary and Sufficient Conditions for the CDs Survival
Curve to Exist' SSRN 2/09
Rapp Marc Steffen, Christian Lazar 'Adjusting Option Contracts for Seasoned
Equity Offers - the Example of European Call Options' Bankarchiv -
Zeitschrift für das gesamte Bank- und Börsenwesen, V.53,#10, October 2005
Ray Surajit, N. Eugene Savin, Ashish Tiwari 'Testing the CAPM Revisited' SSRN
3/09
Ready Mark 'Determinants of Volume in Dark Pools' SSRN 3/09
Realdon Marco 'Quadratic Term Structure Models in Discrete Time' Finance
Research Letters V.3,#4 12/06
Rebonato Riccardo, Kenneth McKay, Richard White 'The SABR/LIBOR Market Model:
Pricing, Calibration and Hedging for Complex Interest Rate Derivatives'
2009 Wiley Press <calibration, empirical evidence, estimation>
Rebonato Riccardo, Richard White 'Linking Caplets and Swaption Prices in the
LMM-SABR Model' tobe J. Computational Finance 2009?
Reghai Adil 'Two Factor Stochastic Volatility with Embedded Local Volatility'
SSRN 3/09
Rekkas Marie, Augustine Wong 'Implementing Likelihood-Based Inference for Fat-
Tailed Distributions' Finance Research Letters V.5,#1 3/08
Reynolds Stanley, John Wooders 'Auctions with a Buy Price' Economic Theory Jan.
2009 38(1)
Rezende Leonardo 'Biased Procurement Auctions' Economic Theory Jan. 2009 38(1)
Ricci Roberto Ghiselli, Carlo Alberto Magni 'Axiomatization of Residual Income
and Generation of Financial Securities' SSRN 4/09
Rieger Marc Oliver 'Probability Misestimation and Preferences in Financial
Investment Decision' SSRN 3/09
Rincón-Zapatero Juan Pablo, Carlos Rodríguez-Palmero 'Corrigendum to "Existence
and Uniqueness of Solutions to the Bellman Equation in the Unbounded Case"
Econometrica, V.71,#5 (September, 2003) Econometrica Jan. 09 V77,#1
Roche Hervé, Stathis Tompaidis, Chunyu Yang 'Asset Selection and Under-
Diversification with Financial Constraints and Income: Implications for
Household Portfolio Studies' SSRN 3/09
Rodrigues Paulo, Christian Schlag 'A Jumping Index of Jumping Stocks? An MCMC
Analysis of Continuous-Time Models for Individual Stocks' SSRN 3/09
Rogers L.C.G., Michael Tehranchi 'Can the Implied Volatility Surface Move by
Parallel Shifts?' F&S tobe 2009
Roll Richard, Avanidhar Subrahmanyam, Tarun Chordia 'Why Has Trading Volume
Increased?' SSRN 3/09
Rombouts J.V.K, Marno Verbeek 'Evaluating Portfolio Value-at-Risk Using Semi-
Parametric GARCH Models' SSRN 1/09
Rompolis Leonidas 'A New Method of Employing the Principle of Maximum Entropy to
Retrieve the Risk Neutral Density' SSRN 2/09
Rompolis Leonidas, Elias Tzavalis 'Recovering Risk Neutral Densities from Option
Prices: A New Approach' <risk neutral density (RND) option prices on C-
type Gram-Charlier series expansion (GCSE)> JF&QA 12/08 V.43,#4
Rompotis Gerasimos Georgiou 'Active vs. Passive Management: New Evidence from
Exchange Traded Funds' SSRN 2/09
Roscovan Viorel 'Bond Market Turnover and Credit Spread Changes' SSRN 2/09
Rubin Amir, Daniel Smith 'Institutional Ownership, Volatility and Dividends' J.
Banking and Finance V. 33, #4,April 2009
Rudebusch Glenn, Eric Swanson 'The Bond Premium in a DSGE Model with Long-Run
Real and Nominal Risks' SSRN 3/09
Rudloff Birgit 'Coherent Hedging in Incomplete Markets' QF V.9,#2 2009
Ruffini Remo, John A. Wheeler 'Introducing the Black Hole' from Jan. 1971,
reprinted Physics Today April 2009 <physics>
Ruffino Doriana 'On the Effects of Individual Labor-Flexibility on Rational
Portfolio Allocation: Making a Case for Businessman Risk and Employer
Stock Ownership' SSRN 2/09
Rytchkov Oleg 'Dynamic Margin Constraints' SSRN 3/09
Rzepczynski Mark 'Quantitative Equity Portfolio Management: An Active Approach
to Portfolio Construction and Management' FAJ V.65,#1 Jan/Feb 2009
Sadka Ronnie 'Liquidity Risk and the Cross-Section of Hedge-Fund Returns' SSRN
3/09
Safari Amir, Detlef Seese 'Non-Parametric Estimation of a Multiscale CHARN Model
Using SVR' QF V.9,#1 2009
Saha Atanu, Burton Malkiel, Alex Grecu 'The Clustering of Extreme Movements:
Stock Prices and the Weather' J. Investment Management 1Q 2009
Sariannidis Nikolaos, George Konteos, Themistokles Lazarides, Dimitrios
Zissopoulos 'Volatility Analysis of Blue Chips in a Small Market' SSRN
2/09
Sariannidis Nikolaos, Nicolaos Litinas, George Konteos, Grigoris Giannarakis 'A
GARCH Examination of Macroeconomic Effects on U.S. Stock Market: A
Distinguish between the Total Market Index and the Sustainability Index'
SSRN 2/09
Sarkar Asani, Robert Schwartz 'Market Sidedness: Insights into Motives for Trade
Initiation' JofF V.64,#1 Feb. 2009
Savov Alexi 'Asset Pricing with Garbage' SSRN 2/09
Schachermayer Walter 'The Notion of Arbitrage and Free Lunch in Mathematical
Finance' in 'Aspects of Mathematical Finance' Springer 2008 (ed) Marc Yor
Schied Alexander, Torsten Schöneborn 'Risk Aversion and the Dynamics of Optimal
Liquidation Strategies in Illiquid Markets' F&S V.13,#2 April 2009 <HJB,
sensitivity analysis, non-linear PDE>
Schlögl Erik, Lutz Schlögl 'Factor Distributions Implied by Quoted CDO Spreads
Tranche Pricing' January 2007
Schneider Jan 'An Equilibrium Model of Informed Trading and Portfolio
Rebalancing' SSRN 1/09
Schneider Jan 'Liquidity and Expected Returns in a Multi-Factor Asset Pricing
Model' SSRN 3/09
Schoftner Robert 'On the Estimation of Credit Exposures using Regression-Based
Monte Carlo Simulation' Journal of Credit Risk V.4,#4 Winter 2008
Schornick Astrid, Dmitry Makarov 'A Note on Wealth Effect under CARA Utility'
SSRN 3/09
Schulmeister Stephan 'The Interaction between Technical Currency Trading and
Exchange Rate Fluctuations' Finance Research Letters V.3,#3 9/06
Schweizer Denis, Juliane Proelss 'Polynomial Goal Programming and the Implicit
Higher Moment Preferences of U.S. Institutional Investors in Hedge Funds'
SSRN 3/09
Schweizer Martin 'Local Risk-Minimization for Multidimensional Assets and
Payment Streams' 2008 Banach Center Publications 83
Seeger Norman 'Do Transaction Costs Affect the Optimal Exercise Strategy for
American Put Options?' SSRN 3/09
Seifert Jan, Marliese Uhrig-Homburg 'Modelling Jumps in Electricity Prices:
Theory and Empirical Evidence' Review of Derivatives Research V.10,#1 Jan.
2007
Semaan Elias, Pamela Peterson Drake 'Deregulation and Risk' SSRN 3/09
Seneta Eugene 'Fitting the Variance-Gamma Model to Financial Data' J. Appl.
Prob. 41A 2004 <V-G>
Sentana Enrique 'Least Squares Predictions and Mean-Variance Analysis' J.
Financial Econometrics V.3,#1 Winter 2005
Sepp Artur 'Distribution of Delta-Hedging Errors in a Jump-Diffusion Model with
Discrete Trading and Transaction Costs' SSRN 3/09
Shalit Haim, Shlomo Yitzhaki 'How Does Beta Explain Stochastic Dominance
Efficiency?' SSRN 2/09
Shan Yaowen, Stephen Taylor, Terry Walter 'The Role of Non-Accounting
Information in Understanding Stock Return Volatility' SSRN 1/09
Shen Yiyu, Yexiao Xu 'Capturing Return Comovement Using Partial Factors' SSRN
3/09
Sherris Michael, Jack Jie Ding 'Pricing and Hedging Synthetic CDO Tranche Spread
Risks' SSRN 3/09
Shi Shouyong 'Directed Search for Equilibrium Wage–Tenure Contracts'
Econometrica V.77,#2 March 2009
Shin Hyun Song 'Reflections on Northern Rock: The Bank Run that Heralded the
Global Financial Crisis' J. of Economic Perspectives V.23,#1 Winter 2009
Shirayayev Albert 'Some Limit Theorems for Simple Point Processes: Martingale
Approach' Advances in Applied Probability V.12,#2 June 1980
Shkolnikov Yuriy 'Decoupled American Option Pricing Model: Computation of
Implied Volatilities and Further Applications' SSRN 4/09
Shu Chi-Wang 'High Order Weighted Essentially Nonoscillatory Schemes for
Convection Dominated Problems' SIAM Review V.51,#1 March 2009
Siegel Laurence, M. Barton Waring, Matthew Scanlan 'Five Principles to Hold onto
(Even When Your Boss Says the Opposite)' J. Portfolio Management Winter
2009
Siegel Ron 'All-Pay Contests' Econometrica Jan. 09 V77,#1
Sinclair-Desgagné Bernard 'Ancillary Statistics in Principal–Agent Models'
Econometrica Jan. 09 V77,#1
Sinclari Euan 'Volatility Trading, + CD-ROM' (Wiley Trading) 2008
Sipics Michelle 'Contagion and Frailty in Clustering of Corporate Defaults' SIAM
News Jan/Feb 2009
Sipics Michelle 'Modeling the Market for a Diminishing Resource' SIAM News
Jan/Feb 2009
Smith Donald 'Alternative Designs for Inflation-Indexed Bonds: P-Linkers vs. C-
Linkers' SSRN 3/09
So Mike, C.Y. Choi 'A Multivariate Threshold Stochastic Volatility Model'
Mathematics and Computers in Simulation V.79,#3 12/08
Sohn Bumjean 'Cross-Section of Equity Returns: Stock Market Volatility and
Priced Factors' SSRN 3/09
Song Liang 'What Determines Information Content in Bank Stock Price? Global
Evidence' SSRN 3/09
Song Renming, Zoran Vondracek 'On Suprema of Lévy Processes and Application in
Risk Theory' Annales de l'Institut Henri Poincaré, Probabilités et
Statistiques V.44,#5 10/08
Sotomayor Luz Rocío, Abel Cadenillas 'Explicit Solutions of Consumption-
Investment Problems in Financial Markets with Regime Switching'
Mathematical Finance V.19,#2 April 2009
Souza Thiago de Oliveira 'Strategic Asset Allocation with Heterogeneous Beliefs'
SSRN 3/09
Spackman Carolyne, Manmohan Singh 'The Use (and Abuse) of CDS Spreads During
Distress' SSRN 3/09
Standard & Poor's 'Directional Exposure to Volatility via Listed Futures S&P 500
VIX Short-Term Futures Index' SSRN 1/09
Stathopoulos Andreas 'Asset Prices and Risk Sharing in Open Economies' SSRN 3/09
Statman Meir, Denys Glushkov 'The Wages of Social Responsibility' SSRN 4/09
Steinbacher Matjaz 'Value-at-Risk Versus Non Value-at-Risk Traders' SSRN 3/09
Steinbacher Matjaz 'What is the 'Value' of Value-at-Risk in a Simulated
Portfolio Decision-Making Game?' SSRN 3/09
Sterling Karen, Martin Fridson, Vince C.C. Kong 'Return Dynamics of Distressed
Bonds' J. Portfolio Management Winter 2009
Stolper Anno 'Regulation of Credit Rating Agencies' J. Banking and Finance
V.33,#7 July 2009
Strang Gilbert 'Introduction to Applied Mathematics' 1986 SIAM Press
Strang Gilbert, George Fix 'An Analysis of the Finite Element Method' 2008 SIAM
Press
Strang Gilbert, Truong Nguyen 'Wavelets and Filter Banks' 1996 SIAM Press
Strange Sebastian, Christoph Kaserer 'Market Liquidity Risk - An Overview' SSRN
3/09
Strobl Günter 'Earnings Manipulation and the Cost of Capital' SSRN 3/09
Subrahmanyam Marti, Amrut Nashikkar, Sriketan Mahanti 'Limited Arbitrage and
Liquidity in the Market for Credit Risk' SSRN 3/09
Sufi Amir 'Bank Lines of Credit in Corporate Finance: An Empirical Analysis' RFS
V.22,#3 March 2009
Suh Daniel 'The Correlations and Volatilities of Stock Returns: The CAPM Beta
and the Fama-French Factors' SSRN 3/09
Sullivan Rodney 'Markets in Crisis' FAJ V.65,#1 Jan/Feb 2009
Sun Heng, Izzy Nelken, Guowen Han, Jiping Guo 'Error of VAR by Overlapping
Intervals'  RISK 3/09
Sun Zheng, Ashley Wang, Lu Zheng 'The Road Less Traveled: Strategy
Distinctiveness and Hedge Fund Performance' SSRN 2/09
Sundaresan Suresh, Zhenyu Wang 'Y2K Options and the Liquidity Premium in
Treasury Markets' RFS V.22,#3 March 2009
Sy Wilson 'A Causal Framework for Credit Default Theory' October 2007
Taboga Marco 'Portfolio Selection with Two-Stage Preferences' Finance Research
Letters V.2,# 9/05
Taylor Stephen 'An Econometric Defense of Pure-Jump Price Dynamics' SSRN 2/09
Tchernitser Alexander, Dmitri Rubisov 'Robust Estimation of Historical
Volatility and Correlations in Risk Management' QF V.9,#1 2009
ter Horst Jenke, Galla Salganik 'Style Chasing by Hedge Fund Investors' SSRN
3/09
Tezier Christophe 'Short Rate Models, Linear and Quadratic Gaussian Models' w.p.
Barclays Capital
Thompson Kevin, Alistair McLeod 'Accelerated Ensemble Monte Carlo Simulation'
<outperform unbiased Monte Carlo> RISK April 2009
Thornton Daniel, Giorgio Valente 'Revisiting the Predictability of Bond Risk
Premia' SSRN 3/09
Tille Cedric, Eric van Wincoop 'Disconnect and Information Content of
International Capital Flows: Evidence and Theory' SSRN 3/09
Tintner Gerhard, Jati Sengupta 'Stochastic Economics: Stochastic Process Control
& Programming' Academic  72
Tobelem Sandrine, Pauline Barrieu 'Robust Asset Allocation under Model Risk'
RISK 2/09 <utility maximization>
Todorov Viktor 'Estimation of Continuous-Time Stochastic Volatility Models with
Jumps Using High-Frequency Data' J. Econometrics V.148, #2 Feb. 2009
Trolle Anders, Eduardo Schwartz 'The Price of Interest Rate Variance Risk and
Optimal Investments in Interest Rate Derivatives' SSRN 2/09
Tsai Ping Chen 'Volatility Modelling with Heterogeneous Impulse Response
Function: Introducing Non-Parametric Jumps into the Fiegarch Model' SSRN
3/09
Tsiakas Ilias 'Periodic Stochastic Volatility and Fat Tails' J. Financial
Econometrics V.4,#1 Winter 2006
Tsiotas Georgios 'On the Use of the Box–Cox Transformation on Conditional
Variance Models' Finance Research Letters V.4,#1 3/07
Tukey John 'Exploratory Data Analysis' Addison
Ukhov Andrey 'Expanding the Frontier One Asset at a Time' Finance Research
Letters V.3,#3 9/06
van Haastrecht Alexander, Roger Lord, Antoon Pelsser, David Schrager 'Pricing
Long-Maturity Equity and FX Derivatives with Stochastic Interest Rates and
Stochastic Volatility' 2008
VanDerhei Jack 'The Impact of the Recent Financial Crisis on 401(k) Account
Balances' SSRN 3/09
Venezia Itzhak, Amrut Nashikkar, Zur Shapira 'Herding in Trading by Amateur and
Professional Investors' SSRN 3/09
Vergara-Alert Carles 'The Term Structure of Interest Rates in an Equilibrium
Economy with Short Term and Long Term Investments' SSRN 3/09
Viale Ariel, Antoine Giannetti 'Safety First, Robust Asset Pricing, and the
Cross-Section of Stock Returns' SSRN 3/09
Viale Ariel, James Kolari, Donald Fraser 'Common Risk Factors in Bank Stocks' J.
Banking and Finance V. 33, #3,March 2009
Viet Lionel 'Notes About Stochastic Rates, Dividends, Volatilities' SSRN 3/09
Vives Xavier 'Dynamic Trading and Asset Prices: Keynes Vs. Hayek' SSRN 3/09
Voelz Manja, Michael Wedow 'Does Banks' Size Distort Market Prices? Evidence for
Too-Big-To-Fail in the CDS Market' SSRN 3/09
Voev Valeri, Asger Lunde 'Integrated Covariance Estimation using High-frequency
Data in the Presence of Noise' J. Financial Econometrics V.5,#1 Winter
2007
Vollrath Ian 'Calibration of Interest Rate and Option Models Using Differential
Evolution' SSRN 3/09
Walters Jay 'The Black-Litterman Model in Detail' SSRN 1/09
Wang Cong, Fei Xie 'Corporate Governance Transfer and Synergistic Gains from
Mergers and Acquisitions' RFS 2/09 V.22,#2
Wang Fangfang, Eric Ghysels 'Statistical Inference for Volatility Component
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Wang J. Christina, Susanto Basu, John Fernald 'A General-Equilibrium Asset-
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1/09
Wang J. Christina, Susanto Basu, John Fernald 'Information-Constrained State-
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Wang Kevin 'Nonparametric Tests of Conditional Mean-Variance Efficiency of a
Benchmark Portfolio' Journal of Empirical Finance, V.9, 2002
Wang Kevin, Jianguo Xu 'Market Volatility and Momentum' SSRN 3/09
Wang Sun-Chong, Sai-Ping Li, Chung-Ching Tai, Shu-Heng Che 'Statistical
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Wang Yaw-Huei 'The Impact of Jump Dynamics on the Predictive Power of Option-
Implied Densities' Journal of Derivatives Spring 2009
Wei Bin 'A Model of Portfolio Delegation and Strategic Trading' SSRN 3/09
Wei Bin 'Explicit and Implicit Incentives in Delegated Portfolio Management'
SSRN 3/09
Wheeler John 'Mechanism of Fission'from Nov. 1967, reprinted Physics Today April
2009 <physics-fission>
Whitehill Sam 'An Introduction to Pricing Correlation Products Using a Pair-Wise
Correlation Matrix' J. Credit Risk V.5,#1 2009
Wilcox Jarrod, Frank Fabozzi 'A Discretionary Wealth Approach to Investment
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Wilfling Bernd, Sergey Gelman 'Option Pricing on Target Stock under Multiple
Decision Reversions' SSRN 2/09
Wilkens Sascha, Jens Wimschulte 'The Pricing of Dividend Futures in the European
Market: A First Empirical Analysis' SSRN 3/09
Williamson Stephen 'New Keynesian Economics: A Monetary Perspective' FRB
Richmond Quarterly Summer 2008 V.94,#3
Wilson Linus 'The Put Problem with Buying Toxic Assets' SSRN 2/09
Wiphatthanananthakul Chatayan, Michael McAleer 'A Simple Expected Volatility
(SEV) Index: Application to SET50 Index Options' SSRN 3/09
Wolman Alexander 'Nominal Frictions, Relative Price Adjustment, and the Limits
to Monetary Policy' FRB Richmond Quarterly Summer 2008 V.94,#3
Wong Hoi Ying, Tsz Wang Choi 'Estimating Default Barriers from Market
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Wong T. C., C. H. Hui 'A Liquidity Risk Stress-Testing Framework with
Interaction between Market and Credit Risks' SSRN 4/09
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for some statistics with non-normal limit distributions' JASA, 88, 1993
Wu Jason 'Robust Semiparametric Forecast Intervals' SSRN 3/09
Wu Jin (Ginger), Lu Zhang, Frank Zhang 'The q-Theory Approach to Understanding
the Accrual Anomaly' SSRN 3/09
Wu Lixin, Fan Zhang 'LIBOR Market Model with Stochastic Volatility' J. of
Industrial and Management Optimization 2(2) May 2006
Wu Lixin, Min Dai 'Pricing Jump Risk with Utility Indifference' QF V.9,#2 2009
Wu Ting-Pin, Son-Nan Chen 'Valuation of Interest Rate Spread Options in a
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Xiong James, Thomas Idzorek, Peng Chen, Roger Ibbotson 'Impact of Size and Flows
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2009
Xiong Jian, Augustine Wong, Donna Salopek 'Saddlepoint Approximations to Option
Price in a General Equilibrium Model' Statistics & Probability Letters,
2005, V.71, #4
Xiouros Costas 'Differences of Opinion and the Price Volume Relation' SSRN 4/09
Xue Yi, Ramazan Gencay 'Hierarchical Information and the Rate of Information
Diffusion' SSRN 3/09
Xue Yi, Ramazan Gencay 'Trading Frequency and Volatility Clustering' SSRN 3/09
Yan Xuemin (Sterling), Zhe Zhang 'Institutional Investors and Equity Returns:
Are Short-term Institutions Better Informed?' RFS 2/09 V.22,#2
Yan Yuxing 'A New Method to Estimate PIN (Probability of Informed Trading)' SSRN
3/09
Yang Jian, Yinggang Zhou, Zijun Wang 'The Stock–Bond Correlation and
Macroeconomic Conditions: One and a Half Centuries Of Evidence' J. Banking
and Finance V. 33, #4,April 2009
Yang Wei 'Asset Pricing with Left-Skewed Long-Run Risk in Durable Consumption'
SSRN 3/09
Yang Yung-Lieh, Chia-Lin Chang 'A Double-Threshold GARCH Model of Stock Market
and Currency Shocks on Stock Returns' Mathematics and Computers in
Simulation V.79,#3 12/08
Ye Pengfei 'The Disposition Effect and the Takeover Market' SSRN 3/09
Yildirim Yildiray 'Modeling Default Risk: a New Structural Approach' Finance
Research Letters V.3,#3 9/06
Yin G., Q.S. Song, H. Yang 'Stochastic Optimization Algorithms for Barrier
Dividend Strategies' J. Computational and Applied Math. V.223,#1 Jan. 2009
Yor Marc 'Introduction: Some Aspects of Financial Mathematics' in 'Aspects of
Mathematical Finance' Springer 2008 (ed) Marc Yor
Yu Eric, William Shaw 'On the Valuation of Derivatives with Snapshot Reset
Features' IJT&AF V.11,#8 Dec. 2008 <change of variable, convertible bonds,
reset derivatives, compound options and "discrete barrier" options,the
risk characteristics>
Yu Jiangeng 'The Long and the Short of Asset Prices: Using Long Run Consumption-
Return Correlations to Test Asset Pricing Models' SSRN 3/09
Zakamouline Valeri, Steen Koekebakker 'Portfolio Performance Evaluation with
Generalized Sharpe Ratios: Beyond the Mean and Variance' J. Banking and
Finance V.33,#7 July 2009
Zarembka Paul 'Frontiers in Econometrics' Academic
Zeithammer Robert 'Commitment in Sequential Auctioning: Advance Listings and
Threshold Prices' Economic Theory Jan. 2009 38(1)
Zhang Jin, Yuqin Huang 'The CBOE S&P 500 Three-Month Variance Futures' SSRN 1/09
Zhang Kun, Laiwan Chan 'Efficient Factor GARCH Models and Factor-DCC Models' QF
V.9,#1 2009
Zhao Yonggan, William Ziemba 'Hedging Errors with Leland's Option Model in the
Presence of Transaction Costs' Finance Research Letters V.4,#1 3/07
Zhou Hao 'Itô Conditional Moment Generator and the Estimation of Short-Rate
Processes' J. Financial Econometrics V.1,#2 Summer 2003
Zolotoy Leon 'Dispersion of Beliefs, Stock Prices and the Earnings Surprise
Measures-A Generalized Approach' SSRN 1/09