'(art18 6/17/05)

(committee) 'A Rational Approach to Earth Management' SIAM News July/Aug 2001
(editor) 'Applied Math/Computing Programs at DOE:Focus is on Next-generations
Capabilities' SIAM News 12/01
(editor) 'Medical/Seismic Imaging Problems Top Researcher Agenda at IPRPI' SIAM News
10/04
(editor) 'Meeting the World' Energy Needs' <book reviews> SIAM News 6/04
(Encycl.Britannica) 'Topological Group' <abstract algebra><Lie Group,exterior
differential calculus,Cartan>
(Integrety Systems) 'Elliptic Curve Cryptography' <cryptography> 98
(No Name) 'Anatolii Vladimirovich Skorokhod' Theory of Probability and It's
Applications V45 #4
(No Name) 'Double Sided Gamma'<volatility>
(No Name) 'Hamiltonian & Lagrangian' <physics>
(No Name) 'How to Catch a Higgs [Field]' <physics> U.Chicago Alumni May 2001
(Review) 'Invitation to an Unfamiliar Sort of Experimental Science:S. Wolfram's "New
Kind of Science"' SIAM New Sept. 02
(Review) Krzysttof Silkorski 'Optimal Solution of Nonlinear Equations' SIAM Review
6/02
(various) CDOs and CLOs RISK 5/02
(various) 'Monetary Policy in Theory & Practice' FRB St. Louis Review July/Aug 01
(various) 'Real Options' <valuation,cases, spin-offs, compensation> J. Corp. Finance
Summer 01
Aase Knut 'An Equilibrium Asset Pricing Model based on Levy Processes:Relations to
Stochastic Volatility and the Survival Hypothesis' Insurance:Math. & Econ.
1/2001 <volatility>
Aase Knut 'Equilbrium Pricing in the Presence of Cumulative Dividends Following a
Diffusion' MF 7/02
Aase Knut 'Equilibrium in a Reinsurance Syndicate:Existence & Characterization' ASTIN
Bulletin 93
Aase Knut 'Premium in a Dynamic Model of Reinsurance Market' Scandinavian Acturial J.
93
Aase Knut 'Stochastic Continuous-Time Model Reference Adaptive Systems with Decreasing
Gain' Adv. Appl. Prob. 1982
Abadie Alberto, Joshua Angrist, Guido Imbens 'Instrumental Variables Estimates of the
Effect of Subsidized Training on the Quantiles of Trainee Earnings' Econometrica
Jan 02
Abadir Karim, Kaddour Hadri, Elias Tzvalis 'Rejoinder to Comment by Doornik, Nielsen,
and Rothenberg '
Abadir Karim, Paolo Paruolo 'Simple Robust Testing of Regression Hypotheses: A Comment
'Econometrica 9/02
Abaffy Jozsef, Marida Bertocchi, Jitka Dupaova 'A nonparametric model for analysis of
the EURO bond market'J. Econ. Dynamics & Control 2003
Abate Joseph, Gagan Choudhury, Ward Whitt 'An Introduction to Numerical Transform
Inversion & Its Application to Probability Models' 99 <numeric>
Abate Joseph, Ward Whitt 'An Operational Calculus for Probability Distributions via
Laplace Transforms'8/94 <numerics>
Abate Joseph, Ward Whitt 'Computing Laplace Transforms for Numerical Inversion via
Continued Fractions' J. Computing 99 <numerics>
Abate Joseph, Ward Whitt 'Transient Behavior of Regulated Brownian Motion I:Starting
at the Origin' Adv. Appl. Prob. 1987
Abate Joseph, Ward Whitt 'Transient Behavior of Regulated Brownian Motion II:Non-Zero
Initial Conditions' Adv. Appl. Prob. 1987
Abbad Mohammed, Khalid Rahhali 'Semi-infinite weighted Markov decision processes with
perturbation'Math. of OR 10/04
Abbring Jaap, Gerad van den Berg 'The Nonparametric Identification of Treatment
Effects in Duration Models' Econometrica 9/03
Abel Andrew 'Effects of a Baby Boom on Stock Prices & Capital Accumulation in the
Presence of Social Security' Econometrica 3/03
Abhyankar Abhay, Devraj Basu 'Does Conditioning Information Matter in Estimating
Continuous Time Interest Rate Diffusion?' JF&QA 9/01

Abraham R., L. Serlet 'Representations of the Brownian snake with drift'S&SR 2002
Abrahamson Allen 'A "One-Line" Simulator for Maxima or Minima on Drifting Brownian
Paths' 5/02 <Brownian>
Abrahamson Allen 'All Moments of Discrete & Continuous Arithmetic Averages on Brownian
Paths:A Closed Form' 3/02 <options-Asian>
Abrahamson Allen 'Efficient Path-Dependent Valuation Using Lattices:Fixed & Floating
Strike Asian Options' 5/03 <option-Asian>
Abreu Dilip, Markus Brunnemeier 'Bubbles and Crashes 'Econometric 1/03
Absil P., R. Mahony, R. Sepulctre, P. Van Dooern 'A Grassmann-Rayleigh Quotient
Interation for Computing Invarient Subspaces' SIAM News 3/02
Abu-Mostafa Yaser, Blake LeBaron, Andreas Weigend (eds) 'Computational Finance 1999
MIT Press
Acar Emmanuel, B. Maitra 'Hedging using Forward Rate Bias' RISK 2/2001 <currency,
differential forward,correlation><foreign exchange>
Acedo F., F. Benito, Antonio Falco, A. Rubia, J. Torres 'A Computational Approach to
the Fundamental Theorem of Asset Pricing in a Single-Period Market'
Computational Economics 12/01
Acerbi Carlo 'Spectral measures of risk: A coherent representation of subjective risk
aversion' Journal Of Banking And Finance (26)7 (2002)
Acerbi Carlo, Dirk Tasche 'On the coherence of expected shortfall' Journal Of Banking
And Finance (26)7 (2002)
Acharya Viral 'Is the International Convergence of Capital Adequacy Regulation
Desirable?' Taxation' JofF 12/03
Acharya Viral, Alberto Bisin ‘Optimal Financial-Market Integration and Security
Design’ JofB 11/05
Acharya Viral, Iftekhar Hasan, Anthony Saunders ‘Should Banks Be Diversified? Evidence
from Individual Bank Loan Portfolios’ JofB 7/06
Acharya Viral, Jennifer N. Carpenter 'Corporate Bond Valuation and Hedging with
Stochastic Interest Rates and Endogenous Bankruptcy ' RFS Winter 02
Acharya Viral, Sanjiv Das, Rangarajan Sundarma 'Pricing Credit Derivatives with Rating
Transitions' 2002
Achdou Yves 'An Inverse Problem for Parabolic Variational Inequality Arising in
Volatility Calibration with American Options' SIAM J. Control & Opt. V.43, #5
3/05 <Volatility>
Achdou Yves, O. Pironneau 'Volatility Smile by Multilevel Least Square' Inter. J.
Theor. & Applied Finance 9/02 <volatility>
Acheson David '1089 & All That:Journey into Mathematics' Oxford Press, Reviewed SIAM
News 4/04
Adamchuk Alexander 'From Supernova to Discovery to Supersymmetry in Finance' New
Vistas in Mathematical Foundations of Finance 98
Adamic Lada 'Social Network Exposed' SIAM News 4/04
Adhikari S. 'Aspects of Combinatorics & Combinatorial Number Theory' 2002 Chapman &
Hall/CRC Pub.
Adler R. 'An Introduction to Continuity, Extemema & Related Topics for General
Gaussian Processes' Insti. Math Studies 1990
Adler Robert 'Geometry of Random Fields' Wiley 1981
Adler Robert, Roger Tribe 'Uniqueness for a Historical SDE with a Singular Interaction
' 4/98 J. Theor. Prob.
'AER American Economic Review
Afful Kofi 'AN EXPLANATION OF NON-EQUILIBRIUM CURRENCY BID-ASK SPREADS'IJT&AF 8/2004
Agarwal Ravi, Maria Meehan, Donal O'Regan 'Fixed Point Theory & Applications' 2001
Cambridge Press
Agarwal Ravi, Martin Bohner, Wan-Tong Li 'Nonoscillation Theory for Functional
Differential Equations' Jan. 05 CRC Press
Agca Senay, Donald Chance 'Speed & Accuracy Comparison of Bivariate Normal
Distribution Aprroximations for Option Pricing' J. Comp. Finance Summer 03
Agca Senay, Donald Chance 'Two extensions for fitting discrete time term structure
models with normally distributed factors' App. Math. Fin. 9/04
Aggarwal Rajesh, Andrew Samwick 'Performance Incentives within Firms: The Effect of
Managerial Responsibility' JofF 8/03
Aggarwal Rajesh, Andrew Samwick 'Why Do Managers Diversify Their Firms? Agency
Reconsidered' JofF 2/03
Aggarwal Reena, Nagpurnanand Prabhala, Manju Puri 'Institutional Allocation in Initial
Public Offerings: Empirical Evidence' JofF 6/02
Aggoun Lakhdar, Robert Elliott 'Measure Theory & Filtering' 2004 Cambridge Press
Aghion Philippe 'Schumpeterian Growth Theory and the Dynamics of Income Inequality'
Econometrica 5/02
Agrawal Manindra, Neeraj Kayal, Nitin Saxena 'Primes is in P' 8/02 <number theory>
Aguirregabibia Victor, Pedro Mira 'Swapping the Nested Fixed Point Algorithm:A Class
of Estimators for Discrete Markov Decision Models' Econometrica 7/02
Ahn Dong-Hyun, Bin Gao 'Locally Complete Markets, Exchange Rates & Currency Options'
R. Deriv. Research V.6,#1 2003
Ahn Dong-Hyun, Jacob Boudoukh, Matthew Richardson, Robert Whitelaw 'Partial Adjustment
or Stale Prices? Implications from Stock Index & Futures Returns
Autocorrelations' RFS v.15 #2 2002
Ahn Dong-Hyun, Jeff Dewynne, Philip Hua, Antony Penaud, Paul Wilmott 'The End-of-the-
Year Bonus:How to Optimally Reward a Trader?' Interna. J. Theor.& App. Finance
5/02
Ahn Dong-Hyun, Jennifer Conrad, Robert Dittmar 'Risk Adjustment and Trading
Strategies'RFS Summer 03
Ahn Dong-Hyun, Robert Dittmar, A. Ronald Gallant 'Quadratic Term Structure Models:
Theory and Evidence 'RFS Spring 2002 <term structure>
Ahn Dong-Hyun, Robert Dittmar, A. Ronald Gallant, Bin Gao 'Purebred or Hybrid?:
Reproducing the Volatility in Term Structure Dynamics' J. Econometric Aug 2003
Ahn Hee-Joon, Kee-Hong Bae, Kalok Chan 'Limit Orders, Depth, and Volatility: Evidence
from the Stock Exchange of Hong Kong' JofF 4/2001
Ahrens J., U. Dieter 'Computer Methods for Sampling from the Gamma, Beta, Poisson &
Binomial Distributions' Computing 74
Ai Chunrong, Xiaochon Chen 'Efficient Estimation of Models with Conditional Moment
Restrictions Containing Unknown Functions' Econometrica 11/03
Aihara Shin Ichi, Arunabha Bagchi 'Estimation of Stochastic Volatility in the Hull-
White Model' App. Math Finance 9/2000 <volatility>
Aihara Shin Ichi, Arunabha Bagchi 'Optimal Portfolio Control for Parabolic Type
Infinite-dimensional Factor Model with Power Utility' Bachelier Conference 2004
Aihara Shin Ichi, Arunabha Bagchi 'STOCHASTIC HYPERBOLIC DYNAMICS FOR INFINITE-
DIMENSIONAL FORWARD RATES AND OPTION PRICING' Mathematical Finance vol 15, #1
1/05
Ait-Sahalia Yacine 'Closed-Form Likelihood Expansions for Multivariate Diffusions'
NBER 2001
Ait-Sahalia Yacine 'Disentangling Volatility From Jumps' JFE 12/04 , NBER 8/03
<volatility> <Levy>
Ait-Sahalia Yacine 'Maximum Likelihood Estimation of Discretely Sampled Diffusions: A
Closed-form Approximation Approach' Econometrica Jan 02
Ait-Sahalia Yacine 'Telling from Discrete Data Whether the Underlying Continuous-Time
Model Is a Diffusion' JofF 10/02
Ait-Sahalia Yacine 'Why Distinguishing Jumps from Volatility is Difficult' Bachelier
conference 2002
Ait-Sahalia Yacine, Jefferson Duarte 'Nonparametric Option Pricing under Shape
Restrictions' J. Econometric Aug 2003
Ait-Sahalia Yacine, Jonathan Parker, Motohiro Yogo 'Luxury Goods and the Equity
Premium' JofF 12/04
Ait-Sahalia Yacine, Lan Zhang, Per Mykland 'A Tale of Two Time Scales: Determining
Integrated Volatility with Noisy High-Frequency Data' to be Journal of the
American Statistical Association
Ait-Sahalia Yacine, Lars Hansen (editor) 'Handbook of Financial Econometrics'
Elsevier Press
Ait-Sahalia Yacine, Michael Brandt 'Variable Selection for Portfolio Choice',
Discussion Jessica Wachter JofF 8/01
Ait-Sahalia Yacine, Per Mykland 'The Effects of Random & Discrete Sampling when
Estimating Continuous-Time Diffusions' Econometrica 3/03
Ait-Sahlia Farid 'Corrected Random Walk Approximations to Free Boundary Problems in
Optimal Stopping: Theory and Applications' lecture Stanford 2004
Ait-Sahlia Farid 'Optimal Stopping & Weak Convergence Methods for Some Problems in
Financial Economics' PhD Stanford Oper.Research 1996
Ait-Sahlia Farid, Lorens Imhof, Tze Leung Lai 'Pricing & Hedging of American Knock-In
Options' J. Derivatives Spring 04 <option-Barrier>
Ait-Sahlia Farid, Tze-Leung Lai 'Approximations for American Options' 1/96 <option-
American>
Ait-Sahlia Farid, Tze-Leung Lai 'Exercise Boundaries & Efficient Approximations to
American Option Prices & Hedge Parameters' <option-American> J. Comp.Fin. Summer
01
Akahori Jiro 'Quasi Pricing of Caps/Floors & Swaptions' 7/00 <caps><quasi-
Gaussian,Market Model>
Akesson Fredrik, John Lehoczky 'Path Generation for Quasi-Monte Carlo Simulation of
Mortgage-Backed Securities' MS 2000
Akgiray Vedat, Geoffrey Booth 'The Stable-Law Model of Stock Returns' J. Buss& Econ
Stats. 88
Akhavein Jalal, W. Scott Frame, Lawrence J. White ‘The Diffusion of Financial
Innovations: An Examination of the Adoption of Small Business Credit Scoring by
Large Banking Organizations’ JofB 3/05
Akian Marianne, Agnes Sulem, Michael Taksar 'Dynamic Optimization of Long-Term Growth
Rates for a Portfolio with Transaction Costs & Logarithmic Utility' MF 4/2001
Akrivis Georgios, Michel Crouzeix, Vidar Thomee 'Numerical Methods for Ultra-Parabolic
Equations' Calcol 96
Akulenko Leonid, Segei Nesterov 'High Precision Methods in Eigenvalue Problems & Their
Applicaitons' 2004 CRC Press
Alaton Peter, Boualem Djehiche, David Stillberger 'On Modelling & Pricing Weather
Derivatives' App. Math. Finance 3/02
Albanese Claudio 'Credit Exposures, Diversification Risk & Coherent VaR' 97
Albanese Claudio, Alexey Kuznetsov 'Affine Lattice Models' IJT&AF 3/05 , 2003?
<option-numeric><Poisson,Bermuda Swaptions>
Albanese Claudio, Alexey Kuznetsov 'Discretization Schemes for Subordinated Processes'
<9/03 <stochastics><no-arbitrage>
Albanese Claudio, Alexey Kuznetsov 'Underlying Volatility Models' Risk 3/04
Albanese Claudio, Alexey Kuznetsov 'Unifying the Three Volatility Models' 6/03
<volatility><state dependent, stochastic, jumps>
Albanese Claudio, Alexey Kuznetsov, Pierre Hauviller 'A Classification Scheme for
Integrable Diffusions' 8/02 <stochastics>
Albanese Claudio, Giuseppe Campolieti 'Extensions of the Black-Scholes Formula' 4/2001
<option-pricing> <CEV,log-normal, quadratic>
Albanese Claudio, Giuseppe Campolieti 'Integrability by Quadratures of Pricing
Equations' Jan 01 <option-Numeric> <squared Bessel, CEV>
Albanese Claudio, Giuseppe Campolieti 'New Families of Integrable Diffusions' <option-
numeric><Bessel,Fokker-Plank,quadature> 4/2001
Albanese Claudio, Giuseppe Campolieti, Oliver Chen, Andrei Zavidonov 'Credit Barrier
Models' RISK 6/03 , wp 1/03 <credit risk>
Albanese Claudio, Giuseppe Campolieti, Peter Carr, Alexander Lipton 'Black-Scholes
Goes Hypergeometric'RISK 12/01 , <option-pricing><CEV,quadratic, barrier,
european,variance gamma, CIR> wp 8/01
Albanese Claudio, Ken Jackson, Petter Wiberg 'A New Fourier Transform Algorithm for
Value-at-Risk'QF 6/04
Albanese Claudio, Luis Seco 'Harmonic Analysis in Value at Risk Calculations'U.
Toronto
Albanese Claudio, Oliver Chen 'Credit barrier models in a discrete framework'
Mathematics of finance : Proceedings of an AMS-IMS-SIAM Joint Summer Research
Conference on Mathematics of Finance 2003
Albanese Claudio, Oliver Chen 'Implied Migration Rates from Credit Barrier Models'
6/03 <credit risk>
Albanese Claudio, Oliver Chen 'Pricing equity default swaps' RISK 6/05
Albanese Claudio, Sebastian Jaimungal, Dmitri Rubisov 'A Jump Model with Binomial
Volatility' 3/2001 <volatility> <Variance Gamma,Bernmuda,American,Method of
Lines>
Albanese Claudio, Sebastian Jaimungal, Dmitri Rubisov 'A Two-State Jump Model' QF 4/03
<volatility><Variance-Gamma,VG>
Albanese Claudio, Sebastian Jaimungal, Dmitri Rubisov 'Model of Lines for Option
Pricing with Jumps' 1/2001 <option-pricing><Euro,Amer.,Bermuda,variance-gamma>
Albanese Claudio, Stephan Lawi 'Generating Functions for Stochastic Integrals'
<stochastics> 1/04
Albanese Claudio, Stephan Lawi 'Laplace Transforms for Integrals of Markov Processes'
2/05 <markov>
Albeverio Sergio, Eugene Lytvynov, Andrea Mahnig 'A model of the term structure of
interest rates based on Lévy fields' SP&A 2004 <term structure><HJM, Kennedy
Model>
Albeverio Sergio, Victoria Steblovskaya 'A Model Of Financial Market With Several
Interacting Assets.Complete Market Case' to be Finance and Stochastics 2002
<option-pricing><multi-dimensional, B-S>
Albeverio Sergio, Xuelei Zhao 'A Decomposition Theorem for Lévy Processes on Local
Fields ' 1/01 J. Theor. Prob.
Albrecher Hansjorg 'The Valuation of Asian Options for Market Models of Exponential
Levy Type' 2004 in Proc. 2nd Actuarial & Financial Math. Days <option-Asian>
Albrecher Hansjorg, Jan Dhaene, Marc Goovaerts, Wim Schoutens 'Static Hedging of Asian
Options under Levy Models:Comonotonicity Approach. UCS Report 2004
Albrecher Hansjorg, Jan Dhaene, Wim Schoutens 'STATIC HEDGING OF ASIAN OPTIONS UNDER
LÉVY MODELS' J. of Derivatives Spring 05
Albrecher Hansjorg, Martin Predota 'Bounds & Approximations for Discrete Asian Options
in a Variance-Gamma Model' Grazer Math. Ber. 2002 <option-Asian>
Albrecher Hansjorg, Martin Predota 'On Asian Option Pricing for NIG Levy Processes' J.
Comput. Appl Math 2004
Albrecher Hansjorg, Wim Schoutens 'Static Hedging of Asian Options under Stochastic
Volatility Models Using Fast Fourier Transforms.' in A. Kyprianou, et al 'Exotic
Option Pricing & Advanced Levy Models' Wiley 2004
Albrecker Hansjoerg, Reinhold Kainhofer 'Risk Theory with a Nonlinear Dividend
Barrier' Computing V. 68, 2002 <risk><survival, parabolic dividend barrier>
Aldrich Simon, William Greenberg, Brook Payner 'A Capital Markets View of Mortgage
Servicing Rights' J. Fixed Income 6/2001
Aldroubi Akram, Katlheinz Grochenig 'Nonuniform Sampling & Reconstruction in Shift-
Invariant Spaces' SIAM Review 12/01
Aleksander Janicki, Aleksander Weron 'Simulations & Chaotic Behavior of Alpha-Stable
Stochastic Processes' Dekker 94
Aleksander Janicki, Ivilina Popova, Peter Ritchken, W. Woyczynski 'Option Pricing
Bounds in an Alpha-Stable Security Market' Comm. in Stats-Stochastic Models'
Alessandrini Giovanni, Antonino Morassi, Edi Rosset 'Detecting an Inclusion in an
Elastic Body by Boundary Measurements' SIAM Review 9/04
Alexander Carol (Ed) Mastering Risk' Prentice Hall 2001
Alexander Carol 'Common Correlation Stuctures for Calibrating the LIBOR Model' 6/02 U.
Reading <term structure>
Alexander Carol 'How to Generate Covariance Matrices' <volatility><positive semi-
definite>Wilmott Publications 8/01
Alexander Carol 'Normal mixture diffusion with uncertain volatility: Modelling short
and long-term smile effects' Journal of Banking and Finance 12/04
Alexander Carol 'Volatility & Correlations:Measurement, Models & Applications' Risk
Mangement & Analysis V.1 1999
Alexander Carol, Andrew Scourse 'Bivariate normal mixture spread option valuation' QF
12/04 , 12/03 <option-spread>
Alexander Carol, Emese Lazar 'Normal Mixture GARCH(1,1): Applications to Exchange Rate
Modelling'SSRN 2004
Alexander Carol, Emese Lazar 'The Continuous Limit of Normal Mixture GARCH' SSRN 7/04
Alexander Carol, George Brintalos 'Pricing Options with a Term Structure for Kurtosis:
An Extension of the Finite Normal Mixture Local Volatility Model' ISMA 2003
Alexander Carol, George Brintalos, Leonardo Nogueira 'Short-term & Long-term Smile
Effects:The Binomial Normal Mixture Diffusion Model' 3/03 <Volatility>
<Brigo/Mercurio>
Alexander Carol, Leonardo Nogueira 'Hedging with Stochastic Local Volatility' SSRN
7/04
Alexander Carol, S. Narayanan 'Option Pricing with Normal Mixture Returns: Modelling
Excess Kurtosis & Uncertainity in Volatility' ISMA Center 2001
Alexander David 'Heterogenous Beliefs, Trading Risk, and the Equity Premium' Bachelier
Conference 2004
Alexander Gordon, Alexandre Baptista 'A Comparison of VaR & CVaR Constraints on
Portfolio Selection with the Mean-Variance Model' MS 9/04
Alford Jonathan, Nick Webber 'Very High Order Lattice Methods for One Factor Models
1/2001 <option-numeric> <Bermuda, American, heptanomial>
Ali Paul Usman 'New Applications for Credit Derivatives' 2001
Aliev Fazil 'New Characterization of Discrete Distribution Through Weak Records' SIAM
Theor.Prob&App. v44
Alili Larbi, Andreas Kyprianou 'Some Remarks on the First Passage of Levy Processes,
the American put & Pasting Principles' to be Annals of App. Prob. , <option-
American><first passage, Laplace> wp 2002
Alili Larbi, Pierre Patie, Jesper Lund Pedersen 'Hitting Time of a Fixed Level by an
OU Process' EHT Zurich 2003
Alizadeh Sassan, Michael Brandt, Francis Diebold 'Range-Based Estimation of Stochastic
Volatility Models' JofF 6/02
Allaart Pieter 'Optimal stopping rules for correlated random walks with a
discount'Journal of Applied Probability 6/2004
Allayannis George, Gregory Brown, Leora Klapper 'Capital Structure and Financial Risk:
Evidence from Foreign Debt Use in East Asia' Taxation' JofF 12/03
Allayannis George, J. Weston 'The Use of Foreign Currency Derivatives and Firm Market
Value' RFS 1/2001
Allegretto Walter, Yanping Lin, Hongtao Yang 'A Finite Element Method for Pricing
American Put Options on Zero-Coupon Bonds' U. Alberta 5/2001<bonds> <option-
interest rate>
Allegretto Walter, Yanping Lin, Hongtao Yang 'Finite Element Error Estimates for a
Nonlocal Problem in American Option Valuation' SIAM J. Num. Anal. 2001 <option-
American> <bounded domains, error estim., regularity>
Allen Franklin 'Do Financial Institutions Matter?' JofF 8/01
Allen Franklin, Douglas Gale 'Financial Intermediaries and Markets' Econometrica 7/04
Allgower Eugene, Kurt Georg 'Introduction to Numerical Continuation Methods' SIAM
Press 2003
Almazan Andres, Javier Suarez 'Entrenchment and Severance Pay in Optimal Governance
Structures' JofF 4/03
Almazan Andres, Javier Suarez 'Managerial Compensation and the Market Reaction to Bank
Loans' RFS 2003
Almeida Heitor, Murillo Campello, Michael Weisbach 'The Cash Flow Sensitivity of Cash'
JofF 8/04
Almendral Ariel 'Numerical Valuation of American Options under the CGMY Process' in A.
Kyprianou, et al 'Exotic Option Pricing & Advanced Levy Models' Wiley 2004
Almgren Robert 'Optimal Execution with Nonlinear Impact Functions & Trading-
Enhancement Risk' App. Math Finance 3/03 , 10/01 <portfolio>
Almgren Robert, Neil Chriss 'Bidding Principes' RISK 6/03 <prgramm trading,
mean/variance>
Almgren Robert, Neil Chriss 'Optimal Execution of Portfolio Transactions' J.of Risk
Winter 2000/2001
Alos Elisa, David Nualart 'An Extension of Itô's Formula for Anticipating Processes '
4/98 J. Theor. Prob.
Altay-Salih Ashhan, Mustofa Pinar, Seven Leyffer 'Constrained Nonlinear Programming
for Volatility Estimation with GARCH Models' SIAM Review 9/03
Alti Aydogan 'How Sensitive Is Investment to Cash Flow When Financing Is
Frictionless?' JofF 4/03
Altissimo Filippo 'Change of Measure in Monte Carlo Integration via Gibbs Sampling
with an Application to Stochastic Volatility Models'"Computational Finance 1999"
MIT
Altman Edward, Brooks Brady, Andrea Resti, Andrea Sironi ‘The Link Between Default and
Recovery Rates: Theory, Empirical Evidence, and Implications’ JofB 11/05
Altman Edward, Mario Onorato 'An Integrated Model for Defaultable Loans & Bonds' 2003
Alvarez Fernando, Urban Jermann 'Quantitative Asset Pricing Implications of
Endogeneous Solvency Constraints' RFS Winter 2001
Alvarez Javier, Manuel Arellano 'The Time Series and Cross-Section Asymptotics of
Dynamic Panel Data Estimators' Econometrica 7/03
Alvarez Luis H.R. 'On the Convexity & Risk-Sensitivity of the Price of American
Interest Rate Derivatives' SIAM J. Applied Math 2003 <term structure>
Alvarez Luis H.R. 'On the Form & Risk-Sensitivity of Zero Coupon Bonds for a Class of
Interest Rate Models' Insurance:Math & Econ. 2/2001 <term structure>
Alvarez Luis H.R. 'Singular Stochastic Control, Linear Diffusions, & Optimal
Stopping:A Class of Solvable Problems' SIAM J. Opt.& Control 2001 <stochastics>
Alvarez Luis H.R., Erkki Koskela ‘Irreversible Investment under Interest Rate
Variability: Some Generalizations’ JofB 3/06
Alvarez Olivier, Martino Bardi 'Viscosity Solutions Methods for Singular Perturbations
in Deterministic & Stochastic Control' SIAM J. Control & Opt. 2001 <optimal
control>
Alvarez, Patrick Kehoe, Pablo Neumeyer 'The Time Consistency of Optimal Monetary &
Fiscal Policies' Econometrica 3/04
Alverez Luis H.R. 'Solving Optimal Stopping Problems of Linear Diffusions by Applying
Convolution Approximations' <diffusions> Math. Methods of OR 2001 <diffusion>
Alvino Angelo, Pierre-Louis Lions, Guido Trombetti 'Comparison Results for Elliptic &
Parabolic Equations via Schwarz Symmetrization' Ann. IHP An Nonlineaire 90
Alvino Angelo, Silvano Matarasso, Guido Trombetti 'Variational Inequalities &
Rearrangements' Rend Math. Acad Lincei 92
Alvino Angelo, Vincenzo Ferone, Guido Trombetti, Pierre-Louis Lions 'Convex
Symmetrization & Applications' Anal. Non Lineiare 97
Amadori Anna 'Nonlinear Integro-Differential Evaluation Problems Arising in Option
Pricing:A Viscosity Solution Approach' <option-numeric>
Amadori Anna 'Obstacle Problem for Nonlinear Integro-Differential Equations Arising in
Option Pricing' 5/03 <option-numeric>
Amadori Anna, Kenneth Karlsen, Claudia La Chioma 'Nonlinear Degenerate Integro-Partial
Differential Evolution Equations Related to Geometric Levy Processes &
Applications to Backward Stochastic Differential Equations' S&SR 4/04 , wp
7/2003 <SDE>
Amar M., G. Bellettini 'A Notion of Total Variation Depending on a Metric with
Discontinuous Coefficients' Ann. Inst.H. Poincare Anal Nonlineaire 94
Amari S., A. Cichocki, H. Yang 'A New Learning Algorithm for Blind Source Separation'
in Advances in Neural Information Processing 1996 <ICA>
Amaro de Matos Joao 'MSM Estimators of European Options on Asset with Jumps' MF 4/2001
<option-pricing><Bossaerts/Hilton,Simulated moments>
Amaro de Matos Joao, Paula Antão 'Equilibrium Option Pricing with Illiquid Underlying:
Monopoly and Competition Between Market-Makers' Bachelier conference 2002
Amendinger Jurgen, Dirk Becherer, Martin Schweizer 'A Monetary Value for Initial
Information in Portfolio Optimization ' Finance and Stochastics 2003
Amerio Emanuele, Gianluca Fusai, Antonio Vulcano 'Pricing of Implied Volatility
Derivatives: a Risk Neutral Model for Market Implied Volatility' Bachelier
conference 2002
Amerio Emanuele, Pietro Muliere, Pierceare Secchi 'REINFORCED URN PROCESSES FOR
MODELING CREDIT DEFAULT DISTRIBUTIONS'IJT&AF 7/04
Amihud Yakov, Marcel Kahan, Rangarajan Sundaram 'The Foundations of Freezeout Laws in
Takeovers' JofF 6/04
Amin Tahir, Ling Guan 'Prediction of Financial Time Series Using Independent Component
Analysis' <time-series>
Ammann Manuel 'Credit Risk Valuation:Methods, Models and Applications' Springer 2001
Ammer John, Frank Packer 'How Consistent are Credit Ratings? A Geographic & Sectoral
Analysis of Default Risk' J. Fixed Income 12/2000
An H.Z., Fred Hickernell, L. X. Zhu, 'A new class of consistent estimators for
stochastic linear regressive models' J. Multivariate Anal. 63 (1997),
An H.Z., Fred Hickernell, L. X. Zhu, 'Universally consistent estimation for stochastic
regression models' Chinese Sci. Bull. 40 (1995), 802-807, MR
Anastassiou George 'Quantitative Approximations' 1/2001 Chapman & Hall/CRC
Anatolyev Stanislav 'GMM, GEL, Serial Correlation, and Asymptotic Bias' Econometrica
5/05
Anderlini Luca, Leonardo Felli 'Costly Bargaining & Renegotiation' Econometrica 3/2001
Andersen Erling, Anders Damgaard 'Utility Based Option Pricing with Proportional
Transaction Costs & Diversification Problems:An Interior Point Optimization
Approach' App. Numer. Math. 99
Andersen Leif 'Documentation for 1-D PIDE Solver' <option-numeric> 6/03 <partial
integro-differential,jump>
Andersen Leif 'Simulation & Calibration of the HJM Model' GenRe 1995
Andersen Leif, Dan Buffum 'Calibration & Implementation of Convertible Bond Models' J.
Comp. Fin. Winter 03 , 10/02 <Convertible Bond><Fokker-Planck>
Andersen Leif, Jakob Sidenius, Susanta Basu 'All Your Hedges in One Basket' RISK 11/03
<CDO>
Andersen Leif, Jesper Andreasen, D. Eliezer ' Static Replication of Barrier Options:
Some General Results' J. Computational Finance 03
Andersen Leif, Mark Broadie 'A Primal-Dual Simulation Algorithm for Pricing Multi-
Dimensional American Options' MS 9/04 <option-American> <monte carlo, confidence
interval>
Andersen Leif, Rupert Brotherton-Ratcliffe 'Extended Libor Market Models with
Stochastic Volatility' 12/01 Gen Re Securities <term structure>
Andersen Leif, Vladimir Piterbarg 'Moment Explosions in Stochastic Volatility Models'
4/04 <volatility><Heston, CEV, Smile, Swaps>
Andersen Lief, Jakob Sidenius 'Extensions to the Gaussian Copula Random Recovery and
Random Factor Loadings' J. Credit Risk V.1 #1 2005
Andersen Torben, Luca Benzoni , Jesper Lund 'An Empirical Investigation of Continuous-
Time Equity Return Models' JofF 6/02
Andersen Torben, Tim Bollerslev, A. Das 'Variance-Ratio Statistics & High-Frequency
Data:Trading for Changes in Intraday Volatility Patterns' JofF 2/2001
Andersen Torben, Tim Bollerslev, Francis Diebold, Heiko Ebens 'The Distribution of
Stock Return Volatility'
Andersen Torben, Tim Bollerslev, Francis Diebold, Paul Labys 'Model & Forecasting
Realized Volatility' Econometrica 3/03 <high freq. data, FX>
Andersen Torben, Tim Bollerslev, Nour Meddahi 'Correcting the Errors: Volatility
Forecast Evaluation Using High-Frequency Data and Realized Volatilities'
Econometrica 1/05
Andersen Torben, Tim Bollerslev, Peter Christoffersen, Francis X. Diebold 'Volatility
Forecasting' SSRN 5/05
Anderson Anne, William Maxwell, Theodore Barnhill 'Contingent Claims Analysis Applied
in Credit Risk Modeling' J. Fixed Income 12/02
Anderson Edward, A. Philpott 'Optimal Offer Construction in Electricity Markets'
Math.of OR 2/02
Anderson Edward, Huifu Xu 'Nash equilibria in electricity markets with discrete
prices'Math. of OR 10/04
Anderson Edward, Huifu Xu 'Necessary & Sufficient Conditions for Optimal Offers in
Electricity Markets'SIAM J. Control & Opt. 2002
Anderson Keith, Chris Brooks 'Decomposing the Price-Earnings Ratio' SSRN 6/05
Anderson Keith, Chris Brooks 'Extreme Returns from Extreme Value Stocks: Enhancing the
Value Premium' U. Reading, U. London SSRN 6/05
Anderson Ronald, David Reeb 'Founding-Family Ownership and Firm Performance: Evidence
from the S&P 500' JofF 6/03
Andersson Fredrik, Helmut Mausser, Dan Rosen, Stanislav Uryasev 'Credit Risk with
Conditional Value-at-Risk' Math.Programming 2000 <credit risk>
Andersson Henrik 'A Mean-Reverting Stochastic Volatility Option-Pricing Model With an
Analytic Solution' <EGARCH> 2002 <volatility>
Andersson Jonas, Anders Agren 'Volatility Modeling in the Presence of Measurement
Errors' J. of Risk Summer 01
Andersson Mats, Mikael Passare, Roger Sigurdsson 'Complex Convexity & Analytic
Functions' Birkhauser 2004 <Reviewed SIAM News 3/05>
Andjel Enrique, Pablo Ferrari, A. Siqueira 'Law of large numbers for the simple
exclusion process'SP&A 10/04
Andreasen J. F. 'Pricing by Arbitrage in an International Economy' Res Int. Buss.
Finance 95
Andreasen Jesper 'A Gaussian Exchange Rate & Term Structure Model' PhD chapter
Andreasen Jesper 'Behind the Mirror' <option-barrier><method of images,stochastic
volatility> RISK 11/01
Andreasen Jesper 'Pricing by Arbitrage in an International Economy' PhD chapter
Andreasen Jesper 'Pricing of Discretely Sampled Asian & Lookback Options:Change of
Numeraire Approach' PhD chapter
Andreasen Jesper 'Split Schemes for Numerical Solution of PDEs' GRFP Research Notes
2000
Andreasen Jesper 'Stochastic Volatility in Fixed Income Modeling' 3/02 <term
structure>
Andreasen Jesper 'Stochastic Volatility with Stochastic Volatility' BofA 01
Andreasen Jesper 'The Pricing of Bermuda Swaptions' 5/01? <option-Bermuda>
Andreasen Jesper 'Turbo Charging the Cheyette Model' 9/2000 <term structure>
Andreasen Jesper 'Yield Curve Modeling with Stochastic Volatility' 2/02 <term
structure>
Andreasen Jesper, Leif Andersen 'Volatile of Volatility' RISK 12/02 <volatility>
Andreasen Jesper, Peter Carr 'Put Call Reversal'3/24/02 <option-pricing> <jump>
Andreasen Jesper, Pierre Collin-Dufresne, Wei Shi 'An Arbitrage Term Structure Model
of Interest Rates with Stochastic Volatility' PhD chapter<appears 'Applying...'
replaced>
Andreev Andriy, Antti Kanto 'Conditional value-at-risk estimation using non-integer
values of degrees of freedom in Student's t-distribution' Journal of Risk
Winter 05
Andreou Elena, Eric Ghysels 'Rolling-Sample Volatility Estimators:Some New
Theoretical, Simulation & Empirical Results' J. Buss. & Econ. Stats. 2002
Andrews Donald 'Higher-Order Improvements of a Computationally Attractive k-Step
Bootstrap for Extremum Estimators' Econometrica Jan 02
Andrews Donald 'Testing When a Paraemter is on the Boundary of the Maintained
Hypothesis' Econometrica 5/2001
Andrews Donald 'Tests for Parameter Instability and Structural Change with Unknown
Change Point: A Corrigendum 'Econometric 1/03
Andrews Donald 'The Block-Block Bootstrap: Improved Asymptotic Refinements'
Econometrica 5/04
Andrews Donald, Ptrik Guggenberger 'A Bia-Reduced Log-Periodogram Regression Estimator
for the Long Memory Parameter' Econometrica 3/03
Andrews Donald, Yixiao Sun 'Adaptive Local Polynomial Whittle Estimation of Long-Range
Dependence' Econometrica 3/04
Andricopoulos Ari, Martin Widdicks, Peter Duck, David Newton 'Universal Option
Valuation Using Quadrature Methods' JFE 3/2003, and Correction <option-numeric>
<Barrier, American,Lookback>
Ane Thierry, Cecile Kharoubi 'Dependent Structure & Risk Measure' 2001
Ane Thierry, Chariz Labidi 'Revisiting the Finite Mixture of Gaussian Distributions
with Applications to Futures Markets' J. Fut. Markets 4/2001 <distribution>
Ane Thierry, Vincent Lacoste 'Understanding Bid-Ask Spreads of Derivatives Under
Uncertain Volatility & Transaction Costs' Inter. Journ. Theor. & Applied Finance
6/2001
Ang Andre, Geert Bekaert 'International Asset Allocation With Regime Shifts ' RFS Fall
2002
Ang Andrew, Jun Liu 'How to Discount Cashflows with Time-Varying Expected Returns'
JofF 12/04
Angelini Flavio, Stefano Herzel 'Consistent Initial Curves for Interest Rate Models'J.
of Derivatives Summer 02 <term structure><HJM, Vasicek>
Antinolfi Gaetano, Todd Keister 'Dollarization as a Monetary Arrangement for Emerging
Market Economics' Review FRB St. Louis Nov/Dec 01
Antonelli Fabio, Andrea Pascucci 'On the Viscosity Solution of a Stochastic
Differential Utility Problem' J. Diff. Eqns 186 2002
Antonelli Fabio, Arturo Kohatsu-Higa 'Filtration Stability of Backward SDEs'
Stochastic Analysis 2000 , <SDE>
Antonelli Fabio, Jin Ma 'On Weak Solutions of Forward-Backward SDEs' 2001 <SDE>
Antonuccio Francesco, Michael Proebsting 'A Risk Neutral Approach to Option Pricing
with Jumps & Diffusions 'J. Risk Winter 02/03
Antweiler Werner, Murray Frank 'Is All That Talk Just Noise? The Information Content
of Internet Stock Message Boards' JofF 6/04
Aparicio Felipe, Didier Cossin 'Control of Collateralisation Using Quasi-Variational
Inequalities' J. Comp. Finance Spring 2001
Aparicio Silio, Stewart Hodges 'Implied Risk-Neutral Distribution. A Comparison of
Estimating Methods' Warwick 98
Apeda Rodolfo 'Arbitrage Portfolios' U. CEMA <SSRN source> 2002
Applebaum David 'Levy Processes & Stochastic Calculus' 2004 Cambridge Press
Aquilina John, L.C.G. Rogers `Equilibrium models for dependent defaults.' 2005?
Aquilina John, L.C.G. Rogers 'THE SQUARED ORNSTEIN-UHLENBECK MARKET' MF 10/04
Arai Takuji 'An extension of mean-variance hedging to the discontinuous case' F&S 1/05
Arai Takuji 'Mean-variance hedging for discontinuous asset price processes' Bachelier
Conference 2004
Arai Takuji 'Minimal martingale measures for jump diffusion processes' Journal of
Applied Probability 3/2004
Araudo Aloisio, Mario Rui Pascoa, Juan Pablo Torres-Martinez 'Collateral Avoids Ponzi
Schemes in Incomplete Markets' Econometrica 7/02
Arcidiacono Peter, John Bailey Jones 'Finite Mixture Distributions, Sequential
Likelihood and the EM Algorithm ' Econometrica May 03
Arcones Miguel 'The Large Deviation Principle for Stochastic Processes. Part I' Theory
Prob. & its Applications V47, #4
Arkin Vadim, Alexander D. Slastnikov 'Optimal Stopping Problem and Investment Models'
in Dynamic Stochastic Optimization ed. Marti et al. Springer 2004
Arkin Vadim, Alexander Slastnikov 'Optimal Stopping Problems and Investment Models'
Bachelier conference 2002
Armata Konstantina 'Closed Form Solutions for Pricing Asian Otpions' 3/2001 <option-
asian>
Armesto Michelle, William Gavin 'Monetary Policy & Commodity Futures' St. Louis FRB
Review May/June 05
Armstrong Grant 'Valuation Formulae for Window Barrier Options' App. Math. Finance
12/01 <option-barrier>
Arnold Tom, Alexander Butler, Timothy Falcon Crack, Yan Zhang ‘The Information Content
of Short Interest:A Natural Experiment’ JofB 7/05
Arnold Tom, Timothy Crack 'A Practical Guide to GMM (with Applications to Option
Pricing' 10/99 <option-pricing>
Arouna Bouhari 'Adaptive Monte Carlo Method, A Variance Reduction Technique' J.
Comp.Fin Winter 03 , 8/03 <monte carlo><importance sampling, Robbins-Monro,
Chen Projective,Heston Volatility Model>
Arouna Bouhari 'Robbins-Monro Algorithm, Variance Reduction Technique' J. Comp. Fin.
Winter 03 , 4/03 <Monte Carlo>
Arrow Kenneth, Frank Hahn 'General Equibrium Analysis' Holden Press
Arslanalp Serkan, Peter Blair Henry 'Is Debt Relief Efficient?' JofF 4/05
Artzner Philipee, Freddy Delbaen, J-M. Eber, David Heath 'Coherent Multiperiod Risk
Adjusted Values' 2001
Artzner Philippe, Freddy Delbaen, J-M. Eber, David Heath 'Risk Management & Capital
Allocation with Coherent Measures of Risk' 2000
Arugaslan Onur 'Monitoring as a Motivation for IPO Underpricing'JofF 10/04
Arvanitis Angelo, Jon Gregory 'Credit:The Complete Guide to Pricing, Hedging & Risk
Management' RISK Publications(?) 2001
Ascher Uri, Robert Mattheij, R. Russell 'Numerical Solution of Boundary Value
Problems for Ordinary Differential Equations' 95 SIAM book
Ashcroft Robert Neil 'Asset Pricing with Spectral Methods (Drift Terms, Interest
Rates)' PhD Stanford 96
Aslanidis Nektarios, Denise Osborn, Marianne Sensier 'Smooth transition regression
models in UK stock returns' Bachelier conference 2002
Asmussen Soren 'Applied Probability & Queues' Wiley 87
Asmussen Soren 'Stochastic Simulation with a View Towards Stochastic Processes'
MaPhySto Lecture Notes 2, U. Aarhus 98
Asmussen Soren, Florin Avram, Martijn Pistorius 'Russian & American Put Options under
Exponential Phase-Type Levy Models' SP&A 1/04 <option-American> <first passage,
Wald martin. Wiener-Hopf>
Asmussen Soren, Jan Rosinski 'Approximations of Small Jumps of Levy Processes with a
View Towards Simulation' <stochastics> <Esseen, Brownian, Gamma distribution>
2001
Asmussen Soren, K. Binswanger 'Simulation of Ruin Probabilities for Subexponential
Claims' ASTIN Bulletin 97
Asmussen Soren, K. Binswanger, B. Hojgaard 'Rare Events Simulation for Heavy Tailed
Distributions' Bernoulli 2000
Asmussen Soren, Peter Glynn, J. Pitman 'Discretization Error in Simulation of One-
Dimensional Reflecting Brownian Motion' Annals of Appl. Prob. 95
Aspray William 'On John von Neumann & His Role in the Development of the Computer'
SIAM News 3/05
Assing Sigurd, Ralf Manthey 'Invariant Measures for Stochastic Heat Equations with
Unbounded Coefficients' SP&A 2/03
Astic Fabin, Nizar Touzi 'No Arbitrage Conditions and Liquidity' Bachelier Conference
2004
Atanasov Vladimir 'Optimal Portfolios with Monitoring, Private Benefits of Control,
and Budget Constraints' Bachelier conference 2002
Athey Susan 'Single Crossing Properties & the Existence of Pure Strategy Equlibrium in
Games of Incomplete Information' Econometrica 7/01
Athey Susan, Philip Haile 'Identification of Standard Auction Models ' Econometrica
11/02
Athreya Kartik 'Shame as it Ever Was:Stigma & Personal Bankruptcy' FRB Richmond
Economic Quarterly Spring 04
Atiya Amir 'A Fast Monte Carlo Algorithm for the Level-Crossing Problem for Jump-
Diffusion Processes' wp CalTech 2000
Atkinson Colin, Sutee Mokkhavesa 'Towards the Determination of Utility Preferences
from Optimal Portfolio Selections' Appl. Math Finance 3/2001
Atlan Marc, Helyette Geman, Dilip Madan, Marc Yor 'Correlation and the Pricing of
Risks ' Bachelier Conference 2004
Attalienti Antonio 'Degenerate Evolution Problems & Markov Processes in Mathematical
Finance' 2001 lecture
Attari Makarram 'Option Pricing Using Fourier Transforms: A Numerically Efficient
Simplification' 3/04 <option-numeric>
Attari Mukarram 'Testing Interest Rate Models:What Do Futures & Options Data Tell
Us?'<term structure> 2/2001 <skew,smile,humped volatility>
Audrino Francesco, Fabio Trojani 'Accurate Yield Curve Scenarios Generation using
Functional Gradient Descent' Bachelier Conference 2004
Audrino Francesco, Peter Buhlmann 'Volatility Estimation with Functional Gradient
Descent for Very High Dimensional Financial Time Series' J. Comp. Finance Spring
03
Aurell Erik, Paolo Muratore-Ginanneschi 'GROWTH-OPTIMAL STRATEGIES WITH QUADRATIC
FRICTION OVER FINITE-TIME INVESTMENT HORIZONS' IJT&AF 8/2004
Ausloos Marcel 'Financial Time Series & Statistical Mechanics' <distributions><power
laws> 3/2001
Austin Mark, Graham Bates, Michael Dempster, Vasco Leemans, Stacy Williams 'Adaptive
Systems for Foreign Exchange Trading' QF 8/04
Avellaneda Marco 'A Look Ahead at Option Pricing & Volatility' QF 10/04
Avellaneda Marco 'Quantitative Analysis in Financial Markets' III 2002 World
Scientific Press <Imperial College Press>
Avellaneda Marco, Dash Boyer-Olson, Jerome Busca,Peter Friz 'Reconstructing
Volatility:Pricing Index Options Using the Steepest-Descent
Approximation'<baskets, implied vol,correlation><volatility> RISK 10/02;wp NYU
2002
Avellaneda Marco, Jingyi Zhu 'Distance to Default' RISK 12/01 <credit risk>
Avellaneda Marco, Jingyi Zhu 'Modeling the Distance-to-Default Process of a Firm'
10/01 <credit risk>
Avellaneda Marco, Liuren Wu 'Credit Contagion:Pricing Cross-Country Risk in Brady Debt
Markets' Intern. J. of Theor. & Applied Finance 12/01
Aven Terje 'Foundations of Risk Analysis' 2004 Wiley Press
Averbukh Victoria 'Pricing American Options Using Monte Carlo Simulation' PhD Cornell
97
Avram Florin, Andreas Kypianou, Martijn Pistorius 'Exit Problems for Spectrally
Negative Levy Processes & Applications to Russian, American & Canadized Options'
Ann. App. Prob. 04 , 2003 <option-Russian>
Avram Florin, Terence Chan, Miguel Usabel 'On the Valuation of Constant Barrier
Options under Spectrally One Sided Exponential Levy Models & Carr's
Approximation for American Puts' <option-American><Erlang, Gerber, Shiu> SP&A
July/Aug. 2002
Avram Florin, Terence Chan, Miguel Usabel 'Pricing American Options under Spectrally
Negative Exponential Levy Models' superceeded
Avramidis Athanassios, Heinrich Matzinger 'Convergence of the Stochastic Mesh
Estimator for Pricing American Options' 2002 Winter Simul Con. <option-American>
Avramidis Athanassios, Heinrich Matzinger 'Convergence of the Stochastic Mesh
Estimator for Pricing Bermuda Options' J. Comp. Finance Summer 2004 , 2/03
<option-Bermuda>
Avramidis Athanassios, J.R. Wilson 'Correlation-Induction Techniques for Estimating
Quantiles in Simulation Experiments' OR 98
Avramidis Athanassios, Pierre L'Ecuyer, Pierre-Alexandre Tremblay 'Efficient
Simulation of Gamma & Variance-Gamma Processes' <option-numeric> 2003 Winter
Simul. Confer.
Avramov Doron 'Stock Return Predictability and Asset Pricing Models' RFS Fall 04
Avramov Doron, John Chao ‘An Exact Bayes Test of Asset Pricing Models with Application
to International Markets’ JofB 1/06
Avramov Doron, Tarun Chordia, Gergana Jostova, Alexander Philipov 'Momentum and Credit
Rating' U. Maryland, Emory, George Washington U. SSRN 6/05
Axelsson Owe, Vincent Barker 'Finite Element Solution of Boundary Value
Problems:Theory & Computation' 2001 SIAM book
Ayache Antoine, Jacques Levy Vehel 'On the identification of the Pointwise Hölder
Exponent of the Generalized Multifractional Brownian Motion'SP&A 5/04
Ayache Ele 'The Discrete & the Continuous' Wilmott Pub. 10/01 <Brownian>
Ayache Ele, Peter Forsyth, Kenneth Vetzal 'The Valuation of Convertible Bonds with
Credit Risk' J. Derivatives Fall 03 ,6/02 <bonds>
Ayers Benjamin, Craig Lefanowicz, John Robinson 'Shareholder Taxes in Acquisition
Premiums: The Effect of Capital Gains Taxation' JofF 12/03
Ayoola Ezekiel O. 'Lagrangian Quadrature Schemes for Computing Weak Solutions of
Quantum Stochastic Differential Equations' SIAM J. Numerical Analysis 2002
Azcue Pablo, Nora Muler 'OPTIMAL REINSURANCE AND DIVIDEND DISTRIBUTION POLICIES IN THE
CRAMÉR-LUNDBERG MODEL' MF 4/05
Aziz Andrew, Eliamkim Katz, Eliezer Prisman 'Managing the Risk of Relative Price
Changes by Splitting Index-Lined Bonds' J. of Risk Summer 01
Baaquie Belal 'Quantum Field Theory of Forward Rates with Stochastic Volatility' 10/01
<volatility>
Baaquie Belal 'Quantum Finance:Path Integrals & Hamiltonians for Options & Interest
Rates' Cambridge Press 2004
Baaquie Belal, Claudio Coriano, Marakani Srikant 'Hamiltonian & Potentials in
Derivative Pricing Models:Exact Results & Lattice Simulations' 5/03 <option-
pricing>
Baaquie Belal, Claudio Coriano, Marakani Srikant 'Quantum Mechanics, Path Integrals &
Option Pricing:Reducing the Complexity of Finance' <option-pricing> 8/02
Baaquie Belal, Cui Liang, Mitch C. Warachka 'Hedging LIBOR Derivatives in a Field
Theory Model of Interest Rates' Econophysics 5/05
Baaquie Belal, Marakani Srikant 'Hedging in Field Theory Models of the Term Structure'
11/03 <term structure>
Baaquie Belal, Marakani Srikant, Mitch Warachka 'A Quantum Field Theory Term Structure
Model Applied to Hedging' Inter. J. Theor. & Appl. Finance 8/03 <term structure>
Baaquie Belal, Srikant Marakani 'Empirical Investigation of a Quantum Field Theory of
Forward Rates' 6/01 <term structure>
Babbs Simon 'Conditional Gaussian Models of the Term Structure of Interest Rates'
Finance and Stochastics 2002 <term structure>
Babuska Ivo, Raul Tempone, Georgios Zouraris 'Galerkin Finite Element Approximations
of Stochastic Elliptic Partial Differential Equations' 9/02 <finance>
Baccarin Stefano 'Optimal impulse control for a multidimensional cash management
system with nonlinear cost functions' Bachelier Conference 2004
Bacinello Anaa Rita 'Fair Valuation of a Guaranteed Life Insurance Participating
Contract Embedding a Surrender Option' Bachelier conference 2002
Back Andrew, Andreas Weigend 'A First Application of Independent Component Analysis to
Extracting Structure from Stock Returns' Inter. J. Neural Sciences 10/7
<portfolio>
Back Kerry 'Incomplete & Asymmetric Information in Asset Pricing Theory' in
Stochastic Methods in Finance Springer-Verlag July 03 conference
Back Kerry, Shmuel Baruch 'Information in Securities Markets:Kyle Meets Glosten &
Milgrom' Econometrica 3/04
Backus David, Liuren Wu 'The "Hump-Shaped" Mean Term Structure of Interest Rate
Derivatives Vols.' Fordhap 98
Backus David, Silverio Foresi, A. Mozumdar, Liuren Wu 'Predictable Changes in Yields &
Forward Rates' JFE 3/2001 , 4/97 <term structure>
Backus David, Silverio Foresi, Chris Telmer 'Affine Term Structure Models & the
Forward Premium Anomaly' JofF 2/2001
Bacry Emmanuel, Jean-Francois Muzy 'Multifractal Stationary Random Measures &
Multifractal Random Walks with Loginfinitely Divisible Scaling Laws' Physical
Review 2002
Badea Lori, Junping Wang 'A New Formulation for the Valuation of American Options I
:Solution Uniqueness' <options-American>
Badea Lori, Junping Wang 'A New Formulation for the Valuation of American Options
II:Solution Existence' <options-American>
Badrinath S.G., Sunil Wahal ' Momentum Trading by Institutions'JofF 12/02
Bae Kee-Hong, G. Andrew Karolyi, René M. Stulz 'A New Approach to Measuring Financial
Contagion' RFS Fall 03
Bae Kee-Hong, Jun-Koo, Jin-Mo Kim ' Tunneling or Value Added? Evidence from Mergers by
Korean Business Groups'JofF 12/02
Baheti Prasun, Roy Mashal, Marco Naldi, Lutz Schloegl 'Squaring factor copula models'
<CDO, squared products> RISK 6/05
Bahra B. 'Implied Risk-Neutral Probability:Density Functions from Option Prices:Theory
& Applications Bank of England 1997
Bai Jushan 'Inferential Theory for Factor Models of Large Dimensions 'Econometric
1/03
Bai Jushan, Serena Ng 'A PANIC Attack on Unit Roots and Cointegration ' Econometrica
7/04
Bai Jushan, Serena Ng 'Determining the Number of Factors in Approximate Factor Models'
Econometrica Jan 02
Bai Y.Q., M. El Ghami, C. Roos 'A New Efficient Large-Update Primal-Dual Interior-
Point Method Based on a Finite Barrier' SIAM J. Optimization 1/02
Bailey Warren, Haitao Li, Connie Mao, Rui Zhong 'Regulation Fair Disclosure and
Earnings Information: Market, Analyst, and Corporate Responses' Taxation' JofF
12/03
Bain Alan 'Stochastic Calculus' <stochastics> 72 page wp
Baker H. Kent, John Nofsinger, Daniel Weaver 'International Cross-Listing &
Visibility' JF&QA 9/02
Baker M.D., Endre Suli, Antony (Tony) Ware 'Stability & Convergence of the Spectral
Lagrange-Galerkin Method for Mixed Periodic/Non-Periodic Convection-Dominated
Diffusion Problems' IMA J. Numer. Analysis V.19 #4 , wp 99
Baker Malcolm, Jeffrey Wurgler 'A Catering Theory of Dividends' JofF 6/04
Baker Malcolm, Jeffrey Wurgler 'Market Timing & Capital Structure' JofF 2/02
Bakhtin Yu. 'Existence and Uniqueness of a Stationary Solution of a Nonlinear
Stochastic Differential Equation with Memory' Theory Prob. & its Applications
V47, #4
Baks K., A. Metrick, J. Wachter 'Should Investors Avoid all Actively Managed Mutual
Funds? Study in Bayesian Performance Evaluation' JofF 2/2001
Bakshi Gurdip, Dilip Madan 'Average Rate Claims with Emphasis on Catastrophe Loss
Options' JF&QA 3/02 , 5/01 <option-average>
Bakshi Gurdip, Dilip Madan, F. Zhang 'Investigating the Sources of Default
Risk:Lessons from Empirically Evaluating Credit Risk Models' 2/2001
Bakshi Gurdip, Dilip Madan, Frank Zhang ‘Investigating the Role of Systematic and
Firm-Specific Factors in Default Risk: Lessons from Empirically Evaluating
Credit Risk Models’ JofB 9/06
Bakshi Gurdip, Nengjiu Ju ‘A Refinement to Ait-Sahalia's (2002) Maximum Likelihood
Estimation of Discretely Sampled Diffusions: A Closed-Form Approximation
Approach’ JofB 9/05
Bakshi Gurdip, Nikunj Kapadia 'Delta-Hedged Gains and the Negative Market Volatility
Risk Premium 'RFS Summer 03
Bakshi Gurdip, Nikunj Kapadia, Dilip Madan 'Stock Return Characteristics, Skew Laws,
and the Differential Pricing of Individual Equity Options' RFS 2003
Bakshi Gurdip, Nikunj Kapadia, Dilip Madan 'Why are Implied Volatility Curves Embedded
in Individual Eqity Options so Flat' U. Maryland 99
Balakrishnan V., L. Vandenberghe 'Connections Between Duality in Control Theory &
Convex Optimization' 95 <linear programming>
Balan R. 'Q-Markov Random Probability Measures & their Posterior Distributions' SP&A
2/04
Balasanov Yuri, Leonid Nazarov 'Pricing European Options on an Underlying with Double-
Sided Gamma Distribution' 3/99 <option-numeric>
Balbus Lukasz, Andrzej S. Nowak 'Construction of Nash equilibria in symmetric
stochastic games of capital accumulation' Math. of OR 10/04
Baldi Paolo 'Exact Asymptotics for the Probability of Exit from a Domain &
Applications to Simulation' Annals of Pro. 95
Baldi Paolo 'Problemes de Simulation Pour des Options Path-Dependent:Le Role des
Grandes Deviations'<option-Asian>
Baldini M., C. Mari 'Single Factor Models of the Term Structure with Generalized CIR
Volatility Structure:an Application to the Italian Bond Market' 2001 lecture
Balduzzi Pierluigi, Edwin Elton, T. Clifton Green 'Economic News & Bond
Prices:Evidence from the U.S. Treasury Market' JF&QA 12/01
BAli Turan, Nusret Cakici, Xuemin (Sterling) Yan, Zhe Zhang 'Does Idiosyncratic Risk
Really Matter?' JofF 4/05
Bali Turan, Salih Neftci 'Estimating the Term Structure of Interest Rate Volatility in
Extreme Values' J. Fixed Income March 2001 <term structure>
Ball Clifford, Tarun Chordia 'True Spreads and Equilibrium Prices'JofF 10/01
Balland Philippe 'Deterministic Implied Volatility Models' QF 2/02 <volatility> <per-
delta, per-strike>
Balland Philippe., Lane Hughston 'Markov Market Model Consistent with Cap Smile'
Inter.J. Theor & App. Finance 4/2000 <interest rate>
Ballestero Enrique 'Mean-Semivariance Efficient Frontier: A Downside Risk Model for
Portfolio Selection' Applied Math. Finance 3/05
Ballotta Laura, Andreas Kyprianou 'A Note on the Alpha-Quantile Option' Applied Math.
Finance 9/01 <option-path><Dassios-Port-Wendel, fixed strike lookback>
Bally Vlad, Anis Matoussi 'Weak Solutions for SPDEs & Backward Doubly Stochastic
Differential Equations' Jan. 2001 J. Theor. Prob. , <SDE> <Sobolev, Feynman-
Kac>
Bally Vlad, Denis Taly 'The Law of the Euler Scheme for Stochastic Differential
Equations (I): Convergence Rate of the Distribution Funciton' Prob. Theory &
Related Fields 95
Bally Vlad, Gilles Pages 'A Quantization Algorithm for Solving Multidimensional
Optimal Stopping Problems' wp 2001
Bally Vlad, Gilles Pages 'Error Analysis of the Quantization Algorithm for Obstacle
Problems' wp 2002
Bally Vlad, Gilles Pages, Jacques Printems 'A Quantization Tree Method for Pricing &
Hedging Multi-Dimensional American Options' MF 1/05 ,5/02 <options-American>
Bally Vlad, Gilles Pages, Jacques Printems 'First-Order Schemes in the Numerical
Quantization Method' MF 1/03 , 4/02 <options-numeric>
Bally Vlad, L. Caramellino, Antonino Zanette 'Pricing American Options by Monte Carlo
Methods Using a Malliavin Calculus Approach' INRIA 2003
Ban Junhwa, Hyeong In Choi, Hyejin Ku 'Valuation of European Options in the Market
with Daily Price Limit' App.Math.Finance 3/2000
Bana Gergei 'Risk-Free Internal Gains -- Black and Scholes Re-Examined' SSRN 5/05
Bandi Federico, Thong Nguyen 'On the Functional Estimation of Jump-Diffusion Models'
2/01 <volatility>
Bandi Fererico, Peter Philips 'Fully Nonparametric Estimation of Scalar Diffusion
Models 'Econometric 1/03
Bandi Fererico, Thong Nguyen 'On the Functional Estimation of Jump-Diffusion Models'
J. Econometric Aug 2003
Bandle C. 'Symmetrizations in Paraboic Differential Equations' J. Analyse 76
Banerjee Pradipto 'Close Form Pricing of Plain & Partial Outside Double Barrier
Options' 2/03 <option-Barrier>
Banerjee Suman, Laurent Gauthier, W. Tan, D. Zhu 'A Study of RASC Subprime Loan
Prepayments, Delinquencies & Losses' J. Fixed Income 12/2000
Banerjee Suman, Thomas Noe ‘Exotics and Electrons: Electric Power Crises and Financial
Risk Management’ JofB tobe 2005-2006
Bange Mary, Michael A. Mazzeo 'Board Composition, Board Effectiveness, and the
Observed Form of Takeover Bids' RFS Winter 04
Banger Nicole 'PRICING DERIVATIVE SECURITIES USING CROSS-ENTROPY: AN ECONOMIC ANALYSIS
'IJT&AF 2/04
Bank Peter 'Universal Exercise Signals for American Options: A New Approach to Optimal
Stopping' Bachelier Conference 2004 abstract <option-American>
Bank Peter, Fabrice Baudoin, Hans Follmer, L.C.G. Rogers, H. Mete Soner, Nizar Touzi
'Paris-Princeton Lectures on Mathematical Finance 2002' Springer-Verlag 2003
Bank Peter, Frank Riedel 'Existence & Structures of Stochastic Equilibrium with
Intertemporal Substituion' Finance & Stochastics Oct 01 <utility,equilibrium>
Bank Peter, Hans Follmer 'American Options, Multi-Armed Bandists & Optimal Consumption
Plans:A Unifying View' 4/03 <option-American>
Bank Peter, Nicole El Karoui 'A Stochastic Representation Theorem with Applications to
Optimization & Obstacle Problems' <optimal control>
Bank Peter, Nicole El Karoui, Frank Riedel 'Optimal consumption rules in the presence
of durable and perishable goods' Bachelier conference 2002
Bank Randolph, Michasel Holst 'A New Paradigm for Parallel Adaptive Meshing
Algorithms' SIAM Review 6/03
Banks John, Valentina Dragan, Arthur Jones 'Chaos:A Mathematical Introduction' 2003
Cambridge Press
Banner Adrian, Robert Fernholz, Ioannis Karatzas 'Atlas models for equity markets'
2004
Bansal Ravi, Amir Yaron 'Risks for the Long Run: A Potential Resolution of Asset
Pricing Puzzles' JofF 8/04
Bansal Ravi, Hao Zhou 'Term Structure of Interest Rates with Regime Shifts' JofF 10/02
Baptista Alexandre 'Spanning with American Options' JET 2003 <options-American>
Barbachan Jose Fajardo, Ernesto Mordecki 'Put-Call Duality & Symmetry' 6/03 <option-
pricing><Carr & Chesney, hyperbolic, CGMY, jump>
Barbe Ph., W. P. McCormick 'Second-Order Expansion for the Maximum of Some Stationary
Gaussian Sequences' SP&A 4/04
Barber Brad, Reven Lehavy, Maureen McNichols, Brett Trueman 'Can Investors Profit from
the Prophets? Security Analyst Recommendations and Stock Returns' JofF 4/2001
Barber Brad, Terrance Odean 'Online Investors:Do the Slow Die First?' RFS v.15 #2 2002
Barberis Nicholas, Ming Huang 'Mental Accouting, Loss Aversion & Individual Stock
Returns',Discussion M. Brennan JofF 8/01
Barclay Michael, Erwan Morellec, Clifford Smith ‘On the Debt Capacity of Growth
Options’ JofB 1/06
Barclay Michael, Terrence Hendershott 'Liquidity Externalities and Adverse Selection:
Evidence from Trading after Hours' JofF 4/04
Barclay Michael, Terrence Hendershott, D. Timothy McCormick 'Competition among Trading
Venues: Information and Trading on Electronic Communications Networks' Taxation'
JofF 12/03
Barco Michael 'Bringing Credit Portfolio Modeling to Maturity' RISK 1/04 <mark-to-
market>
Barles Guy, Christian Daher, Marc Romano 'Convergence of Numerical Schemes for
Problems Arising in Finance Theory' Math. Models Mech. App. Sci 5,1995
Barlow Martin 'A Diffusion Model for Electricity Prices 'MF Oct/02
Barlow Martin, Yuri Gusev, Manpo Lai 'CALIBRATION OF MULTIFACTOR MODELS IN ELECTRICITY
MARKETS ' IJT&AF 3/04
Barndorff-Nielsen Ole 'Information & Exponetial Famililes in Statistical Theory' Wiley
98
Barndorff-Nielsen Ole, Elisa Nicolato, Neil Shephard 'Some Recent Developments in
Stochastic Volatility Modeling' 12/01 <volatility> <OU, power variation>
Barndorff-Nielsen Ole, Neil Shephard 'Econometric Analysis of Realized Covariation:
High Frequency Based Covariance, Regression, and Correlation in Financial
Economics 'Econometrica 5/04
Barndorff-Nielsen Ole, Neil Shephard 'Estimating Quadratic Variation Using Realized
Variance' 3/02 <volatility>
Barndorff-Nielsen Ole, Neil Shephard 'Estimating Quadratic Variation Using Realized
Volatility' J. App. Econometrics 2002
Barndorff-Nielsen Ole, Neil Shephard 'Higher Order Variation & Stochastic Volatility
Models' 7/01 <volatility> <continuous martingale, OU>
Barndorff-Nielsen Ole, Neil Shephard 'How Accurate is the Asymptotic Approximationto
the Distribution of Realized Volatility?' Scan. J. Stat. 6/03 , <volatility>
8/01
Barndorff-Nielsen Ole, Neil Shephard 'Impact of jumps on returns and realised
variances: econometric analysis of time-deformed Levy-processes' CAF 12/04
Barndorff-Nielsen Ole, Neil Shephard 'Integrated OU Processes & Non-Gaussian OU-Based
Stochastic Volatility Models' <volatility> 5/2001
Barndorff-Nielsen Ole, Neil Shephard 'Multipower Variation and Stochastic Volatility'
<high-frequency> 2004
Barndorff-Nielsen Ole, Neil Shephard 'Normal Modified Stable Processes' 6/10/01
<distribution><hyperbolic,Gaussian>
Barndorff-Nielsen Ole, Neil Shephard 'Power & Bipower Variation with Stochastic
Volatility & Jumps' <volatility>
Barndorff-Nielsen Ole, Neil Shephard 'Realized Power Variation & Stochastic Volatility
Models' <volatility> 8/01
Barndorff-Nielsen Ole, Peter Reinhard Hansen, Asger Lunde, Neil Shephard 'Regular and
modified kernel-based estimators of integrated variance: the case with
independent noise' CAF 12/04
Barndorff-Nielsen Ole, Steen Thorbjørnsen 'The Lévy-Itô decomposition in free
probability' Prob. Theory & Related Fields 2/05 <Poisson>
Barndorff-Nielsen Ole, Svend Graversen, Neil Shephard 'Power Variation & Stochastic
Volatility:A Review & Some New Results' 5/03 <volatility>
Barner M., F. Feri 'On the microstructure of price determination and information
aggregation with sequential and asymmetric information arrival in an
experimental asset market' Annals of Finance Jan 05
Barnett Richard, Eric Fisher 'Comment on: "Do Sunspots Matter When Spot Market
Equilibria Are Unique?"' Econometrica Jan 02
Barnett W., S. Wu 'On user costs of risky monetary assets' Annals of Finance Jan 05
Barnhill T., G. Kopits 'Assessing fiscal sustainability under uncertainty 'J. Risk
Summer 2004
Baron Ken, Jeffrey Lange 'From Horses to Hedging' RISK 2/03
<hedging><auction,parimutuel>
Barone Adesi Giovanni, Henrik Rasmussen, Claudia Ravanelli 'An Option Pricing Formula
for the GARCH Diffusion Model'<European> SSRN 1/04
Barone-Adesi Giovanni 'Electricity Derivatives'
Barone-Adesi Giovanni, Ana Bermudez, John Hatgioannides 'Two-Factor Convertible Bonds
Valuation using the Method of Characteristic/Finite Elements' J. Econ.Dyn. &
Control 2003 <convertible bonds>
Barone-Adesi Giovanni, Walter Allegretto, E. Dinenia, Ghulam Sorwar 'Valuation of
Single Factor Default Free Bonds & Contingent Claims' 2003 NCR wp
Barrett Christopher, et al 'Understanding Large-Scale Social & Infrastructure
Networks:Simulation Based Approach' SIAM News 5/04
Barrett Garry, Stephen Donald 'Consistent Tests for Stochastic Dominance 'Econometric
1/03
Barrieu Pauline, Nicole El Karoui 'Inf-convolution of risk measures and optimal risk
transfer' F&S 4/05
Barrieu Pauline, Nicole El Karoui 'Optimal derivatives design under dynamic risk
measures' Mathematics of finance : Proceedings of an AMS-IMS-SIAM Joint Summer
Research Conference on Mathematics of Finance 2003
Barrieu Pauline, Nicole El Karoui 'Optimal Derivatives Design under Dynamic Risk
Measures' 2003 <risk><inf convolution, BSDE>
Barro Robert 'Rare Events and the Equity Premium' SSRN 6/05
Barrow J., J. Silk 'The Structure of the Early Universe' "Particle Physics in the
Universe" Freeman & Co. {Scien.Amer. articles>
Barucci Emilio 'Financial Markets Theory' 2003 Springer-Verlag
Barucci Emilio, Paul Malliavin, Maria Elvira Mancino 'Harmonic analysis methods for
volatility computation' Bachelier Conference 2004
Barucci Emilio, Paul Malliavin, Maria Elvira Mancino, Roberto Reno, Anton Thalmaier
'Price-Volatility Feedback Rate:An Implementatable Mathematical Indicator of
Market Stability' MF 1/03
Barucci Emilio, Roberto Reno 'On Measuring Volatility & GARCH Forecasting Performance'
J. International Financial Markets 2002
Barucci Emilio, Roberto Reno 'On Measuring Volatility of Diffusion Processes with High
Frequency Data' Economic Letters 2002
Basak S., A. Shapiro 'Value At Risk Management:Optimal policies & Asset Prices' RFS
Summer 2001
Basak Suleyman, Alex Shapiro ‘A Model of Credit Risk, Optimal Policies, and Asset
Prices’ JofB 7/05
Basili M., F. Fontini 'Ambiguity & Portfolio Inertial' International J. Theoretical &
Applied Finance 12/02
Bass Richard, Krzysztof Burdzy, Zhen-Qing Chen 'Stochastic Differential Equations
Driven by Stable Processes for which Pathwise Uniqueness Fails*1'SP&A 5/04
Bassan B., C. Ceci 'Regularity of the value function and viscosity solutions in
optimal stopping problems for general Markov processes'S&SR 2002
Basset Gib, Chen Chen, Rong Chen 'Time Series Properties of Cross-Sectional Equity
Returns' Bachelier Conference 2004
Bassetto Marco 'A Game-Theoretic View of the Fiscal Theory of the Price Level
'Econometrica 11/02
Bassi F., Paul Embrechts, M. Kafetzaki 'Risk Managemetn & Quanitle Estimation' in A
Practical Guide to Heavy Tails 98
Basso Antonella, Martina Nardon, Paolo Pianca 'Discrete and continuous time
approximations of the optimal exercise boundary of American options' Bachelier
conference 2002
Basso Antonella, Martina Nardon, Paolo Pianca 'Early Exerice Boundary of American
Options' 2001 lecture
Basso Antonella, Paolo Pianca 'Option Pricing Bounds with Standard Risk Aversion
Preferences' 6/01 <option-pricing>
Basu A. 'An Introduction to Stochastic Processes' 2002 CRC Press
Basu Kaushik, Tapan Mitra 'Aggregating Infinite Utility Streams with InterGenerational
Equity: The Impossibility of Being Paretian' Econometrica 9/03
Basu Sankarshan, Angelos Dassios 'A Doubly Stochastic Poisson Process with Log-Normal
Intensity' <credit risk> <Cox Process, Stop-Loss, Ornstein-Uhlenbeck>
Bates David 'Empirical Option Pricing: a Retrospection' J. Econometric Aug 2003
Bates David 'Maximum Likelihood Estimation of Latent Affine Processes' NBER 5/03
<asset pricing>
Bates Thomas 'Asset Sales, Investment Opportunities, and the Use of Proceeds' JofF
2/05
Bather John 'Bounds on Optimal Stopping Times for the American Put' U. Suxxex 1997
Bather John 'Optimal Stopping Problems for Brownian Motion' Advances in Appl. Prob.
1970
Battaglini Marco 'Multiple Referals & Multidimenstional Cheap Talk' Econometrica 7/02
Battalio Raymond, Larry Samuelson, John Van Huyck 'Optimization Incentives &
Coordination Failure in Laboratory Stag Hunt Games' Econometrica 5/2001
Battalio Robert, Brain Hatch, Robert Jennings 'Toward a National Market System for
U.S. Exchange-listed Equity Options' JofF 4/04
Battalio Robert, Jason Greene, Brian Hatch, Robert Jennings 'Does the Limit Order
Routing Decision Matter? 'RFS Spring 2002
Battauz Anna 'Pricing & Hedging Asset Derivatives with Discrete Stochastic Dividends'
2001 lecture
Battauz Anna, Francesca Beccacece 'DIVIDENDS AND UNCERTAINTY: EVIDENCE FROM THE
ITALIAN MARKET 'IJT&AF 2/04
Battauz Anna, Maurizio Pratelli 'Optimal stopping and American options with discrete
dividends and exogenous risk' Bachelier Conference 2004
Baudoin Fabrice 'Conditional Stochastic Differential Equations: Theory, Examples and
Applictions to Finance' SP&A July/Aug 2002 <SDE>
Baudoin Fabrice, Laurent Nguyen-Ngoc 'The financial value of a weak information on a
financial market' FS 8/04
Baudoin Fabrice, Nicolas Gaussel 'Badly Arbitraged Marekts & Negative Martingale
Measures' <martingale> 12/2000
Bauer Christian, Bernhard Herz 'Technical Trading & the Volatility of Exchange Rates'
QF 8/04
Bauer K., S. Venkatraman, J. Wilson 'Estimation Procedures Based on Control Variates
with Known Covariance Matrix' Proc. Winter Simulation Conference IEEE 87
Bauerle Nicole, Ulrich Rieder 'Portfolio optimization with Markov-modulated stock
prices and interest rates' IEEE Trans. Automated Control 3/04
Baule Rainer, Marco Wilkens 'Lean Trees-A General Approach for Improving Performance
of Lattice Models for Option Pricing' Rev. Deriv. Research 2004 , 12/2000
<option-numeric><trinomial>
Baur Dirk, Robert Jung 'Spotting Special Spillovers' Bachelier conference 2002
Baurdoux E., A. Kyprianou 'Further Calculations for Israeli Options' S&SR 12/04
Baviera Roberto 'Transaction Costs:A New Point of View' Inter. J. Theoretical &
Applied Finance 4/2001
Baviera Roberto 'Vol-Bond:An Analytical Solution' QF Aug. 2003
Baviera Roberto, M. Pasquini, J. Raboanary, M. Serva 'Moving Averages & Price
Dynamics' Inter. J. Theor. & Applied Finance 9/02
Bavouzet-Morel Marie-Pierre, Vlad Bally, Marouen Messaoud 'Monte Carlo method using
Malliavin calculus on Poisson space for the computation of Greeks' Bachelier
Conference 2004
Baxendale Peter 'Stochastic averaging and asymptotic behavior of the stochastic
Duffing-van der Pol equation' SP&A 10/04
Bayraktar Erhan, Savas Dayanik 'Quickest Detection of the Poisson Disorder with
Exponential Delay Cost' Bachelier Conference 2004
Bayraktar Erhan, Vincent Poor, Ronnie Sircar 'ESTIMATING THE FRACTAL DIMENSION OF THE
S&P 500 INDEX USING WAVELET ANALYSIS' IJT&AF 8/2004
Baz Jamil, George Chacko 'Financial Derivatives' 2004Cambridge Press
Bazant Zdenek, Yong Zhou 'Why Did the World Trade Center Collapse' SIAM News 10/01
Beaglehole David 'Tax Clienteles & Stochastic Processes in the Gilt Market' wp U.
Chicago 91
Beaglehole David, Alain Chebanier 'A Two-Factor Mean-Reverting Model' RISK
7/02<options-commodity><oil>
Beaglehole David, Alain Chebanier 'Mean Reverting Smiles' RISK 4/02 <volatility>
Bear Stearns 'Collateralized Synthetic Obligations:A New Asset Class' RISK 11/01
Beatson R., H. Bui 'Mollification Formulas & Implicit Smoothing' U. Cantebury 2003
Bebchuk Lucian 'Ex Ante Costs of Violating Absolute Priority in Bankruptcy' JofF 2/02
Becherer Dirk 'Rational Hedging & Valuation with Utility-Based Preferences' PhD 2001
<hedging><semi-complete market, PDE,numeraire,reaction-diffusion>
Becherer Dirk 'Utility-Indifference Hedging & Valuation via Reaction-Diffusion
Systems' Proc.:Math.,Physical & Engin. 1/04 <Hedging>
Becherer Dirk, Martin Schweizer 'Classical Solutions to Reaction-Diffusion Systems for
Hedging with Interacting Ito & Point Processes' 2003
Beck Thorsten, ASLI DEMIRGÜÇ-KUNT, VOJISLAV MAKSIMOVIC 'Financial and Legal
Constraints to Growth: Does Firm Size Matter?' JofF 2/05
Becker J. 'A Second Order Backward Difference Method with Variable Timesteps for a
Parabolic Problem' BIT 98
Becker-Kern Peter 'Random Integral Representation of Operator-Semi-Self-Similar
Processes with Independent Increments' SP&A 2/04 <Levy Bridge, Ornstein-
Uhlenbeck>
Bedendo Mascia, Stewart Hodges 'A PARSIMONIOUS CONTINUOUS TIME MODEL OF EQUITY INDEX
RETURNS: INFERRED FROM HIGH FREQUENCY DATA' IJT&AF 12/04
Beerends R., H. ter Morsche, J. van den Berg, E. van de Vrie 'Fourier & Laplace
Transforms' Cambridge Press
Beghdadi-Sakrani S. 'On Pathwise Uniqueness of Stochastic Differential Equations
Without Drift' Journal Theor. Prob. 10/03
Beibel M., H. Lerche 'Optimal Stopping of Regular Diffusions under Random Discounting'
Theory of Probability and It's Applications V45 #4
Bekaert Geert, Campbell Harvey, Christian Lundblad 'Equity Market Liberalization in
Emerging Markets' Review FRB St. Louis July/Aug 03
Bekaert Geert, Jun Liu 'Conditioning Information & Variance Bounds on Pricing Kernels'
RFS Summer 04
Bekaert Geert, Robert Hodrick 'Expections Hypotheses Tests',Discussion Matthew
Richardson JofF 8/01
Belanger Alain, Steven Shreve, Dennis Wong 'A GENERAL FRAMEWORK FOR PRICING CREDIT
RISK' MF 7/04
Belanger Alain, Steven Shreve, Dennis Wong 'A Unified Model for Credit Derivatives'
2/2001 <credit risk>
Belbase Eknath 'A Lattice Implementation of the Black-Karasinski Rate Process' <term
structure> <simulation,pre-payment, mortgage> Andrew Davidson Co. www.ad-co.com
6/2000
Belbase Eknath, Daniel Szakallas 'The Yield Curve & Mortgage Current Coupons' J. Fixed
Income March 02
Belensky A. 'Inner Market as a "Black Box" of Parameters for the Entire Market' Int.
J. Theor.& Applied Fiannce 8/2002
Bell Leonie, Tim Jenkinson 'New Evidence of the Impact of Dividend Taxation and on the
Identity of the Marginal Investor' JofF 6/02
Bellalah Mondher, Marc Lavielle, Jean-Luc Prigent 'Pricing Standard & Exotic Options
in the Presence of Finite Mixture of Gaussian Distributions:Theory & Empirical
Tests' <option-pricing><Geman, Laplace>
Bellalah Mondher, Mohamed Ahnani, Jean-Luc Prigent 'Option Pricing with a Finite
Stochastic Volatility' 12/99 <Volatility><Geman, Laplace>
Bellalah Mondher, Z. Wu 'A Model for Market Closure & International Portfolio
Mangement within Incomplete Information' Int. J. Theor.& Applied Fiannce 8/2002
Bellamy Nadine 'Wealth Optimization in an Incomplete Market Driven by a Jump-Diffusion
Process' J. Math Econ. 2001 <portfolio>
Bellini Fabio, Gianna Figagrae 'DETECTING AND MODELING TAIL DEPENDENCE'IJT&AF 5/04
Bellini Fabio, Marco Frittelli 'On the Existence of Minimax Martingale Measures' MF
1/02 <martingale>
Belton Terrence, Pavan Wadhwa 'Swaps as a Synthetic Asset Class' J. Fixed Income 12/02
Belzil Christian, Jorgen Hansen 'Unobserved Ability and the Return to Schooling
'Econometrica 9/02
Ben Hariz Samir 'Uniform CLT for empirical process' SP&A 2/05
Benaim Michael, Jorgen Weilbull 'Deterministic Approximation of Stochastic Evolution
in Games 'Econometrica May 03
Ben-Ameur Hatem, Michele Breton, Pierre L'Ecuyer 'A Dynamic Programming Procedure for
Pricing American-Style Asian Options' Management Science May 02 <option-
Asian><Path, Bermuda, Piecewise Polynomial>
Ben-Ameur Hatem, Pierre L'Ecuyer, Christiane Lemieux 'Combination of General
Antithetic Transformations & Control Variables' Math. of O.R. 11/04 <monte
carlo>
Ben-Ari Iddo, Ross Pinsky 'Absolute continuity/singularity and relative entropy
properties for probability measures induced by diffusions on infinite time
intervals' SP&A 2/05
Benartzi Shlomo 'Excessive Extrapolation and the Allocation of 401(k) Accounts to
Company Stock'JofF 10/01
Benartzi Shlomo, Richard Thaler 'How Much Is Investor Autonomy Worth?' JofF 8/02
Bencivenga Valerie, Bruce Smith 'Monetary Policy & Financial Market Evolution' Review
FRB St. Louis July/Aug 03
Bender Christian 'The Fractional Ito Integral, Change of Measure & Absence of
Arbitrage' 11/02 <martingale><Girsanov>
Bender Christian, Michael Kohlmann 'BSDEs with Stochastic Lipschitz Condition' <SDE>
2/2000
Bender Christian, Robert Elliott 'Arbitrage in a Discrete Version of the Wick
Fractional Black-Scholes Market' Math. of O.R. 11/04 <arbitrage> <fractional B-
S, binary market>
Beneder Reimer, Ton Vorst 'The Implied Volatility Skew' 2001 in Recent Dev. in Math.
Finance:Shanghai
Benes V.E. 'Girsanov Functions & Optimal Bang-Bang Laws for Final-Value Stochastic
Control' SP&A 1974
Ben-Hamou Eric 'Efficient Computation of Greeks for Discontinuous Payoffs by
Transformation of the Payoff Function' 1/02 <option-numeric> <monte carlo,
Asian, Lookback, Malliavin>
Ben-Hamou Eric 'Fast Fourier Transform for Discrete Asian Options' J. Computational
Finance Fall 02 , 3/2000 <option-average>
Ben-Hamou Eric 'Optimal Malliavin Weighting Function for the Computation of the
Greeks' MF 1/03 , 12/01 <option numeric>
Ben-Hamou Eric 'Option Pricing with Levy Process' 7/2000 <option-pricing> <Fourier,
Laplace, Smile>
Ben-Hamou Eric 'Smart Monte Carlo:Various Tricks using Malliavin Calculus' QF Oct/02
<option-numeric> <Greeeks,perturbation>
Bening V., V. Yu. Korolev 'Nonparametric Estimation of the Ruin Probability for
Generalized Risk Processes' Theory Prob. & its Application' V. 47
Benink Harald, Peter Bossaerts 'An Exploration of Neo-Austrian Theory Applied to
Financial Markets' JofF 6/2001
Benkert Christoph 'Default Risk in Bond & Credit Derivatives Markets' Springer 2004
Benkert Christoph 'Explaining Credit Default Swap Premia' J. Futures Markets Jan 04
Benkirane Abdelmoujib, A. Touzani (ed) 'Partial Differential Equations' 2002 CRC Press
Bennett Michael, Joanne Kennedy 'A Comparison of Markov-Functional and Market Models:
The One-Dimensional Case' 11/2004 <Term Structure><Libor>
Bennett Michael, Joanne Kennedy 'Common Interest' <Libor Markov separable one factor>
RISK 3/05
Bennett Michael, Joanne Kennedy 'Quanto Pricing with Copulas' J. Derivatives Fall 04
, 6/03 <option-Quanto>
Bennett Paul, Richard Peach, Stavros Peristiani 'How Much Mortgage Pool Information do
Investors Need?' J. Fixed Income 6/2001
Benninga Simon 'Financial Modeling' 2004 MIT Press
Benninga Simon, Tomas Bjork, Zvi Wiener 'On the Use of Numeraires in Option Pricing'
J. Deri. Winter 02 ,<option-pricing> 11/01
Bensoussan Alain 'Remarks on the pricing of contingent claims under constraints' IEEE
Trans. Automated Control 3/04
Bensoussan Alain, J-L. Lions 'Applications of Variational Inequalities in Stochastic
Control' Studies in Appl.Math 82
Benth Fred 'An Explicit Functional Process Solution to a Stochastic Partial
Differential Equation with Applications to Non-Linear Filtering' Stochastics 94
Benth Fred Espen, Jurate Saltyte-Benth 'Stochastic Modelling of Temperature Variations
with a View Towards Weather Derivatives' Applied Math. Finance 3/05
Benth Fred, Arne Lokka 'Anticipating Calculus for Levy Processes & Stochastic
Differential Equations' S&SR 6/04 , 2003 <SDE>
Benth Fred, Giulia Di Nunno, Arne Lokka, Bernt Oksendal, Frank Proske 'Explicit
Representation of the Minimal Variance Portfolio in Markets Driven by Levy
Processes' MF 1/03
Benth Fred, J. Saltyte-Benth 'Stochastic modelling of temperature variations with a
view towards weather derivatives. Statistical Research Report No.~1, January
2004, University of Oslo. To appear in Appl. Math. Finance
Benth Fred, Juarte Saltyte-Benth 'THE NORMAL INVERSE GAUSSIAN DISTRIBUTION AND SPOT
PRICE MODELLING IN ENERGY MARKETS ' IJT&AF 3/04
Benth Fred, Kenneth Hvistehdahl Karlsen, Dristin Reikvam 'Merton's Portfolio
Optimization Problem in a Black and Scholes Market with Non-Gaussian Stochastic
Volatility of Ornstein-Uhlenbeck Type' MF 4/03 <portfolio>
Benth Fred, Kenneth Karlsen 'A note on Merton's portfolio selection problem for the
Schwartz mean-reversion model. E-print no. 7, University of Oslo 2004
Benth Fred, Kenneth Karlsen 'A PDE Representation of the Density of the Minimal
Entropy Martingale Measure in Stochastic Volatility Markets' 3/03 <Heston,
Stein-Stein><volatility>
Benth Fred, Kenneth Karlsen, Kristin Reikvam 'A Note on Portfolio Management Under
Non-Gaussian Logreturns' Intern. J. Theor.App. Finance 10/01
Benth Fred, Kenneth Karlsen, Kristin Reikvam 'A Semilinear Black and Scholes Partial
Differential Equation for Valuing American Options:1. Viscosity Solutions &
Well-Posedness' Finance and Stochastics 2003 , wp 3/02 <options-American>
Benth Fred, Kenneth Karlsen, Kristin Reikvam 'A Semilinear Black and Scholes Partial
Differential Equation for Valuing American Options:2. Approximation Solutions &
Convergence' 8/01 <options-American>
Benth Fred, Kenneth Karlsen, Kristin Reikvam 'Merton's Portfolio Optimization Problem
in a Black & Scholes Market with Non-Gaussian Stochastic Volatility of Ornstein-
Uhlenbeck Type' S&SR 2002 , 3/2001 <portfolio>
Benth Fred, Kenneth Karlsen, Kristin Reikvam 'Optimal Portfolio Selection with
Consumption & Nonlinear Integro-Differential Equations with Gradient
Constraint:A Viscosity Solution Approach' Finance and Stochastics 7/01
<portfolio>
Benth Fred, Kristin Rikvam 'A Connection Between Singular Stochastic Control & Optimal
Stopping' Appl. Math & Opt. 12/03 <optimal stopping>
Benth Fred, Lars Dahl, Kenneth Karlsen 'Quasi Monte-Carlo Evaluation of Sensitivites
of Options in Commodity & Energy Markets' Inter. J. Theoretical & Applied
Finance 12/03
Benth Fred, Steen Koekebakker, Jurante Saltyte-Benth 'Modelling of spot and futures
contracts in markets for electricity and weather' Bachelier Conference 2004
Benth Fred, Thilo Meyer-Brandis 'Indifference Pricing and the Minimal Entropy
Martingale Measure in a Stochastic Volatility Model with Jumps. E-print No. 3,
February 2004, University of Oslo.
Benth Fred, Thomas Deck, Jurgen Potthoff, Geirmund Vaage 'Explicit Strong Solutions of
SPDE's with Applications to Non-Linear Filtering' Acta Applicandae Mathematicae
4/98 <finance>
Bentkus Vidmantas 'An Inequality for Tail Probabilities of Martingales with
Differences Bounded from One Side' Journal Theor. Prob. 1/03
Bentkus Vidmantas, A. Juozulynas, V. Paulauskas 'Lévy-LePage Series Representation of
Stable Vectors: Convergence in Variation' J. Theor. Prob. 10/01
Benveniste Lawrence, Alexander Ljungqvist, Xiaoyun Yu, William Wilhelm 'Evidence of
Information Spillovers in the Production of Investment Banking Services' JofF
4/03
Benzion Uri, Shmuel Danan, Joseph Yagil 'BOX SPREAD STRATEGIES AND ARBITRAGE
OPPORTUNITIES' J. of Derivatives Spring 05
Benzoni Luca 'Pricing Options under Stochastic Volatility:An Econometric Analysis' NU
99 <Heston> <replaced by '...:Empirical Invest..'
Benzoni Luca 'Pricing Options under Stochastic Volatility:An Empirical Investigation'
12/01 <volatility> <Heston>
Berardi Andrea, Stefania Ciraolo, Michele Trova 'Predicting Default Probabilities and
Implementing Trading Strategies for Emerging Markets Bond Portfolios' Bachelier
conference 2002
Bercu B. 'On the Convergence of Moments in the Almost Sure Central Limit Theorem for
Martingales with Statistical Applications'SP&A 5/04
Bercu B., A. Rouault 'Sharp Large Deviations for the Ornstein--Uhlenbeck Process '
Theory of Probability and It's Applications V46 #1
Berd Arthur 'Recovery Swaps' Journal of Credit Risk tobe 2005-2006
Berd Arthur, Vivek Kapoor 'Digital Premium' J. Derivatives Spring 2003
Berestycki Henri, Jerome Busca, Igor Florent 'An Inverse Parabolic Problem Arising in
Finance' CR Acad Sci Paris Serie 1 <Partial Differential Equations>, 2000
<volatility>
Berestycki Henri, Jerome Busca, Igor Florent 'Asymptotics & Calibration of Local
Volatility Models' QF 2/2002 <volatility><quasi-linear degenerate parabolic PDE>
Berestycki Henri, Stephane Crepey 'A Regularized Fundamental Approach to the
Calibration Problem in Finance'
Berg Nathan, Donald Lien 'Tracking Error Decision Rules and Accumulated Wealth'
Applied Math. Fin 6/03
Berge Benjamin, Igor Chueshov, P-A. Vuillermot 'On the Behavior of Solutions to
Certain Parabolic SPDEs Driven by Wiener Processes' SP&A 4/2001 <stochastics>
Bergemann Dirk, Juuso Valimaki 'Information Acquisition and Efficient Mechanism Design
'Econometrica 5/02
Bergenthum Jan, Ludger Ruschendorf 'Comparison of Option Prices in Semimartingale
Models' <martingales><d-dimensional,Levy Jumps,progagation of convexity>
Bergin James 'Common Knowledge with Monotone Statistics' Econometrica 9/01
Bergomi Lorenzo 'Smile Dynamics' RISK 9/04 <cliquets, Napoleons, stochastic volt.,
Levy Jumps,Heston> <Volatility>
Berkes Istvan, Lajos Horvath 'Limit Results for the Empirical Process of Squarted
Residuals in GARCH Models' SP&A 6/03
Berkowitz Jeremy 'Testing Assumptions' <VAR forecast, distribution assumption> RISK
5/02
Berkowitz Jeremy, James O'Brien 'How Accurate Are Value-at-Risk Models at Commercial
Banks?' JofF 6/02
Berliant Marcus, Frank Page 'Income Taxes & the Provision of Public Goods:Existence of
an Optimum' Econometrica 5/2001
Bermin Hans-Peter 'A General Approach to Hedging Options:Applications to Barrier &
Partial Barrier Options' MF 7/02 <option-barrier><Malliavin>
Bermin Hans-Peter 'Hedging Lookback & Partial Lookback Options using Malliavin
Calculus' Applied Math. Finance 6/2000 <option-lookback>
Bermin Hans-Peter 'Hedging Options: The Malliavin Calculus Approach Versus the Delta-
Hedging Approach' MF 1/03
Bermin Hans-Peter, Arturo Kohatsu-Higa 'Local Volatility Changes in the Black-Scholes
Model' 5/01 <volatility>
Bermin Hans-Peter, Arturo Kohatsu-Higa, Miquel Montero 'Local Vega Index and Variance
Reduction Methods' MF 1/03
Bermudez Ana, Nick Webber 'An Asset Based Model of Defaultable Convertible Bonds with
Endogenised Recovery' Bachelier Conference 2004
Bernanke Ben, Kenneth Kuttner 'What Explains the Stock Market's Reaction to Federal
Reserve Policy?' JofF 6/05
Bernanke Ben, Otmar Issing, Donald Kohn 'Panel Discussion:Inflation Targeting' FRB St.
Louis Review July/Aug 2004
Bernard Carole, Olivier Le Courtois, Francois Quittard-Pinon 'Evaluation Numerique des
Options Parisiennes' 10/03 <option-Parisian>
Bernard Carole, Olivier Le Courtois, Francois Quittard-Pinon 'Pricing Derivatives with
Barriers in a Stochastic Interest Rate Environment' SSRN 3/05 <HJM, Change of
Numerarier>
Bernardo Antonio, Hongbin Cai, Jiang Luo 'Capital Budgeting in Multidivision Firms:
Information, Agency, and Incentives' RFS Fall 04
Berndt Antje, Rohan Douglas, Darrell Duffie, Mark Ferguson 'Measuring Default Risk
Premia from Default Swap Rates and EDFs' Bachelier Conference 2004
Berndt Antje, Rohan Douglas, David Schranz 'Measuring Default Risk Premia from Default
Swap Rates and EDFs'SSRN 2004
Bernhardt Dan, Ed Nosal 'Near-sighted Justice' JofF 12/04
Bernhardt Dan, Jianjun Miao 'Informed Trading When Information Becomes Stale' JofF
2/04
Bernhardt Dan, Ryan Davis, John Spicer 'Long-Term Information, Short-Lived Derivative
Securities' 8/2000
Bernis Guillaume, Emmanuel Gobet, Arturo Kohatsu-Higa 'Monte Carlo Evaluation of
Greeks for Multidimensional Barrier and Lookback Options' MF 1/03 , 5/02
<option-barrier>
Berntsen Jarle, Terje Espelid, Alan Genz 'An Adaptive Algorithm for the Approximate
Calculation of Multiple Integrals'& code ACM Trans. Math. Software 91 <numeric>
Berrada Tony 'Incomplete Information, heterogeneous beliefs and bounded rationality'
Bachelier Conference 2004
Berridge John Steffan, J.M. Schumacher 'An Irregular Grid Approach for Pricing High-
Dimensional American Options' 12/19/02 <options-American>
Berridge John Steffan, J.M. Schumacher 'Pricing High-Dimensional American Options
Using Local Consistency Conditions' <option-American> 2004
Berridge John Steffan, J.M. Schumacher 'Using Localized Quadratic Functions on an
Irregular Grid for Pricing High-Dimensional American Options'SSRN 2004
Berridge Steffan, Hans Schumacher 'Pricing and Hedging High-Dimensional American
Options --- an Irregular Grid Approach' Bachelier conference 2002
Berrut Jean-Paul, Lloyd Trefethen 'Barycentric Lagrange Interpolation' SIAM Review
9/04
Berstrom H. 'On Some Expansions of Stable Distributions' Arkiv fur Mathematik 52
Bertoin Jean 'Subordinators, Examples & Applications' Springer Lecture Notes 1717 1999
Bertoin Jean 'Subordinators, Levy Processes with Non Negative Jumps, and Branching
Processes' <stochastics> 9/2000
Bertonazzi Eric, M. Maloney 'Does Implied Volatility Imply Volatility--in Bonds ?' J.
Fixed Income 12/01
Bertsimas Dimitris, Geoffrey Lauprete, Alexander Samarov 'Shortfall as a
Measure:Properties, Optimization & Applications' J. Econ. Dyn. & Control 4/04
Bertsimas Dimitris, Ioana Popescu 'On the Relation Between Option & Stock Prices:A
Convex Optimization Approach' OR March/April 02 <Option-Pricing>
Bertsimas Dimitris, Ioana Popescu 'Optimal Inequalities in Probability Theory: A
Convex Optimization Approach' SIAM J. Optimization 4/05
Bessembinder Hendrik, Michael Lemmon ‘Gains from Trade Under Uncertainty: The Case of
Electric Power Markets’ JofB 7/06
Bessembinder Hendrik, Michael Lemmon, 'Equilibrium Pricing and Optimal Hedging in
Electricity Forward Markets' JofF 6/02
Bester H., R. Strausz 'Contracting with Imperfect Committment & the Revelation
Principle:Single Agent Case' Econometrica 7/01
Bettis J., John Bizjak, Michael Lemmon 'Managerial Ownership, Incentive Contracting &
Use of Zero-Cost Collars & Equity Swaps by Corporate Insiders' JF&QA 9/01
Betts John 'Practical Methods for Optimal Control Using Nonlinear Programming' 2001
SIAM Press
Bewley Ronald, David Rees, Paul Berg 'The Impact of Stock Market Volatility on
Corporate Bond Credit Spreads'Math. & Computers in Simulation 2/04
Bhanot Karan 'Credit Switch' <credit risk> 7/01 <offset purchase/sale protection>
Bhanot Karan 'Dynamics of Credit Spreads:Non-Parametric Analysis' J. Fixed Income Sept
01
Bhanot Karan 'Pricing Corporate Bonds withRating-Based Covenants' J. Fixed Income 3/03
Bhansali Vinteer, Mark Wise 'Forecasting Portfolio Risk in Normal & Stressed Markets'
J. of Risk Fall 2001
Bharadwaj Anu, James Wiggins 'Box Spread & Put-Call Parity Tests for the S&P 500 Index
LEAPS Market' J. of Deriv. Summer 2001
Bhattacharya A. 'On a Measure of Divergence Between Two Statistical Populations
Defined by Their Probability Distribution' Bull. Calcutta Math. Soc 43
Bhattacharya Sudipto 'Corporate Finance & the Legacy of Miller & Modigliani' J. Econ
Persp. Fall 88 <portfolio>
Bhattacharya Sudipto, Giovanna Nicodano 'Insider Trading, Investment &
Liquidity:Welfare Analysis' JofF 6/2001
Bhattacharya Utpal, Hazem Daquk 'The World Price of Insider Trading' JofF 2/02
BHATTACHARYYA, MALAY, Ashok 'INTEGRATION OF GLOBAL CAPITAL MARKETS: AN EMPIRICAL
EXPLORATION' IJT&AF 7/04
Bhojraj Sanjeev, Bhaskaran Swaminathan ‘Macromomentum:Returns Predictability in
International Equity Indices’ JofB 1/06
Biagini Francesca, Bernt Oksendal 'Minimal Variance Hedging for Fractional Brownian
Motion' <hedging 1/02 <Wick-Ito integral>
Biagini Francesca, Bernt Oksendal, Agnes Sulem, Naomi Wallner 'An Introduction to
White-Noise Theory & Malliavin Calculus for Fractional Brownian Motion' Phil.
Trans. Royal 1/04 <Brownian><Hurst, turbulence>
Biagini Francesca, Yaozhong Hu, Bernt Oksendal, Agnès Sulem 'A Stochastic Maximum
Principle for Processes Driven by Fractional Brownian Motion' SP&A July/Aug
2002
Biais Bruno, Laurent Germain 'Incentive-Compatible Contracts for the Sale of
Information ' RFS Fall 2002
Bialkowski Jedrzej, Jacek Jakubowski On pricing of forward and futures contracts on
zero-coupon bonds in the Cox-Ingersoll-Ross model' Mathematics of finance :
Proceedings of an AMS-IMS-SIAM Joint Summer Research Conference on Mathematics
of Finance 2003
Bianchi Sergio 'PATHWISE IDENTIFICATION OF THE MEMORY FUNCTION OF MULTIFRACTIONAL
BROWNIAN MOTION WITH APPLICATION TO FINANCE' IJT&AF 3/05
Bianchi Stephen, Roger J. B. Wets, Liming Yang 'Estimating LIBOR/Swaps Spot-
Volatilities: the EpiVolatility Model' in Dynamic Stochastic Optimization ed.
Marti et al. Springer 2004
Bibby Bo Martin, Michael Sorensen 'Hyperbolic Processes in Finance' 2001
Bichteler Klaus 'Stochastic Integration with Jumps' 2002 Cambridge Press
Bick A. 'Producing Derivative Assets with Forward Contracts' JF&QA 88
Bielecki Tomasz, Hanqing Jin, Stanley Pliska, Xun Yu Zhou 'CONTINUOUS-TIME MEAN-
VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION' MF 4/05
Bielecki Tomasz, J.-P. Chancelier, Stanley Pliska, Agnes Sulem 'Risk-sensitive
portfolio optimization with transaction costs'J. Comp. Finance Fall 04
Bielecki Tomasz, Marek Rutkowski 'Modeling of the defaultable term structure:
conditionally Markov approach' IEEE Trans. Automated Control 3/04
Bielecki Tomasz, Monique Jeanblanc, Marek Rutkowski 'Completeness of a general
semimartingale market under constrained trading' U. New South Wales 2005
Bielecki Tomasz, Monique Jeanblanc, Marek Rutkowski 'Completeness of a reduced-form
credit risk model with discontinuous asset prices' U. New South Wales 2005
Bielecki Tomasz, Monique Jeanblanc, Marek Rutkowski 'Hedging of Defaultable Claims'
4/04 <credit risk>
Bielecki Tomasz, Monique Jeanblanc, Marek Rutkowski 'Modeling & Valuation of Credit
Risk' <credit risk> Jan 04
Bielecki Tomasz, Monique Jeanblanc, Marek Rutkowski 'PDE Approach to Valuation &
Hedging of Credit Derivatives' U. New South Wales 1/05 <risk-credit>
Bielecki Tomasz, Monique Jeanblanc, Marek Rutkowski 'Pricing and hedging of credit
risk:replication and mean-variance approaches (I)' Mathematics of finance:
Proceedings of an AMS-IMS-SIAM Joint Summer Research Conference on Mathematics
of Finance 2003
Bielecki Tomasz, Monique Jeanblanc, Marek Rutkowski 'Pricing and hedging of credit
risk:replication and mean-variance approaches (II)' Mathematics of finance:
Proceedings of an AMS-IMS-SIAM Joint Summer Research Conference on Mathematics
of Finance 2003
Bielecki Tomasz, Monique Jeanblanc, Marek Rutkowski 'Replication and Mean-Variance
Approaches to Pricing and Hedging of Credit Risk' Bachelier Conference 2004
Bielecki Tomasz, Stanley Pliska 'Risk-sensitive ICAPM with application to fixed-income
management' IEEE Trans. Automated Control 3/04
Bielecki Tomasz, Stephane Crepey, Moniquie Jeanblanc, Marek Rutkowski 'Valuation of
basket credit derivatives in the credit migrations environment' U. New South
Wales 2005
Bikbov Rusian, Mikhail Chernov 'Term Structure & Volatility:Lessons from the
Eurodollar Markets' SSRN 2004
Billett Matthew, Tao-Hsien Dolly King, David Mauer 'Bondholder Wealth Effects in
Mergers & Acquistions:New Evidence from the 1980s & 1990s' JofF 2/04
Bilson John 'The Shadow of the Smile' 6/02 <volatility>
Bilson John 'Trading Implied Volatility' 12/02 <volatility>
Bingham Nick 'Fluctuation Theory in Continuous Time' 1975 Adv. Appl. Prob.
Bingham Nick, Rudiger Kiesel 'Semi-Paramtertic Modelling in Finance' <option-pricing>
Birge John, Francois Louveaux 'Introduction to Stochastic Programming' Springer 97
Bishwal Jaya 'Fractional Heath-Jarrow-Morton Model' Bachelier Conference 2004
Bitler Marianne, Tobias Moskowitz, Annette Vissing-Jorgensen 'Testing Agency Theory
with Entrepreneur Effort and Wealth' JofF 4/05
Bizid A., E. Jouini 'Incomplete Markets & Short-Sales Constraints:An Equilibrium
Approach' Inter. J. Theoretical & Applied Finance 4/2001
Bjerksund Petter, Gunnar Stensland 'Closed Form Approximation of American Options'
Scan. J. Management 1993
Bjork Tomas 'A Geometric View of Interest Rate Theory' 8/2000 <term structure> <HJM>
Bjork Tomas, Camilla Landen 'On the Construction of Finite Dimensional Realizations
for Nonlinear Forward Rate Models' F&S 2002 <term structure><HJM,FDR,forward
rate,state-space>Lie Algebra>
Bjork Tomas, Camilla Landen 'On the Term Structure of Futures and Forward Prices'
12/2000 <term structure><HJM>
Bjork Tomas, Camilla Landen, Lars Svensson 'Finite Dimensional Markovian Realizations
for Stochastic Volatility Forward Rate Models' Proc. Royal Soc.:Math.,Physi,
Engin. 1/04 , <term structure> 5/02
Bjork Tomas, Henrik Hult 'A note on Wick products and the fractional Black-Scholes
model' F&S 4/05 <option-pricing>
Bjork Tomas, Irina Slinko 'Towards a General Theory of Good Deal Bounds' Bachelier
Conference 2004
Bjork Tomas, Lars Svensson 'On the Existence of Finite-Dimensional Realizations for
Nonlinear Forward Rate Models' MF 4/2001 ,10/99 <term structure><HJM>
Blacher G. 'A New Approach for Designing & Calibrating Stochastic Volatility Models
for Optimal Delta-Vega Hedging of Exotic Options' conference Global Deriv. 2001
Juan-les-Pins
Black Sandra, Philip Strahan ' Enterpreneurship and Bank Credit Availability' JofF
12/02
Blackburn R. 'Large Deviations of Local Times of Lévy Processes ' 7/2000 J. Theor.
Prob.
Blake Ian, Gadiel Seroussi, Nigel Smart 'Advances in Elliptic Curve cryptography' 2Vol
2005 Cambridge Press
Blanchet-Scalliet Christophette, Monique Jeanblanc 'Harzard Rate for Credit Risk &
Hedging Defaultable Contingent Claims' F&S 2/04
Blanchet-Scalliet Christophette, Nicole El Karoui, Lionel Martellini 'Dynamic Asset
Pricing Theory with Uncertain Time-Horizon' 9/03
Blaskowitz Oliver, Wolfgang Hardle, Peter Schmidt 'Skewness and Kurtosis Trades' in
'Handbook of Numerical Methods in Finance' ed S. Rachev
Bliss Robert 'Monotonicity of the Option-Value/Risk Relation:A Note' 3/01 <option-
pricing>
Bliss Robert, Nikolaos Panigirtzoglou 'Option-Implied Risk Aversion Estimates' JofF
2/04
Bliss Robert, Nikolaos Panigirtzoglou 'Option-Implied Risk Aversion Estimates:
Robustness and Patterns' Bachelier conference 2002
Bloch Daniel 'Jumps as Components in the Pricing of Credit and Equity Products' RISK
2/05 <two market information>
Blochwitz Stefan, Stefan Hohl 'Reconciling Ratings' <default rates> RISK 6/2001
Blomquist Soren, Whitney Newey 'Nonparametric Estimation with Nonlinear Budget Sets
'Econometrica 11/02
Blondel Vincent, Anahí Gajardo, Maureen Heymans, Pierre Senellart, Paul Van Dooren 'A
Measure of Similarity between Graph Vertices: Applications to Synonym Extraction
and Web Searching'SIAM Review 12/04
Bluhm Christian, Ludger Overbeck, Christoph Wagner 'An Introduction to Credit Risk
Modeling' CRC Press 2002
Bluhm Christian, Ludger Overbeck, Christoph Wagner 'Irreconcilable Differences'
<Basel,credit,model comparisons,single systematic factor> RISK 11/01
Blum Jurg, Subordinated debt, market discipline, and banks' risk taking, Journal Of
Banking And Finance (26)7 (2002)
Blum Peter, Michel Dacorogna 'Extreme Forex Moves' RISK 2/03
Bluman George 'On Mapping Linear Partial Differential Equtions to Constant Coefficient
Equations' SIAM J. App. Math 1980 <quadratic volatility ?>
Bluman George 'On the Transformation of Diffusion Processes into the Wiener Process'
SIAM J. App. Math 1980 <diffusion> <quadratic volatility>
Bluman George, S. Anco 'Symmetry Methods for Differential Equations' Springer 2002
Bluman George, Vladimir Shtelen 'Nonlocal Transformations of Kolmogorov Equations into
the Backward Heat Equation' J. Math. Analy. & Appl. 2004 <Fokker-Planck>
Blumenthal R., R. Getoor 'Markov Processes & Potential Theory' Academic Press 1968
Blundell Richard, Martin Browning, Ian Crawford ' Nonparametric Engel Curves and
Revealed Preference 'Econometric 1/03
Blyth Stephen 'Practical Relative-Value Volatility Trading' RISK 5/04
Blyth Stephen 'The Correlation Curve:Extending Correlation Beyond Linear Models'
<presentation slides> <volatility> 5/96
Bobenrieth Eugenio, Juan Bobenrieth, Brian Wright 'A Commodity Price Process with a
Unique Continuous Invariant Distribution Having Infinite Mean' Econometrica 5/02
Bobkov S. 'Some Generalizations of Prokhorov's Results on Khinchin-Type Inequalities
for Polynomials' Theory of Probability and It's Applications V45 #4
Bobrovnytska Olga, Martin Schweizer 'Mean-Variance Hedging & Stochastic Control:
Beyond the Brownian Setting' 2004 <hedging><quadratic control, Riccati
equations, differential equations, linear quadratic control, stochastic
processes, backward stochastic differential equations, continuous
semimartingales, general filtration>
Boccara Nino 'Modeling Complex Systems' Springer 2004
Bochev Pavel, R. Lehouoq 'On the Finite Element Solution of the Pure Neumann Problem'
SIAM Review 3/05
Boda Kang, J. Filar, Lin Yuanlie, L. Spanjers 'Stochastic target hitting time and the
problem of early retirement' IEEE Trans. Automated Control 3/04
Bodeau J., G. Riboulet, T. Roncalli 'Non-Uniform Grids for PDE in Finance' 12/2000
<option-numeric>
Bodnar Gordon, Bernard Dumas, Richard Marston 'Pass-through and Exposure' JofF 2/02
Boegelein Leif, Alfred Hamarle, Robert Rauhmeier, Harald Scheule 'Modeling Default
Rate Dynamcis in the Credit Risk+ Framework' RISK 10/02 <Seemingly Unrelated
Regression,Sector Analysis>
Boehme Rodney, Sorin Sorescu 'The Long-run Performance Following Dividend Initiations
& Resumptions:Underreaction or Product of Chance?' JofF 4/02
Boehmer Ekkehart, GIDEON SAAR, LEI YU 'Lifting the Veil: An Analysis of Pre-trade
Transparency at the NYSE' JofF 4/05
Bogachev V., A.V. Kolesnikov 'Open Mappings of Probability Measures and the Skorokhod
Representation Theorem' Theory of Probability and It's Applications V46 #1
Bogatyrev S. A. 'A Nonuniform Estimate for the Error in Short Asymptotic Expansions in
Hilbert Space' Theory Prob. & its Applications V47, #4
Boguslavskaya Elena 'On optimization of dividend flow for a company with positive
liquidation value' Bachelier conference 2002
Boguslavskaya Elena 'On Optimization of Long-Term Irreversible Investments in a
Diffusion Model' Theory of Probability and It's Applications V45 #4
Boguslavsky Michael, Elena Boguslavskaya 'Arbitrage under Power'<anaomolies> RISK 6/04
Boitout Nicolas, Loredana Ureche-Rangau 'TOWARDS A MULTIFRACTAL PARADIGM OF STOCHASTIC
VOLATILITY?' IJT&AF 11/04
Bokar V., S. Meyn 'Risk-Sensitive Optimal Control for Markov Decision Processes with
Monotone Cost' Math.of OR 2/02
Bolder David 'Affine Term-Structure Models:Theory & Implementation' <term structure>
2001
Bolland J., Tom Hurd, M. Pivato, Luis Seco 'Measures of dependence for multivariate
Levy distributions' (2001) U. Toronto
Bollen B., B. Inder 'Estimating Daily Volatility in Financial Markets Utilizing
Intraday Data' J. Empirical Finance 2002
Bollen Nicolas, Jeffrey Busse 'On the Timing Ability of Mutual Fund Managers' JofF
6/2001
Bollen Nicolas, Robert Whaley 'Does Net Buying Pressure Affect the Shape of Implied
Volatility Functions?' JofF 4/04
Bollerslev Tim, J. Wright 'Estimating Long Memory Volatility Dependencies:The Role of
High Frequency Data' Duke 98
Bombieri Enrico 'The Riemann Hypothesis' <Math> Clay Foundation 2002
Bomfim Antulio 'Credit Derivatives & Their Potential to Synthesis Riskless Assets' J.
Fixed Income 12/02 <credit risk>
Bomfim Antulio 'Measuring Equilibrium Real Interst Rates:What Can We Learn from Yields
on Indexed Bonds?' J. Fixed Income 12/01
Bomfim Antulio 'Understanding Credit Derivatives & Relaed Instruments:Theory &
Practice' Elsevier Press 2004
Bomze Immanuel 'Regularity vrs. Degeneracy in Dynamics, Games & Optimization:Unified
Approach to Different Aspects' SIAM Review 9/02
Bonaccorsi Stefano, Giuseppina Guatteri 'Stochastic Partial Differential Equations in
Bounded domains with Dirichlet Boundary Conditions'S&SR 2002
Bond Philip 'Bank and Nonbank Financial Intermediation' JofF 12/04
Bond Shaun, Stephen E. Satchell ‘Asymmetry, Loss Aversion and Forecasting’ JofB 9/06
Bond Shaun, Stephen Satchell 'Statistical Properties of the Sample Semi-Variance'
Appl. Math. Finance 12/02
Bondarenko Oleg 'Estimation of Risk-Neutral Densities using Positive Convolution
Approximation' J. Econometric Aug 2003
Bondarenko Oleg 'Statistical Arbitrage & Security Prices' RFS Fall 2003 , UICC 7/02
<arbitrage>
Bongarra Hack, Hans Meuer, Horst Simon, Erich Strohmaier 'Biannual Top-500 Computer
Lists Track Changing Enviornments for Scientific Computing' <computing speed>
SIAM News 11/01
Bonnans Frederic, Housnaa Zidani 'Consistency of Generalized Finite Difference Schemes
for the Stochastic HJB Equation' SIAM J. Numer. Anal. 2003 <SDE>
Bonnesen F. 'Theory of Convex Bodies' Chelsea Press 1987
Boot Amound, Anjan Thakor 'Many Faces of Inforamtion Disclosure' RFS Winter 2001
Booth G. Geoffrey, Ji-Chai Lin, Teppo Martikainen, Yiuman Tse 'Trading and Pricing in
Upstairs and Downstairs Stock Markets ' RFS Fall 2002
Booth L., V. Aivazian, A. Demirguc-Kunt,V. Maksimovic 'Capital Strucutres in
Developing Countries' JofF 2/2001
Borici Artan, Hans-Jacob Luthi 'Pricing American Put Options by Fast Solutions of the
Linear Complementarity Problem' in Comp. Methods for Decision Making, Kluwer
2002
Borkar V.S. 'Dynamic Programming for Ergodic Control with Partial Observations'SP&A
2/03
Borland Lisa 'A Theory of Non-Gaussian Option Pricing' 5/02 <option-pricing>
Borland Lisa 'Closed Form Option Pricing Formulas Based on a Non-Gaussian Stock Price
Model with Statistical Feedback' 4/18/02 <option-pricing><PDE, Tsallis entropic
index,martingale>
Borland Lisa, Jean-Philippe Bouchaud 'A Non-Gaussian Option Pricing Model with Skew'
QF 10/04
Borodin Allan 'Distribution of Functionals of Certain Non-Markovian Processes' SIAM
Theor.Prob.&Appl. v44 <stochastics>
Borovkov A.A. 'Asymptotics of Crossing Probability of a Boundary by the Trajectory of
a Markov Chain. Heavy Tails of Jumps' Theory Prob. & its Applications V47, #4
Borovkov A.A., S. Foss 'Estimates for Overshooting an Arbitrary Boundary by a Random
Walk and Their Applications' SIAM Theor.Prob.&Appl. v44 <stochastics>
Borovkov Konstantin, Alexander Novikov 'On a New Approach to Calculating Expectations
for Option Pricing' J. App. Prob. 2002
Borovkov Konstantin, Fima Klebaner, Eleanor Virag 'Random Step Functions Model for
Interest Rates' Finance and Stochastics 2003 <term structure>
Borovkova Svetlana, H. Dehling, J. Renkema, H. Tulleken 'A Potential-Field Approach to
Financial Time Series Modelling' Comp. Econ 1/03 <option-pricing>
Borovkova Svetlana, Heylette Geman 'Modelling forward curves for seasonal commodities'
Bachelier Conference 2004
Borwein Jonathan, Rustum Choksi, Pierre Marechal 'Probability Distributions of Assets
Inferred from Option Prices via the Principle of Maximum Entropy' SIAM J. Opt.
2003 <asset pricing>
Bos Len, Antony Ware 'How to Solve Multi-Asset Black-Scholes with Time-Dependent
Volatility & Correlation' J. Comp. Finance Winter 2000/2001 <volatility>
Bos Len, Antony Ware 'On Semi-Spectral Method for Pricing an Option on a Mean
Reverting Asset' 2001
Bos Len, Antony Ware, B. S. Pavlov 'On a Semi-Spectral Method for Pricing an Option on
a Mean-Reverting Asset' QF Oct/02 <option-pricing> <Laguerre polynomials>
Bos Michael, Stephen Vandermark 'Finessing Fixed Dividends' RISK 9/02 <options-stock>
Bos Remco, Alexander Gairat, Anna Shepeleva 'Dealing with Discrete Dividends' RISK
1/03 <option-American>
Boscher Hans, Ian Ward 'Long or Short in CDOs' <Basket,normal copula> RISK June 2002
Boss Michael, Helmut Elsinger, Martin Summer, Stefan Thurner 'Network topology of the
interbank market'QF 12/04
Bossaerts Peter 'Simulation Estimators of Optimal Early Exercise' CMU 1989
Bossaerts Peter 'The Paradox of Asset Pricing' 2002 Princeton Press
Bossy M., R. Gibson, F. L'Habitant, N. Pistre, Denis Talay 'A Methodology to Analyze
Model Risk with an Application to Discount Bond Options in a Heath-Jarrow-Morton
Framework' <term structure> 6/01
Bossy M., R. Gibson, F. L'Habitant, N. Pistre, Denis Talay 'Model Risk Analysis for
Bond Options in a Heath-Jarrow-Morton Framework' Crest 99
Bothmer H-C Graf v. 'Significance of Log-Periodic Signatures in Cummulative Noise' QF
10/03
Bouchard Bruno 'Stochastic Targets with Mixed Diffusion Processes & Viscosity
Solutions' SP&A Oct/02 <stochastics><super-replication, Math. finance &
insurance>
Bouchard Bruno 'Utility Maximization on the Real Line under Proportional Transaction
Costs ' Finance and Stochastics 2002
Bouchard Bruno, Huyen Pham 'Wealth-path dependent utility maximization in incomplete
markets' F&S 10/04
Bouchard Bruno, Ivar Ekeland, Nizar Touzi 'On the Malliavin Approach to Monte Carlo
Approximation of Conditional Expectations' F&S 2/04 <monte carlo><integration>
Bouchard Bruno, Nizar Touzi 'Discrete Time Approximation & Monte-Carlo Simulation of
Backward Stochastic Differential Equaitons' 10/02 <monte carlo><reflected,
Malliavin,regression>
Bouchaud Jean-Philippe, Andrew Matacz, Mark Potters 'Leverage Effect in Financial
Markets:The Retareded Volatility Model' Physical Review Letters 2001
Bouchaud Jean-Philippe, Irene Giardina, Marc Mezard 'On a Universal Mechanism for Long
Ranged Volatility Correlations' <volatility> 12/2000
Bouchaud Jean-Philippe, Marc Potters 'Theory of Financial Risk & Derivative
Pricing:From Statistical Physics to Risk Management' Cambridge Press
Bouchouev Ilia 'Analytical Formulas for Pricing Equity Options with the Volatility
Skew' 1998 wp Koch Industries
Boue Michelle, Daniel Hernandez-Hernandez, Richard Ellis 'Large Deviations for a
Random Walk Model with State-Dependent Noise' SIAM J. Control Opt. 2003
<stochastic>
Bouleau Nicolas 'Error Calculus and Path Sensitivity in Financial Models' MF 1/03
Bouleau Nicolas 'Financial Markets & Martingales' 2003 Springer Verlag
Bouleau Nicolas 'Martingales & Financial Markets' 2003 Springer-Verlag
Bouye Eric 'Multivariate Extremes at Work for Portfolio Risk Measurement' Bachelier
conference 2002
Bouye Eric, Valdo Durrieman, Ashkan Nikeghbali, Gael Riboulet,Thierry Roncalli
'Copulas for Finance:Reading Guide & Some Applications' 7/2000 <risk>
Bowden Roger ‘Ordered Mean Difference Benchmarking, Utility Generators, and Capital
Market Equilibrium’ JofB 3/05
Bowden Roger 'The Zero-Capital Approach to Portfolio Enhancement & Overlay Management'
QF Aug. 2003
Boyarchenko Svetlana 'Endogeneous Default under Levy Processes' U. Penn. 2001
Boyarchenko Svetlana, Sergei Levendorskii 'Non-Gaussian Merton-Black-Scholes Theory'
2002 World Scientific Press
Boyarchenko Svetlana, Sergei Levendorskii 'Option Pricing & Hedging under Regular Levy
Processes of Exponential Type' 2000
Boyarchenko Svetlana, Sergei Levendorskii 'Perpetual American Options Under Levy
Processes' 'SIAM J. Opt.Control 2002 <option-american><Wiener-Hopf
factorization>
Boyarchenko Svetlana, Sergei Levendorskii 'Pricing of Perpetual Bermudan Options' QF
12/02 <Options-Bermudan> <Wiener-Hopf factorization>
Boyd John, Gianni De Nicolo 'The Theory of Bank Risk Taking and Competition Revisited'
JofF 6/05
BOYD John, JIAN HU, Ravi Jagannathan 'The Stock Market's Reaction to Unemployment
News: Why Bad News Is Usually Good for Stocks' JofF 4/05
Boyd Stephen 'Convext Optimatization' 2004 Cambridge Press
Boyd Stephen, Persi Diaconis, Lin Xiao 'Fastest Mixing Markov Chain on a Graph'SIAM
Review 12/04
Boyle Phelim, Adam Kolkiewicz, Ken Seng Tan 'An Improved Simulation Method for Pricing
High-Dimensional American Derivatives' Math. & Computers in Simulation 3/03
<option-American><monte carlo>
Boyle Phelim, Adam Kolkiewicz, Ken Seng Tan 'Pricing American-Style Options Using Low
Discrepancy Mesh Methods' U. Waterloo 2000
Boyle Phelim, Ken Seng Tan 'Application of Scrambled Low Discrepancy Sequences to
Exotic Options' U. Waterloo <replaced by Boyle/Tan JED&Q 2000>
Boyle Phelim, Ken Seng Tan, Weidong Tian 'Calibrating the Black-Derman-Toy Model:Some
Considerations' Appl. Math Finance 3/2001 <term structure>
Boyle Phelim, Shui Feng, Weidong Tian 'Stochastic Volatility Models: a Large Deviation
Approach' Bachelier Conference 2004
Boyle Phelim, Tak Kuen Siu, Hailang Yang 'Risk & Probability Measures' <VAR, two level
binomial> RISK 7/02
Boyle Phelim, Tan Wang 'Pricing of New Securities in an Incomplete Market:the Catch22
of No-Arbitrage Pricing' MF 7/01 <complete markets>
Boyle Phelim, Weidong Tian 'Optimal Portfolio Strategies with Different Constraints :
A Unified Treatment' Bachelier Conference 2004
Boyle Phelim, Weidong Tian, Fred Guan 'The Riccati Equation in Mathematical Finance'
J. Symbolic Computation 2003 <option-numeric> <term structure,CIR>
Brace Alan, Ben Goldys, Fima Klebaner, Robert Womersley 'Market Model of Stochastic
Implied Volatility with Application to the BGM Model' 6/15/2001 <term structure>
<Toy model, Bachelier model, Ito-Venttsel formula>
Brace Alan, Ben Goldys, John Van Der Hoek, Robert Womersley 'Markovian Models in the
Stochastic Implied Volatility Framework' 9/02 <volatility> <HJM,VolVol,Heston>
Brace Alan, Marek Musiela, Erik Schlogl 'Simulation Algorithm for Lognormal Market
Models' UNSW 98
Brace Alan, Robert Womersley 'Exact Fit to the Swaption Volatility Matrix Using
Semidefinite Programming' ICBI Global Derivatives' 2000 <term structure>
Bradley Brendan, Murad Taqqu 'AN EXTREME VALUE THEORY APPROACH TO THE ALLOCATION OF
MULTIPLE ASSETS' IJT&AF 12/04
Bradley Brendan, Murad Taqqu 'Asset allocation when guarding against catastrophic
losses: a comparison between the structure variable and joint probability
methods' QF 12/04
Bradley Daniel, Bradford Jordan 'Partial Adjustment to Public Information & IPO
Underpricing' JF&QA 12/02
Bradley Daniel, Bradford Jordan, Jay Ritter 'The Quiet Period Goes out with a Bang'
JofF 2/03
Braga Gastao, Rémy Sanchis, Tiago A. Schieber 'Critical Percolation on a Bethe Lattice
Revisited' SIAM Review June 05
Brandt Michael, Amir Yaron 'Time-Consistent No-Arbitrage Models of the Term Structure'
2/03 <term structure>
Brandt Michael, David Chapman 'Comparing Multifactor Models of the Term Structure'
10/02 <USTreasury with 3 factor Gauss-Quadratic>
Brandt Michael, Francis X. Diebold ‘A No-Arbitrage Approach to Range-Based Estimation
of Return Covariances and Correlations’ JofB 1/06
Brandt Michael, Kenneth Kavajecz 'Price Discovery in the U.S. Treasury Market: The
Impact of Orderflow and Liquidity on the Yield Curve' JofF 12/04
Branger Nicole 'Tractable Hedging - An Implementation of Robust Hedging Strategies'
Bachelier Conference 2004
Branger Nicole 'Why is the Index Smile so Steep'
Branger Nicole, Angelika Esser, Christian Schlag 'When are Static hedging Strategies
Optimal' SSRN 2004
Branger Nicole, Christian Schlag 'Model Risk:A Conceptual Framework for Risk
Measurement & Hedging' SSRN 2004
Brannas Kurt, Niklas Nordman 'Conditional Skewness Modelling for Stock Returns'
<stocks> <nonlinear, log-generalized Gamma, Pearson IV> 6/2001
Branoff Paul 'Stochastic Volatility Models' BofA 2003 <Heston> <volatility>
Bratley Paul, Bennett Fox, Harald Niederreiter 'Implementation & Tests of Low-
Discrepancy Sequences' ACM Trans. Model. & Computer Simul. 92
Bratley Paul, Bennett Fox, L. Schrage 'A Guide to Simulations' Springer 87
Braun Matias, Borja Larrain 'Finance and the Business Cycle: International, Inter-
Industry Evidence' JofF 6/05
Brav Alon, John Heaton 'Competing Theories of Financial Anomalies' discussion Werner
De Bondt RFS v.15 #2 2002
Brav Alon, Paul Gompers 'The Role of Lockups in Initial Public Offerings' RFS 2003
Breger Ludovic, Lisa Goldberg, Oren Cheyette 'Market Implied Ratings' RISK 7/03
Breiman Leo 'Probability' 1992
Breiman Leo 'Probability and Stochastic Processes: with a view toward applications'
1986
Breiman Leo 'Statistics: with a view toward applications' 1973
Breitner Michael, T. Burmester 'Optimization of European Double-Barrier-Options via
Optimal Control of the Black-Scholes-Equation' in Peter Chamoni 'Operations
Research' '01' Springer 2002
Brenan K., S. Campbell, L. Petzold 'Numerical Solution of Initial Value Problems in
Differential-Algebraic Equations' 95 SIAM book
Brennan Michael, Ashley Wang, Yihong Xia 'Estimation and Test of a Simple Model of
Intertemporal Capital Asset Pricing' JofF 8/04
Brennan Michael, Edwardo Schwartz, Ronald Lagnado 'Strategic Asset Allocation' JED&C
97
Brennan Michael, Yihong Xia ‘Risk and Valuation Under an Intertemporal Capital Asset
Pricing Model’ JofB 1/06
Brennan Michael, Yihong Xia 'Asscessing Asset Pricing Anomalies' RFS Winter 2001
Brennan Michael, Yihong Xia 'Dynamic Asset Allocation under Inflation' JofF 6/02
Brennan Michael, Yihong Xia 'Stochastic Interest Rates & the Bond-Stock Mix' 5/2000
<bonds><Tobin Separation>
Brenner Menachem, Rafi Eldor, Shmuel Hauser 'The Price of Options Illiquidity' JofF
4/2001
Brenner S., L. Scott 'The Mathematical Theory of Finite Element Methods' 2002
Springer-Verlag
Breuil C., B. Conrad, F. Diammond, Richard Taylor 'On the Modularity of Elliptic
Curves over Q:Wild 3-Adic Exercises' J. Ameri. Math Soc. 2000 <Wiles,Shimura-
Taniyama,Fermat>
Brezina M., R. Falgout, S. MacLachlan, T. Manteuffel, S. McCormick, J. Ruge 'Adaptive
Smoothed Aggregation ($\alpha$SA) Multigrid' SIAM Review June 05
Briand Philippe 'BSDE's & Viscosity Solutions of Semilinear PDEs' 3/97 <SDE>
Briand Philippe, Bernard Delyon, Jean Memin 'On the Robustness of Backward Stochastic
Differential Equations' SP&A 2/02 ,6/01 <SDE>
Briani Maya, Claudia La Chiema, Roberta Natalini 'Convergence of Numerical Schemes for
Viscosity Solutions to Integro-Differential Regenerate Parabolic Problems
Arising in Financial Theory' <option-numeric>
Brigo Damiano 'A Finite Dimensional Filter with Exponential Conditional Density' 5/99
<stochastic>
Brigo Damiano 'A Note on Correlation & Rank Reduction' <term structure> 5/02 expanded
version of book 6.9
Brigo Damiano 'Candidate Market Model & the Calibrated CIR++ Stochastic Intensity
Model for Credit Default Swap Options & Callable Floaters' 3/2/04
Brigo Damiano 'Displaced & Mixture Diffusions for Analytically-Tractable Smile Models'
in Math.Finance--Bachelier Congress 2000
Brigo Damiano 'Market Models for CDS Options & Callable Floaters' RISK 1/05
Brigo Damiano 'The General Mixture-Diffusion SDE & its Relationship with an Uncertain-
Volatility Option Model with Volatility-Asset Decorrelation' 10/02 <volatility>
Brigo Damiano, Aurelien Alfonsi 'A Two-Dimensional CIR++ Shifted Diffusion Model with
Automatic Calibration to Credit Swaps & Interest Rate Derivatives Data' 2/03
<credit risk>
Brigo Damiano, Aurelien Alfonsi 'Credit default swap calibration and derivatives
pricing with the SSRD stochastic intensity model' F&S 1/05
Brigo Damiano, Christina Capitani, Fabio Mercurio 'On the Joint Calibration of the
Libor Model to Caps & Swaptions Market Volatilities' <term structure> 7/01
Brigo Damiano, Fabio Mercurio 'Analytical Pricing of the Smile in a Forward LIBOR
Market Model' QF 2003 <term structure><marginal & transition density,caplet>
Brigo Damiano, Fabio Mercurio 'Calibrating Libor' <term structure> RISK 1/02
Brigo Damiano, Fabio Mercurio 'Lognormal-Mixture Dynamics & Calibration to Market
Volatility Smiles' Intern. J. Theor. & Applied Finance 6/02 <volatility>
Brigo Damiano, Fabio Mercurio 'The General Mixture-Diffusion Dynamics for SDE's with a
Result on the Volatility-Asset Covariance' 5/02 <volatility>
Brigo Damiano, Fabio Mercurio, Francesco Rapisarda 'LIBOR-dynamics calibration to
market volatilites and swap-rate distributional distance from the lognormal
family' Bachelier conference 2002
Brigo Damiano, Fabio Mercurio, Francesco Rapisarda 'Smile at the Uncertainity'
<stochastic volatility, book revaluation> RISK 5/04
Brigo Damiano, Fabio Mercurio, Francesco Rapisarda, Rita Scotti 'Approximated Moment-
Matching Dynamics for Basket Option Simulation' 10/02 <option-basket>
Brigo Damiano, Fabio Mercurio, Francesco Rapisarda, Rita Scotti 'Approximated Moment-
Matching Dynamics for Basket-Option Pricing' QF 2004 <option-basket>
Brigo Damiano, Fabio Mercurio, Giulio Sartorelli 'Alternative Asset-Price Dynamics &
Volatility Smile' <volatility> <hyperbolic-sine> 2002
Brigo Damiano, Fabio Mercurio, Giulio Sartorelli 'Lognormal-Mixture Dynamics under a
Different Mean' <term structure> 2002
Brigo Damiano, Giovanni Pistone 'Projecting the Fokker-Planck Equation onto a Finite
Dimensional Exponential Family' <stochastic> <differential geometry,Orlicz
space>
Brigo Damiano, Jan Liinev 'On the Distributional Distance Between the LIBOR and the
Swap Market Models' 6/03 <Swaps> <LFM,LSM>
Brigo Damiano, Laurent Cousot 'A comparison between the SSRD model and a market model
for CDS options pricing' Bachelier Conference 2004
Brigo Damiano, Massimo Morini 'An empirically efficient cascade calibration of the
LIBOR Market Model based only on directly quoted swaption data' Bachelier
Conference 2004
Brin Michael, Garrett Stuck 'Introdution to Dynamical Systems' 2002 Cambridge Press
Britten-Jones Mark, Stephen Schaefer 'Non-linear Value at Risk:The Distribution of a
Quadratic Approximation to Portfolio Value' LBS 1997
Broaddus J. Alfred 'Macroeconomic Principles & Monetary Policy' FRB Richmond Econ.
Quart. Winter 04
Broaddus J. Alfred, Marvin Goodfriend 'Sustaining Price Stability' FRB Richmond
Economic Quarterly Summer 04
Broaddus J. Alfred, Marvin Goodfriend 'What Assets Should the Federal Reserve Buy?'
FRB Richmond Economic Quarterly Winter 2001
Broadie Mark, Jerome Detemple 'Option Pricing:Valuation Models & Applications' MS 9/04
Broadie Mark, Yusaku Yamamoto 'A Double-Exponential Fast Gauss Transform Algorithm for
Pricing Discrete Path-Dependent Options' 1/05 to be in OR <options-path>
Broadie Mark, Yusaku Yamamoto 'Application of the Fast Gauss Transform to Option
Pricing' wp 2002
Broadie Mark, Yusaku Yamamoto 'Application of the Fast Gauss Transform to Option
Pricing' MS 8/03 <option-American> <dynamic programming>
Brockhaus Oliver 'A Complete Market Model for Implied Volatility' Bachelier Conference
2004
Brockhaus Oliver 'Implied Monte Carlo' Bachelier conference 2002
Brockman Paul, Dennis Chung 'Investor Protection and Firm Liquidity' JofF 4/03
Brody Dorje 'Modern Mathematical Theory of Finance' 2000 Nippon-Hyaronsya
Brody Dorje, Ian Buckley, Bernhard Meister 'Preposterior Analysis for Option Pricing'
QF 8/04
Brody Dorje, Lane Hughston 'Chaos & Coherence: A New Framework for Interest Rate
Modeling' Proc.:Math.,Physical & Engin. 1/04 <term structure>
Brody Dorje, Lane Hughston 'Entropy & Information in the Interest Rate Term Structure'
QF 2/02 <volatility><denisity,information geometry,positive interest>
Brody Dorje, Lane Hughston 'Interest Rates & Information Geometry' Proc. R. Soc. Lond.
A 2001 <term structure> <HJM,arbitrage>
Bronfmann Corinne, Michael Ferguson 'Would Greater Transparency Increase or Decrease
Contracting Costs?' J. Fin. Eng. 6/95
Brookfield David 'Traded Options, Capital Gains & the Term Structure of Implied
Volatilities' App. Fin. Econ 93
Brooks Chris, Apostolos Katsaris ‘Trading Rules from Forecasting the Collapse of
Speculative Bubbles for the S&P 500 Composite Index’ JofB 9/05
Brooks Robert 'A Distribution Approach for Single Factor Option Valuation Models' 9/02
<option-pricing> <SPDE,normal, lognormal>
Brooks Robert 'The Cost of Tax Policy Uncertainty:Evidenc from the Municipal Swap
Market' J. Fixed Income 12/02
Brotherton-Ratcliffe Rupert 'The BGM Model for Path-Dependent Swaps' wp Gen-Re 97
<term structure>
Brous Peter, Vinay Datar, Omesh Kini 'Is the Market Optimistic about the Future
Earnings of Seasoned Equity Offering Firms? JF&QA 6/2001
Brousseau Vincent 'The Functional Form of Yield Curves'
Brown Christine, David Robinson 'Option Pricing & Higher Moments' Proc. 10th Annual
Asia-Pacific Symp 1999
Brown Christine, David Robinson 'Option Pricing under Conditions of Systematic
Asymmetry & Kurtosis' <volatility> 97 <skew>
Brown Christine, David Robinson 'Skewness & Kurtosis Implied by Option Prices:A
Correction' J. Financial Research 2002
Brown Christine, Kevin Davis 'Dividend Protection at a Price' Journal of Derivatives
Winter 2004
Brown David 'An Empirical Analysis of Credit Spread Innovations' J. Fixed Income Sept
01
Brown David, William Marshall 'Assessing Fixed-Income Managers Style & Performance
from Historical Returns. J. Fixed Income March 2001
Brown Donald, Marten Wegkamp 'Weighted Minimum Mean-Square Distance from Independence
Estimation 'Econometrica 9/02
Brown Gregory, Klaus Bjerre Toft 'How Firms Should Hedge ' RFS Fall 2002
Brown Gregory, Michael Cliff ‘Investor Sentiment and Asset Valuation’ JofB 3/05
Brown Haydyn, David Hobson, L.C.G. Rogers 'Robust Hedging of Barrier Options' MF 7/01
<option-barrier>
Brown Keith, Amy Dittmar, Henri Servaes 'Corporate Governance, Incentives, and
Industry Consolidations'RFS Spring 2005
Brown Martin, Armin Falk, Ernst Fehr 'Relational Contracts and the Nature of Market
Interactions' Econometrica 5/04
Brown Rob, Francis In, Victor Fang 'Modeling the Determinants of Swap Spreads' J.
Fixed Income 6/02
Brown Stephen, William Goetzmann, James Park 'Careers and Survival: Competition and
Risk in the Hedge Fund and CTA Industry'JofF 10/01
Browne Sid 'Records, Mixed Poisson Processes & Optimal Selection:An Intensity
Approach' <portfolio> 1995?
Bru B., Marc Yor 'Comments on the Life and Mathematical Legacy of Wolfgang Doeblin'
Finance and Stochastics Jan 02
Bruen Aiden, Mario Forcinito 'Cryptography, Information Theory and Error Correction'
2005 Wiley Press
Brummelhius R., A. Cordoba, M. Quintanilla, L. Seco 'Principal Component Value at
Risk' MF 1/02 ; J. Math Fin. 2002
Brunel Vivien 'Pricing Credit Derivatives with Uncertain Default Probabilities'
10/2001 <credit risk>
Brunner Bernhard, Reinhold Hafner 'Arbitrage-Free Estimation of the Risk-Neutral
Density from the Implied Volatility Smile' <Volatility> 6/02
Brunnermeier Markus 'Hedge Funds and the Technology Bubble'JofF 10/04
Bruno Maria Giuseppina 'Calculation Methods for Evaluating Asian Options' <option-
Asian><quasi-montecarlo, analytic>
Brunson Andrew, James Kau, Donald Keenan 'A Fixed-Rate Mortgage Valuation Model in
Three State Variables' J. Fixed Income 6/2001
Brunt Bruce van 'The Calculus of Variations' 2004 Springer-Verlag
Buchen Peter 'Image Options & the Road to Barriers' RISK 9/01 <option-barrier>
Buchen Peter 'Pricing of Dual-Expiry Exotics' QF 2/04 <option-exotic>
Buchen Peter, Max Skipper 'Exotic Rainbow Binaries' ICIAM 2003
Buchen Peter, Otto Konstandatos 'A NEW METHOD OF PRICING LOOKBACK OPTIONS' MF 4/05
Buchholz Herbert 'The Confluent Hypergeometric Function' Springer 69
Buchmann J. 'Introduction to Cryptography' 2004 2ed. Springer
Buckdahn Rainer, Hans J. Engelbert, A. Ruascanu 'On Weak Solutions of Backward
Stochastic Differential Equations' Theory of Prob. and Applications V49 #1 2005
Buckdahn Rainer, Jin Ma 'Pathwise Stochastic Taylor Expansions and Stochastic
Viscosity Solutions for Fully Nonlinear Stochastic PDE's' Annals of Probability
2002
Buckdahn Rainer, Jin Ma 'Stochastic Viscosity Solutions for Nonlinear Stochastic
Partial Differential Equations:I' SP&A 6/2001 <SDE>
Buckdahn Rainer, Jin Ma 'Stochastic Viscosity Solutions for Nonlinear Stochastic
Partial Differential Equations:II' SP&A 6/2001 <SDE>
Buckle David 'Portfolio skew and kurtosis' RISK 6/05
Bucklew J., P. Ney, J. Sadowsky 'Monte Carlo Simulation & Large Deviations Theory for
Uniformly Recurrent Markov Chains' J. App. Prob. 90
Buckley Iran, Dorje Brody, Bernhard Meister 'Entropic Calibration Revisited' Bachelier
Conference 2004
Buckley Iran, G. Comezana, B. Djerroud, L. Seco 'Portfolio Optimization when assets
have the gaussian mixture distribution' (2002)U. Toronto
Bucy Richard, Peter Joseph 'Filtering for Stochastic Processes with Applications to
Guidance' Interscience 1968
Buehler Hans 'Consistent Variance Curve Models' SSRN 4/05
Buetow Gerald, Bernd Hanke, Frank Fabozzi 'Impact of Different Interest Rate Models on
Bond Value Measures' J. Fixed Income 12/01 <term structure>
Buff Robret 'Uncertain Volatility Models:Theory & Application' 2002 Springer-Verlag
Buffington John, Robert Elliott 'American Options with Regime Switching' Int. J.
Theor. & Applied Finance 8/2002
Bugera Vladimir, Stanislav Uryasev, Grigory Zrajevsky 'Classification Using
Optimization: Application to Credit Ratings of Bonds' Bachelier Conference 2004
Buhlmann H. 'An Economic Premium Principle' ASTIN Bulletin 80
Buhmann Martin 'Radial Basis Functions' 2003 Cambridge Press
Bullard James, Eric Schaling 'New Economy-New Policy Rules?' FRB St. Louis Review 9/01
Bullard James, Eric Schaling 'Why the Fed Should Ignore the Stock Market' FRB Review
St.Louis March/April 02
Bullard James, Steven Russell 'How Costly is Sustained Low Inflation for the U.S.
Economy?' FRB St. Louis Review May/June 04
Buraschi Andrea, Alexei Jiltsov 'Option Models and Trading Information' Bachelier
conference 2002
Buraschi Andrea, Jens Jackwerth 'The Price of a Smile:Hedging & Spanning in Option
Markets' RFS Summer 2001 , 5/2000 <volatility>
Burda Zdzislaw, Jerzy Jurkiewicz, Maciej Nowak, Gabor Papp, Ismail Zahed 'Free Levy
Matrices & Financial Correlations' <stochastics> 3/2001
Burda Zdzislaw, Jerzy Jurkiewicz, Maciej Nowak, Gabor Papp, Ismail Zahed 'Free Random
Levy Variables & Financial Probabilities' 3/2001 <stochastics>
Burdett Ken, Melvyn Coles 'Equilibrium Wage-Tenure Contracts' Econometrica 9/03
Burdzy K., D. Frankel,A. Pauzner 'Fast Equilibrium Selection by Rational Players
Living in a Changing World' Econometrica 1/2001
Burgard Christoph 'Accurate Pricing of Asian Options Using PDEs' RISK conference
11/2002
Burgisser Peter, Aalexandre Kurth, Armin Wagner 'Incorporating Severity Variation into
Credit Risk' J. of Risk Summer 01
Burmeister Edwin, Rodney Dobell 'Mathematical Theories of Economic Growth' McMillan
Press
Burnashev M., Sh. Amari, T. Han 'On Some Testing of Hypothesis Problems with
Information Constraints' Theory of Probability and It's Applications V45 #4
Burnetas Apostolos, Peter Ritchken 'Option Contracts in Supply Chains ' Bachelier
conference 2002
Burrage Kevin, P.M. Burrage, Tianhai Tian 'Numerical Methods for Strong Solutions of
Stochastic Differential Equations:An Overview' Proc Royal S. Physical 2004 <SDE>
Burrage P.M., Kevin Burrage 'A Variable Stepsize Implementation for Stochastic
Differential Equations' SIAM J. Sci. Comp. 2002 <SDE><Runge-Kutta>
Busca Jerome 'Model Asymptotics, Calibration & Pricing' presented 7/2001; to be in
'Quantitative Finance' 2002
Busca Jerome, Henri Berestycki, Rama Cont, Igor Florent 'Implied Volatility Smiles'
Bachelier conference 2002
Bushman Robert, Joseph Piotroski, Abbie Smith 'Insider Trading Restrictions and
Analysts' Incentives to Follow Firms' JofF 2/05
Busse Jeffrey 'Another Look at Mutual Fund Tournaments' JF&QA 3/2001
Butcher J.C. 'Numerical Methods for Ordinary Differential Equations' Wiley Pub.
Butler Alexander, Gustavo, James Weston 'Can Managers Forecast Aggregate Market
Returns?' JofF 4/05
Bynkin E. 'Diffusions, Superdiffusions & Partial Differential Equations' 2002
Amer.Math Society Press
Byrnes Christopher, Seri Gusev, Anders Linquist 'From Finite Covariance Windows to
Modeling Filters: A Convext Optimization Approach' SIAM Review 12/01
Byun Jinho, Michael Rozeff 'Long-run Performance after Stock Splits: 1927 to 1996'JofF
6/03
Caballero Ricardo, Arvind Krishnamurthy 'Excessive Dollar Debt: Financial Development
and Underinsurance' JofF 4/03
Cadenillas Abel, Jaksa Cvitanic, Fernando Zapatero 'Executive Stock Options with
Effort Disutility and Choice of Volatility' Bachelier conference 2002
Cadenillas Abel, Sudipto Sarkar, Fernando Zapatero 'Optimal Dividend Policy with Mean-
Reverting Cash Reservoir' Bachelier Conference 2004
Cadle John, Lan-Chih Ho, Michael Theobald 'Estimation & Hedging with a One-Factor
Heath-Jarrow-Morton Model' J. of Deriv. Summer 2001 <term structure>
Cagetti Marco, Lars Hansen, Thomas Sargent, Noah Williams 'Robustness & Pricing with
Uncertain Growth' discussion Pascal Maenhout RFS v.15 #2 2002
Cai Jie, Anand Vijh 'EXECUTIVE STOCK AND OPTION VALUATION IN A TWO STATE-VARIABLE
FRAMEWORK' J. of Derivatives Spring 05
Cai Jun 'Discrete Time Risk Models under Stochastic Forces of Interest' 2/01 <term
structure> <ruin, super-martingale, optimal stopping>
Cai Jun, Qihe Tang 'On max-sum equivalence and convolution closure of heavy-tailed
distributions and their applications' Journal of Applied Probability 3/2004
Cairns Andrew 'Interest Rate Models' 3/04 Princeton Press
Cairns Andrew, 'A FAMILY OF TERM-STRUCTURE MODELS FOR LONG-TERM RISK MANAGEMENT AND
DERIVATIVE PRICING'MF 7/04
Cairns Andrew, Samuel Garcia Rosas 'A Family Of Term-structure Models with Stochastic
Volatility' Bachelier Conference 2004 <volatility> 2003
Cakici N., K.R. Foster 'Risk-neutralized at-the-money consistent historical
distributions in currency options pricing'J. Computational Finance Fall 02
Cakici Nusret, Jintao Zhu 'Pricing Eurodollar Futures Options with the Heath-Jarrow-
Morton Model' J. Futures Markets' 7/2001 <term structure>
Cakici Nusret, Kevin Foster 'Trees from History'<volatility> <risk netural> RISK 8/02
Cakici Nusret, Kevin Foster 'Value at Risk for Interest Rate-Dependent Securities' J.
Fixed Income3 /03
Caldarelli Guido 'Structure of Biological & Social Systems' SIAM News 4/04
Calin Ovidiu, Yu Chen, Thomas F. Cosimano, Alex A. Himonas 'Solving Asset Pricing
Models when the Price-Dividend Function Is Analytic' Econometrica 5/05
Callaghan Sandra Renfro, Christopher Barry 'Tax-Induced Trading of Equity Securities:
Evidence from the ADR Market' JofF 8/03
Callaghan Sandra Renfro, P. Jane Saly, Chandra Subramaniam 'The Timing of Option
Repricing' JofF 8/04
Calvet Laurent, Adlai Fisher 'Catastrophic Risk in Multifractal Asset Returns' in
Integrated Risk & Return Management for Insurance Co 2000
Calvet Laurent, Adlai Fisher 'Forecasting Multifractal Volatility' Harvard 2000
Calvet Laurent, Adlai Fisher 'On the Multifractal Model of Asset Returns' Harvard
2000
Calvet Laurent, Adlai Fisher, Benoit Mandelbrot 'Large Deviations & the Distribution
of Prices Changes' 97 '
Camara Antonio ‘Option Prices Sustained by Risk Preferences’ JofB 9/05
Camara Antonio 'A Generalization of the Brennan-Rubinstein Approach for the Pricing of
Derivatives' JofF 4/03
Camara Antonio 'The Valuation of Options with Restrictions on Preferences &
Distributions' J. Futures Markets 12/01 <option-pricing><risk neutral>
Cambanis S., S. Huang, G. Simons 'On the Theory of Elliptical Contoured Distributions'
J. Multivariate Analysis' 1981
Campa Jose, Simi Kedia 'Explaining the Diversification Discount' JofF 8/02
Campbell J. 'Asset Pricing at the Millennium' JofF 8/2000
Campbell J., A. Kyle 'Smart Money, Noise Trading & Stock price Behavior' FRS 1993
Campbell J., M. Lettau, Burton Malkiel 'Have Individual Stocks Become More Volatilie?
Empirical Exploration of Idiosyncratic Risk' JofF 2/2001
Campbell John, Glen Taksler 'Equity Volatility and Corporate Bond Yields' Taxation'
JofF 12/03
Campello Murillo 'Internal Capital Markets in Financial Conglomerates: Evidence from
Small Bank Responses to Monetary Policy'JofF 12/02
Campi Luciano 'Some results on quadratic hedging with insider trading' Bachelier
Conference 2004
Cantillo Miguel 'A Theory of Corporate Capital Structure and Investment' RFS Winter 04
Canto L., E. Castro, L De Haan, M. G. Temido 'Rarely Observed Sample Maxima' Theory of
Probability and It's Applications V45 #4
Cantor Richard, Eric Falkenstein 'Testing for Rating Consistency in Annual Default
Rates' J. Fixed Income Sept 01
Cantor Richard, Jian Hu 'Defaults & Losses Given Default of Structured Finance
Securities' J. Fixed Income 3/04
Canuto C., M. Hussaini, A. Quarteroni, T. Zang 'Spectral Methods in Fluid Dynamics'
Springer 2002
Cao Charles, Zhiwu Chen, John Griffin ‘Informational Content of Option Volume Prior to
Takeovers’ JofB 5/05
Cao H. Henry, Joshua Coval, David Hirshleifer 'Sidelined Investors, Trading-Generated
News, & Security Returns' discussion Pietro Veronesi RFS v.15 #2 2002
Capasso Vincenzo, David Bakstein 'An Introduction to Continuous-Time Stochastic
Processes' Birkhauser 2004 <finance>
Capinski Marek, Tomasz Zastawniak 'Mathematics for Finance' 2003 Springer-Verlag
Capobianco Enrico 'Wavelet Transforms for the Statistical Analysis of Returns
Generating Stochastic Processes' Inter. Journ. Theor. & Applied Finance 6/2001
Caramellino Lucia, Maria Iovino 'An exit-probability-based approach for the valuation
of defaultable securities' J. Computational Finance Fall 02
Carassus Laurence, Emmanuel Gobet, Emmanuel Temam 'Closed Formulae for Super-
Replication Prices with Discrete Time' Bachelier conference 2002
Carassus Laurence, Huyen Pham, Nizar Touzi 'No Arbitrage in Discrete Time Under
Portfolio Constraints' MF 7/01 <portfolio>
Card David 'Estimating the Return to Schooling:Progress on Some Persistent Econometric
Problems' Econometrica 9/01
Cardon-Weber Caroline 'Cahn-Hilliard stochastic equation: strict positivity of the
density'S&SR 2002
Cardoso J.F. 'Blind Signal Separation:Statistical Principles' Proc. IEEE 1998 <ICA>
Carelli A., S. Silani, F. Stella 'Profiling Neural Networks for Option Pricing'
Inter.J. Theor & App. Finance 4/2000
Carey Mark, Mark Hrycay 'Parameterizing Credit Risk Models with Rating Data' J.Banking
& Finance 2/2001 <credit risk>
Carhart Mark, Jennifer N. Carpenter, Anthony W. Lynch, David K. Musto 'Mutual Fund
Survivorship ' RFS Winter 02
Carhart Mark, Ron Kaniel, David Musto, Adam Reed 'Leaning for the Tape:Evidence of
Gaming Behavior in Equity Mutual Funds' JofF 4/02
Carigan R., W. Trower 'Superheavy Magnetic Monopoles' "Particle Physics in the
Universe" Freeman & Co. {Scien.Amer. articles>
Carillo Santiago, Marcos Escobar, Pablo Fernández, Gustavo Comezañas, Nicolas
Hernández, Luis Seco 'Extreme Value Theory techniques for scenario generation'U.
Toronto
Cario M., B. Nelson 'Modeling & Generating Random Vectors with Arbitrary Marginal
Distributions & Correlation Matrix' IEMS NU 97
Carl S., Seppo Heikkila 'Nonlinear Differential Equations in Ordered Spaces' 2000
Chapman & Hall/CRC Pub.
Carlson Murray, Adlai Fisher, Ron Giammarino 'Corporate Investment and Asset Price
Dynamics: Implications for the Cross-section of Returns' JofF 12/04
Carmona Philippe 'Mean Velocity of a Brownian Motion in a Random Levy Potential' Ann.
Prob 97
Carmona Philippe, Frederique Petit, Marc Yor 'A Trivariate Law for Certain Processes
Related to Peturbed Brownial Motions' 7/99 <brownian> <3-D Bessel,Levy arc Sine
law>
Carmona Philippe, Frederique Petit, Marc Yor 'Beta-Gamma Random Variables &
Intertwining Relations Between Certain Markov Processes' Revista Matematica
IberoAmericana 98
Carmona Philippe, Frederique Petit, Marc Yor 'On the Distribution & Asymptotic Results
for Exponential Functionals of Levy Processes' SSR 94 <French>, Biblioteca de la
Revista Matematica IberoAmericana 97
Carmona Philippe, Frederique Petit, Marc Yor 'On the Laws of Homogeneous Functionals
of the Brownian Bridge' Studia Scientiarum Mathematicarum Hungarica v35 1999
Carmona Philippe, Frederique Petit, Marc Yor 'Some Extensions of the Arc Sine Law as
Partial Consequences of the Scaling Property of Brownian Motion' Prob. Theory
Related Fields 94
Carmona Philippe, Laure Coutin 'Fractional Brownian Motion & the Markov Property' ECP
vol 3 98
Carmona Philippe, Laure Coutin 'Integrale Stochastique pour le Mouvement Brownien
Fractionnaire' Comptes Rendus Serie 1 2000
Carmona Philippe, Laure Coutin 'Simultaneous Approximation of a Family of (Stochastic)
Differential Equations' Systemes Differenties Fractionnaires Paris 98
Carmona Philippe, Laure Coutin, G. Montseny 'Approximation of Some Gaussian Processes'
in stat.Inferenc for Stochastic Processes 2000
Carmona Rene, Michael Ludkovski 'Spot convenience yield models for the energy markets'
Mathematics of finance : Proceedings of an AMS-IMS-SIAM Joint Summer Research
Conference on Mathematics of Finance 2003
Carmona Rene, Valdo Durrleman 'Pricing & Hedging of Spread Options' SIAM Review 12/03
Carr Peter 'Advanced Topics in Derivative Securities' 3/97 <option-
Barrier><reflection, method of images>
Carr Peter 'Applications of Time Reversal to Option Pricing' Fields lecture 3/02
Carr Peter, Akash Bandyopadhyay 'How to Derive the Black-Scholes Equation Correctly?'
Carr Peter, Ali Hirsa 'Why be Backward? Forward Equations for American Options'RISK
1/03 , 12/02 <options-American> <smile>
Carr Peter, Alireza Javaheri 'THE FORWARD PDE FOR EUROPEAN OPTIONS ON STOCKS WITH
FIXED FRACTIONAL JUMPS' IJT&AF 3/05 ,11/03 <option-Euro>
Carr Peter, Anthony Corso 'Commodity Covariance Contracting' <volatility> <covariance
swaps> 10/2000
Carr Peter, Dilip Madan 'Factor Models for Option Pricing' 12/2000 <stocks>
Carr Peter, Dimitri Faguet 'Valuing Finite-Lived Options as Perpetural' <presentation
slides> <option-american> 5/96
Carr Peter, Heleyete Geman, Dilip Madan, Marc Yor 'Pricing Options on Realized
Variance' 6/03 <volatility> <Sato process>
Carr Peter, Helyette Geman, Dilip Madan, Liuren Wu, Marc Yor 'Option Pricing using
Integral Transforms' 2/03 <option-pricing>
Carr Peter, Helyette Geman, Dilip Madan, Marc Yor 'Absence of Static Arbitrage & Local
Levy Models' 4/21/03 <artibrage> <backout from options, state contingent forward
speeds>
Carr Peter, Helyette Geman, Dilip Madan, Marc Yor 'From Local Volatility to Local Levy
Models' QF 10/04 <volatility>
Carr Peter, Helyette Geman, Dilip Madan, Marc Yor 'Stochastic Volatility for Levy
Processes'MF 7/03 , 8/02 <volatility> <Variance-Gamma,VG>
Carr Peter, Keith Lewis 'Corridor Variance Swaps' Risk 2/04 <volatility>
Carr Peter, Liuren Wu 'A Simple Robust Test for the Presence of Jumps in Asset Prices'
7/01 <volatility>
Carr Peter, Liuren Wu 'Static Hedging of Standard Options' 5/04
Carr Peter, Liuren Wu 'Stochastic Skew in Currency Options' 1/05
Carr Peter, Liuren Wu 'The Finite Moment Log Stable Process and Option Pricing' JofF
4/03 <volatility, smile, Levy stable, self-similar>
Carr Peter, Liuren Wu 'Time-Changed Levy Processes & Option Pricing' JFE 2004 <option-
pricing><measure change, subordination, characteristic functions>
Carr Peter, Liuren Wu 'What Type of Process Underlies Options? A Simple Robust Test'
Taxation' JofF 12/03
Carr Peter, Michael Schroeder 'Bessel Processes, the Integral of Geometric Brownian
Motion & Asian Options' SIAM Theory of Prob. & App. V. 48, #3 2004 , 2003
<option-Asian>
Carr Peter, Michael Schroeder 'On the Valuation of Arithmetic-Average Asian
Options:the Geman-Yor Laplace Transform Revisted' 3/2001 <option-asian>
Carr Peter, Paul Branoff 'Closed Form Barrier Option Valuation with Smiles' 9/02
<option-barrier>
Carr Peter, Roger Lee 'Robust Replication of Volatility Derivatives' 4/03 <volatility>
overheads
Carr Peter, Vadim Linetsky 'The Valuation of Executive Stock Options in an Intensity-
Based Framework'11/2000 <to be Euro. Finance Review> <option-pricing> <credit
risk, forfeiture,diversification>
Carriere Jacques 'Valuations of the Early Exercise Price for Options Using Simulations
& Nonparametric Regression' Insur:Math. & Econ. 96
Carrillo Santiago, Nicolas Hernandez, Luis Seco 'A theoretical comparison between
moments and L-moments' (2003)U. Toronto
Carrillo Santiago, Nicolas Hernandez, Luis Seco 'New families of distributions fitting
L-moments for modeling financial data' (2003). U. Toronto
Cartea Alvaro 'Generalised Fractional-Black-Scholes Equation: Pricing and Hedging'
Bachelier Conference 2004
Cartea Alvaro, Sam Howison 'Distinguished Limits of Levy-Stable Processes &
Applications to Option Pricing' 4/14/03 <Option-Pricing>
Carter Michael 'Foundations of Mathematical Economics' 2001 MIT Press
Carverhill Andrew 'Arbitrage, the Term Structure of Volatility & the Long Forward
Rate' 2/96 <term structure>
Carverhill Andrew 'Predictability & the Dynamics of Long Forward Rates' 3/01 <term
structure> <risk neutral, volatility>
Carverhill Andrew, Terry Cheuk, Sigurd Dyrting 'The Smirk in the S&P500 Futures
Options Prices: A Linearized Factor Analysis' SSRN 7/04
Case James (book review) 'Celestial Mechanics Theory Mets Nitty-Gritty of Trajectory
Design' SIAM News July/Aug 04
Case James (Reviewer) 'Research on Financial Markets:..' Review of Burton Malkiel's 'A
Random Walk Down Wall Street' 2003 ed. SIAM News July/Aug 03
Case James 'Hydrodynamic Instability in Two and Three Dimensions' SIAM News 3/02
Case James 'LCTM:Rigourous Empirical Testing Ground for Modern Theories of Financial
Markets' review "When Genius Failed" SIAM News 4/2001
Case James 'Mathematical Challenges of Combinatorial Auction Design' SIAM Review
6/2001
Case James 'The Continuing Appeal of Small-World Networks' SIAM News 11/01
Cassanio Mark 'How Well Can Options Complete Markets?' J. of Deriv. Winter 01
Cassano Mark 'Disagreement & the Equilibrium Option Trading Volume' R. Deriv.
Research V5. #2 2002
Castagnoli Erio, Fabio Maccheoni, Massimo Marinacci 'CHOQUET INSURANCE PRICING: A
CAVEAT'MF 7/04
Castaneda-Leyva Netzahualcoyotl, Daniel Hernandez-Hernandez 'Optimal portfolio
management with consumption' Mathematics of finance : Proceedings of an AMS-IMS-
SIAM Joint Summer Research Conference on Mathematics of Finance 2003
Cathcart Lara, Lina El-Jahel 'Defaultable Bonds & Default Correlation' 3/02
<corporate>
Cathcart Lara, Lina El-Jahel 'Multiple Defaults and Merton's Model' J. Fixed Income
6/04
Cathcart Lara, Lina El-Jahel 'Semi-Analytical Pricing of Defaultable Bonds in a
Signaling Jump-Default Model' J. Comp. Finance Spring 03
Cauoette J., E. Altman, P. Narayannan 'Managing Credit Risk' Wiley 1998
Cecchetti Stephen, Pok-Sang Lam, Nelson Mark 'Mean Reversion in Equilibrium Asset
Prices' AER
Cecile Boyer 'Reservation Prices on Order Driven Markets' Bachelier Conference 2004
Cerny Ales 'Dynamic programming and mean-variance hedging in discrete time'App. Math.
Fin. 3/04
Cerny Ales 'Introduction to Fast Fourier Transform in Finance' J. Derivatives Fall 04
, 4/04 <option-numeric>
Cerny Ales 'Mathematical Techniques in Finance' Princeton 1/04
Cerny Ales 'Mean-Variance Hedging with Proportional Transaction Costs' Bachelier
conference 2002
Cerny Ales 'The Risk of Optimal, Continuously Rebalanced Hedging Strategies and Its
Efficient Evaluation via Fourier Transform' Bachelier Conference 2004
Cerny Ales, Stewart Hodges, 'The Theory of Good-Deal Pricing in Financial Markets', in
Geman, Madan, Pliska, Vorst (eds.): Mathematical Finance,Bachelier Cong. 2000,
Springer 2002.
Cerqueti Roy 'optimal financing policies via a stochastic control problem with exit
time' Bachelier Conference 2004
Certicom 'The Elliptic Curve Cryptosystem' <cryptography> 2000
Cetin Umut, Robert Jarrow, Philip Protter 'Liquidity risk and arbitrage pricing
theory' FS 8/04
Cetorelli Nicola 'Life-Cycle Dynamics in Industrial Sectors:the Role of Banking Market
Structure' Review FRB St. Louis July/Aug 03
Cetorelli Nicola, Michele Gambera 'Banking Market Structure, Financial Dependence and
Growth: International Evidence from Industry Data' JofF 4/2001
Cha Heung-Joo, Bong-Soo Lee 'The Market Demand Curve for Common Stocks:Evidence from
Equity Mutual Fund Flows' JF&QA 6/2001
Chacko George, L. Viceira 'Spectral GMM Estimation of Continuous-Time Processes' 11/99
<volatility> <smile,kurtosis,jump-diffusion>
Chacko George, Sanjiv Das 'Pricing Interest Rate Derivatives:A General Approach' RFS
Spring 2002 <option-pricing> <revised 'Pricing Average Interest...'>
Chadam John, David Saunders 'Asymptotic Analysis for American Options on Alternative
Stochastic Processes' abstract Bachelier Conference 2004,1 04 <option-American>
Chae Joon 'Trading Volume, Information Asymmetry, and Timing Information' JofF 2/05
Chairella Carl, Oh Kang Kwon 'A Complete Markovian Stochastic Volatility Model in the
HJM Framework' Finance & Stochastics 2001 <term structure>
Chako George, Luis Vieira 'Spectral GMM Estimation of Continuous-Time Processes' J.
Econometric Aug 2003
Chakraborty Atreya, Richard Arnott 'Takeover Defenses & Dilution:Welfare Analysis'
JF&QA 9/01
Chakravarty Sugato, Huseyin Gulen, Stewart Mayhew 'Informed Trading in Stock and
Option Markets' JofF 6/04
Chalmers John, Larry Dann, Jarrad Harford 'Managerial Opportunism? Evidence from
Directors & Officers Insurance Purchasses' JofF 4/02
Chalmers John, Roger Edelen, Gregory Kadlec 'On the Perils of Financial Intermediaries
Setting Security Prices:Mutual Fund Wild Card Option' JofF 12/01
Chambers J., C. Mallows, B. Sruck 'A method for Simulating Stable Random Variables'
JASA 76
Champeney D. 'Handbook of Fourier Theorems' Cambridge Press 87
Chan Kalok, Allaudeen Hamseed, Sie Ting Lau 'What if Trading Location Is Different
from Business Location? Evidence from the Jardine Group'JofF 6/03
Chan Kalok, Vicentiu Covrig, Lilian Ng 'What Determines the Domestic Bias and Foreign
Bias? Evidence from Mutual Fund Equity Allocations Worldwide' JofF 6/05
Chan Kalok, Y. Peter Chung, Wai-Ming Fong 'The Informational Role of Stock and Option
Volume ' RFS Fall 2002
Chan Konan, Louis K. C. Chan, Narasimhan Jegadeesh, Josef Lakonishok ‘Earnings Quality
and Stock Returns’ JofB 5/06
Chan Louis, Hsiu-Lang Chen, Josef Lakonishok 'On Mutual Fund Investment Styles ' RFS
Winter 02
Chan Louis, Jason Karceski, Josef Lakonishok 'The Level and Persistence of Growth
Rates' JofF 4/03
Chan Louis, Josef Lakonishok, Theodore Sougiannis 'The Stock Market Valuation of
Research & Development Expenditures' JofF 12/01
Chan Tony 'Imaging & Math Scientists See a Future of Continued Close Interaction' SIAM
News May 02
Chan Yuen-Kwok, Ranjit Bhatachearjee, Robert Russell, Mikhail Teylel 'A New Term-
Structure Model Based on the Federal Funds Target' Citgroup 5/03 <term
structure>
Chance Don 'The Reflection Principle in Finance' <option-Barrier> 10/03 <method of
images>
Chance Donald 'Linear Homogeneity, Euler's Rule, The Black-Scholes Model & an
Application to Forward Start Options' Fin. Eng. News Sept/Oct 03
Chance Donald 'Swaptions & Options' J. of Risk Spring 2003
Chance Donald, Raman Kumar, Don Rich 'Dividend Forecast Biases in Index Option
Valuation' Review of Derivatives Research V4 #3 2000
Chance Donald, Raman Kumar, Don Rich 'European Option Pricing with Discrete Stochastic
Dividends' J. of Derivatives Spring 2002
Chang Chuang-Chang, Chueh-Yung Tsao 'An Accurate & Efficient Method for Pricing Asian
Options' 1/03 <option-Asian>
Chang Chuang-Chang, San-Lin Chung 'Pricing Asian-Style Interest Rate Swaps' J. of
Derivatives Summer 02 <swaps>
Chang Chuang-Chang, San-Lin Chung, Mark Shackleton 'Pricing Options with American-
Style Average Reset Features' QF 6/04 <option-Asian>
Chang Chuang-Chang, San-Lin Chung, Richard Stepleton 'Richardson Extrapolation
Techniques for Pricing American-Style Options' 3/02 <option-American>
Chang Fwu-Ranq 'Stochastic Optimization in Continuous Time' Cambridge Press
Chang I., D. Stauffer, R. Pandey 'Asymmetries, Correlations & fat Tails in Percolation
Market Model' Inter. J. Theor. & Applied Finance 9/02
Chang Yongsung, Sun-Bin Kim 'On the Aggregate Labor Supply' FRB Richmond Econ. Quart.
Winter 05
Chapman David, Neil Pearson 'Recent Advances in Estimating Term-Structure Models' FAJ
July/Aug 01 <term structure>
Chaput J. Scott, Louis Ederington 'VERTICAL SPREAD DESIGN'J. of Derivatives Spring 05
Chaput Scott, H. Ederington 'Option Spread & Combination Trading' J. Derivatives
Summer 03 <option-pricing>
Charalambides 'Enumerative Combinatorics' 2002 Chapman & Hall/CRC Pub.
Charella Carl, Voker Boehm 'MEAN VARIANCE PREFERENCES, EXPECTATIONS FORMATION, AND THE
DYNAMICS OF RANDOM ASSET PRICES' Mathematical Finance vol 15, #1 1/05
Chari Anusha, Peter Henry 'Risk Sharing and Asset Prices: Evidence from a Natural
Experiment' JofF 6/04
Chari V., Ravi Jagannathan 'The Simple Analytics of Commodity Futures Markets:Do They
Stabilize Prices? Do They Raise Welfare?' FRB Minn 1990
Charlier Erwin 'Quantifying the Refinance Incentive & Losses from Prepayments' J.
Fixed Income 6/2001
Charpin Francoise, Dominique Lacaze 'LONG-SHORT STRATEGIES: AN EXTENSION' IJT&AF 2/04
Charpin Francoise, Dominique Lacaze 'THE CHARPIN-LACAZE RESPONSE TO C. C. Y. KWAN'S
PAPER "LONG-SHORT PORTFOLIO MODELING: CRITIQUE AND EXTENSION" 'IJT&AF 2/04
Charpin Francoise, Dominique Lacaze 'The Efficient Frontier of Long-Short Portfolios'
Inter. J. Theoretical & App. Finance 11/02
Chatrath Arjun, Rohan Christie-David 'Futures Expiration, Contract Switching, and
Price Discovery' J. Derivatives Fall 04
Chatrath Arjun, Rohan Christie-David, William T. Moore ‘The Macroeconomic News Cycle
and Uncertainty Resolution’ JofB tobe 2005-2006
Chattopadhyay Raghabendra, Esther Duflo 'Women as Policy Makers: Evidence from a
Randomized Policy Experiment in India 'Econometrica 9/04
Chaudhary Sharad, Laurent Gauthier 'Jumbo Hybrid ARM Securities:Comprehensive
Introduction' J. Fixed Income March 02
Chaudhry M., S. Zubair 'On a Class of Incomplete Gamma Functions with Applications'
Chapman/CRC 2002
Chaudhury Mo 'Upper Bounds for American Options' 3/03 <options-American>
Chaumont Loic, Marc Yor 'Exericses in Probability: A Guided Tour From Measure Theory
to Random Processes via Conditioning' Cambridge Press 03
Chavas Jean-Paul 'Risk Analysis in Theory & Practice' Elsevier Press 2004
Chazal Marie, Elyes Jouini 'Good-deal equilibrium pricing bounds on option prices'
Bachelier Conference 2004
Chazal Marie, Elyes Jouini 'Production Planning and Inventory Investment for a
Monopolistic Firm' Bachelier conference 2002
Che Yeon-Koo, Jozsef Sakovics 'A Dynamic Theory of Holdup ' Econometrica 7/04
Chebanier Alain, David Beaglehole 'Mean-Reverting Smiles'<commodity, oil> RISK 4/02
Chekhlov Alexei, Stanislav Uryasev, Michael Zabarankin 'DRAWDOWN MEASURE IN PORTFOLIO
OPTIMIZATION' IJT&AF 1/05
Chekhlov Alexei, Stanislav Uryasev, Michael Zabarankin 'Drawdown Measure in Portfolio
Optimization' Bachelier Conference 2004
Chen Honghui, Gregory Noronha, Vijay Singal 'The Price Response to S&P 500 Index
Additions and Deletions: Evidence of Asymmetry and a New Explanation' JofF 8/04
Chen Honghui, Vijay Singal 'Role of Speculative Short Sales in Price Formation: The
Case of the Weekend Effect' JofF 4/03
Chen Hsuan-Chi, David Chen, San-Lin Chung 'The Accuracy & Efficiency of Alternative
Option Pricing Approaches Relative to a Log-Transformed Trinomial Model' J.
Futures Markets 6/02 <option-numeric> <finite difference, Gauss-Hermite>
Chen J., M.C. Fu 'Efficient Sensitivity Analysis of Mortgage Backed Securities' 12th
Annual Derivatives Conf. NY 2002
Chen Li, Damir Filipovic 'A simple model for credit migration and spread curves' F&S
4/05

Chen Li, Damir Filipovic, H. Vincent Poor 'Mixed Default Modeling' RISK 11/05
Chen Li, Damir Filipovic, H. Vincent Poor 'On Modeling Firm-Specific Correlations
between Bonds and Stocks' Bachelier Conference 2004
Chen Li, Damir Filipovic, H. Vincent Poor 'QUADRATIC TERM STRUCTURE MODELS FOR RISK-
FREE AND DEFAULTABLE RATES'MF 10/04
Chen Mark 'Executive Option Repricing, Incentives, and Retention' JofF 6/04
Chen R.R., Larry Scott 'Stochastic Volatility & Jumps in Interest Rates:Empirical
Analysis ' 2201 Rutgers & Morgan Stanley
Chen Ren-Raw, Jing-Zhi Huang 'A Note on Forward Price & Forward Measure' R.
Quant.Finance & Accounting Nov 02 <martingale>
Chen Ren-Raw, Jing-zhi Huang 'Credit Spread Bounds & their Implications for Credit
Risk Modeling' 6/01 <credit risk><negative default rates>
Chen Ren-Raw, Oded Palmon 'An Empirical-Distribution-Based Option Pricing Model:A
Solution to the Volatility Smile Puzzle' 2/20 <volatility>
Chen Ren-Raw, San-Lin Chung, Tyler Yang 'An Easy Derivatives Pricing Algorithm under a
Dynamically Complete Multi-Asset Economy' <option-numeric> 11/00<binomial, k
assets,carbon lattice>
Chen Ren-Raw, San-Lin Chung, Tyler Yang 'Option Pricing Multi-Asset, Complete Market
Economy' JF&QA 12/02
Chen Ren-Raw, Shih-Kuo Yeh 'Analytical Upper Bounds for American Option Prices' JF&QA
3/02 <option-American>
Chen S., A.-P. Chen, C. Chang 'Hedging and Arbitrage Warrants under Smile Effects:
Analysis and Evidence' Intern. J. Theor.App. Finance 10/01
Chen Shuling 'Australian Yield Curves and GARCH Modelling' Bachelier Conference 2004
Chen Songnian 'Rank Estimation of Transformation Models' Econometrica 7/02
Chen W., M. Tanaka 'A Meshless, Integration-Free & Boundary-Only RBF Technique'
Computers & Math. with Applic. 2002 <PDE>
Chen X., J. Chadam, L. Jiang, W. Zheng 'Convexity of Exercise Boundary of American Put
Option for No Dividend Asset' 2003
Chen X., J. Chadam, R. Stamicar 'The Optimal Exercise Boundar for American Put
Options:Analytic & Numerical Approximation' 2000
Chen Xiaohong, Oliver Linton, Ingrid Van Keilegom 'Estimation of Semiparametric Models
when the Criterion Function Is Not Smooth' Econometrica 9/03
Chen Ying, Wolfgang Hardle, Seok-Oh Jeong 'Nonparametric Risk Management with
Generalized Hyperbolic Distributions'<slides> <Risk>
Chen Zenging, Larry Epstein ' Ambiguity, Risk & Asset Returns in Continuous Time'
Econometrica 7/02
Cheney Margaret 'Synthetic Aperture Radar' SIAM News May 02
Cheng A. H.-D., M.A. Golberg, E.J. Kansa, G. Zammito 'Exponential Convergence & H -c
Multiguadric Collocation Method for Partial Differential Equations' Numer.
method PDE 2003
Cheng I-Hui, Howard Wall 'Controlling for Hetergeneity in Gravity Models of Trade &
Integration' St. Louis Review Jan/Feb.05
Cheng Peng, Olivier Scaillet 'Linear-Quadratic Jump-Diffusion Modelling with
Application to Stochastic Volatility' <volatility> 11/02
Cheng R., A.G. Miamee, M. Pourahmadi 'Regularity and Minimality of Infinite Variance
Processes ' 10/2000 J. Theor. Prob.
Cheng R.C.H. 'Generation of Inverse Gaussian Variates withGiven Sample Mean &
Dispersion' Appl. Statistics J. Royal Stat. 85
Cheng R.C.H. 'Generation of Multivariate Normal Samples with Given Sample Mean &
Covariance Matrix' J. Stats.Computation & Simulation 85
Cheng R.C.H., G. Feast 'Control Variables with Known Mean & Variance' J. of the O.R.
Society 1980
Cheng R.C.H., G. Feast 'Gamma Variate Generators with Increased Shape Parameter
Range' Comm of ACM 80
Cheng S. 'Partial Difference Equations' CRC Press 2003 <Reviewed SIAM News 3/05>
Cheng Sum Weng, Jackie Johnson 'Holidays and Trading and Return Patterns of Australian
SPI Futures'J. of Derivatives Summer 02
Cheng Wai-Yan 'Recent Advances in Default Swap Valuation' J. of Derivatives Fall 01
Cherian Joseph, Eric Jacquier, Robert Jarrow 'A Model of the Convenience Yields in On-
the-Run Treasuries'R. Driv. Research 2004
Cheridito Patrick 'Gaussian Moving Averages, Semimartingales & Option Pricing' SP&A
2003 <option-pricing>
Chernov Mikhail 'Empirical Reverse Engineering of the Pricing Kernel' J. Econometric
Aug 2003
Chernov Mikhail, A. Ronald Gallant, Eric Ghysels, George Tauchen 'Alternative Models
for Stock Price Dynamics' J. Econometrics 8/03 ,6/02 <volatility><stochastic
volatility,jump>
Chernov Mikhail, Eric Ghysels 'A Study Towards a Unified Approach to the Joint
Estimation of Objective and Risk Neutral Measures of the Purpose of Option
Valuation' JFE 6/2000 <term structure><Heston>
Chernov Mikhail, Eric Ghysels 'Estimation of Stochastic Volatility Models for the
Purpose of Option Pricing' <volatility>
Chernov Mikhail, Eric Ghysels 'What Data Should be Used to Price Options?' 6/98
<volatility><Heston, stochastic>
Chernozhukov Victor, Christian Hansen 'An IV Model of Quantile Treatment Effects'
Econometrica 1/05
Chernozhukov Victor, Han Hong 'Likelihood Estimation and Inference in a Class of
Nonregular Econometric Models 'Econometrica 9/04
Cherny Alexander 'Families of Consistent Probability Measures' Theory of Probability
and It's Applications V46 #1 2001
Cherny Alexander 'General arbitrage pricing model: probability and possibility
approaches' Bachelier Conference 2004
Cherny Alexander 'No-Arbitrage & Completeness for the Linear & Exponential Models
Based on Levy Processes' U. Aarhus 2001
Cherny Alexander 'On the Uniqueness in Law and the Pathwise Uniqueness for Stochastic
Differential Equations ' Theory Prob. & its Application'v 46
Cherny Alexander, Albert Shiryaev 'Improper Stochastic Integrals in the Fundamental
Theorems of Asset Pricing' Bachelier conference 2002
Cherubini Umberto 'Pricing Swap Credit Risk with Copulas' Bachelier Conference 2004
Cherubini Umberto, Elisa Luciano 'Bivariate Option Pricing with Couplas' App. Math.
Finance 6/02
Cherubini Umberto, Elisa Luciano 'Copula Vulnerability' RISK 10/02 <risk management>
Cherubini Umberto, Elisa Luciano 'Multivariate Option Pricing with Copulas' <option-
pricing> 9/2000
Cherubini Umberto, Elisa Luciano 'Pricing Vulnerable Options with Copulas' 4/01
<option-pricing><counterparty risk>
Cherubini Umberto, Elisa Luciano, Walter Vecchiato 'Coupla Methods in Finance' Wiley
04
Cherubini Umberto, Giovanni Della Lunga 'Liquidity & Credit Risk' Appl. Math Finance
6/01
Chesher Andrew 'Identification in Nonseparable Models' Econometrica 9/03
Chesney Marc 'A Simple Method for the Valuation of American Options in a Jump
Diffusion Setting' 12/95 <option-American>
Chesney Marc, Monique Jeanblanc 'Pricing American Currency Options in a Jump Diffusion
Model' 7/03
Chesney Marc, Monique Jeanblanc 'Pricing American Currency Options in an Exponential
Lévy model'App. Math. Fin. 9/04
Chesney Marc, Rajna Gibson-Asner 'Reducing Asset Substitution with Warrant &
Convertible Debt Issue' J. of Derivatives Fall 01
Cheswick Bill 'Origins of the Internet Map' SIAM News 5/04
Cheung Terry 'A Stochastic Process for Stock Prices with Under- and Overreactions &
its Appliction to Option Valuation' Arthur Andersen LLP NY 5/01
Chevalier Etienne ‘CRITICAL PRICE NEAR MATURITY FOR AN AMERICAN OPTION ON A DIVIDEND-
PAYING STOCK IN A LOCAL VOLATILITY MODEL’
Chevalier Etienne 'Free boundary near the maturity for an American option on several
assets' Bachelier Conference 2004
Chevalley Claude 'Theory of Lie Groups' 2000 Princeton Press
Cheyette Oren 'Interest Rate Models' in Advances in Fixed Income Valuation, Modeling
and Risk' ed F. Fabozzi 97 <term structure>
Cheyette Oren 'The New Cosmos--U.S. Valuation Algorithms' BARRA <interest rate> <CIR,
mean reverting gaussian>
Cheyette Oren, Tim Tomaich 'Empirical Credit Risk' 7/03 <credit risk>
Chiarella Carl, Andrew Ziogas 'Evaluation of American Strangles' JED&C 2004 <option-
American><McKean Free Boundary,early knockout,Fourier>
Chiarella Carl, Andrew Ziogas Evaluation of American strangles' JED&C 1/05 <McKean
free boundary, fourier transform coupled integral>
Chiarella Carl, Erik Schlogl, Christina Nikitipoulos Sklibosios 'A Markovian
Defaultable Term Structure Model with State Dependent Volatilities' SSRN 2004
Chiarella Carl, Mark Craddock, Nadima El-Hassan 'An Implementation of Bouchouev's
Method for a Short Time Calibration of Option Pricing Models' Comp Econ 12/03
<option-pricing>
Chiarella Carl, Oh Kang Kown 'State Variables & the Affine Nature of Markovian HJM
Term Structure Models' 5/01 U. Sydney <term structure>
Chiarella Carl, Oh Kang Kwon 'A Class of Heath-Jarrow-Morton Term Structure Models
with Stochastic Volatility' <term structure><HJM, bond option> 11/99
Chiarella Carl, Oh Kang Kwon 'Finite Dimensional Affine Realisations of HJM Models in
Terms of Forward Rates and Yields'Review of Derivatives Research 2003 <seems
same as 2001 'A Class...'
Chiarella Carl, Oh Kang Kwon 'Forward Rate Dependent Markovian Transformations of the
Heath-Jarrow-Morton Term Structure Model' Finance and Stochastics V5 #2 2001 ,
1/99 <term structure>
Chiarella Carl, Roberto Dieci, Laura Gardini 'The Dynamic Interaction of Speculation
and Diversification' Applied Math. Finance 3/05
Chiarella Carl, Sara Pasquali, Wolfgang Runggaldier' On Filtering in Markovian Term
Structure Models: an Approximation Approach' Advances in Applied Probability
2001 , 9/01 <term structure>
Chin Elion, Andreas Weigend, Hans Zimmermann 'Computing Portfolio Risk Using Gaussian
Mixtures and Independent Component Analysis' Proceedings of the 1999
IEEE/IAFE/INFORMS Conf. on Computational Intelligence for Financial Engineering
(CIFEr'99) <portfolio> <ICA>
Chintagunta Pradeep, Vrinda Kadiyali, Naufel J. Vilcassim ‘Endogeneity and
Simultaneity in Competitive Pricing and Advertising: A Logit Demand Analysis’
JofB 11/06
Chiodo Abbigail , Michael Owyang 'A Case Study of a Currency Crisis:The Russian
Default of 1998'FRB St.Louis Review Nov/Dec 02
Chiodo Abbigail, Massimo Guidolin, Michael Owyang, Makoto Shimoji 'Subjective
Probabilities:Psychological Theories & Economic Applications' FRB St. Louis
Review Jan/Feb 04
Chiu Kai-Chun, Lei Xu 'NFA FOR FACTOR NUMBER DETERMINATION IN APT'IJT&AF 5/04
Chiyachantana Chiraphol, Pankaj Jain, Christine Jiang, Robert Wood 'International
Evidence on Institutional Trading Behavior and Price Impact' JofF 4/04
Cho Kyung-Ha 'Continuous Auctions and Insider Trading: Uniqueness and Risk Aversion '
Finance and Stochastics 2003
Cho N., Y. Kwon 'Limit of Solutions of a SDE with a Large Drift Driven by a Poisson
Random Measure ' 4/2000 J. Theor. Prob.
Choi Changsun, Dougu Nam 'Interpolation for partly hidden diffusion processes' SP&A
10/04
Choi Seungmook, Mel Jameson 'Lookback Option Valuation:A Simplified Approach' J.
Derivatives Winter 2003
Choi Seungmook, Michael Marcozzi 'A Numerical Approach to American Currency Option
Valuation' J. of Deriv. Winter 01 <options-American>
Choi Seungmook, Michael Marcozzi 'On the Valuation of Foreign Currency Options under
Stochastic Interest Rates' U. Nevada 2000 <option-FX><optimal stopping,
American, Euro, variational inequality>
Choi Yoon ‘Relative Portfolio Performance Evaluation and Incentive Structure’ JofB
5/06
Chojnowska-Michalik Anna, Beniamin Goldys 'Symmetric Ornstein-Uhlenbeck Semigroups &
their Generators' <stochastics> 2001
Chordia Tarun, Asani Sarkar, Avanidhar Subrahmanyam 'An Empirical Analysis of Stock
and Bond Market Liquidity' RFS Spring 2005
Chordia Tarun, Lakshmanan Shivakumar 'Momentum, Business Cycle & Time-varying Expected
Returns' JofF 4/02
Chordia Tarun, Richard Roll, Avanidhar Subrahmayam 'Market Liquidity and Trading
Activity' JofF 4/2001
Chou Andrew, Galin Georgiev 'A Uniform Approach to Static Replication' 7/97 <hedging>
Chou C-S. 'Characterization d'une Classe de Semimartingales' Lecutre Notes in Math 79
Choudhry Moorad 'Capital Market Instruments:Analysis & Valuation' Prentice Hall 2002
Choudhry Moorad 'Fixed Income Markets: Instruments, Applications & Mathematics' Wiley
2004
Choudhry Moorad 'The Bond and Money Markets:Strategy, Trading, Analysis' Butterworth
Heinemann' 2001
Choulli Tahir, Christophe Stricker ‘MINIMAL ENTROPYHELLINGER MARTINGALE MEASURE IN
INCOMPLETE MARKETS’
Chourdakis Kyriakos 'Continuous Time Regime Switching Models & Applications in
Estimating Processes with Stochastic Volatility & Jumps' 10/02
Chourdakis Kyriakos 'Non-Affine Option Pricing' J. Derivatives Spring 04 <option-
pricing><stochastic volatility, jumps>
Chourdakis Kyriakos 'Option pricing using the fractional FFT' J. Comp. Finance Winter
04/05 , 2004 <option-numeric>
Chourdakis Kyriakos 'Stochastic Volatility & Jumps Driven by Continuous Time Markov
Chains' 12/2000 <volatility> <GMM,ML>
Chourdakis Kyriakos, Elias Tzavalis 'Option Pricing under Discrete Shifts in Stock
Returns' 12/00
Chow Y., H. Robbins, D. Siegmund 'Great Expectations:The Theory of Optimal Stopping'
Houghton Miffin 1971
Choy Bruce, Tim Dun, Erik Schlogl 'Correlating Market Models' RISK 9/04 ,<term
structure><BGM,Swaption,Cap,Bermuda> 4/03
Chretien Laurent, Francois Quittard-Pinon 'Term Structure of Interest Rates & the
Pricing of Financial Contracts with Barriers' U. Claude Bernard of Lyon 1, U.
Rennes 1 12/00 <term structure>
Christensen Bent Jesper, Nagpurnanand Prabhala 'Relation Between Implied & Realized
Volatility' JFE 1998
Christensen Bent Jesper, Nicholas Kiefer 'Simulated Momeent Methods for Empirical
Equivalent Martingale Measures' 11/95 Preliminary <martingale>
Christensen Bent Jesper, Peter Raahauge 'Latent utility shocks in a structural
empirical asset pricing model' CAF 12/04
Christensen Bent Jesper, Rolf Poulsen 'Monte Carlo Improvement of Estimates of the
Mean-Reverting Constant Elasticity of Variance Interest Rate Diffusion' 5/01
<interest rate> <CEV>
Christiansen Charlotte 'Multivariate term structure models with level and
heteroskedasticity effects' J. Banking & Finance 5/05
Christiansen Charlotte, Charoltte Strunk Hansen 'Implied Volatility of Interest Rate
Options:An Empirical Investigation of the Market Model' R. Derivatives Research
V5 2002
Christie William, Shane Corwin, Jeffrey Harris 'Nasdaq Trading Halts: The Impact of
Market Mechanisms on Prices, Trading Activity, and Execution Costs' JofF 6/02
Christoffersen Peter 'Elements of Financial Risk Management' Elsevier 7/03
Christoffersen Peter, Kris Jacobs 'The Importance of the Loss Function in Option
Valuation'8/02
Christoffersen Peter, Kris Jacobs 'Which GARCH Model for Option Valuation?' MS 9/04
Christoffersen Peter, Kris Jacobs, Yintian Wang 'Option Valuation with Long-run and
Short-run Volatility Components' 2/05 SSRN
Christoffersen Peter, Steve Heston, Kris Jacobs 'Option Valuation with Conditional
Skewness'7/04 <volatility><S&P 500, GARCH, Jump, Stochastic Volatility>
Christoffersen Susan 'Why Do Money Fund Managers Voluntarily Waive Their Fees? JofF
6/2001
Christoffersen Susan, David K. Musto 'Demand Curves and the Pricing of Money
Management ' RFS Winter 02
Christopeit Norbert 'A Note on the Pricing of American Options' Theory Prob.& App. v
48 #1 3/03 <option-American>
Christophe Stephen, Michael Ferri, James Angel 'Short-Selling Prior to Earnings
Announcements' JofF 8/04
Chu Chi Chiu, Yue Kuen Kwok 'Reset and Withdrawal Rights of Dynamic Fund Protection'
Bachelier Conference 2004
Chu Chi Khiu, Yue Kuen Kowk 'No-Arbitrage Approach to Pricing Credit Spread
Derivatives' J. Derivatives Spring 2003
Chu Quentin, Deborah Pittman 'Information Content of Maturing TIIS' J. Fixed Income
3/04
Chue Timothy ‘Conditional Market Co- Movements, Welfare, and Contagions: The Role of
Time-Varying Risk Aversion’ JofB 5/05
Chueshov Igor, Jinqiao Duan, Rjorn Schmalfuss 'Determining Functionals for Random
Partial Differential Equations' IMA 3/01 <PDE> <infinite dimensional,converge>
Chung Kai Lai 'Green, Brown & Probability & Brownian Motion on the Line'<Green
functions> 2001 World Scientific
Chung Kai Lai, Ruth Williams 'A Course in Probability Theory' Academic Press
Chung Kai Lai, Ruth Williams 'Introduction to Stochastic Integration' Birkhauser 1990
Chung Kee, Bonnie Van Ness, Rober Van Ness 'Can the Treatment of Limit Orders
Reconcile the Difference in Trading Costs between NYSE & Nasdaq Issues?' JF&QA
6/2001
Chung Kim-Sau, Jeffrey Ely 'Implementation with Near-Complete Information
'Econometrica May 03
Chung San-Lin 'Pricing American Options on Foreign Assets in a Stochastic Interest
Rate Economy' JF&QA 12/02
Chung San-Lin, Mark Shackleton 'On the errors and comparison of Vega estimation
methods' J. Futures Markets 1/05
Chung Y. Peter, Herb Johnson, Michael J. Schill ‘Asset Pricing When Returns Are
Nonnormal: Fama-French Factors and Higher-Order Systematic Co-movements’ JofB
5/06
Chunhachinda P.,K. Dandapani, S. Hamid, A. Prakash 'Portfolio Selection & Skewness:
Evidence from International Stock markets' J. Bank. & Finance 97
Cincibuch Martin 'Distributions Implied by American Currency Futures Options: A
Ghost's Smile?' JFM 2/04
Cinlar Erhan 'Hunt Semi-Martingales as Models for Asset Prices' Handbook Math.
Financed (ed. D. Madan)
Cipra Barry 'A Healthy Heart is a Fractal Heart' SIAM News 9/03
Cipra Barry 'Elliptic Curve Cryptography--Good Enough for Government Work' SIAM News
10/02
Cipra Barry 'Fighting Fire with Data' SIAM News July/Aug 04
Cipra Barry 'Life in the Balance' <balancing skills, adaptation, truncated Levy
flight>SIAM News 10/04
Cipra Barry 'OR Successes Run the Gamut, From Concrete to Kidneys' SIAM News 6/04
Cipra Barry 'Political Calculus' <apportionment, elections> SIAM Review 6/2001
Cipra Barry 'Safe Against Cycling:Researchers Confirm Invulnerability of RSA
Cryptosystem' SIAM News 3/2001
Cipra Barry 'Shhhh---Quantum Computer at Work' SIAM Review 6/2001
Cipra Barry 'Some People Just Know How to Optimize' <transportation booking> SIAM News
5/03
Cipra Barry 'Stirs, Start, Bugs and Bounces at SIAM Dynamical Systems Conference' SIAM
News July/Aug 2001
Cipra Barry 'Sublinear Computing:When Ignorance is Bliss' SIAM News 4/04
Cipra Barry 'Take Two Algorithms & Call Me in the Morning:Mathematical Medicine at
SIAM 50' SIAM New Sept. 02
Cipra Barry 'Terable Time for Supercomputing' SIAM News 3/03

Cipra Barry 'Tossed Coins & Troubled Marriages' <Diaconis> SIAM News 5/04
Cipra Barry 'Venn Meets Boole in Symmetric Proof' SIAM News Jan/Feb 04
Cizek Pavel, Wofgang Hardle, Rafal Weron 'Statistical Toos for Finance & Insurance'
2005 Springer
Claessens Stijn, Luc Laeven 'Financial Development, Property Rights, and Growth'
Taxation' JofF 12/03
Claessens Stijn, Simeon Djankov, Joseph Fan, Larry Lang ' Disentangling the Incentive
and Entrenchment Effects of Large Shareholdings'JofF 12/02
Clarida Richard, Lucio Sarno, Mark P. Taylor, Giorgio Valente ‘The Role of Asymmetries
and Regime Shifts in the Term Structure of Interest Rates’ JofB 5/06
Clark Ephraim 'Soverign Debt Default Risk:Quantifying the (Un)Willingness to Pay'
Wilmott Magazine 5/03
Clark Iain 'Feasible Volatility Smiles and their Implied Probability Distributions for
Asset Prices' Bachelier conference 2002
Clarke Jonathan, Craig Dunbar, Kathleen Kahle 'Long-Run Performance & Insider Trading
in Compled & Canceled Seasoned Equity Offerings' JF&QA 12/01
Clarke N. 'Numerical Solutions of Financial Derivatives' PhD Oxford 98
Claus James, Jacob Thomas 'Equity Premia as Low as Three Percent? Evidence from
Analysts' Earnings Forecasts for Domestic and International Stock Markets' JofF
10/01
Clayton Matthew, Bjorn N. Jorgensen ‘Cross Holding and Imperfect Product Markets’ JofB
7/05
Clayton Matthew, S. Abraham Ravid 'The Effect of Leverage on Bidding Behavior: Theory
and Evidence from the FCC Auctions ' RFS Summer 02
Clement Emmanuelle, Damien Lamberton, Philip Protter 'An Analysis of the Longstaff-
Schwartz Algorithm for American Option Pricing' Finance & Stochastics 10/02
<option-American>
Clement Michael, Senyo Tse 'Financial Analyst Characteristics and Herding Behavior in
Forecasting' JofF 2/05
Cleveland William, E. Gross, W. Shyu 'Local Regression Models' in Cambers & Hastie
(ed) 'Statistical Models' Chapman & Hall 1993 <LOESS>
Clewlow Les, Chris Strickland 'Energy Derivatives:Pricing & Risk Management' book
Cliff Michael, David Denis 'Do Initial Public Offering Firms Purchase Analyst Coverage
with Underpricing?' JofF 12/04
Cochrane John 'Asset Pricing' Princeton revised edition 12/04
Cochrane John 'Long Term Debt & Optimal Policy in the Fiscal Theory of the Price
Level' Econometrica 1/2001
Cochrane John, Monika Piazzesi 'Bond Risk Premia'NBER 2002
Cockburn Bernardo, C-Wang Shu 'Runge-Kutta Discontinuous Galerkin Methods for
Convection-Dominated Problems' IMA 10/2001 <PDE>
Coffman E., C. Courcoubetis, M. Garey, D. Johnson, P. Shar, R. Weber, M. Yannakakis
'Perfect Packing Theorems & the Average-Case Behavior of Optimal & Online Bin
Packing' SIAM News 3/02
Cohen A., Ingrid Daubechies, J. Feauveau 'Biorthogonal Bases of Compactly Supported
Wavelets' Com.Pure App.Math 92
Cohen A., S. Kaber, S. Muller, M. Postel 'Accurate Adapative Multiresolution Scheme
for Scalar Conservation Laws' LAM U. Paris 2000
Cohen Jason, Robert Jarrow, Tiberiu Tomita 'Markov Modeling in the Heath, Jarrow,
Morton Term Structure Framework' 6/2000 <term structure>
Cohen Randolph, Christopher Polk, Tuomo Vuolteeaho 'The Value Spread' JofF 4/03
Cohen Randolph, Joshua Coval, Lubos Pastor 'Judging Fund Managers by the Company They
Keep' JofF 6/05
Coleman Matthew 'An Introductionto Partial Differential Equations with MATLAB' 2004
CRC Press
Coleman Thomas 'Dynamic Hedging with a Deterministic Local Volatility Function Model'
10/2000 <volatility>
Coleman Thomas, Yohan Kim, Yuying Li, Arun Verma 'Dynamic Hedging with a Deterministic
Local Volatility Function Model' J. of Risk Fall 2001 <volatility>
Coleman Thomas, Yuying Li, Arun Verma 'A Newton Method for American Option Pricing' J.
Comp. Finance Spring 02<option-American><early exericse, linear complementary>
Coleman Thomas, Yuying Li, Maria-Chistina Patron 'Discrete Hedging under Piecewise
Risk Minimization' J. of Risk Spring 2003
Coles Jeffrey, Chun-Keung Hoi 'New Evidence on the Market for Directors: Board
Membership and Pennsylvania Senate Bill 1310' JofF 2/03
Collin-Dufresne Pierre 'Generalizing the Affine Framework to HJM & Random Field
Models'Columbia App. Prob. Conference 2002
Collin-Dufresne Pierre, Bruno Solnik 'On the Term Structure of Default Premia in the
Swap & LIBOR Markets' JofF 6/2001
Collin-Dufresne Pierre, Robert Goldstein '"True" Stochastic Volatility & a Genearlized
Class of Affine Models' 6/2000 <volatility><HJM>
Collin-Dufresne Pierre, Robert Goldstein 'Closed Form Option Pricing in Generalized
Affine HJM Models of the Term Structure' CMU 2001
Collin-Dufresne Pierre, Robert Goldstein 'Do Bonds Span the Fixed Income Markets?
Theory and Evidence for Unspanned Stochastic Volatility' JofF 8/02
Collin-Dufresne Pierre, Robert Goldstein 'Do Credit Spreads Reflect Stationary
Leverage Ratios?'JofF 10/01
Collin-Dufresne Pierre, Robert Goldstein 'Genralizing the Affine Framework to HJM &
Random Field Models' 5/03 <term structure>
Collin-Dufresne Pierre, Robert Goldstein 'Pricing Swaptions within the Affine
Framework'J. of Derivatives Fall 02 , <term structure> 5/01
Collin-Dufresne Pierre, Robert Goldstein 'Stochastic Correlation & the Relative
Pricing of Caps & Swaptions in a Generalized-Afffine Framework' 9/01 <caps>
Collin-Dufresne Pierre, Robert Goldstein, Christoper Jones 'Identification &
Estimation of "Maximula" Affine Term Structure Models:An Application to
Stochastic Volatility' 5/03 <term structure>
Collin-Dufresne Pierre, Robert Goldstein, J. Spencer Martin 'The Determinates of
Credit Spread Changes' JofF 12/01
Collin-Dufresne Pierre, Robert Goldstein, Julien Hugonnier 'A General Formula for
Valuing Defaultable Securities' Econometrica 9/04
Collin-Fufresne Pierre, Robert Goldstein, Julien Hugonnier 'A General Formula for
Valuing Defaultable Securities' Econometrica 9/04
Comer George ‘Hybrid Mutual Funds and Market Timing Performance’ JofB 3/06
Compte Oliver, Philippe Jehiel 'On the Role of Outside Options in Bargaining with
Obstinate Parties' Econometrica 7/02
Compte Oliver, Philippe Jehiel 'On the Value of Competition in Procurement Auctions'
Econometrica Jan 02
Comte Fabienne, Eric Renault 'Long Memory in Continuous Time Models' J. Econometrics
Comtet A., C. Monthus 'Diffusion in a One-Dimensional Random Medium & Hyperbolic
Brownian Motion' J. of Physics 96
Comtet A., C. Monthus, Marc Yor 'Exponential Functionals of Brownian Motion &
disordered Systems' J. App. Prob. 98
Comtet M. 'Advanced Combinatorics' Reidel Dordrecht 74
Coney R.A., R.A. Maller 'Moments Passage Times for Levy Processes' Ann. de l'Inst. H.
Poincare 2004
Conlon John 'Simple Finite Horizon Bubbles Robust to Higher Order Knowledge
'Econometrica 5/04
Connes A. 'Noncommutative Geometry' Academic 94
Connolly Kevin 'Convertible Bond Pricing' Wiley 1998

Connolly Robert, Chris Stivers 'Momentum and Reversals in Equity-Index Returns During
Periods of Abnormal Turnover and Return Dispersion' JofF 8/03
Connor G., Robert Korajczyk (editor) 'Handbook of Investment:Asset Pricing' Elsevier
Press
Conover Mitchell, Gerald Jensen ‘The Relationship between the Value Effect and
Industry Affiliation’ JofB tobe 2005-2006
Conrad Jennifer, Bradford Cornell, Wayne Landsman 'When Is Bad News Really Bad
News?'JofF 12/02
Conrad Jennifer, K. Johnson, S. Wahal 'Institutional Trading & Soft Dollars' JofF
2/2001
Consigli Giorgio, 'Tail estimation and mean--VaR portfolio selection in markets
subject to financial instability' Journal Of Banking And Finance (26)7 (2002)
Constantinides George 'Rational Asset Prices' JofF 8/02
Constantinides George, J. Donaldson 'Junior must pay: pricing the implicit put in
privatizing Social Security' Annals of Finance Jan 05
Constantinides George, Stylianos Perrakis 'Stochastic Dominance Bounds on Derivative
Prices in a Multiperiod Economy with Proportional Transaction Costs' 4/02 ,
<transaction> 8/2000
Cont Rama 'Model Uncertainity & its Impact on the Pricing of Derivative Instruments'
SSRN 2004
Cont Rama 'Stochastic PDEs & Term Structure Deformations' 1998
Cont Rama, Ekaterina Voltchkova 'A Finite Difference Scheme for Option Pricing in Jump
Diffusion & Exponential Levy Models' 9/03 <option-numeric> <integro-
differential, parabolic,viscosity>
Cont Rama, Ekaterina Voltchkova 'Integro-Differential Equations for Option Prices in
Exponential Levy Models' <option-pricing> <European, Barrier, Viscosity> 2003
Cont Rama, Jose da Fonseca 'Deformation of Implied Volatility Surfaces: An Empirical
Analysis' 2001 <volatility>
Cont Rama, Jose da Fonseca 'Dynamic Modeling of Implied Volatilities:Quantifying &
Hedging Volatility Risk' Centre de Mat. Appli, Ecole Polytech 2001
Cont Rama, Jose da Fonseca 'Dynamics of Implied Volatility Surfaces' Quant.Finance
2/02 , <volatility> 12/01
Cont Rama, Jose da Fonseca, Valdo Durrleman 'Stochastic Models of Implied Volatility
Surfaces' 2002 <volatility>
Cont Rama, P. Tankov 'Non-Parametric Calibration of Jump-Diffusion Option Pricing
Models'J. Comp. Finance Spring 04
Cont Rama, Peter Tankov 'Calibration of Jump-Diffusion Option-Pricing Models:a Robust
Non-Parametric Approach' <option-pricing><Levy, entropy> 9/02
Cont Rama, Peter Tankov 'Financial Modelling with Jump Processes' 12/03 Chapman &
Hall/CRC <Levy>
Cont Rama, Peter Tankov, Ekaterina Voltchkova 'Option Pricing Models with
Jumps:Integro-Differential Equations & Inverse Problems' 2004 <option-
pricing><exponential Levy, European, Barrier options>
Cont Rama, Sana Ben Hamida 'Recovering Volatility from Option Prices by Evoluntionary
Optimization' SSRN 2004
Cook Stephen 'The P versus NP Problem' <Math> Clay Foundation 2002
Cooley Bryan, Paul Newton 'Iterated Impact Dynamics of N-Beads on a Ring' SIAM Review
June 05
Cooney John, Hideaki Kiyoshi Kato & James S. Schallheim 'Underwriter Certification and
Japanese Seasoned Equity Issues' RFS Fall 03
Cooper Michael , Orlin Dimkitrov, P. Raghavendra Rau 'A Rose.com by any Other Name'
JofF 12/01
Cooper Michael Cooper, Roberto Gutierrez, William Marcum ‘On the Predictability of
Stock Returns in Real Time’ JofB 3/05
Cooper Michael, Huseyin Gulen ‘Is Time-Series Based Predictability Evident in Real
Time?’ JofB 5/06
Cooper Michael, Roberto Gutierrez, Allaudeen Hameed 'Market States and Momentum' JofF
6/04
Corbae Dean, Sam Ouliaris, Peter Philips 'Band Spectral Regression with Trending Data
'Econometrica 5/02
Corbae Dean, Ted, Temzelides, Randall Wright 'Directed Matching and Monetary Exchange
'Econometrica May 03
Corcoran Patrick, Yurkio Iwai 'CMBS Loan Defaults' J. Fixed Income 12/02
Corcuera Jose, David Nualart, Wim Schoutens 'Completion of a Levy Market by Power-Jump
Assests' F&S 1/2005 ,wp 10/03 <option-pricing> <SDE>
Corcuera Jose, Peter Imkeller, Arturo Kohastsu-Higa 'Additional utility of insiders
with imperfect dynamical information' FS 8/04
Cornalla L., Jean-Philippe Bouchaud, Marc Potters 'Option Pricing & Hedging with
Temporal Correlations' Interna. J. Theor.& App. Finance 5/02 <hedging>
Cornelis A., Rossitsa Yalamova 'Multifractal Spectral Analysis of 1987 Stock Market
Crash' Bachelier Conference 2004
Cornelli Francesca, David D. Li 'Risk Arbitrage in Takeovers ' RFS Summer 02
Cornelli Francesca, David Goldreich 'Bookbuilding & Stregic Allocation' JofF 12/01
Cornelli Francesca, David Goldreich 'Bookbuilding: How Informative Is the Order Book?'
JofF 8/03
Cornett Marcia, Even Ors, Hassan Tehranian 'Bank Performance around the Introduction
of a Section 20 Subsidiary' JofF 2/02
Corr Anthony 'Finite Dimensional Representability of Forward Rate & LIBOR Models' PhD
2000 UNSW <term structure> <HJM, BGM>
Corrado Charles, Thomas W. Miller, Jr. 'Estimating Expected Excess Returns Using
Historical and Option-Implied Volatility' Journal of Financial Research,
Forthcoming 2/05 SSRN
Corwin S.,M. Lipson 'Order Flow & Liquidity around NYSE Trading Halts' discussion D.
Weaver JofF 8/2000
Corwin Shane, Jeffrey Harris, Marc Lipson 'The Development of Secondary Market
Liquidity for NYSE-Listed IPOs'JofF 10/04
Corwin Shane, Paul Schultz 'The Role of IPO Underwriting Syndicates: Pricing,
Information Production, and Underwriter Competition' JofF 2/05
Cosandey David 'Adjusting Value-at-Risk for Market Liquidity' RISK 11/01
Cosimano Thomas, Yu chen, Alex Himonas 'By Force of Habit: An Exploration of Asset
Pricing Models using Analytic Methods' Bachelier Conference 2004
Cosmao Frederic, Frederic Dupuy, Antoine Guillon 'Le Calcul de Malliavin Applique a la
Finance' Credit Lyonnais 6/02 <option-numeric>
Cossin Didier, Hugues Piratte 'Advanced Credit Risk Analysis' Wiley 2001
Cosslett Stephen 'Efficient Semiparametric Estimation of Censored and Truncated
Regressions via a Smoothed Self-Consistency Equation ' Econometrica 7/04
Costabile Massimo 'A Combinatorial Approach for Pricing Parisian Options' Bachelier
conference 2002
Costa-Gomes Miguel, Vincent Crawford, Bruno Broseta 'Connition & Behavior in Normal-
Form Games:Experimental Study' Econometrica 9/01
Cottle R., J-S. Pang, R. Stone 'The Linear Complementary Problems' Academic Press 92
Cotton Peter, Jean-Pierre Fouque, George Papanicolaou, Ronnie Sircar 'Stochastic
Volatility Corrections for Interest Rate Derivatives' MF 4/04 , 5/2000
<volatility>
Coughenour Jay, Daniel Deli 'Liquidity Provision & the Organization Form of NYSE
Specialist Firms' JofF 4/02
Coughlin Cletus 'The Controversy Over Free Trade:Gap Between Economists & General
Public' Review St. Louis FRB Jan 02
Courant R., K. Friedrichs, H. Lewy 'On the Partial Difference Equations of
Mathematical Physics' IBM Journal 67
Courtant S., V. Duttleman, C. Rapuch, T. Roncqlli 'Couplas, Multivariate Risk-Neutral
Distributions & Implied Dependence Functions' wp 2002
Courtault Jean-Michel, Freddy Delbaen, Yuri Kabanov, Christope Stricker 'On the Law of
One Price' F&S 10/04
Coval Joshua, Tyler Shumway 'Do Behavioral Biases Affect Prices?' JofF 2/05
Coval Joshua, Tyler Shumway 'Expected Option Returns' JofF 6/2001
Coval Joshua, Tyler Shumway 'Is Sound Just Noise?'JofF 10/01
Cover T.M., J.A. Thomas 'Elements of Information Theory' Wiley 1991
Coveyou R., R. MacPherson 'Fourier Analysis of Uniform Random Number Generators' J. of
ACM 1967
Cowell Frank, Maria-Pia Victoria-Fesser ' Welfare Rankings in the Presence of
Contaminated Data 'Econometrica 5/02
Cox Alexander M.G., David Hobson 'An Optimal Skorokhod Embedding for Diffusions'SP&A
5/04
Cox Alexander M.G., David Hobson 'Local Martingales, Bubbles and Option Prices'
Cox D.R., D.V. Hinkley, O.E. Barndorff-Nielsen 'Time Series Models:In Econometrics,
Finance & Other Fields' 96 CRC Press
Cox David 'Galois Theory' 2004 Wiley Press
Cox David 'Introduction to Fermat's Last Theorem'Amer. Math Monthly 94 <number theory>
Cox John 'Notes on Option Pricing I:Constant Elasticity of Variance Diffusions'
Stanford 75
Craddock Marc, Eckhard Platen 'Symmetry Group Methods for Fundamental Solutions &
Characteristic Functions' Quant. Finance Research Group U. Tech. Sydney 2/03
<numeric><Lie,PDE, Ricatti>
Craig Pirrong, Martin Jermakyan 'The Price of Power' Bachelier conference 2002
Cramer Ronald, Victor Shoup 'Design & Analysis of Practical Public-Key Encryption
Schemes Secure Against Adaptive Chosen Ciphertext Attack' SIAM J. Comput. 12/03
<cryptography><Diffie-Hellman>
Crandall M.G., Pierre-Louis Lions 'Users Guide to Viscosity Solutions of Second Order
Partial Differential Equations' Bull Amer. Math. Society 92
Crandall M.G., Pierre-Louis Lions 'Viscosity Solution of Hamilton-Jacobi Equations'
Trans. Amer. Math. Society 83
Cranley R., T. Patterson 'Randomization of Number Theoretic Methods for Numerical
Interation' SIAM J. Num. Ana. 76
Crato Nuno, P. Rothman 'Fractional Integration Analysis of Long-Run Behavior for US
Macroeconomic Time Series' Economic Letters 94
Crato Nuno, Pedro de Lima 'Long-Range Dependence in the Conditional Variance of Stock
Returns' Economic Letters 94
Cremers K. J. Martijn 'Stock Return Predictability: A Bayesian Model Selection
Perspective ' RFS Fall 2002
Crepey Stephane 'Calibration of the Local Volatility in a Generalized Black-Scholes
Model using Tikhonov Regularization' <volatility> SIAM J. Math. Analysis 2003
Crepey Stephane 'Calibration of the Local Volatility in a Trinomial Tree using
Tikhonov Regularization' <volatility> Inverse Problems 2003
Crepey Stephane 'Delta-Hedging Vega Risk' QF 10/04
Crimaldi Irene, Luca Pratelli 'Convergence results for multivariate martingales' SP&A
4/05
Criossant O., G. Comezana, M. Escobar, P. Fernandez, N. Hernandex, L. Seco
'Nongaussian Multivariate Simulations in Mark-to-Future calculations' (2002)U.
Toronto
Cross Jason, Andrew Barron 'Efficient Universal Portfolios for Past-Dependent Target
Classes' MF 4/03
Cross Philip, Charles Manski 'Regressions, Short and Long' Econometrica Jan 02
Crouhy Michel, Dan Galai, R. Mark 'Risk Mangement' McGraw-Hill 2001
Crouhy Michel, Dan Galai, Robert Mark 'Insuring versus Self-Insuring Operational Risk:
Viewpoints of Depositors and Shareholders' Journal of Derivatives Winter 2004
Cruz S., M. Valls 'Increasing Spot Rates of Interest:Structure of the Price of a
Default Free Discount Bond' Interna. J. Theor.& App. Finance 5/02
Cryer C.W. 'The Solution of a Quadratic Programming Problem Using Systematic
Overrelaxation' SIAM J. Control 71
Csaki Endre, Antonia Foldes, Yueyun Hu 'Strong Approximations of Additive Functionals
of Planar Brownian Motion' SP&A 2/04
Csaki Endre, Pal Revesz, Zhan Shi 'Large Void Zones and Occupation Times for
Coalescing Random walks'SP&A 5/04
Culp Christoper 'Risk Transfer:Derivatives in Theory & Practice' Wiley 2004
Culp Christpher 'The ART of Risk Management' <Alternative Risk Transfer> Wiley Press
2002
Cumperayot P., J. Danielsson, B. Jorgensen, C. de Vries 'On the (Ir)relevance of value
at Risk Regulation' in Measuring Risk in Complex Stochastic Systems 2001
Cuthbertson Keith, Dirk Nitzsche 'Quantitative Financial Economics:Stocks, Bonds and
Foreign Exchange' 2004 Wiley Press
Cvitanic Jaksa 'Theory of Portfolio Optimization in Markets with Frictions' Handbook
of Mathematical Finance ed. Jouini, Cvitanic, Musiela
Cvitanic Jaksa, A. Lazrak, M. Qyuenez, F. Zapatero 'Incomplete Information with
Recursive Preferences' Inter. J. Theoretical & Applied Finance 4/2001
Cvitanic Jaksa, Abel Cadenillas, Fernando Zapatero 'Optimal Contracts and Principal-
Agent Problems in Continuous Time' Bachelier Conference 2004
Cvitanic Jaksa, Fernando Zapatero 'Introduction to the Economics & Mathematics of
Financial Markets' 2004 MIT Press
Cvitanic Jaksa, Hui Wang 'On Optimal Terminal Wealth under Transaction Costs' J. Math
Econ. 2001 <transaction cost>
Cvitanic Jaksa, Jin Ma, Jianfeng Zhang 'Efficient Computation of Hedging Portfolios
for Options with Discontinuous Payoffs' MF 1/03 , 2001 <hedging>
Cvitanic Jaksa, Levon Goukasian, Fernando Zapatero 'Hedging with Monte Carlo
Simulation' 5/2000 <hedging>
Cvitanic Jaksa, Levon Goukasian, Fernardo Zapatero 'Monte Carlo computation of optimal
portfolios in complete markets'J. Econ. Dynamics & Control 2003 , 5/2000
<portfolio>
Cvitanic Jaksa, R. Liptser, Boris Rozovskii 'Tracking Volatility' <volatility> 2000
<nonlinear filtering,stochastic volatility>
Cvitanic Jaksa, Vassilis Polimenis, Fernando Zapatero 'Optimal Portfolio Allocation
with Higher Moments' USC SSRN 6/05
Da Prato Giuseppe, J. Zabczyk 'Stochastic Equations in Infinite Dimensions' Cambridge
Press 92
Da Prato Giuseppe, Luciano Tubaro 'Stochastic Partial Differential Equations &
Applications' 2002 CRC Press
Daal Elton, Dilip Madan ‘An Empirical Examination of the Variance-Gamma Model for
Foreign Currency Options’ JofB 11/05
Dacorogna Michel, Ramazan Gencay, Ulrich Muller, Richard Olsen, Olivier Pictet 'An
Introduction to High-Frequency Finance' 2001 Academic Press
Daeman Joan, Vincent Rijmen 'AES:Proposal Rijndael Block Cipher' <cryptography> 99
Dahiya Sandeep, Anthony Saunders, Anand Srinivasan 'Financial Distress and Bank
Lending Relationships' JofF 2/03
Dahl Gordon 'Mobility and the Return to Education: Testing a Roy Model with Multiple
Markets 'Econometrica 11/02
Dahl Lars 'An Adaptive Method for Evaluating Multidimensional Contingent Claims:Part
II' Inter. J. Theor. & App. Finance 6/03
Dahl Lars 'An Adaptive Method for Evaluating Multidimensional Contingent Claims:Part
I' Intern. J. Theoetical & Applied Finance 5/03 , wp 5/02 <option-numeric>
Dahl Lars 'An Adaptive Method for Evaluating Multidimensional Contingent Claims:Part
II' 5/02 <option-numeric>
Dahl Lars, Fred Benth 'Fast Valuation of the Asian Basket Option by Singular Value
Decomposition' Pure Mathematics 3/01 <option-basket>
Dahl Lars, Fred Benth 'Valuation of Asian Basket Options with Quasi-Monte Carlo
Techniques & Singular Value Decomposition' 2/2001 <option-asian>
Dahlgren Martin, Ralf Korn 'THE SWING OPTION ON THE STOCK MARKET' IJT&AF 1/05
Dahlquist Magnus, Lee Pinkowitz, Rene M. Stulz, Rohan Williamson 'Corporate Governance
and the Home Bias ' JF&QA 3/03
Dahya Jay, John McConnell, Nickoaos Travlos 'The Cadbury Committee, Corporate
Performance, and Top Management Turnover' JofF 2/02
Dai Min 'A Closed Form Solution for Perpetual American Floating Strike Lookback
Options' J. Comp. Finance Winter 2000/2001 <option-lookback>
Dai Min 'One-State Variable Binomial Models for European/American Style Geometric
Asian Options' QF Aug. 2003 <option-Asian>
Dai Min, Hoi Ying Wong, Yue Keun Kwok 'Quanto Lookback Options' MF 7/04 , 12/01
<option-Lookback>
Dai Min, Lixin Wu 'OPTIMAL SHOUTING POLICIES OF OPTIONS WITH STRIKE RESET RIGHT'MF
7/04
Dai Min, Yue Kuen Kwok 'American Options with Lookback Payoff' 8/04? <option-
Lookback>
Dai Min, Yue Kuen Kwok 'Knock-In American Options' JFM 2/04 <option-barrier>
Dai Qiang 'Asset Pricing in a Neoclassical Model with Limited Participation' Bachelier
conference 2002
Dai Qiang, Kenneth Singleton 'Term Structure Dynamics in Theory & Reality' RFS Fall
2003 <term structure>
Dai Tian-Shyr, Yuh-Dauh Lyuu 'Efficient, Exact Algorithms for Asian Options with
Multiresolutional Lattices' R. Deriv. Research V5. #2 2002 <option-Asian>
Dales Garth, Pietro Aiena, Jorg Eschmeir, Kjeld Laursen, George Willis 'Introduction
to Banach Algebras, Operators & Harmonic Analysis' 2003 Cambridge Press
Damant David, Soosung Hwang, Stephen Satchell 'Exponential Risk Measure with
Applications to UK Asset Allocations' Applied Math. Finance 6/2000
D'Ambrosio E., Wolfgang Runggaldier, F. Spizzichino 'Construction of Discrete Time
Models Admitting a Finite Dimensional Filter:An Approach Based on the Inverse
Laplace Transform' 10/99 <numeric>
Damgaard Anders 'Computation of Reservation Prices of Options with Proportional
Transaction Costs' 7/2000 <option-transaction>
Damgaard Anders 'Optimal Portfolio Choice & Utility Based Option Pricing in Markets
with Transaction Costs' PhD U.South Denmark 99
Damgaard Anders 'Utility Based Option Evaluation with Proportional Transaction Costs'
6/2000 <transaction>
D'Amico M., G. Gusai, M. Goria, A. Tagliani 'Valuation of Exotic Options Using
Moments' 2001 lecture
Dammon Robert, Chester Spatt, Harold Zhang 'Optimal Asset Location and Allocation with
Taxable and Tax-Deferred Investing' JofF 6/04
Dammon Robert, Chester Spatt, Harold Zhang 'Optimal Consumption and Investment with
Capital Gains Taxes' RFS 2001
Dana R-A, Monique Jeanblanc-Picque 'Financial Markets in Continuous Time' 2003
Springer-Verlag
Danelia Akaki, Besarion Dochviri, Malkhaz Shashiashvili 'Stochastic Variational
Inequalities & Optimal Stopping:Applications to the Robustness of the
Portfolio/Consumption Processes' S&SR 12/03
Dangl Thomas, Franz Wirl 'Investment under Uncertainty:Calculating the Value Function
when the Bellman Equation Cannot be Solved Analytically' J. Econ. Dyn. & Control
4/04
Daniel Kent, David Hirshleifer, Avanidhar Subrahmansam 'Overconfidence, Arbitrage &
Equilibrium Asset Pricing' JofF 6/2001
Daniel Kent, Sheridan Titman, K.C. John Wei 'Explaining the Cross-Section of Stock
Returns in Japan: Factors or Characteristics?' JofF 4/2001
Danielsen Barley, Sorin Sorescu 'Why do Option Introductions Depress Stock Prices? A
Study of Diminishing Short Sale Constraints' JF&QA 12/01
Danielsson Jon 'The emperor has no clothes: Limits to risk modelling' Journal Of
Banking And Finance (26)7 (2002)
Danielsson Jon, Bjørn N. Jorgensen, Casper G. de Vries,' Incentives for effective risk
management', Journal Of Banking And Finance (26)7 (2002)
Danielsson Jon, C. de Vries 'Value at Risk & Extreme Returns' LBS 1998
Danielsson Jon, Paul Embrechts, Charles Goodhart, Con Keating, Felix Muennich, Olivier
Renault, Hyun Song Shin 'An Academic Response to Basel II' 2001
Danilov V., S. M. Frolovitchev 'Exact Asymptotics of the Density of the Transition
Probability for Discontinuous Markov Processes' Mathematische Nachrichten 2000
D'Antonio Louis, Thomas Cook 'Convexity:A Comparison & Reconciliation of its Different
Forms' to be J. Fin. Research
Dao Bihn 'A Structural Model with Jump-Diffusion Processes' Bachelier Conference 2004
Daouk Hazem, Jie Qun Guo 'Switching Asymmetric GARCH & Options on a Volatility Index'
JFM 3/04
Darkhovski B. S., M. Staroswiecki 'The Hypotheses Testing Problem under Unknown
Parameter' Theory Prob. & its Applications V47, #4
Darsinois Theofanis, Stephen Satchell 'Generalized Universal Performance Measures'
RISK 6/04
Darwich A. 'About the asymptotic behaviour of continuous vector-valued local
martingales and application in multiple linear regression models'S&SR 2002
Das Sanjiv ,Rong Fan, Gary Geng 'Bayesian Migration in Crdeit Ratings Based on
Probabilities of Default' J. Fixed Income 12/02
Das Sanjiv Ranjan, Raman Uppal 'Systemic Risk and International Portfolio Choice' JofF
12/04
Das Sanjiv Ranjan, Rangarajan Sundaram 'Fee Speech: Signaling, Risk-Sharing, and the
Impact of Fee Structures on Investor Welfare ' RFS Winter 02
Das Sanjiv, Gifford Fong, Gary Geng 'Impact of Correlated Default Risk on Credit
Portfolios' J. Fixed Income 12/01
Das Sanjiv, Laurence Freed, Gary Geng, Nikunj Kapadia 'Correlated Default Risk' 2002
AFA Meeting in 2003
Das Sanjiv, Raman Uppal 'International Portfolio Choice with Systemic Risk' Harvard 98
Das Satyajit 'Structured Products & Hybrid Securities' Wiley 2001
Das Satyajit 'Swaps and Financial Derivatives ' Wiley 04 4 volumes
Dash Jan 'Quantitative Finance & Risk Management:A Physicists Approach' World
Scientific 2004
d'Aspremmont Alexandre 'A Harmonic Analysis Solution to the Static Basket Problem'
9/03 <option-basket>
Dassios Angelos, Ji-Wook Jang 'Pricing of Catastrophe Reinsurance and Derivatives
Using the Cox Process with shot noise intensity ' Finance and Stochastics 2003
Datta Sudip, Mail Iskandar-Datta, Kartik Raman 'Executive Compensation & Corporate
Acquistion Decisions' JofF 12/01
Daubechies Ingrid 'Orthonormal Bases of Compactly Supported Wavelets' Comm. Pure &
Appl. Math 1988
Daul Stephane, Enrico De Giorgi, Filip Lindskog, Alexander McNeil 'Using the Grouped
t-Copula' RISK 11/03
Davies R. 'Newmatt09:C++ matrix library' Wellington New Zealand webnz.com/robert
Davies R. 'Numerical Inversion of a Characteristic Function' Biometrika 73
Davies Ryan 'Matching and the estimated impact of interlisting' Bachelier conference
2002
Davis J. 'Foundations of Deterministic & Stochastic Control' 2002 Birkhauser
Davis Mark 'Complete-Market Models of Stochastic Volatility' Phil. Trans. Royal 1/04
,9/02 Warwick <volatility>
Davis Mark 'Lectures on Stochastic Control & Nonlinear Filtering'75, Springer 1984
Davis Mark 'Linear Estimation & Stochastic Control' Chapman Hall 1977
Davis Mark 'Markovian models for counterparty default risk and other default
correlation products' Bachelier conference 2002
Davis Mark, Ioannis Karatzas 'A Deterministic Approach to Optimal Stopping, with
Apllications' in Prob., Stats & Optim.:Tribute to Peter Whittle, Wiley 94
Davis Mark, Martin Crowder, Giacomo Giampieri 'A Hidden Markov Model of Default
Interaction' Bachelier Conference 2004
Davis Mark, Martin Johansson 'Malliavin Monte Carlo Greeks for Jump Diffusions'
Bachelier Conference 2004
Davis Mark, Richard Vinter 'Stochastic Modelling & Control' Chapman Hall 1985
Davis Mark, S.I. Marcus 'An Introduction to Non-Linear Filtering' in Stochastic
Systems:Math. of Filtering & Ident. & Applic Dordrecht 81
Davis Mark, Walter Schachermayer, Robert Tompkins 'Pricing, No-Arbitrage Bounds &
Robust Hedging of Installment Options' 9/2000 <option-installment> <stable
hedging,replicating>
Davis Philip (bookreview) 'Constants in the Universe' SIAM News 4/04
Davis Philip (Reviewer) 'Interation & its Conswquences:Visions of Felix Klein' SIAM
New Sept. 02
Davis Sherman 'An ARMs Prepayment Model:A Parsimonious Approach' J. Fixed Income 3/04
Davison Matt 'Pricing Swing Options:Numerical Approaches' Fields lecture 3/02
Davison Matt, Andrea Doeschl 'A Hyperbolic PDE with Parabolic Behavior' SIAM Review
3/04
Davydov Dmitry, Vadim Linetsky 'Path Dependent Options under the CEV Process' MS 7/01
Davydov Dmitry, Vadim Linetsky 'Structuring, Pricing & Hedging Double-Barrier Step
Options' J. Comp. Finance Winter 2001/02 , 10/01 <option-step>
Dawson Thomas, Jennifer Considine 'Real Option Valuation & Equity Markets' RISK 5/03
Day Theodore, Craig Lewis 'Stock Market Volatility & the Information Content of Stock
Index Options' J. Econometrics 92

Dayanik Savas, Ioannis Karatzas 'On the Optimal Stopping Problem for One-Dimensional
Diffusions' SP&A 10/2003 <optimial Stopping><American & Barrier options, CEV>
SP&A 10/03
de Almeida C., A. Duarte, C. Fernandes 'Credit Spread Arbitrage in Emerging Eurobond
Markets' J. Fixed Income 12/2000
De Almeida Caio Ibsen Rodrigues 'AFFINE PROCESSES, ARBITRAGE-FREE TERM STRUCTURES OF
LEGENDRE POLYNOMIALS, AND OPTION PRICING' IJT&AF 3/05
De Almeida Caio Ibsen Rodrigues, Antonio Marcos Duarte, Christiano Augusto Coelho
Fernandes 'A Generalization of Principal Component Analysis for Non-Observable
Term Structures in Emerging Markets' Inter. J. Theoretical & Applied Finance
12/03
de Athayde Gustavo, Renato Flores 'Finding a Maximum Skewness Portfolio--a General
Solution ot Three-Moment Portfolio Choice' J. Econ. Dyn. & Control 4/04
De boor Carl 'On Interpolation by Radial Polynomials' Adv. in Comput. Math to appear
de Branges de Bourcia Louis 'Apology for the Proof of the Riemann Hypothesis' 3/03
<number theory>
De Donno Marzia 'A note on Completeness in Large Financial Markets' MF 4/04
De Donno Marzia 'Some Applications of Cylindrical Stochastic Integration to
Mathematical Finance' 2001 lecture
De Donno Marzia, Maurizio Pratelli 'On the Use of Measure-Valued Strategies in Bond
Markets' F&S 2/04 <cylindrical integration>
De Fontnouvelle Patrick, Raymond Fishe, Jeffrey Harris 'The Behavior of Bid-Ask
Spreads and Volume in Options Markets during the Competition for Listings in
1999' Taxation' JofF 12/03
de Frutos M. Angeles , Carolina Manzano 'Risk Aversion, Transparency, & Market
Performance' JofF 4/02
De Giorgi Enrico 'An Intensity Based Non-Parametric Default Model for Residential
Mortgage Portfolios' Bachelier conference 2002
De Giorgi Enrico 'Risk-reward portfolio selection and stochastic dominance' Bachelier
Conference 2004
de Jong C., R. Huisman 'From Skews to a Skewed-t' <option-pricing><implied
volaility,Shimko,distribution> 3/2001
De Jong Frank, Joost Driessen, Antoon Pelsser 'Libor Market Models versus Swap Market
Models for Pricing Interest Rate Derivatives:An Empirical Analysis' 4/01 <term
structure><BGM>
de Jong Frank, Joost Driessen, Antoon Pelsser 'On the Information in the Interest Rate
Term Structure and Option Prices'R. Driv. Research 2004
de Lara M. 'Reduction of the Zakai Equation by Invariance Group Techniques' SP&A 1/98
de Malherbe E. 'Correlation Analysis in the LIBOR & Swap Market Model' Intern. J.
Theor. & Applied Finance 6/02
de Malherbe Etienne 'MODELING PRIVATE EQUITY FUNDS AND PRIVATE EQUITY COLLATERALISED
FUND OBLIGATIONS' IJT&AF 5/04
de Matos J., J. do Rosario 'Market Power & Feedback Effects from Hedging Derivatives'
International J. Theoretical & Applied Finance 12/02
De Matos Joan, Ana Lacerda 'Dry Markets and Superreplication Bounds of American
Derivatives' Bachelier Conference 2004
de Motta Adolfo 'Managerial Incentives and Internal Capital Markets'JofF 6/03
De Prisco Ben, Ian Iscoe, Alex Kreinin 'Loss in Translation' <synthetic CDOs> RISK
6/05
De Rabi, Tanya Tamarchenko 'VAR You can Rely On' RISK 8/02
de Roon Frans, Theo Nijman,Bas Werker 'Testing for Mean-Variance Spanning with Short
Sales Constraints and Transaction Costs: The Case of Emerging Markets' JofF
4/2001

De Rossi Giuliano 'Kalman Filtering of Consistent Forward Rate Curves:A Tool to

Estimate & Model Dynamically the Term Structure' 2/02 <term structure>
De Santis Giorgio, Bruno Gerard, Fulvio Ortu 'Generalized Numeraire Portfolios' 3/2000
<portfolio>
De Schutter Bart, Bar De Moor 'The QR Decompostion & the Singular Value Decomposition
in Symmetrized Max-Plus Algebra Revistied' SIAM Review 9/02
de Servigny Arnaud, Olivier Renault 'Correlation Evidence' <default> RISK 7/03
de Servigny Arnaud, Olivier Renault 'Measuring & Managing Credit Risk' McGraw Hill
2004?
de Vries A. 'How to Price Information by Kullback-Leibler Entropy & a Moment-Return
Relation for Portfolios' Inter. Journ. Theor. & Applied Finance 6/2001
de Vries Andreas 'The Arbitrage Theorem in a Discrete Infinite-Horizon Market Model'
3/2000 <arbitrage>
Deards Paul, Alla Gil 'The Art of Optimal Hedging' RISK 3/2001
Deaves Richard, Mahmut Parlar 'A Generalized Bootstrap Method to Determine the Yield
Curve' App. Math. Finance 12/00 , 12/99
DeBlassie R. Dante 'Higher Order PDEs & Symmetric Stable Processes' Prob. Theory &
App. 8/04 <killed Brownian, Rayleigh-Ritz>
Debreu Gerard 'Economic Theory in the Mathematical Mode' AER
Decamps Marc, Marc Goovaerts, Wim Schoutens 'A Self exciting threshold term structure
model' Bachelier Conference 2004
D'Ecclesia Rita Laura, Robert Tompkins 'Unconditional Return Disturbances: a non-
parametric approach' Bachelier Conference 2004
Decelnick K., K. Siebert 'W(inf) Convergence of the Discrete Free Boundary for
Obstacle Problems' IMA J.Num Anal 2000
Deelstra Griseida, Jan Liinev, Michele Vanmaele 'Pricing of Arithmetic Basket Options
by Conditioning' Insurance:Math & Econ 2/04 <option-basket>
Deelstra Griselda, Ahmed Ezzine 'Option valuation in a non-affine stochastic
volatility jump diffusion model' Bachelier Conference 2004
Deelstra Griselda, Martino Grasselli, Pierre-François Koehl 'Optimal Design of the
Guarantee for Defined Contribution Funds' Bachelier conference 2002
Deelstra Grisella, Martino Grasselli, Pierre-Francois Koehl 'Optimal Investment
Strategies in a CIR Framework' J. Appl. Prob. 12 2000
Degryse Hans, Steven Ongena 'Distance, Lending Relationships, and Competition' JofF
2/05
Del Guercio Diane, Paula Tkac 'The Determinats of the Flow of Funds of Managed
Portfolios:Mutual Funds vrs. Pension Funds' JF&QA 12/02
Del Moral Pierre 'Feynman-Kac Formulae:Genealogical & Interacting Particle Systems
with Applications' Springer 2004
Del Moral Pierre, Jean Jacod, Philip Protter 'The Monte-Carlo Method for Filtering
with Discrete-Time Observations' Prob. Theory Related Fields 2001 <monte carlo>
Delbaen Freddy, Hiroshi Shirakawa 'A Note on Option Pricing for Constant Elasticity of
Variance Model' 1996 <option-Pricing>
Delbaen Freddy, Marc Yor 'Passport Options 'MF Oct/02, 4/99 <option-passport><Bessel>
Delbaen Freddy, Walter Schachermayer 'The Banach Space of Workable Contingent Claims
in Arbitrage Theory' <arbitrage>
Delbaen Freddy, Walter Schachermayer 'The Mathematics of Arbitrage' Springer-Verlag
April 2005 <change of numeraire, fundamental theorem of asset
pricing,martingale, superreplication>
Delbean Freddy, Yuri Kabanov, E. Valkeila 'Hedging under Transaction Costs in Currency
Markets:A Discrete Time Model' MF 1/02 <hedging>
Deli Daniel 'Mutual Fund Advisory Contracts:An Empirical Investigation' JofF 2/02
Deliaedis Gordon, Ronald Lagnado 'Recovery Assumptions in the Valuation of Credit
Derivatives' J. Fixed Income March 02
Deligne P. 'The Hodge Conjecture' <Math> Clay Foundation 2002
DeMarzo Peter 'The Pooling and Tranching of Securities: A Model of Informed
Intermediation' RFS Spring 2005
DeMarzo Peter, Branko Urosevic 'Ownership Dynamics and Asset Pricing with a "Large
Shareholder"' Bachelier conference 2002
Demarzo Peter, Ron Kaniel, Ilan Kremer 'Diversification as a Public Good: Community
Effects in Portfolio Choice' JofF 8/04
Dembo Amir, Jean-Dominique Deuschel, Darrell Duffie 'Large Portfolio Losses' F&S 2/04
Demidenko Gennadii, Stanislav Upsenskii 'Partial Differential Equations & Systems Not
Solvable with Respect to the Highest-Order Derivative' 2003 CRC Press
Dempster Michael, Akilesh Eswaran 'Solving of FDEs by Wavelet Methods' <Wavelet>
12/01
Dempster Michael, Akilesh Eswaran, D. Richards 'Wavelet Methods in PDE Valuation of
Financial Derivatives' Proceedings of the Second Inter. Conf. on Intelligent
Data Engin & Auto Learning Springer Ntoes in Computer Scie. 2000
Dempster Michael, Igor Evstigneev, Klaus Reiner Schenk-Hoppe 'Exponential Growth of
Fixed-Mix Strategies in Stationary Asset Markets' Finance and Stochastics V.7,#2
2003
Dempster Michael, S. Hong 'Pricing Spread Options with the Fast Fourier Transform'
7/2000 <presentation> <option-spread>
Denault Michel 'Coherent Allocation of Risk Capital' J. of Risk Fall 2001
Denis David, Atulya Sarin 'Is the Market Surprised by Poor Earnings Realizations
following Season Equity Offerings? JF&QA 6/2001
Denis David, Diane Denis, Keven Yost 'Global Diversification, Industrial
Diversification, and Firm Value' JofF 10/02
Denis Diane, John J. McConnell 'International Corporate Governance ' JF&QA 3/03
Dennis J., Robert Schnabel 'Numerical Methods for Unconstrained Optimization &
Nonlinear Equations' 96 SIAM book
Dennis Patrick, Deon Strickland 'Who Blinks in Volatile Markets, Individuals or
Institutions?' JofF 10/02
Dennis Patrick, Stewart Mayhew 'Implied Volatility Smiles:Evidence from Options on
Individual Equities' U. Virginia/Purdue 99
Dennis Patrick, Stewart Mayhew 'Risk-Neutral Skewness:Evidence from Stock Options'
JF&QA 9/02
Dentskevich P. 'Forward Thinking' <portfolio simulation,asset/liability> RISK 12/2000
Depenya J., L. Gil-Alana 'Mean Revision in Spanish Stock Market Prices using
Fractionally Integrated Semiparametric Techniques' Inter. J. Theor. & Applied
Finance 9/02
Derney Paul, Jean-Frederic Jouanin, Celine Roget, Thierry Roncalli 'Maximum Likelihood
Estimate of Default Correlations' RISK 11/05
DeRosa David 'Options on Foreign Exchange' Probus Press
Derrien Francois 'IPO Pricing in "Hot" Market Conditions: Who Leaves Money on the
Table?' JofF 2/05
Derrien Francois, Kent Womack 'Auctions vs. Bookbuilding and the Control of
Underpricing in Hot IPO Markets' RFS 2003
Desai Hemang, K. Ramesh, S. Ramu Thiagarajan, Bala Balachandran 'An Investigation of
the Informational Role of Short Interest in the Nasdaq Market' JofF 10/02
Desai Mihir, C. Fritz Foley 'A Multinational Perspective on Capital Structure Choice
and Internal Capital Markets' JofF 12/04
Desiraju Ramarao ‘Price Versus Quantity Monitoring’ Analysis’ JofB 11/06
Desmoulins-Lebeault Francois 'CAPM Empirical Problems and the Distribution of Returns'
Bachelier conference 2002
Detemple Jerome 'American Options:Symmetry Properties' 99 <option-american>
Detemple Jerome, Angel Serrat 'Dynamic Equilibrium with Liquidity Constraints' RFS
Summer 03
Detemple Jerome, Carlton, Osakwe 'Valuations of Volatility Options' European Finance
Review 2000 , wp 1999 <options-volatility>
Detemple Jerome, Rene Garcia, Marcel Rindisbacher 'A Monte Carlo Method for Optimal
Portfolios' JofF 2/03 <portfolio,Mallavin>
Detemple Jerome, Weidong Tian 'The Valuation of American Options for a Class of
Diffusion Processes' Management Science 7/02 <option-American> <capped options,
bounds, approximation, integral equation,bond pricing>
Detemple Jerome, Weidong Tian 'The Valuation of American Options for a Class of
Diffusion Processes:Technical Appendix' Management Science 7/02 <option-
American> <capped options, bounds, approximation, integralEquation,bond pricing>
Dette Holger, Carsten von Lieres und Wilkau 'On a Test for a Parametric Form of
Volatility in Continuous Time Financial Models' Finance and Stochastics 2003
Deutsch Hans-Peter 'Derivatives & Interal Models' 2nd Ed. Palgrave
DeVoare Ronald, Amos Ron 'Developing a Computation-Friendly Mathematical Foundation
for Spline Functions' <Iso Schoenberg, Carl de Boor,B-Spline, box splines> SIAM
News 5/05
Dey Matthew, Christopher Flinn 'An Equilibrium Model of Health Insurance Provision and
Wage Determination' Econometrica 3/05
Dhaene Jan, Michel Denuit, Marc Goovaerts, Rob Kaas, David Vyncke 'The Concept of
Comonotonicity in Actuarial Science & Finance:Theory' Insur. Math Econ. 2002
d'Halluin Yahn, Peter Forsyth, George Labahn 'A Semi-Lagrangian Approach for American
Asian Options under Jump Diffusion' 12/03 <option-basket>
d'Halluin Yann, Peter Forsyth, George Labahn 'A Penalty Method for American Options
with Jump Diffusion Processes' Numerische Matematik 2004 , 8/1/03 <option-
American> <IPDE,FFT>
d'Halluin Yann, Peter Forsyth, Kenneth Vetzal 'Robust Numerical Methods for Contingent
Claims under Jump Diffusion Processes' IMA J. Num. Analysis 1/05 <option-
numeric> <FFT,IPDE>
Di Crescenzo A. 'Exact Transient Analysis of a Planar Random Motion with Three
Directions'S&SR 2002
Di Francesco M., Andrea Pascucci 'On a Class of Degerate Parabolic Equations of
Kolmogorov Type' 2004
Di Francesco Marco, Andrea Pascucci 'On the Complete Model with Stochastic Volatility
by Hobson & Rogers' Proc. R. Soc. A 2004 <volatility><degenerate PDE,
hypoelliptic equation>
Di Giacinto Marina, Fausto Gozzi 'Pension funds with a minimum guarantee under short
selling and borrowing constraints' Bachelier Conference 2004
di Graziano G., L.C.G. Rogers `Equilibrium pricing with Markov-modulated dynamics'
2005?
di Graziano Peppe, L.C.G. Rogers 'Barrier option pricing for assets with Markov-
modulated dividends' 2005?
DI Mannagement 'RSA Algorithm' <cryptography><Clifford Cocks>
Di Masi B., Wolfgang Runggaldier 'On Approximation Methods for Non-Linear Filtering '
in Lecture Notes in Math 972, 1982
Di Matteo T., T. Aste 'How Does the Eurodollar Interest Rate Behave? Intern. J. Theor.
& Applied Finance 2/02
Di Miscia Orazio 'Estimation of continuous-time interest rate models: a nonparametric
approach' CAF 12/04
Di Miscia Orazio 'Nonparametric estimation of diffusion process: a closer look' CAF
12/04
Di Miscia Orazio 'Term structure of interest models:concept and estimation problem in
a continuous-time setting' CAF 12/04
Di Nunno Giulia 'On Stochastic Derivative' <SDE> 5/01 <Levy, Clark-Ocone>
Di Nunno Giulia 'Stochastic Integral Representations, Stochastic Derivatives & Minimal
Variance Hedging' S&SR 02, , 9/01 <hedging> <Levy, Clark-Haussmann-Ocone>
Di Nunno Giulia, Yuri Rozanov 'On Measurable Modification of Stochastic Functions'
Theory Prob App. V46 #1 <stochastic>
Diaconis Persi 'Geometry of Markov Chains' SIAM von Neumann Lecture July 2000
<eigenvalue bounds><no paper written>
Diamond Douglas 'Presidential Address, Committing to Commit: Short-term Debt When
Enforcement Is Costly' JofF 8/04
Diamond Douglas, Raghuram Rajan 'Liquidity Shortages and Banking Crises' JofF 4/05
Diaz Antonio, Frank Skinner 'Estimating Corporate Yield Curves' J. Fixed Income Sept
01
Dichev I., J. Protroski 'The Long-Run Stock Returns Following Bond Ratings Changes'
JofF 2/2001
Dick Astrid ‘Nationwide Branching and Its Impact on Market Structure, Quality, and
Bank Performance’ JofB 3/06
Dickman Ronald, Ronaldo Vidigal 'Quasi-Stationary Distributions for Stochastic Process
an Absorbing State' 5/02 <stochastics>
Dickson David 'Insurance Risk & Ruin' 2005 Cambridge Press
Dickson Leonard 'History of the Theory of Numbers' Chelsea Pub.
Dieker A.B. 'Extremes of Gaussian processes over an infinite horizon' SP&A 2/05
Diener Francine, Marc Diener 'Asymptotics of the price oscillations of a European call
option in a tree model'MF 4/04
Dierker Egbert, Hildegard Dierker, Birgit Grodal 'Nonexistence of Constrained
Efficient Equilibria When Markets are Incomplete '
Diermeier Daniel, Hulya Eraslan, Antonio Merlo 'A Structural Model of Government
Formation 'Econometric 1/03
Diether Karl, Christopher Malloy, Anna Scherbina 'Differences of Opinion and the Cross
Section of Stock Returns' JofF 10/02
Dikos George, Daniel Giamouridis 'Options' Implied PDFs: Addressing Theoretical Issues
with a New Non-Parametric method and Empirical Data' Bachelier conference 2002
Diks Cees 'Correlation Dimension of Returns with Stochastic Volatility' QF 2/04
Dimakis Aristophanes, Fokert Muller-Hoissen 'Discret Riemannian Geometry' J. Math
Phys. v.40 99
Dimakis Aristophanes, Fokert Muller-Hoissen 'Stochastic Differential Calculus, the
Moyal *-product, & Noncommutative Geometry' Lett. Math. Phys. 93
Ding C.G. 'Algorithm AS275:Computing the Non-Central Chi-Sqr Distribution Function'
Applied Statistics 41 1992
Dinlersoz Emin, Ruben Hernandez-Murillo 'The Diffusion of Electronic Business in the
United States' FRB St. Louis Review Jan/Feb.05
Ditmarr Robert 'Nonlinear Pricing Kernels, Kurtosis Preference, and Evidence from the
Cross Section of Equity Returns' JofF 2/02
Dittmar Amy, Anil Shivdasani 'Divestitures and Divisional Investment Policies'
Taxation' JofF 12/03
Dittmar Amy, Jan Mahrt-Smith, and Henri Servaes 'International Corporate Governance
and Corporate Cash Holdings ' JF&QA 3/03
Dixit Avinash 'On Models of Economic Governance' Econometrica 3/03
Djehiche B., Alexander Schied 'Large Deviations for Hierarchical Systems of
Interacting Jump Processes ' 1/98 J. Theor. Prob.
Djellout H. 'Moderate deviations for martingale differences and applications to
{-mixing sequences'S&SR 2002
Do Minh 'Fast Approximation of Kullback-Leibler Distance for Dependence Trees & Hidden
Markov Models' IEEE Signal Proc. Letter (submitted)
<statistics><entropy,information>
Dobbs Stephen 'Pricing & Hedging Bermuda Swaptions with the BGM Model' Barclays wp
2002
Dobric Vladimir 'An algorithm for early detection of volatility change' Bachelier
Conference 2004
Doffou A., Jimmy Hilliard 'Testing a Three-State Model in Currency Derivatives
Markets' J. of Risk Spring 02
Doksum Kjell, Stephen Blyth, Eric Bradlow, Xiao-Li Meng, Hongyu Zhao 'Correlation
Curves as Local Measures of Variance Explained by Regression' JASA 94 <riks>
Dokuchaev Nikolai 'Bond Pricing via Parameters Inferred from Options on a Stock'SSRN
2004
Dolado Juan, Jesus Gonzalo, Laura Mayoral 'A Fractional Dickey-Fuller Test for Unit
Roots' Econometrica 9/02
Dolev Danny, Cynthia Dwork, Moni Naor 'Nonmalleable Cryptography' SIAM Review 12/03
Dominguez Manuel, Ignacio Lobato 'Consistent Estimation of Models Defined by
Conditional Moment Restrictions 'Econometrica 9/04
Donald Stephen, Whitney Newey 'Choosing the Number of Instruments' Econometrica 9/01
Donati-Martin Catherine, Hiroyuki Matsumoto, Marc Yor 'Exponential Functionals of
Brownian Motion & Related Processes III' papers. Paris 2001
Donati-Martin Catherine, Hiroyuki Matsumoto, Marc Yor 'The Law of Geometric Brownian
Motion & its Integral, Revised:Application to Conditional Moments' Mathematical
Finance-Bachelier Conference' 2002 Springer
Doney R., R. Maller 'Moments of Passage Times for Levy Processes' Ann. de LHP Sept/Oct
04 <linear, curved boundaries>
Donoho D. 'Interpolating Wavelet Transforms' NATO Institute 92
Doornik Jurgen, Bent Nielsen, Thomas Rothenberg 'The Influence of Var Dimensions on
Estimator Biases: Comment 'Econometric 1/03
Dopfel Frederick 'Fixed-Income Style Analysis and Optimal Manager Structure' Journal
of Fixed Income 9/04
Doran Chris, Anthony Lasenby 'Geometric Algebra for Physicists' 2003 Cambridge Press
Doran James, Ehud Ronn 'The Bias in Black-Scholes/Black Implied Volatility' 12/04
Dorfleitner Gregor 'Why the Return Notion Matters' Intern. J. Theoretical & Appl.
Finance 2/03
Dornette Didier, Yannick Malevergne, Jean-Francois Muzy 'What Causes Crashes?' RISK
2/03
Dostral Petr 'Asymptotic Analysis of Portfolio Trading with Transaction Costs'
Bachelier Conference 2004
Dotsey Michael 'Pitfalls in Interpreting tests of Backward-Looking Pricing in New
Keynesian Models' Winter 02 FRB Richmond Econ Quart. <macro-economics>
Dotsey Michael 'Structure from Shocks' FRB Richmond Economic Quarterly Fall 02
Dotsey Michael, Carl Lantz, Lawrence Santucci ' Is Money Useful in the Conduct of
Monetary Policy?' FRB Richmond Economic Quarterly Fall 2000
Dotsis George, Raphael Markellos 'An Application of Statistical Bootstrapping in
Option Pricing' 2/05 SSRN
Douady Raphael 'A "Rating Diffusion" Based Model for Credit Derivatives' presented
7/2001; to be in 'Quantitative Finance' 2002
Douady Raphael 'Bermuda Option Pricing with Monte-Carlo Methods' 3/2000 <option-
bermuda>
Douady Raphael 'Model Calibration in the Monte-Carlo Framwork' 1/02 <option-numeric>
Douady Raphael 'Monte-Carlo Path Weighting' <option-numeric> 1/02 <calibration,
caps,swaption>
Douady Raphael, Monique Jeanblanc 'A Rating-based Model for Credit Derivatives'
Bachelier conference 2002
Doukas John, Chansog (Francis) Kim, Christos Pantzalis 'A Test of the Errors-in-
Expectations Explanation of the Value/Glamour Stock Returns Performance:
Evidence from Analysts' Forecasts' JofF 10/02
Dourra Hussein, Pepe Siy 'Stock Evaluation Using Fuzzy Logic' Inter. J. Theor & App.
Finance 8/01
Doust Paul 'Convexity Adjustment of Futures Prices into FRA RAtes' BZW, Internal
Dowd Kevin 'Bootstrap Back-Test' <null hypothesis> RISK 10/02
Dowd Kevin 'Estimating VAR with Order Statistics' J.Derivatives Spring 2001 <VAR>
Dowd Kevin 'Sharpe Thinking' <CAPM,portfolio> RISK 6/2001
Downing Chris, Frank Zhang 'Trading Activity and Price Volatility in the Municipal
Bond Market' JofF 4/04
Dragan Vasile, Toader Morozan 'Stochastic Obserability & Applications' IMA J. Math.
Control & Optt. 9/04 <stability, jump, Riccati, Barbasin-Krasovskii>
Dragulescu Adrian, Victor Yakovenko 'Probability Distribution of Returns in the Heston
Model with Stochastic Volatility' QF 12/02 <volatility>
Dragulescu Adrian, Victor Yakovenko 'Probability of Returns for a Model with
Stochastic Volatility' <superceeded> 3/02
Draper Paul, Billy Mak, Gordon Tang 'The Derivative Warrant Market in Hong
Kong:Relationships with Underlying Assets' J. of Deriv. Summer 2001
Drashe Marc, Martin Rumpf 'Morphological Image Registration & Nonlinear Elasticity'
SIAM News 9/04
Dravid Ajay 'Effects of Bid-Ask Spread & Price Discreteness on Distribution of Stock
Returns' Stanford 86
Dravid Ajay 'The Behavior of Returns Around Ex-Dates for Splits & Stock Dividends'
Stanford 84
Driessen Joost 'Is Default Event Risk Priced in Corporate Bonds?' RFS Spring 2005
Driessen Joost, Pascal Maenhout 'The World Price of Jump and Volatility Risk'
University of Amsterdam' 2005
Driessen Joost, Pieter Klaassen,Bertrand Melenberg 'The Performance of Multi-Factor
Term Structure Models for Pricing & Hedging Caps & Swaptions' 10/2000
Driscoll Kevin 'Replication (Synthetic Asset) Transactions' J. of Derivatives Fall 01
Drudi F., Massimo Massa ‘Price Manipulation in Parallel Markets with Different
Transparency’ JofB 9/05
D'Souza Dylan, Keyvan Ami-Atefi, Borjana Racheva-Jotova 'Valuation of a Credit Spread
Put Option: The Stable Paretian Model with Copulas.' in 'Handbook of Numerical
Methods in Finance' ed S. Rachev
Duan Jin-Chuan 'An Enhanced Path-Derivative Monte Carlo Method for Computing Option
Greeks' 3/03 <monte carlo>
Duan Jin-Chuan, Evan Dudley, Genevieve Gauthier, Jean-Guy Simonato 'Pricing Discretely
Monitored Barrier Options by a Markov Chain' J. Derivatives Summer 03 <option-
barrier>
Duan Jin-Chuan, Genevieve Gauthier, Jean-Guy Simonato 'Asymptotic Distribution of the
EMS Option Price Estimator' MS 9/01 ,4/2001 <option-numeric><monte carlo,
'empirical martingale simulation'>
Duan Jin-Chuan, Genevieve Gauthier, Jean-Guy Simonato 'Numerical Pricing of Contingent
Claims on Multiple Assets and/or Factors:Low-Discrepancy Markov Chain Approach'
from 4/2001 conference, may not be papers
Duan Jin-Chuan, K. Jacobs 'A Simple Long Memory Equilibrium Interest Rate Model'
Economic Letters 96
Duarte Jefferson 'Evaluating an Alternative Risk Preference in Affine Term Structure
Models' RFS Summer 04
Duarte Margarida 'Monetary Policy & the Adjustment to Country-Specific Shocks' FRB
Richmond Economic Quarterly Spring 04
Duarte Margarida 'The Euro & Inflation Divergence in Europe' Econ. Quarterly Summer 03
Dubey Pradeep, John Geanakoplos, Martin Shubik 'Default and Punishment in General
Equilibrium' Econometrica 1/05
Dubins Lester, Gideon Schwarz 'On Continuous Martingales' Proc.Nat. Acad. Science 65
Ducker Michael, Andreas Fischer 'The Mechanics of a Successful Exchange Rate
Peg:Lessons for Emerging Markets' FRB St. Louis Review 9/01
Duckworth Kate, Mihail Zervos 'A Model for Investment Decisions with Switching' Ann.
App. Prob 2/01
Dueker Michael 'Regime-Dependent Recession Forecasts & the 2001 Recession'FRB St.
Louis Review Nov/Dec 02
Dueker Michael 'The Monetary Policy Innovation Paradox in VARs:A Discret Explanation'
FRB Review St.Louis March/April 02
Duff Michael 'The Theory Formerly Known as Strings' Scientific American 'Edge of
Physics' 2003
Duffee Gregory 'Term Premia and Interest Rate Forecasts in Affine Models' JofF 2/02
Duffie Darrell 'Evidence on Actual and Risk Neutral Default Intensities' Bachelier
Conference 2004
Duffie Darrell, Damir Filipovic, Walter Schachermayer 'Affine Processes & Applications
in Finance' Ann. Appl. Prob. 2003 ,9/02 <term structure>
Duffie Darrell, Jun Pan 'Analytical Value-at-Risk Jumps & Credit Risk' Finance and
Stochastics V5 #2 2001 <risk>
Duffie Darrell, Kenneth Singleton 'Credit Risk' Princeton 2003
Duffie Darrell, Lasse Heje Pedersen, Kenneth Singleton 'Modeling Sovereign Yield
Spreads: A Case Study of Russian Debt' JofF 2/03
Duffie Darrell, Nicolae Garleanu 'Risk and Valuation of Collateralized Debt
Obligations' FAJ Jan/Feb 2001 <bonds>
Duffie Darrell, Peter Glynn 'Estimation of Continuous-Time Markov Processes Sampled at
Random Time Intervals'Econometrica 11/04
Duffy Dean 'Green's Functions with Applications' Chapman & Hall 5/2001
Duffy Dean 'Transform Methods for Solving Partial Differential Equations' 2004 CRC
Press
Dufresne Daniel 'An Affine Property of the Reciprocal Asian Option Process' 6/98
<option-Asian>
Dufresne Daniel 'Asian & Basket Asymptotics' 7/02 <option-Asian>
Dufresne Daniel 'The Integral of Geometric Brownian Motion' Advanc. in Appl Prob 2001
Dufresne Daniel 'The Integral of the Square Root Process and Options on Volatility'
2001 <Variance Swaps,integral of squared volatility,Laguerre, Laplace>
Dufresne Daniel 'The Integrated Square-Root Process' <volatility><Asian,Swap,inverse
Gaussian> 11/01
Dufresne Daniel 'The Lognormal Aapproximation in Financial Computations' Bachelier
Conference 2004
Dufresne Daniel 'Weak Convergence of Random Growth Processes with Applications to
Insurance' Insur:Math & Econ 89
Dufwenberg Martin, Mark Stegeman 'Existence and Uniqueness of Maximal Reductions Under
Iterated Strict Dominance 'Econometrica 9/02
Duistermaat J., J. Kolk 'Multidimensional Real Analysis' 2 vol. 2004 Cambridge Press
Duistermaat J.J., A.E. Kyprianou, K. van Schaik 'Finite Expiry Russian Options' SP&A
4/05
Dukel E., Barton Lipman, A. Rustichini 'Representing Preferences with a Unique
Subjective State Space' Econometrica 7/01
Dumas B., R. Uppal 'Global Diversification, Growth, and Welfare with Imperfectly
Integrated Markets for Goods' RFS 1/2001
Dumas B., Robert Whaley, Jeff Flemming 'Implied Volatility Functions: Empirical Tests'
CEPR #1369 1996
DuMouchel William 'On the Asymptotic Normality of the Maximum Likelihooed Estimate
when Sampling from a Stable Distribution' Annals of Stats 73
Dun Tim, Erik Schlogl, Geoff Barton 'Simulating Swaption Delta-Hedging in the
Lognormal Forward LIBOR Model' <term structure> 3/2000
Dun Tim, Geoff Barton, Erik Schlogl 'Simulated Swatpion Delta-Hedging in the Lognormal
Forward Libor Model' Inter. J. Theor & App. Finance 8/01 , 3/2000 <term
structure>
Dunbar Nicholas 'Inventing Money:The Story of Long-Term Capital Management & the
Legends Behind It' Wiley 12/99
Dunbar Nicholas 'Pricing Default Baskets' <credit risk> RISK 1/02
Duncan T. 'Some processes associated with a fractional Brownian motion' Mathematics of
finance : Proceedings of an AMS-IMS-SIAM Joint Summer Research Conference on
Mathematics of Finance 2003
Dunis Christian, Allan Timmermann, John Moody (ed) 'Developments in Forecast
Combination & Portfolio Choice' Wlley 2001
Dunn K., C. Spatt 'The Effect of Refinancing Costs & Market Imperfections on the
Optimal Call Strategy & the Pricing of Debt Contracts' CMU 86
Dupire Bruno 'Arbitrage Pricing with Stochastic Volatility' Societe Generale
<volatility> 4/93
Dupont Dominique 'Hedging Barrier Options:Current Methods & Alternatives' 2/02
<option-Barrier>
Dupuis Paul, Hui Wang 'On the Convergence from iscrete to Continuous Time in an
Optimal Stopping Problem' Annals of Appl. Prob. May 05
Dupuis Paul, Kavita Ramanan 'A Time-Reversed Representation for the Tail Probabilities
of Stationary reflected Brownian Motion' SP&A 4/02
Dupuis Paul, Kavita Ramanan 'Convex Duality & the Skorokhod Problem I' Prob. Theory
Related Fields V115 #2 1999
Dupuis Paul, Kavita Ramanan 'Convex Duality & the Skorokhod Problem II' Prob. Theory
Related Fields V115 #2 1999
Duquesne Thomas, Jean-Francois Le Gall 'Probabilistic and fractal aspects of Lévy
trees' April 05 Prob. Theory & Related Fields
During Bertram, Michel Fournie, Ansgar Jungel 'Convergence of a High-Order Compact
Finitie Difference Scheme for a Nonlinear Black-Scholes Equation' 2/04 <option-
pricing>
During Bertram, Michel Fournie, Ansgar Jungel 'High Order Compact Finite Difference
Schemes for a Nonlinear Black-Scholes Equation' 11/01 <option-
pricing><portfolio, transaction, non-oscillatory>
Durnev Art, E. Han Kim 'To Steal or Not to Steal: Firm Attributes, Legal Environment,
and Valuation' JofF 6/05
Durnev Art, Randall Morck, Bernard Yeung 'Value-Enhancing Capital Budgeting & Firm-
Specific Stock Return Valuation' JofF 2/04
Durrleman V., A. Nikeghbali, T. Roncalli 'Which Copula is the Risk One?' 2000
Durrleman Valdo, Adam Kurpiel,Gael Riboulet, Thierry Roncalli 'Topics on Two-State
Option Pricing' 6/2000 <option-numeric> <Malliavin,hopscotch,Heston model,quasi-
random>
Dutta B., M. Jackson, M. Le Breton 'Strategic Candidacy & Voting Procedures'
Econometrica 7/01
Dutta Kabir, David F. Babbel ‘Extracting Probabilistic Information from the Prices of
Interest Rate Options: Tests of Distributional Assumptions’ JofB 5/05
D'Vari R., J. Sosa 'Value at Risk Estimates for Brady Bond Portfolios' J. Fixed Income
12/2000
Dvorak Tomas 'Do Domestic Investors Have an Information Advantage? Evidence from
Indonesia' JofF 4/05
Dwyer Gerald, K.B. Williams 'Portable Random Number Generators' FRB Atlanta 10/99
<monte carlo>
Dybvig Philip, Mark Loewenstein 'Employee Reload Options: Pricing, Hedging, and
Optimal Exercise' RFS 2003
Dyck Alexander, Luigi Zingales 'Private Benefits of Control: An International
Comparison' JofF 4/04
Dyl Edward, William Elliott ‘The Share Price Puzzle’ JofB 9/06
Dynkin Eugene B. 'Controlled Markov Processes' Springer 1979
Dynkin Eugene B. 'Markov Processes' 2 volumes Springer 1965
Dynkin Eugene B. 'The Optimum Choice of the Instant for Stopping a Markov Process'
Soviet Mathematics 1963
Dynkin Eugene, Sergei Kuznetsov 'Rough Boundary Trace for Solutions of $Lu=\psi{u}$'
Theory of Probability and It's Applications V45 #4
Dynkin Lev, Jay Hyman, Peter Lindner 'Hedgin & Replication of Fixed-Income Portfolios'
J. Fixed Income March 02
Dynkin Lev, Vadim Konstantinovsky, Brue Phelps 'Tradeable Proxy Portfolios for an MBS
Index' J. Fixed Income 12/01
Dyrting S. 'Evaluating the Noncentral Chi-Squared Distribution for the Cox-ingersoll-
Ross Process' Comp. Econ. 8/04
Dyrting Sigurd 'Pricing equity options everywhere' QF 12/04
Easley David, Maureen O'Hara 'Information and the Cost of Capital' JofF 8/04
Easley David, Maureen O'Hara, Gideon Saar 'How Stock Splits Affect
Trading:Microstructure Approach' JF&QA 3/2001
Easley David, Soren Hyidkjaer, Maureen O'Hara 'Is Information Risk a Determinant of
Asset Returns?' JofF 10/02
Easton Jonathan, Samuel Kortum 'Technology, Geography, and Trade 'Econometrica 9/02
Ebenfeld Stefan, Matthias Mayr, Juergen Topper 'An Analysis of Onion Options & Double-
no-Touch Digital' 10/02 <option-barrier>
Eberhart Allan, Akhtar Siddique 'The Long-Term Performance of Corporate Bonds (and
Stocks) Following Seasoned Equity Offerings ' RFS Winter 02
Eberhart Allan, William Maxwell, Akhtar Siddique 'An Examination of Long-Term Abnormal
Stock Returns and Operating Performance Following R&D Increases' JofF 4/04
Eberlein Ernst 'Recent Advances in More Realistic Market Risk Mangement:Hyperbolic
Model' 2001 in 'Mastering Risk'
Eberlein Ernst, Antonis Papapantleon 'Equivalence of Floating & Fixed Strike Asian &
Lookback Options' SP&A 1/05 ,6/04 <option-Asian>
Eberlein Ernst, E.-A. v. Hammerstein 'Generalized Hyperbolic & Inverse Gaussian
Distributions:Limiting Cases & Approximations of Processes' in Proc. 4th Ascona
Conf. Birkhauser 2003
Eberlein Ernst, Fehmi Ozkan 'The Defaultable Levy Term Structure: Ratings and
Restructuring' MF 4/03
Eberlein Ernst, Fehmi Ozkan 'The Levy Libor Model' Bachelier Conference 2004, 6/04
<term structure>
Eberlein Ernst, Fehmi Ozkan 'Time Consistency of Levy Models' 11/02 <Stochastics>
<generalized hyperbolic,scaling,convolution>
Eberlein Ernst, Jean Jacod, Sebastian Raible 'Lévy term structure models: no-arbitrage
and completeness' F&S Jan 2005, 10/03 <term structure>
Eberlein Ernst, Jorn Kallsen, J. Kristen 'Risk Management Based on Stochastic
Volatility' J. Risk Winter 02/03
Eberlein Ernst, K. Prause 'The Generalized Hyperbolic Model:Financial Derivatives &
Risk Measures' 'Mathematical Finance-Bachelier Conference' 2002 Springer
Eberlein Ernst, Wolfgang Kluge 'Exact Pricing Formulae for Caps & Swaptions in a Levy
Term Structure Model' <Caps> 6/04
Ebert Udo, Patrick Moyes 'Equivalence Scales Reconsidered 'Econometric 1/03
Ebnother Silvan, Paolo Vanini, Alexander McNeil, Pierre Antolinez 'Operational Risk:a
Practioners View' J. of Risk Spring 2003
Ebrahim M., I. Mathur 'Pricing of Debt & Pareto-Optimal Financing Under Endogenous
Bankruptcy' Inter. Journ. Theor. & Applied Finance 6/2001
Ebrahim M., T. Khan 'On the Pricing of Islamic Convertible Mortgage for Infrastructure
Project Financing' Inter. J. Theoretical & App. Finance 11/02
Eccles Nigel 'Behind the Barracks' GARP Risk Review 1/01 <risk><military game
theory,Lanchester theory>
Eckbo E. (editor) 'Handbook of Corporate Finance:Governance' Elsevier Press
Eckert Manfried 'Optimal Listing Policy for IPOs in the German Financial Market'
Intern. J. Theoetical & Applied Finance 5/03
Eddahbi M., Youssef Ouknine 'Limit Theorems for BSDE with Local Time Applications to
Non-Linear PDE'S&SR 2002
Edelen Roger, Simon Gervais 'The Role of Trading Halts in Monitoring a Specialist
Market' RFS 2003
Edelman David 'Local Cross-Entropy' RISK 7/04 <Exchange traded options, risk-neutral>
<option-pricing>
Edelman David, Peter Buchen 'GARCH or Posterior Volatility? An Alternative Approach to
Volatility Smile Modeling' Australian National Univ. 1995
Ederington L., W. Guan 'Is Implied Volatility an Informationally Efficient & Effective
Predictor of Future Volatility?' J. of Risk Spring 02
Ederington Louis, Wei Guan 'The information frown in option prices' J. Banking and
Finance 6/05
Ederington Louis, Wei Guan 'Why are Those Options Smiling?' J.of Derivatives Winter
2002
Ederington, Louis, Duane Stock 'Impact of Call Features on Corporate Bond Yields' J.
Fixed Income 9/02
Edlin Aaron, Benjamin Hermalin 'Implementing the First Best in an Agency Relationship
with Renegoiation:Corrigedum' Econometrica 9/01
Egami Mashiko, Savas Dayanik 'Optimal Stopping Problems for Asset Management'
Bachelier Conference 2004
Egorov Alexei, Haitao Li, Yuewu Xu 'Maximum Likelihood Estimation of Time-
Inhomogeneous Diffusions' Bachelier conference 2002
Eichelsbacher P. 'Large Deviations for Partial Sums U-Processes in Dependent Cases'
Theory of Probability and It's Applications V45 #4
Eichenauer-Herrmann J., E. Herrmann, S. Wegenkittl 'A Survey of Quadratic & Inversive
Congruential Pseudorandom Numbers' in Monte Carlo & Quasi-Monte Carlo Methods in
Scentific Computing 1996
Einmahl J., A. Rosalsky 'The Functional Law of the Iterated Logarithm for the
Empirical Process Based on Sample Means ' 4/01 J. Theor. Prob.
Eisenbaum N. 'On Ito's Formula of Follmer & Protter' Seminaire de Probabilities XXXV
2001
Eisenbaum N., A. Foldes 'Local Times of Markov Processes Approximated by a Generalized
Iterated Brownian Motion ' 4/01 J. Theor. Prob.
Eisfeldt Andrea 'Endogenous Liquidity in Asset Markets' JofF 2/04
Ekeland Ivan, Erik Taflin 'A Theory of Bond Portfolios' Annals of Appl. Prob. May 05
Ekstrom Erik 'Convexity of the optimal stopping boundary for the American put option'
Bachelier Conference 2004
Ekstrom Erik 'Perpetual American Options in a Level Dependent Volatility Model' J.
App. Prob. 9/03
Ekstrom Erik 'Properties of American option prices' SP&A 2004
Ekstrom Erik 'Russian Options with a Finite Time Horizon' Journal of Applied
Probability 6/2004 , 2/03 <option-Russian>
Ekstrom Erik, Johan Tysk 'OPTIONS WRITTEN ON STOCKS WITH KNOWN DIVIDENDS' IJT&AF
11/04
Ekvall N. 'Experiments in the Pricing of Trivariate Contingent Claims with Finite
Difference Methods on a Massively Parallel Computer' Computational Economics 94
El Karoui Nicole, Lionel Martellini 'A Theoretical Inspection of the Market Price for
Default Risk' <credit risk> 2/01
El Karoui Nicole, Lionel Martellini 'Dynamic Asset Pricing Theory with Uncertain Time-
Horizon' 11/01 <hedging><cash flow,random time, embedded prepayment,incomplete
markets>
El Karoui Nicole, Pauline Barrieu 'Optimal security design and diversification in
financial markets with non-tradeable risks' Bachelier conference 2002
Elaydi S. 'An Introduction to Difference Equations' 1999 Springer-Verlag
Elbers Chris, Jean Lanjouw, Peter Lanjouw ' Micro-Level Estimation of Poverty and
Inequality 'Econometric 1/03
Eldor Rafael, Shmuel Hauser, Michael Kahn, Avraham Kamara ‘The Nontradability Premium
of Derivatives Contracts’ JofB 9/06
Elerbian O., S. Chib, Neil Shephard 'Likelihood Inference for Discretely Observed
Nonlinear Diffusions' Econometrica 7/01
Elghanjaoui Said, Kenneth Hvistendahl Karlsen 'A Markov chain approximation scheme for
an investment-consumption problem with intertemporal substitution and Lévy
driven stock prices' Bachelier conference 2002
El-Karoui Nicole, Said Hamadene 'BSDE's & Risk-Sensitive Control, Zero-Sum & Nonzero-
Sum Game Problems of Stochastic Differential Equations' SP&A 2003
<SDE><saddlepoint>
El-Khatib Youssef, Nicolas Privault 'Computations of Greeks in a Market with Jumps via
the Malliavin Calculus' F&S 5/04 <option-pricing>
Elliott Robert, J. Hinz 'Portfolio Optimization , Hidden Markov Models, & Technical
Analysis of P&F-Charts' Intern. J. Theor. & Applied Finance 6/02

Elliott Robert, John Van Der Hoek 'A General Fractional White Noise Theory and
Applications to Finance' MF 4/03 <Brownian>
Elliott Robert, John van der Hoek 'Pricing claims on non tradable assets' Mathematics
of finance :Proceedings of an AMS-IMS-SIAM Joint Summer Research Conference on
Mathematics of Finance 2003
Elliott Robert, John van der Hoek 'Pricing Claims on Non Tradable Assets' Bachelier
Conference 2004
Elliott Robert, Leunglung Chan 'Perpetual American Options with Fractional Brownian
Motion' QF 2004 <option-American> <Hurst parameter>
Elliott Robert, Rogemar Mamon 'A Complete Yield Curve Description of a Markov Interest
Rate Model' Inter. J. Theor. & App. Finance 6/03 <term structure>
Elliott Robert, Rogemar Mamon 'An Interest Rate Model with a Markovian Mean Reverting
Level' QF 12/02 <term structure> <two factor Vasicek>
Elliott Robert, William Hunter, Barbara Jamieson 'Financial Signal Processing:A Self-
Calibrating Model' IJT&AF 8/01 , <term structure><Markov chain,hidden Markov>
12/2000
Ellis Katrina, Roni Michaely, Maureen O'Hara 'The Making of a Dealer Market: From
Entry to Equilibrium in the Trading of Nasdaq Stocks' JofF 10/02
Elton Edwin, Martin Gruber, Christopher Blake 'A First Look at the Accuracy of the
CRSP Mutual Fund Database & a Comparison of the CRSP & Morningstar Mutual Fund
Database'JofF 12/01
Elton Edwin, Martin Gruber, Christopher Blake 'Incentive Fees and Mutual Funds' JofF
4/03
Elton Edwin, Martin Gruber, D. Agrawal, Ch. Mann 'Explaining the Rate Spread on
Corporate Bonds' JofF 2/2001
Elton Edwin, Martin Gruber, Jeffrey Busse 'Are Investors Rational? Choices Amoung
Index Funds' JofF 2/04
Ely Jeffrey, Johannes Horner, Wojciech Olszewski 'Belief-Free Equilibria in Repeated
Games' Econometrica 3/05
Embrechts Paul 'Multivariate Extremes and Market Risk Scenarios' Bachelier Conference
2004
Embrechts Paul, Alexander McNeil, Daniel Straumann 'Correlation & Dependeence in Risk
Management' 99
Embrechts Paul, Andrea Hoing, Alessandro Juri 'Using Copulae to Bound the Value-at-
Risk Functions of Dependent Risks' Finance and Stochastics V.7,#2 2003
Embrechts Paul, Claudia Kluppelberg, T. Mikosch 'Modeling Extremal Event in Insurance
& Finance' Springer 97
Embrechts Paul, Filip Lindskog, A. McNeil 'Modeling Dependence with Copulas &
Applications to Risk Mangement' 2001
Embrechts Paul, Laurens de Haan, Xin Huang 'Modeling Exteme Events' ETH U. Rotterdam
99
Embrechts Paul, Makoto Maejima 'Selfsimilar Processes' Princeton 2002 <stochastic
dependence>
Embrechts Paul, N. Veraverbeke 'Estimates for the Probability of Ruin with Special
Emphasis on the Possibility of Large Claims' Insur:Math & Econ. 82
Emery M. 'Compensation de Processus a Variation Finie Non-Localement Integrable'
Lecture Notes in math 1980
Emmauel George 'Solution of Ordinary Differential Equations by Continuous Groups'
1/2001 Chapman & Hall/CRC
Emmer Susanne, Claudia Kluppelberg 'Optimal Portfolios when Stock Prices Follow an
Exponential Levy Process' F&S 2/04
Emmer Susanne, Claudia Kluppelberg, Ralf Korn 'Optimal Portfolios with Bounded Capital
at Risk' MF 10/01
Emmer Susanne, Dirk Tasche 'Calculating credit risk capital charges with the one-
factor model' Journal of Risk Winter 05
Emmons William, Frank Schmid 'Asset Mispricing,Arbitrage & Volatility'FRB St. Louis
Review Nov/Dec 02 <volatility>
Engl H.W., Martin Hank, A. Neubauer 'Regularization of Inverse Problems' Kluwer 96
Engl H.W., W. Rundell (ed) 'Inverse Problems in Diffusion Processes:Proceedings of the
GAMM-SIAM Symposium 1995
Engle Robert 'GARCH 101:Use of ARCH/GARCH Models in Applied Econometrics' J. Econ.
Perspectives Fall 2001
Engle Robert, G. Lee 'A Permanent & Transitory Component Model of Stock Return
Volatility' ...Festschrift..Granger.. 99
Engle Robert, Joshua Rosenberg 'Empirical Pricing Kernels' JFE 2002
Ennis Huberto 'Some Recent Trends in Commerical Banking' FRB Richmond Economic
Quarterly Spring 04
Enriquez Nathanael 'A Simple Construction of the Fractional Brownian Motion' SP&A 2/04
Eom Yong Ho, Marti Subrahmanyam, Jun Uno 'Transmission of Swap Spreads & Volatilities
in the Japanese Swap Market' J. Fixed Income 6/02
Epifani I., A. Lijoi 'A Finitely Additive Version of the Law of the Iterated
Logarithm' SIAM Theor.Prob& App. v44
Epperson James 'An Introduction to Numerical Methods & Analysis' Wiley Pub.
Epstein D., Paul Wilmott 'A Noteon the Pricing of Index Amortising Rate Swaps in a
Worst-Case Scenario' Int. J. Theor.& Applied Fiannce 8/2002
Epstein Larry, J. Zhang 'Subjective Probabilities on Subjectively Unambigouous Events'
Econometrica 3/2001
Epstein Larry, Martin Schneider 'Learning under Ambiguity' Bachelier conference 2002
Epstein Larry, Stanley Zin 'Substitution, Risk Aversion, and the Temporal Behavior of
Consumption & Asset Returns:An Empirical Analysis' J. Political Economy 99,2;
1991
Eraker Bjorn 'Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and
Option Prices' JofF 6/04
Eraker Bjorn, Michael Johannes, Nicholas Polson 'The Impact of Jumps in Volatility and
Returns'JofF 6/03
Ergin Haluk 'Efficient Resource Allocation on the Basis of Priorities 'Econometrica
11/02
Erickson T. 'Constructing Instruments for Regressions with Measurement Error when No
Additional Data Are Available:Comment' Econometrica 1/2001
Ericsson Jan, Joel Reneby ‘Estimating Structural Bond Pricing Models’ JofB 3/05
Ericsson Jan, Joel Reneby 'An Empirical Study of Structural Credit Risk Models Using
Stock & Bond Prices' J. Fixed Income 3/04
Ericsson Jan, Joel Reneby 'Stock Options as Barrier Contingent Claims' Applied Math.
Fin 6/03
Ericsson Jan, Kris Jacobs, Rodolfo Ovideo-Helfenberger 'The Determinants of Credit
Default Swap Premia'SSRN 2004
Ericsson Jan, Oliver Renault 'Liquidity & Credit Risk' 10/2000
Eriksson Jonatan 'Properties of European and American barrier options' Bachelier
Conference 2004
Erlenmaier Ulrich, Hans Gersbach 'Default Probabilities & Default Correlations' 4/2000
<credit risk>
Ern Alexandre, Stephane Villeneuve, Antonino Zanette 'ADAPTIVE FINITE ELEMENT METHODS
FOR LOCAL VOLATILITY EUROPEAN OPTION PRICING' IJT&AF 9/04
Erosa Andres, Martin Gervais 'Optimal Taxation in Infinitely-Lived Agent & Overlapping
Generations Models:Reviw' Econ. Quarterly FRB Richmond Spring 01
Errunza V., K. Hogan, M. Hung 'Market Segmentation & Noise Trader Risk' Inter.J. Theor
& App. Finance 1/2000
Esary J., F. Proschan, D. Walkup 'Association of Random Variables with Applications'
Annals of Math. Statisics 67
Esche F., Martin Schweizer 'Minimal Entropy Preserves the Levy Property:How and Why'
3/03 <martingale><incomplete markets>
Esche Felix 'Zur Bewertung von Optionen fur Prozesse mith Schranken' thesis under
Martin Schweizer 98 <option-barrier>
Esche Felix, Martin Schweizer 'Minimal entropy preserves the Lévy property: how and
why' SP&A 2/05 <mathematical finance, incomplete markets>
Escobar M., E. Hernandex, L. Seco 'Risk management in non-financial firms'U. Toronto
Escobar M., L. Seco 'Commodity's convenience yield in the pricing of Vulnerable
Options' U. Toronto
Escobar M., L. Seco 'Pricing derivatives on commodity futures prices' U. Toronto
Escobar M., L. Seco 'Sample size to assess financial time series'U. Toronto
Escobar M., Nicolas Hernandez, L. Seco 'Term structure of commodities futures:
forecasting and pricing' (2003)U. Toronto
Esser Angelika 'Pricing in (In)Complete Markets: Structural Analysis and Applications'
Springer 2004
Esser Angelika, Christian Schlag 'A Note on Forward & Backward Partial Differential
Equations for Derivative Contracts with Forwards as Underlyings' 8/01 <option-
numeric>
Estrade A., Monique Pontier 'Backward Stochastic Differential Equations in a Lie
Group' Seminaire de Probabilities XXXV 2001 <SDE>
Esty Benjamin, William L. Megginson 'Creditor Rights, Enforcement, and Debt Ownership
Structure: Evidence from the Global Syndicated Loan Market' JF&QA 3/03
Eswaran Akilesh 'Wavelet Based PDE Valuation of Swaps & Swaptions' PhD Cambridge 2001
Eun Cheol, Sanjiv Sabherwal 'Cross-Border Listings and Price Discovery: Evidence from
U.S.-Listed Canadian Stocks' JofF 4/03
Evans G., J. Blackledge, P. Yardley 'Numerical Methods for Partial Differential
Equations' Springer 2000
Evans J., R. Kuske, Joseph Keller 'American Options on Assets with Dividends Near
Expiry' MF 7/02 <options-American>
Evans Lawerence 'Partial Differential Equations' AMS 1998
Evans Martin ' FX Trading and Exchange Rate Dynamics'JofF 12/02
Evans Martin 'FX Trading & Exchange Rate Dynamics' NBER 11/2000
Evans R., J. Thomas 'Cooperation & Punishment' Econometrica 7/01
Evers Ingmar 'A Series Solution for Bermudan Options' Bachelier Conference 2004
Evers Ingmar, Farshid Jamshidian 'Replication of flexi-swaps' <flexi-swap> RISK 3/05
Evertsz J., Benoit Mandelbrot 'Left-Sided Multifractal Measures.' Fractals &
Disordered Systems 91
Evertsz J., Benoit Mandelbrot 'Multifractal Measures' Peitgen et al "Chaos & Fractals"
Springer 92
Evstigneev Igor, Klaus Reiner Schenk-Hoppe 'From Rags to Riches:On Constant
Proportions Investment Strategies' Inter. J. Theor. & Applied Finance 9/02
Evstigneev Igor, Klaus Schurger, Michael Taksar 'On the Fundamental Theorem of Asset
Pricing:Random Contraints & Bang-Bang No Arbitrage Criteria' MF 4/04 ,2002
<artibtage> <Morton, Dalang, Willinger>
Evstigneev Igor, Thorsten Hens, Klaus Reiner Schenk-Hoppe 'Market Selection of
Financial Trading Strategies: Global Stability 'MF Oct/02
Eydeland Alexander 'Computational Challenges in Energy Derivatives' Fields lecture
3/02
Eydeland Alexander, Helyette Geman 'Some Fundamentals of Electricity Derivatives' 7/98
<option-energy>
Eyraud-Loisel Anne 'Backward Stochastic Differential Equations with Enlarged
Filtration - Option hedging of an insider trader in a financial market with
Jumps' Bachelier Conference 2004
Fabozzi Frank (ed) 'Short Selling & Strategies, Risks & Rewards' Wiley 2004
Faccio Mara, David Stolin ‘Expropriation vs. Proportional Sharing in Corporate
Acquisitions’ JofB 7/06
Faccio Mara, Ronald Masulis 'The Choice of Payment Method in European Mergers and
Acquisitions' JofF 6/05
Faig Miquel, Pauline Shum 'Portfolio Choice in the Presence of Personal Illiquid
Projects' JofF 2/02
Fajardo Jose, Ernesto Mordecki 'Duality and Derivative Pricing with Lévy Processes'
Bachelier Conference 2004
Faleye Olubunmi 'Cash and Corporate Control'JofF 10/04
Faltings Gerd 'The Proof of Fermat's Last Theorem by R. Taylor and A. Wiles' Notices
of the AMS 7/95 <number theory>
Fama Eugene, Kenneth French 'Testing Trade-Off and Pecking Order Predictions About
Dividends and Debt 'RFS Spring 2002
Fama Eugene, Kenneth French 'The Equity Premium' JofF 4/02
Fama Eugene, Richart Roll 'Some Properties of Symmetric Stable Distributions' JASA 71
Fan Ming 'Some Inequalities for p-Variations of Martingales' SP&A 2/04
Fan Rong, Anurag Gupta, Peter Ritchken 'Hedging in the Possible Presence of Unspanned
Stochastic Volatility:Evidence from Swaption Markets' JofF 10/03
Fan Rong, Anurag Gupta, Peter Ritchken 'On the Performance of Multi-Factor Term
Structure Models for Pricing Caps & Swaptions' <term structure> 5/01
Fang G., Fred Hickernell 'Tractability of multivariate integration for periodic
continuous functions' 2003
Fang G., Fred Hickernell, H. Li 'Approximation on anisotropic multivariate Besov
classes of functions by standard information' 2003
Fang K., S. Kotz, K. Ng 'Symmetric Multivariate & Related Distributions' Chapman 87
Fang K., Y. Wang 'Number-Theoretic Methods in Statistics' Chapman 94
Fang K.T., Fred Hickernell 'Comment on experimental design and observation for large
systems' by R. A. Bates et. al., J. Roy. Statist. Soc. B 58 (1996)
Fang K.T., Fred Hickernell 'The uniform design and its applications' Bull. Inst.
Internat. Statist., 50th Session, Book 1 (1995), 333-349.
Fang K.T., Fred Hickernell 'Uniform experimental designs' 2003 in preparation.
Fang K.T., Fred Hickernell, Harald Niederreiter (eds.) 'Monte Carlo and quasi-Monte
Carlo methods 2000' Springer-Verlag, Berlin, 2002,
Fang K.T., Fred Hickernell, P. Winker 'Some global optimization algorithms in
statistics' Operations Research and Its Applications Lecture Notes in Operations
Research, vol. 2, World Publishing Corp. 1996
Fano-Leszczynski U. 'Hedgefonds für Einsteiger' Springer 11/04
Farmer Doyne, Laszlo Gillemot, Fabrizio Lillo, Szabolcs Mike, Anindya Sen 'What Really
Causes Large Price Changes?' QF 8/04
Farnsworth Heber, Richard Bass 'The Term Structure with Semi-credible Targeting' JofF
4/03
Fasano Antonio 'The Volume Scattering Effect in the Dynamics of Liquid-Liquid
Dispersions' SIAM News 4/2001
Fasshauer Greg 'Approximate Moving Least-Squares Approximation for Time-Dependent
PDEs' 5th World Congress on Computational Mechanics 2002
Fasshauer Greg 'RBF Collocation Methods & Pseudospectral Methods' 11/04 <PDE> <radial
basis>
Fasshauer Greg, A. Khaliq, David A. Voss 'A parallel time stepping approach using
meshfree approximations for pricing options with non-smooth payoffs' Bachelier
Conference 2004, <option-American>
Fasshauer Greg, A. Khaliq, David A. Voss 'Using Meshfree Approximations for Multi-
Assest American Option Problems' 2003 <option-American><Radial Basis Function>
Fatalov V. 'Asymptotics of Large Deviations for Wiener Random Fields in Lp-Norm,
Nonlinear Hammerstein Equations, and High-Order Hyperbolic Boundary-Value
Problems' Theory Prob. & its Applications V47, #4
Fatone L., P. Maponi, F. Zirlli 'Data Fusion & Nonlinear Optimization' SIAM News
Jan/Feb 02
Faulender Michael 'Hedging or Market Timing? Selecting the Interest Rate Exposure of
Corporate Debt' JofF 4/05
Faure H. 'Discrepence de Suites Associees a un Systeme de Numeration (en Dimension s)'
Acta Artihmetica 82
Faure-Grimaud Antoine, Denis Gromb 'Public Trading and Private Incentives' RFS Winter
04
Faust Jon, Dale Henderson 'Is Inflation Targeting Best-Practice Monetary Policy?' FRB
St. Louis Review July/Aug 2004
Favini A. 'Degenerate Differential Equations in Banach Spaces' Marcel Dekker 1999
Fefferman Charles 'Navier-Stokes Equations' <Math> Clays Foundation 2002
Feigenbaum James 'More on a Statistical Analysis of Log-Periodic Precursors to
Financial Crashes' 7/01 <trading>
Feinberg Eugene 'Continuous Time Discounted Jump Markov Decision Processes:A Discrete-
Event Approach' Math of O.R. 8/04
Feinstein Steve 'When Hedges Fail: The Put Paradox & its Solution' Deriv. Quart.97
Feller William 'Two Singular Diffusion Problems' Annals of Math 1951
Feng Lei, Mark Seasholes 'Correlated Trading and Location'JofF 10/04
Fengler Matthias, Wolfgang Hardle, Christophe Villa 'Dynamics of Implied
Volatilities:A Common Principal Components Approach' Review of Derivatives
Research 2003
Fenyman Richard 'Theory of Fundamental Processes'
Ferguson Michael, Richard Shockley 'Equilibrium "Anomalies"' Taxation' JofF 12/03
Fernandez-Fernandez Begonna, Patricia Saavedra Barrear 'Valuation & Optimal Exercise
Time for the Banxico Put Option' Intern. J. Theoetical & Applied Finance 5/03
Fernandez-Rodriguez F., Maria-Dolores Garcia-Artiles, Jan Manuel Martin-Gonzalez 'A
Model of Speculative Behavior with a Strange Attractor' App.Math. Finance 9/02
Fernando Alvarez, U. Jermann 'Efficiency,Equilibrium, and Asset Pricing with Risk of
Default' Econometrica 7/00
Fernholz Robert 'Equity Portfolios Generated by Functions of Market Weights' Finance &
Stochastics Oct 01 <portfolio>
Fernholz Robert 'Stochastic Portfolio Theory' Springer 2002
Fernholz Robert, Ioannis Karatzas 'Relative arbitrage in volatility-stabilized
markets' 2004
Fernholz Robert, Ioannis Karatzas, C. Kardaras 'Diversity and relative arbitrage in
financial markets' to be F&S 2005
Fernholz Robert, Ioannis Karatzas, Constantinos Kardaras ' Diversity and relative
arbitrage in equity markets'F&S 1/05
Ferrando Sebastian, Massimo Pascazi 'Gaussian Processes for Financial Time Series, a
C++ Implementation'U. Toronto
Ferreira Eva, Javier Gil-Bazo 'Beyond Single-factor Affine Term Structure Models' JFE
Vol 2 #4, 2004
Ferris Stephen, Muralim Jagannathan, A. Pritchard 'Too Busy to Mind the Business?
Monitoring by Directors with Multiple Board Appointments'JofF 6/03
Ferson Wayne, Andrew Siegel 'Efficient Use of Conditioning Information in Portfolios'
JofF 6/2001
Ferson Wayne, Andrew Siegel 'Stochastic Discount Factor Bounds with Conditioning
Information 'RFS Summer 03
Ferson Wayne, Sergei Sarkissian, Timothy Simin 'Spurious Regressions in Financial
Economics?' JofF 8/03
Feuerverger Andrey, Augustine Wong 'Computation of Value-at-Risk for Nonlinear
Portfolios' J.of Risk Fall 2000
Feyel D., A. Ustunel 'Monge-Kantorovich Measure Transportation & Monge-Ampere
Equation' Prob. Theory & Related Fields 2004 , wp 6/03 <stochastic><Cameron-
Martin>

Feynman Richard 'Negative Probability' 1987 in 'Quantum Implications:Essyas ... David

Bohm'<physics>
Field Laura, Gordon Hanka 'The Expiration of IPO Share Lockups' JofF 4/2001
Field Laura, Jonathan Karpoff 'Takeover Defenses of IPO Firms' JofF 10/02
Fielitz Bruce, James Rozelle 'Stable Distributions & the Mixtures of Distribution
Hypothesis for Common Stock Returns' JASA 83
Figà-Talamanca Gianna, Fabio Bellini 'Detecting and Modeling Tail Dependence'
Bachelier conference 2002
Figa-Talamanca Gianna, Maria-Letizia Guerra 'Complete Models with Stochastic
Volatility:Further Implications' wp 2000
Figa-Talamanca 'Which input in the calibration of a stochastic volatility model?'
Bachelier Conference 2004
Figlewski Stephen 'Accessing the Incremental Value of Option Pricing Theory Relative
to an Informationally Passive Benchmark' J. of Derivatives Fall 02
Figueroa-Lopez Jose, Christian Houdre 'Nonparametric estimation of Exponential Levy
Models for asset prices' Bachelier Conference 2004
Filinkov A., J. Sorensen 'Differential Equations in Spaces of Abstract Stochastic
Distributions'S&SR 2002
Filipovic Damir 'A General Characterization of One Factor Affine Term Structure
Models' <term structure> 1/01
Filipovic Damir 'Separable Term Structures & the Maximal Degree Problem'MF Oct/02 ,
<term structure> 7/2001 <arbitrage>
Filipovic Damir 'Time-Inhomogeneous Affine Processes' SP&A 4/05 , <term structure>
<Duffie, Schachermayer> 10/02
Filipovic Damir, Jerzy Zabczyk 'Markovian Term Structure Models in Discrete Time'
<term structure> <HJM,Musiela forward curve> 7/2001
Filipovic Damir, Josef Teichmann 'Finite Dimensional Realizations of HJM Models'
<term structure>
Filipovic Damir, Josef Teichmann 'On the Geometry of the Term Structure of Interest
Rates' 3/02 <term structure> <HW,Vasicek, CIR,finite dimensional>
Filipovic Damir, Li Chen 'Credit Derivatives in an Affine Framework' Bachelier
Conference 2004
Finch Steven 'Mathematical Constants' 2003 Cambridge Press
Finger C. 'A Comparison of Stochastic Default Rate Models' 2000 Riskmetrics
Finkenstadt Barbel, Holger Rootzen 'Extreme Values in Finance, Telecommunications, &
the Enviornment' 7/03 Chapman & Hall/CRC
Finnegan Jim 'Future of Quantitative Computing:II' Fin. Eng. News Sept/Oct 03
Finnegan Jim 'Establishing Arbitraqe-Free Currency Futures Prices:The Box Diagram
Approach' Fin. Eng. News Sept/Oct 03
Finnerty John 'Exact Formulas for Pricing Bond & Options When Interest Rate Diffusions
Contain Jumps' 2004 <HJM, Vasicek, Jamshidian diffusion, Poisson-Gaussian jimps
to be Journal of Financial Research
Finucane Thomas 'A Simple Linear Weighting Scheme for Black-Scholes Impled
Volatilities--a Note' J. Bank.& Finance 89
Fiorani F. 'The Variance-Gamma Process for Option Pricing' 2001 <just version of
Hirsa, Madan 'Pricing ...' J. Comp. Finance>
Fiorentini Gabriele, Enrique Sentana, Neil Shephard 'Likelihood-Based Estimation of
Latent Generalized ARCH Structures 'Econometrica 9/04
Firth Neil 'Upper Bounds for American Option Prices using Regression with Martingale
Basis Functions' 2004 <option-American>
Firth Neil, Jeff Dewynee 'High Dimensional Radial Barrier Options' 1/04 <option-
Barrier><American, Laplace, Normalized Non-Dimensional>
Fishe Raymond 'How Stock Flippers Affect IPO Pricing & Stabilization' JF&QA 6/02
Fisher Adlai, Laurent Calvet, Benoit Mandelbrot 'Multifractality of Deutschemark/US
Dollar Exchange Rates' Cowles Yale 97
Fisher Mark 'Forces that Shape the Yield Curve:Part 1 and 2' FRB Atlanta 3/01 <term
structure>
Fisher Mark 'Modeling the Term Structure of Interest Rates:An Introduction' FRB
Atlanta Economic Review 3Q 04 <term structure>
Fisher Mark 'Special Repo Rates:An Introduction' FRB Atlanta 2Q 2002 <Repo>
Fisher Mark, Christian Gilles 'An anlysis of the doubling strategy: The countable
case' Bachelier Conference 2004
Fishman G. 'Monte Carlo:Concepts, Algorithms & Applications' Springer 96
Fishman G., B. Huang 'Antithetic Variates Revisited' Comm. of the ACM 83
Fishman G., L. Moore 'An Exhaustive Analysis of Mutiplicative Congruential Random
Number Generators with Modulus 2^31 -1 ' SIAM J. Sci.& Stat. Comp 86
Fisman Raymond, Inessa Love 'Financial Development and Intersectoral Allocation: A New
Approach' JofF 12/04
Fisman Raymond, Inessa Love 'Trade Credit, Financial Intermediary Development, and
Industry Growth' JofF 2/03
Fitzsimmons P. 'A Converse to a Theorem of P. Levy' Annals of Prob. 87
Fitzsimmons P., Jim Pitman 'Kac's Moment Formula & the Feynman-Kac Formula for
Additive Functionals of a Markov Process' 97
Fjelstad Mary, Steven Fox 'Modeling Active Management in the Japanese Bond Market' J.
Fixed Income 12/02
Flaherty Joseph Renn. Polytech
Flaherty Joseph, P.K. Moore 'Integrated Space-Time Adaptive hp-Refinement Methods for
Parabolic Systems' Appl. Numer Maths. 95
Flamouris Dimitris, Daniel Giamouridis 'Estimating Implied PDFs from American
Options:A New Semi-Parametric Approach' J. Futures Markets 1/02 ,<option-
American> 10/2000
Flamouris Dimitris, Daniel Giamouridis 'Valuing Exotic Derivative with Jump
Diffusions:The Case of Basket Options' <option-basket> 1/01 <Bernoulli jumps>
Flannery Mark, Aris A. Protopapadakis 'Macroeconomic Factors Do Influence Aggregate
Stock Returns' RFS Summer 02
Flannery Sarah 'Cryptographic Investigation of a New Algorithm vrs. RSA'
<cryptography> <Cayley-Purser>
Fleming Jeff 'The Quality of Market Volatility Forecast Implied by S&P 500 Index
Option Prices' J. Empirical Finance 98
Fleming Jeff, Chris Kirby 'A Closer Look at the Relation between GARCH & Stochastic
Autoregressive Volatility' 8/01
Fleming Jeff, Chris Kirby, B. Ostdiek 'The Economic Value of Volatility Timing' JofF
2/2001
Fleming Jeff, Chris Kirby, Barbara Osdiek ‘Stochastic Volatility, Trading Volume, and
the Daily Flow of Information’ JofB 7/06
Fleming Wendell, Daniel Hernandez-Hernandez 'An Optimal Consumption Model with
Stochastic Volatility' Finance and Stochastics V.7,#2 2003
Fleming Wendell, Raymond Rishel 'Deterministic & Stochastic Optimal Control' Springer
1975
Fleming Wendell, Tao Pang 'A Stochastic Control Model of Investment, Production &
Consumpution' Quarterly of Applied Mathematics 3/05
Fleming Wendell, Tao Pang 'An Application of Stochastic Control Theory to Financial
Economics' SIAM J. Control & Opt. 8/04
Flor Christian Riis 'Asset Substitution and Debt Renegotiation' Bachelier Conference
2004
Flyer Natasha, Paul Swarztrauber 'The Convergence of Spectral & Finite Difference
Methods for Initial-Boundary Value Problemss' SIAM J. Scientific Computing 2002
<PDE>
Focardi Sergio, Frank Fabozzi 'A Methodology for Index Tracking Baed on Time-Series
Clustering' QF 8/04
Focardi Sergio, Frank Fabozzi 'A percolation approach to modeling credit loss
distribution under contagion' J.Risk Fall 2004
Fok Johnson, Benyu Guo, Tao Tang 'Combined Hermite Spectral-Finite Difference Method
for the Fokker-Planck Equation' Math. of Computation 12/01 <PDE> <converge>
Foley Duncan, Miguel Sidrauski 'Portfolio Choice, Investment & Growth' AER <portfolio>
Follmer Hans 'Probabilistic Aspects of Financial Risk' <stochastics>
<hedge,consumption> 12/2000
Follmer Hans, Alexander Schied 'Convex Measures of Risk and Trading Constraints '
Finance and Stochastics 2002
Follmer Hans, Alexander Schied 'Robust Preferences & Convex Measures of Risk' 1/02
<risk><Savage representation preferences>
Fong W.,P. Chng 'On the Rate of Information Absorbtion in the Conditional Variance of
SES Dual Listed Stocks' Inter.J. Theor & App. Finance 4/2000
Fontes L.R.G., D.P. Medeiros, M. Vachkovskais 'Time Fluctuations of the Random Average
Process with Parabolic Initial Conditions'SP&A 2/03
Forbes Kristin, Roberto Rigobon 'No Contagion, Only Interdependence: Measuring Stock
Market Comovements' JofF 10/02
Ford Lawrence, Thomas Roman 'Negative Energy, Wormholes & Warp Drive' Scientific
American 'Edge of Physics' 2003
Forges Francoise, Jean-Francois Mertens, Rajiv Vohar 'The Ex Ante Incentive Compatible
Core in the Absence of Wealth Effects 'Econometrica 9/02
Forgy Eric 'A Forward to "Noncommutative Geometry & Stochastic Calculus in
Mathematical Finance"' 5/02 Wilmott Tech articles <option-numeric> <Dimakis,
Muller-Hoissen,Alain Connes>
Forgy Eric 'Noncommutative Geometry & Stochastic Calculus in Mathematical Finance'
5/02 Wilmott Tech articles <option-numeric> <Dimakis, Muller-Hoissen>
Fornberg Bengt 'A Practical Guide to Pseudospectral Methods' Cambridge Press 98
Fornberg Bengt 'Stable Computation of Multiquadric Interpolants for all Values of the
Shape Parameter' Comput. Math Appl. 2004
Fornberg Bengt, G. Wright 'Stable Computation of Mutiquadratic Interpolants for all
Values of the Shape Parameter' Comput. Math. Appl. to appear
Fornberg Bengt, N. Flyer 'Accuracy of Radial Basis Function Interpolation & Derivative
Approximations on 1-D Infinite Grids' Adv. Comput. Math. to appear
Forsgren Anders, Philip Gill, Margaret Wright 'Interior Methods for Nonlinear
Optimization' SIAM Review 12/02
Forsyth Peter, Kenneth Vetzal, Robert Zvan 'Convergence of Numerical Methods for
Valuting Path-Dependent Options Using Interpolation' R. Derivatives Research V.5
#3 2002 <Option-Path>
Fortini Sandra, Lucia Ladelli, Giovanni Petris and Eugenio Regazzini 'On Mixtures of
Distributions of Markov Chains' SP&A July/Aug 2002
Forzzani Liliana, Carlos Tolmasky 'A Family of Models Explaining the Level-Slope-
Curvature Effect' Intern. J. Theoetical & Applied Finance 5/03
Foster James, E. Ok 'Lorenz Dominance & the Variance of Logarithms' Econometrica 7/99
Foucault Thierry, Ailsa Röell, Patrik Sandas 'Market Making with Costly Monitoring: An
Analysis of the SOES Controversy'RFS Summer 03
Fouque Jean-Pierre, Chaun-Hsiang Han 'Variance Reduction for Monte Carlo Methods to
Evaluate Option Prices under Multi-Factor Stochastic Volatility Models' QF 10/04
Fouque Jean-Pierre, Chuan-Hsiang Han 'A Control Variate Method to Evaluate Option
Prices under Multi-Factor Stochastic Volatility Models' 2004 <volatility>
Fouque Jean-Pierre, Chuan-Hsiang Han 'Asian Options under Multiscale Stochastic
Volatility' <volatility> 2003
Fouque Jean-Pierre, Chuan-Hsiang Han 'Evaluation of Compound Options using
Perturbation Approximation' 4/04 <option-compound>
Fouque Jean-Pierre, Chuan-Hsiang Han 'Pricing Asian Options with Stochastic
Volatility' QF 10/03 <option-Asian>
Fouque Jean-Pierre, George Papanicolaou, Ronnie Sircar 'From the Implied Volatility
Skew to a Robust Correction to Black-Scholes American Option Prices'Inter. J.
Theor & App. Finance 8/01 , wp 3/2000 <option-American>
Fouque Jean-Pierre, George Papanicolaou, Ronnie Sircar 'Stochastic Volatility &
Epsilon-Martingale Decomposition'
Fouque Jean-Pierre, George Papanicolaou, Ronnie Sircar, Knut Solna 'Singular
Perturbations in Option Pricing' SIAM J. Appl. Math 3002 <volatility>
Fouque Jean-Pierre, George Papanicolaou, Ronnie Sircar, Knut Solna 'Maturity cycles in
implied volatility' F&S 10/04
Fouque Jean-Pierre, George Papanicolaou, Ronnie Sircar, Knut Solna 'Multiscale
Stochastic Volatility Asymptotics' <volatility> 2003
Fouque Jean-Pierre, George Papanicolaou, Ronnie Sircar, Knut Solna 'Short Time-Scale
S&P500 Volatility' J. Comp. Finance Summer 03
Fouque Jean-Pierre, Ronnie Sircar, Knut Solna 'Default and Volatility Time Scales'
Bachelier Conference 2004
Fouque Jean-Pierre, Tracey Andrew Tullie 'Variance Reduction for Monte Carlo
Simulation in a Stochastic Volatility Environment' QF 2/2002 <volatility>
Fournier Nicolas 'Jumping SDEs:Absolute Continuity Using Monotonicity' SP&A 4/02
Fox Bennett 'Algorithm 647:Implementation & Relative Efficiency of Quasirandom
Sequence Generators' ACM Trans. Math. Software 1986
Fox Bennett 'Filtering the Feynman-Kac Formula' SIAM J. Num. Analy. 2002
<stochastic><Brownian, generalized heat equation, smoothing, integraton, quasi-
monte carlo, computational finance>
Fox Bennett 'Strategies for Quasi-Monte Carlo' Kluwer Press 1999
Fox Bennett, Peter Glynn 'Replication Schemes for Limiting Expectations' Prob. in
Engin. & Inform. Systems 1989
Fox Bennett, Peter Glynn 'Simulating Discounted Costs' MS 1989
Fragoso Marcel, Jack Baczynski 'On an Infinite Dimensional Perturbed Riccati
Differential Equation Arising in Stochastic Control' <control> <infinite Markov
jump>
Fragoso Marcel, Jack Baczynski 'Optimal Control for Continuous-Time Linear Quadratic
Problems with Infinite Markov Jump Parameters' SIAM J. Control & Opt. 2001
<control> <infinite Markov jump>
Framstad Nils 'COHERENT PORTFOLIO SEPARATION - INHERENT SYSTEMIC RISK?' IJT&AF 11/04
Framstad Nils, Bernt Oksendal, Agnes Sulem 'Optimal Consumption & Portfolio in a Jump
Diffusion Market with Proportional Transaction Costs' J. Math Econ. 2001
<portfolio>
Francis Bill, Iftekhar Hasan, Delroy M. Hunter ‘Dynamic Relations between
International Equity and Currency Markets: The Role of Currency Order Flow’ JofB
1/06
Francis Neville, Michael Ourjong, Athena Theodorou 'The Use of Longrun Restriction for
the Identification of Technology Stocks' FRB S.L. Nov/Dec 03 <stocks>
Francois Pascal 'A Note on Pricing & Hedging Asian Options with Observation Frequency'
11/01 <option-Asian><discrete>
Franke C., R. Schaback 'Convergence Orders of Meshless Collocation Methods Using
Radial Basis Functions' Adv. Comput. Math 98
Franke F., Wolfgang Hardle, G. Stahl 'Measuring Risk in Complex Stochastic Systems'
Springer 2000
Franke J., Wolfgang Hardle, C. Hafner 'Statistics of Financial Markets' 2004 Springer
Frankel Theodore 'The Geometry of Physics' 2003 Cambridge Press
Franks Julian, Colin Mayer 'Ownership & Control of German Corporations' RFS Winter
2001
Franses Philip Hans, Richard Paap 'Periodic Time Series Models' 2004 Oxford Press
Fredman Albert, Joseph Reising 'Explaining Performance Trends in Leveraged Loan
Investments' J. Fixed Income Sept 01
Frees E.W., E.A. Valdez 'Understanding Relationships Using Copulas' U.Wisc. 97
French Craig, Jimmy Liew 'Hedge Fund Investing: Some Quantitative Notes' SSRN 3/05
Frey Rudiger, Alexander McNeil 'Modeling Dependent Defaults' 8/01 <credit risk>
Frey Rudiger, Alexander McNeil 'VaR & expected shortfall in portfolios of dependent
credit risks: Conceptual and practical insights' Journal Of Banking And Finance
(26)7 (2002)
Frey Rudiger, Alexander McNeil, Mark Nyfeler 'Copulas & Credit Models' <credit risk>
RISK 11/01
Frey Rudiger, Jochen Backhaus 'Markov Models for Interacting Defaults and Counterparty
Risk' Bachelier Conference 2004
Fridson Martin, Yan Gao 'Defaulted Bond Returns by Seniority Class' J. Fixed Income
9/02
Friedberg Leora, Michael Owyang 'Not Your Fathers Pension Plan:Rise of 401K & Other
Defined Contribution Plans' Review St. Louis FRB Jan 02
Friedman Avner, W. Shen 'A Variational Inequality Approach to Financial Valuation of
retirement Benefits Based on Salary' to be Finance and Stochastics 2001
Friedman C. 'Conditional Value-at-Risk in the Presence of Multiple Probability
Measures' J. of Risk Spring 02
Friedman C. 'Confronting Model Misspecification in Finance:Tractable Collections of
Scenario Probabilitiy Measures for Robus Financial Optimization Problems'
Intern. J. Theor. & Applied Finance 2/02
Friedman Craig, Sven Sandow 'A Financial Approach to Machine Learning with
Applications to Credit Risk' Bachelier Conference 2004
Friedman Craig, Sven Sandow 'Model Performance Measures for Expected Utility
Maximizing Investors' Inter. J. Theor. & App. Finance 6/03
Friedman Craig, Sven Sandow 'MODEL PERFORMANCE MEASURES FOR LEVERAGED INVESTORS'IJT&AF
8/2004
Frishling Volf 'A Discrete Question' <option-pricing> <discrete dividends> RISK 1/02
Frittelli Marco 'Optimal solutions to utility maximization and to the dual problem'
Bachelier conference 2002
Frittelli Marco 'Representing Sublinear Riks Measures & Pricing Rules' 2000
Frittelli Marco 'SOME REMARKS ON ARBITRAGE AND PREFERENCES IN SECURITIES MARKET
MODELS'MF 7/04
Frittelli Marco, Emanuela Rosazza Gianin, 'Putting order in risk measures' Journal Of
Banking And Finance (26)7
Frittelli Marco, Sara Biagini 'Utility maximization for unbounded processes' Bachelier
Conference 2004
Friz Peter 'Malliavin Calculus in Finance' NYU <option-pricing>
Frolov A., N. Chentsov 'On the Calculation of Definite Integrals Dependent on a
Parameter by the Monte Carlo Method' USSR J. Computationa Math. & Math. Physics
1963
Frolova A., Yuri Kabanov, S. Pergamenshchikov 'In the Insurance Business Risky
Investments are Dangerous' Finance and Stochastics 4/02
Froot Kenneth, Tarun Ramadorai 'Currency Returns, Intrinsic Value, and Institutional-
Investor Flows' JofF 6/05
Fruhwirth M. 'A Heath-Jarrow-Morton Duration & Convexity:A Generalized Approach'
Inter. J. Theoretical & App. Finance 11/02,<term structure><HJM> 6/01
Frye Jon 'A False Sense of Security' 8/03 <credit risk><LGD-Loss Given Default>
Frye Jon 'Basel Inflicts Collateral Damage' RISK 11/01
Frye Jon 'Weighted for Risk' <colateral, seniority, defaults> RISK 5/2001
Fu J.C. 'Distribution Theory of Runs & Patterns & its Applications' 2001 World
Scientific
Fu Michael, Y. Su 'Optimal Importance Sampling in Securities Pricing' J. Computational
Finance Summer 2002
Fuhrman M., G. Tessitore 'The Bismut-Elworthy Formula for Backward SDE's and
Applications to Nonlinear Kolmogorov Equations and Control in Infinite
Dimensional Spaces'S&SR 2002
Fuhrman Marco 'A Class of Stochastic Optimal Control Problems in Hilbert Spaces:BSDEs
& Optimal Control Laws, State Constraints, Conditioned Processes' SP&A 2003
<SDE>
Fuhrman Marco, Gianmario Tessitore 'Existence of Optimal Stochastic Controls and
Global Solutions of Forward-Backward Stochastic Differential Equations' SIAM J.
Control & Opt. 2004
Fujita T., F. Petit, Marc Yor 'Pricing path-dependent options in a Black-Scholes
market from the distribution of homogeneous Brownian functionals' Journal of
Applied Probability 3/2004 , wp 2003 <option-pricing>
Fuller Kathleen, Jeffry Netter, Mike Stegemoller 'What Do Returns to Acquiring Firms
Tell Us? Evidence from Firms That Make Many Acquisitions' JofF 8/02
Fulton Charles, Steven Pruess 'The Computation of Spectral Density Functions for
Singular Sturm-Liouville Problems Involving Simple Continuous Spectra' ACM Trans
Math. Software 98
Fulton Charles, Steven Pruess, Y. Xie 'The Automatic Classification of Sturm-Liouville
Problems' J. App. Math & Comput 96
Fung William, David Hsieh 'Risk in Fixed-Income Hedge Fund Styles' J. Fixed Income
9/02
Fung William, David Hsieh 'The Risk in Hedge Fund Strategies:Theory & Evidence from
Trend Followers' RFS Summer 2001
Furfine Craig ‘The Costs and Benefits of Moral Suasion: Evidence from the Rescue of
Long-Term Capital Management’ JofB 3/06
Fusai Gianluca 'Pricing Asian Options via Fourier & Laplace Transforms' J. Comp.
Finance Spring 04
Fusai Gianluca, A. Tagliani 'An Accurate Valuations of Asian Options Using Moments'
Inter. J. Theo. & Applied Finance 3/02 <option-Asian>
Fusai Gianluca, A. Tagliani 'Pricing of Occupation Time Derivatives:Continuous &
Discrete Monitoring' J. Comp. Finance Fall 01 <options-numeric><Laplace,finite
difference, Monte Carlo>
Fusai Gianluca, Attilio Meucci 'Assessing Views' RISK 3/03 <Black-Litterman subjective
view portfolio management>
Gaiffe S., R. Glowinski, R. Masson 'Methods de Decomposition de Domain et D'Operator
Pour les Problems Paraboliques' C.R. Acad. Scie Paris Ser I Math 2000
Gaines J., T. Lyons 'Random Generation of Stochastic Area Integrals' J. on Applied
Mathematics 94
Gaines Jessica 'The Algebra of Iterated Stochastic Integrals' S&SR 94
Gaines Jessica, T.J. Lyons 'Variable Step Size Control in the Numerical Solutionn of
Stochastic Differential Equations' SIAM J. Applied Math 97
Gaivoronski Alexei, Fabio Stella 'On-line portfolio selection using stochastic
programming'J. Econ. Dynamics & Control 2003
Gaivoronski Alexei, Georg Pflug 'Value-at-risk in portfolio optimization: properties
and computational approach' Journal of Risk Winter 05
Galagedera Don, Robert Faff 'MODELING THE RISK AND RETURN RELATION CONDITIONAL ON
MARKET VOLATILITY AND MARKET CONDITIONS' IJT&AF 1/05
Gale Douglas, Hamid Sabourian 'Complexity and Competition' Econometrica 5/05
Gallardo L. 'A multidimensional central limit theorem for random walks on
hypergroups'S&SR 2002
Gallmeyer Michael, Burton Hollifield 'An Examination of Heterogeneous Beliefs with a
Short Sale Constraint' Bachelier conference 2002
Gallmeyer Michael, Burton Hollifield, Duane Seppi 'Liquidity Discovery and Asset
Pricing' Bachelier Conference 2004
Galluccio Stefano 'A Market Model for Illiquid Bond Options Consistent with the
Swaption Smile' Bachelier conference 2002
Galluccio Stefano, Jean-Philippe Bouchaud, Marc Potters 'Rational Decisions, Random
Matrices and Spin Glasses' Physica A 98
Galy Sebastien 'A Better Approximate Formula for Pricing American Options' <option-
American> 12/2000 <Barlone-Adesi, Whaley, McMillan>
Gamba Andrea, Lenos Trigeorgis 'A Log-Transformed Binomial Lattice Extension for
MultiDimensional Option Problems' 2001 lecture
Gamba Andrea, Paolo Pellizzari 'Utility Based PRicing of Contingent Claims in
Incomplete Markets' Appl. Math. Finance 12/02
Gamrowski B., Svetlozar Rachev 'Financial Models Using Stable Laws' Proborov ed 'Prob.
Theory & its Appl.95
Ganesh A., N. O'Connell 'A large deviation principle with queueing applications'S&SR
2002
Gao Bin 'Adaptive Binomial Model for Derivative Prices' Bachelier conference 2002
Gao Jiti 'Modelling long-range-dependent Gaussian processes with application in
continuous-time financial models' Journal of Applied Probability 6/2004
Gao Yuan, Kian Guan Lim, Kah Hwa Ng 'An approximation pricing algorithm in an
incomplete market: a differential geometric approach' F&S 10/04
Gao Yuan, Kian Guan Lim, Kah Hwa Ng 'Differential Geometry of Equivalent Martingale
Measures in an Incomplete Market' Bachelier conference 2002
Gapeev Pavel 'The lookback American option with finite horizon' Bachelier Conference
2004
Garbade Kenneth 'Pricing Corporate Securities as Contingent Claims ' MIT 1991
Garcia Diego 'A Monte Carlo Method for Pricing American Options' 8/2000 <option-
american>
Garcia Diego 'Convergence & Biases of Monte Carlo Estimates of American Option Prices
using a Parametric Exercise Rule' J. Econ.Dyn. & Control 2003 <options-
American>
Garcia Joao, Helmut van Ginderen, Reinaldo Garcia 'On the Pricing of Credit Spread
Options:A Two Facotr HW-BK Algorithm' Inter. J. Theor. & Appl. Finance 8/03
<credit risk>
Garcia Rene, Eric Renault 'Latent Variable Models for Stochastic Discount Factors'
Handbook of Mathematical Finance ed. Jouini, Cvitanic, Musiela
Garcia Rene, Richard Luger, Eric Renault 'Asymmetric Smiles, Leverage Effects &
Structural Parameters' 1/2001 <volatility>
Garcia Rene, Richard Luger, Eric Renault 'Empirical Assessment of an Intertemporal
Option Pricing Model with Latent Variables' J. Econometric 8/03 ,1/2001
<option-pricing> <Hull-White, Stochastic volatility>
Garcia-Archilla B., E. Edriss 'Postprocessing the Galerkin method: the Finite-Element
Case' SIAM J. Numer Anal. 2000
Garmaise Mark 'Rational Beliefs & Security Design' RFS Winter 2001
Garner Jacqueline, Beverly Marshall ‘Unit IPOs:What the Warrant Characteristics Reveal
about the Issuing Firm’ JofB 9/05
Garrett Thomas 'Casino Gaming & Local Employment Trends' FRB St. Louis Review Jan/Feb
04
Garrett Thomas, Gary Wagner 'State Government Finances:WWII to the Current Crises' FRB
St. Louis Review March/April 04
Garrett Thomas, Ruben Hernandez-Murillo, Michael Owyang 'Does Consumer Sentiment
Predict Regional Consumption?' FRB St. Louis Review March/April 2005
Garrett Thomas, Russell Rhine 'Social Security versus Private Retirement Accounts:A
Historical Analysis' FRB St. Louis Review March/April 2005
Garroni M., J. Menaldi 'Green Functions for Second Order Parabolic Integro-
Differential Problems' Pitman 93
Garvey Gerald, Todd Milbourn 'Incentive Compensation When Executives Can Hedge the
Market: Evidence of Relative Performance Evaluation in the Cross Section' JofF
8/03
Gaspar Raquel 'General Quadratic Term Structures of Bond, Forward and Futures Prices'
Bachelier Conference 2004
Gatarek Dariusz 'Calibration of the LIBOR Market Model:Three Prescriptions' 3/03 <term
structure>
Gatarek Dariusz 'Constant Maturity Swaps, Forward Measure & LIBOR Market Model' 2003
<term structure>
Gatarek Dariusz 'LIBOR Market Model with Stochastic Volatility' 3/03 <term structure>
Gatarek Dariusz, Jaroslaw Kolakowski 'Recombining Trees for One-Dimensional Forward
Rate Models' 3/03 <term structure><calibration, BGM,HJM>
Gatheral Jim 'Fitting the Volatility Skew' lecture NYU math 2001 <volatility>
Gatheral Jim 'Stochastic Volatility & Local Volatility' NYU 01
Gatheral Jim 'The Volatility Skew:Arbitrage Constraints & Asymptotic Behavior' Merrill
Lynch 1999
Gatheral Jim, Andrew Matytsin, Chrif Youssfi 'The Rational Shape of the Volatility
Surface' Merill Lynch 2000
Gaudenzi Marcellino, Livio Clemente Piccinini 'Barrier Options:An Approach by Finite
State Systems of Black-Scholes Equations' 2001 lecture
Gaudenzi Marcellino, Maria Lepellere 'Pricing Discret Barrier Options by the Binomial
Method' 2001 lecture
Gaussel Nicolas, Fabrice Baudoin 'How can asset allocation benefit from a complex
piece of information ?' Bachelier conference 2002
Gaussel Nicolas, Marie Pascale Leonardi 'Bridging the Gap Between Financial and
Actuarial Pricing' Bachelier Conference 2004
Gauthier Laurant 'A Transaction Cost Convergence Result for General Hedging
Strateties' Stochastic Models 2001
Gauthier Laurant 'Another Look at Home Equity Loan Prepayments' J. Fixed Income March
2001
Gauthier Laurent 'Excursion Height- and Length-Related Stopping Times and Applications
to Finance' Adv. App. Prob. 12/02 <Parisian, real options>
Gauthier Laurent 'Informed Opportunistic Trading & Price Optimal Control' Intern. J.
Theoretical & Appl. Finance 2/03
Gauthier Laurent 'Real Options and Exotic Options:A Probabilistic Approach' PhD U.
Paris I 12/02 <options-real><contains "Parisian Option","Excursion
Length...","Trans. Cost..." papers>
Gavin W., R. Mandal 'Forecasting Inflation & Growth:Do Private Forecasts Match Those
of Policymakers?' Review FRB St.Louis May/June 2001
Gawarecki Leszek 'Extension of a Stochastic Integral with Respect to Cylindrical
Martingales' Stats. & Prob. Letters 97
Geiss Stefan 'Quantitative approximation of certain stochastic integrals' S&SR 2002
Geiss Stefan 'Weighted BMO and discrete time hedging within the Black-Scholes model'
Prob. Theory & Related Fields 5/05 <weighted bound mean oscillation>
Geiss Stefan, Christel Geiss 'On the Relation between Approximation Rates of
Stochastic Integrals & Properties of its Integrands' Bachelier conference 2002
Geman Helyette 'Commodities & Commodity Drivatives:Modelling & Pricing for
Agriculturals, Metals & Energy' 2005 Wiley Press
Geman Helyette 'From Measure Changes to Time Changes for Asset Pricing' Bachelier
Conference 2004
Geman Helyette 'Functionals of Brownian Motion in Path-Dependent Option Valuation'
<option-path><FX,Monte Carlo, Asian>
Geman Helyette 'Learning about Risk:Some Lessons from Insurance' European Finance
Review 99 <risk> <default bond>
Geman Helyette 'Pure Jump Levy Processes for Asset Pricing Modelling' J. Banking and
Finance 2002 <Brownian> <time changes,quadratic variation,hyperbolic motion,
CGMY>
Geman Helyette 'The CGMY Model' Handbook Math. Financed (ed. Dilip Madan)
Geman Helyette 'Time Changes, Laplace Transforms & Path-Dependent Options'
Computational Economics 2/01<option-path> <Monte Carlo, FX, Asian>
Geman Helyette, Andrea Roncoroni ‘Understanding the Fine Structure of Electricity
Prices’ JofB 5/06
Geman Helyette, Dilip Madan, Marc Yor 'Stochastic Volatility, Jumps & Hidden Time
Changes' Finance and Stochastics 1/02 <volatility>
Geman Helyette, Marc Yor 'Some Relations Between Bessel Processes, Asian Options &
Confluent Hypergeometric Functions' in Expon. Functionals of Brownian Motion &
Related Processes Springer 92
Geman Helyette, Oldrich Vasicek 'Plugging into Electricity' RISK 08/01 <options-
energy>
Gemmill Gordon, Dylan Thomas ' Noise-Trading, Costly Arbitrage, and Asset
Prices:Evidence from Closed End Funds'JofF 12/02
Gencay Ramazan, Furuk Selcuk, Brandon Whitcher 'An Introduction to Wavelets & Other
Filtering Methods in Finance & Economics' 2001 Academic Press
Gencay Ramazan, Michel Dacorogna, Richard Olsen, Olivier Pictet 'Foreign exchange
trading models and market behavior'J. Econ. Dynamics & Control 2003
Gencev T.G. 'Ultraparbolic Equations' Dokl. Akad Nouk SSSR 63 , English Soviet Math.
Dokl 63
Genest C. 'Distributions with Given Marginals & Statistical Modelling' Conference
Proc. 2000
Genest C., L. Rivest 'Statistical Inference Procedures for Bivariate Archimedean
Copulas' JASA 93
Gentle J. 'Random Number Generation & Monte Carlo Methods' Springer 98
Genz Alan 'Comparison of Methods for the Computation of Multivariate Normal
Probabilities' Computing Science & Statistics 93
Genz Alan 'Finding Critical Values Using Numerical Integration' 99 <numeric>
<multivariate distribution>
Genz Alan 'Numerical Computation of Bivariate and Trivariate Normal
Probabilities'www.math.wsu.edu/math/faculty/genz/homepage
George Allayannis George, Jane Ihrig 'Exposure and Markups' RFS 2001
George Thomas, Chuan-Yang Hwang 'Information Flow & Pricing Errors:Unified Approach to
Estimation & Testing' RFS Winter 2001
George Thomas, Chuan-Yang Hwang 'The 52-Week High and Momentum Investing'JofF 10/04
Georgi H. 'Unified Theory of the Elementary Particles & Forces' "Particle Physics in
the Universe" Freeman & Co. {Scien.Amer. articles>
Georgiev G. 'Analytically Beyond Black-Scholes' 6/96 RUTCOR <option-pricing>
Gerard Bruno, Guojun Wu ‘How Important Is Intertemporal Risk for Asset Allocation?
Analysis’ JofB 11/06
Gerlach S., F. Smets 'The Term Structure of Euro-Rates:Some Evidence in Support of the
Expectations Hypothesis'J. Inter.Money & Fiannce 97
Gerstner Thomas 'Numerical Quadrature in Finance' <options-numeric>
Gerstner Thomas, Michael Griebel 'Numerical Integration using Sparce Grids' Numerical
Algorithms 1988 <numerics>
Gertner Robert, Eric Powers, David Scharfstein' Learning about Internal Capital
Markets from Corporate Spinoffs'JofF 12/02
Gervais Simon, Ron Kaniel, Dan Mingelgrin 'High-Volume Return Premium' JofF 6/2001
Gervais Simon, T. Odean 'Learning to be Overconfident' RFS 1/2001
Getoor Ron 'Brownian Escape Process' Annals of Prob 79
Getoor Ron, Mike Sharpe 'Arc-Sine Laws for Levy Processes' <stochastics>
Getry William, Deen Kemsley, Christoper Mayer 'Dividend Taxes and Share Prices:
Evidence from Real Estate Investment Trusts' JofF 2/03
Geweke John, Gautam Gowrisankaran, Robert Town 'Bayesian Inference for Hospital
Quality in a Selection Model' Econometrica 7/03
Geweke John, Susan Porter-Hudak 'The Estimation & Application of Long Memory Time
Series Models' J. Time Series Analysis 83
Ghrist Michelle, Bengt Fornberg, Tobin Driscoll 'Staggered Time Integrators for Wave
Equations' SIAM J. Numer. Anal. 2000 <PDE>
Ghysels Eric, George Tauchen 'Frontiers of Financial Econometrics and Financial
Engineering' J. Econometric Aug 2003
Ghysels Eric, Pedro Santa-Clara, Rossen Valkanov 'Predicting Volatility: Getting the
Most out of Return Data Sampled at Different Frequencies' 11/04
Giamouridis Daniel 'Asymptotic Distribution Expansions in Option Pricing:A New Method
for Recovering Implied PDFs with an Application to Interest Rate Futures
Options'
Giamouridis Daniel, Michael Tamvakis 'A New Method for Recovering Implied PDF's from
American Options on Futures with an Application in the Interest Rate Market'
1/2001 <option-Americn>
Giamouridis Daniel, Michael Tamvakis 'Asymptotic Distribution Expansions in Option
Pricing' J. of Derivatives Summer 02 <option-pricing>
Giannetti Antoine, Rui Zhong, Lixin Wu 'INVENTORY HEDGING AND OPTION MARKET MAKING'
IJT&AF 11/04
Giannetti Mariassunta 'Do Better Institutions Mitigate Agency Problems? Evidence from
Corporate Finance Choices ' JF&QA 3/03
Gibson Michael 'Is Corporate Governance Ineffective in Emerging Markets? ' JF&QA 3/03
Gibson Michael 'Understanding the Risk of Synthetic CDOs'SSRN 2004
Gibson R., A. Sims, D. Thurston 'Empirical Comparison of One-Factor Heath-Jarrow-
Morton Term Structure Models' U. New S. Wales 95
Gidas Basilis, Alejandro Murua 'Optimal transformations for prediction in continuous-
time stochastic processes: finite past and future' April 05 Prob. Theory &
Related Fields
Giese Gotz 'Enhancing CreditRisk+' RISK 4/03
Giese Gotz, Udo Heim 'Changing History' <historyical simulation for short periods,
VAR> RISK 7/01
Giese Guido 'The Impact of PD/LGD Correlations on Credit Risk Capital' RISK 4/05
<default probabilities>
Giesecke Kay 'Compensator Based Simulation of Correlated Default'
Giesecke Kay 'Default Compensator, Incomplete Information & the Term Structure of
Credit Spreads' Humboldt U. 10/01
Giesecke Kay, Lisa Goldberg 'Forecasting Default in the Face of Uncertainty' J.
Derivatives Fall 04
Giesecke Kay, Lisa Goldberg 'Sequential defaults and incomplete information' J. Risk
Fall 2004
Giesecke Kay, Lisa Goldberg 'The Market Price of Credit Risk' Bachelier Conference
2004
Giesecki Kay 'A Simple Exponential Model for Dependent Defaults' J. Fixed Income 12/03
Gikhman I., A. Skorokhod 'The Theory of Stochastic Processes I & II' 2004 Springer
Gil-Alana Luis 'Fractional Integration in the Stock Market Volatility Series'
International J. Theoretical & Applied Finance 12/02
Gil-Alana Luis 'Long Memory in Financial Time Series Data with Non-Gaussian
Disturbances' Inter. J. Theoretical & Applied Finance 3/03
Gil-Bazo Javier 'Beyond Single Factor Affine Term Structure Models' Bachelier
Conference 2004
Gilbert R., Andrew Meyer, Mark Vaughan 'Could a CAMEL Downgrade Model Improve Off-Stie
Surveillance?' Review St. Louis FRB Jan 02
Gilboa Itzhak, David Schmeidler 'Inductive Inference: An Axiomatic Approach '
Econometric 1/03
Gilli Manfred, Evis Kellezi, Giorgion Pauletto 'Solving Finite Difference Schemes
Arising in Trivariate Option Pricing' JED&C 2002 <option-numeric><Krylov,
parallel, multiasset,Theta,CFL conditionbiconjagate gradient stabilized,ADI,
splitting>
Gine Evarist, Michel Marcus 'The Central Limit Theorem for Stochastic Integrals with
Respect to Levy Processes' Annals of Applied Prob. 83
Giorgi T., D. Phillips 'The Breakdown of Superconductivity Due to Strong Fields for
the Ginsburg-Landau Model' SIAM Review 6/02
Giot R. 'Time Transformations, Intraday Data & Volatility Models' J. Comp. Finance
Winter 2000/2001
Girlich Hans-Joachim 'On Bachelier's Predecessors' Bachelier conference 2002
Glasserman Paul 'Gradient Estimation via Perturbation Analysis' Kluwer 91
Glasserman Paul 'Monte Carlo Methods in Financial Engineering' 2003 Springer-Verlag
Glasserman Paul 'Shortfall Risk in Long-Term Hedging with Short-Term Futures
Contracts' Handbook of Mathematical Finance ed. Jouini, Cvitanic, Musiela
Glasserman Paul 'Tail Approximations for Portfolio Credit Risk'Journal of Derivatives
Winter 2004
Glasserman Paul, B. Yu 'Pricing American Options by Simulation:Regression Now or
Regression Later?' in Monte Carlo and Quasi-Monte Carlo Methods 2002 <options-
American>
Glasserman Paul, Bin Yu 'Large Sample Properties of Weighted Monte Carlo Estimators'
9/02 <monte carlo>
Glasserman Paul, Bin Yu 'Number of Paths Versus Number of Basis Functions in American
Option Pricing' Ann. Appl. Prob. 2004, V.14,#4 , 6/03 <option-American> <Monte
Carlo, optimal stopping>
Glasserman Paul, Jeremy Staum 'Resource Allocation among Simulation Time Steps'
Operations Research,2003 51:6,908-921 <variance reduction>
Glasserman Paul, Jeremy Staum 'Stopping Simulated Paths Early' Proc. 2001 Winter
Simul. conference <monte carlo> 2001
Glasserman Paul, Nicolas Merener 'Cap & Swaption Approximations in LIBOR Market Models
with Jumps' 11/01 <term structure>
Glasserman Paul, Nicolas Merener 'Convergence of a Discretization Scheme for Jump-
Diffusion Processes with State-Dependent Intensities' Proc. Royal Soc:Math,
Phys. & Engin. 1/4 , <option-numeric> 2003?
Glasserman Paul, Nicolas Merener 'Numerical Solution of Jump-Diffusion LIBOR Market
Models'Finance & Stochastics 2003, wp 2/01 <term structure> <point process,
Poisson,convergence,smile,skew,simulation>,addendum 12/01
Glasserman Paul, Philip Heidelberger, P. Shahabuddin 'Stratification Issues in
Estiamting Value-at_Risk' in Proc. Winter Simul. Conference IEEE 99
Glasserman Paul, Philip Heidelberger, Perwez Shahabuddin 'Importance Sampling &
Stratification for Value-at-Risk' "Computational Finance 1999" MIT
Glasserman Paul, Philip Heidelberger, Perwez Shahabuddin 'Portfolio Value-at-Risk with
Heavy-Tailed Risk Factors' MF 7/02 , wp 6/2000 <portfolio>
Glazer Jacob, Ariel Rubinstein 'On Optimal Rules of Persuasion'Econometrica 11/04
Glowinski R. 'Numerical Methods for Nonlinear Variational Problems' Springer 84
Glowinski R., J-L. Lions, R. Tremolieres 'Numerical Analysis of Variational
Inequalities' North Holland 81
Glynn Peter 'Importance Sampling for Monte Carlo Estimation of Quantiles ' Math.
Methods in Stoch. Simu. & Experi. Design St. Petersburg 96
Glynn Peter 'Likelihood Ratio Gradient Estimation:An Overview' in Proc. Winter Simul.
Conf. IEEE 87
Glynn Peter 'Optimization of Stochastic Systems via Simulation' Proc. Winter Simu.
Conf. IEEE 89
Glynn Peter, D. Iglehart 'Importance Sampling for Stochastic Simulations' MS 89
Glynn Peter, D. Iglehart 'Simulaiton Methods for Queues:an Overview' Queueing
Systems:Theory & Applications 1988
Glynn Peter, Philip Heidelberger 'Bias Properties of Budget Constrained Simulations'
OR 90
Glynn Peter, W. Whitt 'Indirect Estiamtion via L=lambda*W' OR 89
Gneezy Uri, Arie Kapteyn, Jan Potters 'Evaluation Periods and Asset Prices in a Market
Experiment' JofF 4/03
Gobet Emmanuel 'Analysis of the Zigzag Convergence for Barrier Options with Binomial
Trees' <option-barrier>
Gobet Emmanuel 'Revisting the Greeks for European & American Options' 3/04
Gobet Emmanuel, Arturo Kohatsu-Higa 'Computation of Greeks for Barrier & Lookback
Options using Malliavin Calculus' 6/01 <option-barrier>
Gobet Emmanuel, Remi Munos 'Sensitivity Analysis Using Ito-Malliavin Calculus &
Martingales & Application to Stochastic Optimal Control' SIAM J. Control & Opt.
V.43 #5 3/05 <optimal control> <finance, random mechanics, variance, complexity,
comp. time,error>
Gockenbach Mark 'Partial Differential Equations:Analytical & Numerical Methods' SIAM
books 2002
Goedecker Stefan, Adolfy Hoisie 'Performance Optimization of Numerically Intensive
Codes' 2001 SIAM book
Goetzmann William, Jonathan Ingersoll, Stephen Ross 'High-Water Marks and Hedge Fund
Management Contracts' JofF 8/03
Goetzmann William, Massimo Massa 'Daily Momentum & Contrarian Behavior of Index Fund
Investors' JF&QA 9/02
Goetzmann William, Zoran Ivkovic, K. Geert Rouwenhorst 'Day Trading International
Mutual Funds: Evidence & Policy Solutions' JF&QA 9/01
Going-Jaeschke Anja, Marc Yor 'A Clarification Note About Hitting Times Densities for
Ornstein-Uhlenbeck Processes' Finance and Stochastics 2003 <stochastic><hitting
time>
Golberg M., C.S. Chen 'On a Method of Atkinson for Evaluating Domain Integrals in the
Boundary Element Method' J. App. Math & Computation 94
Golberg M., C.S. Chen, S. Karur 'Improved Multiquadric Approimation for Partial
Differential Equations' J. of Engineering Analysis with Boundary Elements 96
Goldman Eitan, Steve Slezak 'Delegated Portfolio Management and Rational Prolonged
Mispricing' JofF 2/03
Goldreich Oded 'Foundations of Cryptography' 2Vol Cambridge Press
Goldstein Itay, Ady Pauzner 'Demand-Deposit Contracts and the Probability of Bank
Runs' JofF 6/05
Goldys Ben, Fausto Gozzi 'Second Order Parabolic HJ Equations in Hilbert Spaces &
Stochastic Control:L2 Approach' 9/01 <optimal control><Hamilton-Jacobi,PDE delay
eq. in finance>
Goll Thomas, Ludger Ruschendorf 'Minimax & Mimimal Distance Martingale Measures &
their Relationship to Portfolio Optimization' Finance & Stochastics Oct 01
<portfolio> <utility>
Gombani Andrea, Stefan Jaschke, Wolfgang Runggaldier 'A filtered no arbitrage model
for term structures from noisy data' SP&A 3/05
Gombani Andrea, Wolfgang Runggaldier 'A Filtering Approach to Pricing in Multifactor
Term Structure Models'Intern. J. Ther.&App. Finance 4/2001 , <term
structure><illiquid bonds>
Gomes Francisco ‘Portfolio Choice and Trading Volume with Loss-Averse Investors’ JofB
3/05
Gomes Francisco, ALEXANDER MICHAELIDES 'Optimal Life-Cycle Asset Allocation:
Understanding the Empirical Evidence' JofF 4/05
Gomes Joao, Dmitry Livdan 'Optimal Diversification: Reconciling Theory and Evidence'
JofF 4/04
Gompers Paul, Josh Lerner 'The Really Long-Run Performance of Initial Public
Offerings: The Pre-Nasdaq Evidence' JofF 8/03
Gompers Paul, Josh Lerner, DAVID SCHARFSTEIN 'Entrepreneurial Spawning: Public
Corporations and the Genesis of New Ventures, 1986 to 1999' JofF 4/05
Goncharov Yevgeny 'An Intensity-Based Approach to Valuation of Mortgage Contracts
Subject to Prepayment Risk' Bachelier Conference 2004
Gonzalez-Rivera Gloria 'Linkages Between Secondary & Primary Markets for Mortgages' J.
Fixed Income 6/2001
Goodfriend Marvin 'Monetary Policy in the New Neoclassical Synthesis:A Primer'FRB
Richmond Economic Quarterly Summer 04
Goodfriend Marvin 'Phases of U.S. Monetary Policy:1987 to 2001' FRB Richmond Economic
Quarterly Fall 02
Goodfriend Marvin 'Why We Need an "Accord" for the Federal Reserve Credit Policy:A
Note' FRB Richmond Economic Quarterly Winter 2001
Goodman Jonathan, Daniel Ostrov 'On the Early Exercise Boundary of the American Put
Option'SIAM J. App. Math. 2002 , <option-American> 8/00
Goodman Lauine 'Synthetic CDOs:An Introduction' J. of Derivatives Spring 2002 <bonds>
Goodman Laurie, Douglas Lucas 'And When CDO's PIK' J. Fixed Income 6/02
Goodman Laurie, Jeffrey Ho 'Measuring the Mortgage Market's Convexity Needs' Journal
of Fixed Income 9/04
Goodman Marc, Kenneth Shewer, Richard Horwitz 'Squeezing the Best from Hedge Fund
Diversification' RISK 3/02
Gordy Michael 'A Risk Fator Model Foundation for Ratings-Based Bank Capital Rules' FRB
2000
Gordy Michael 'Calculation of Higher Moments in Credit Risk+ with Applicaitons' J.
Banking & Finance 2002
Gordy Michael, David Jones 'Random Tranches' <economic/regulatory capital> RISK 3/03
Gordy Michael, 'Saddlepoint Approximation of CreditRisk+', Journal Of Banking And
Finance (26)7 (2002)
Gordzio Jacek, Roy Houwenberg, Ton Vorst 'Hedging options under transaction costs and
stochastic volatility'J. Econ. Dynamics & Control 2003
Gorenflo Rudolf 'Fractional Calculus:Some Numerical Mehods' 2/01 <numeric>
Gorenflo Rudolf, Francesco Mainardi 'Approximation of Levy-Feller Diffusion by Random
Walk' <numeric>
Gorenflo Rudolf, Francesco Mainardi 'Feller Fractional Difusion & Levy Stable Motions'
<numeric>
Gorenflo Rudolf, Francesco Mainardi 'Fractional Calculus:Integral & Differential
Equations of Fractional Order' CISM Notes 96 <numeric>
Gorovoi Viatcheslav <Slava>, Vadim Linetsky 'Black's Model of Interest Rates as
Options, Eigenfunction Expansions and Japanese Interest Rates' 10/02 <term
structure>, tobe Mathematical Finance
Gorovoi Viatcheslav, Vadim Linetsky 'Shadow Interest' <Vasicek, zero-
coupon,eigenfunction,Japanese bond> RISK 12/03
Gotoh J., H. Konno 'A Cutting Plane Algorithm for Semidefinite Programming Problems
with Applications to Failure Discriminant Analysis' J. Comp. & App. Math 2002
Gotoh Jun-ya, Hiroshi Konno 'Bounding Option Prices by Semidefinite Programming:A
Cutting Plane Algorithm' Management Science May 02 <option-numeric>
Gottlieb David, L. Lustman 'The Spectrum of the Chebyshev Collocation Operator for the
Heat Equation' SIAM J. Num. Anal. 83
Gottlieb Sigal, Chi-Wang Shu,Eitan Tadmor 'Strong Stability-Preserving High-Order Time
Discretization Methods' SIAM Review V43 #1 2001 <total variation,1st order
Euler,Runge-Kutta>
Gourinchas Pierre-Olivier 'Consumption Over the Life Cycle' ' Econometrica Jan 02
Gouvea Fernanco 'A Marvelous Proof' Amer. Math Monthly 94 <number theory> <Fermat
Last>
Gouvea Fernando 'What Have Elliptic Curves Got to Do With It?' <number theory>
<Fermat, Ribet, Modularity>
Govindan Srihari, A. McLennan 'On the Generic Fitniteness of Equilibrium Outcome
Distributions in Game Forms' Econometrica 3/2001
Govindan Srihari, Robert Wilson 'Direct Proofs of Generic Finiteness of Nash
Equilibrium Outcomes' Econometrica 5/2001
Goyal Amit, Pedro Santa-Clara 'Idiosyncratic Risk Matters!'JofF 6/03
Gozzi F., Tiziano Vargiolu 'On the Superreplication Approach for European Multiasset
Derivatives' Math. Method OR 2002 <volatility>
Graham Fan Chung 'Large Dynamic Graphs: What Researchers Learn' SIAM News 4/04
Graham John, Daniel Rogers 'Do Firms Hedge in Response to Tax Incentives?' JofF 4/02
Graham John, Jennifer Koski, Uri Loewenstein ‘Information Flow and Liquidity around
Anticipated and Unanticipated Dividend Announcements’ JofB 9/06
Graham John, Mark Lang, Douglas Shackelford 'Employee Stock Options, Corporate Taxes,
and Debt Policy' JofF 8/04
Graham John, Michael Lemmon, Jack Wolf 'Does Corporate Diversification Destroy Value?'
JofF 4/02
Graham John, Roni Michaely, Michael Roberts 'Do Price Discreteness and Transactions
Costs Affect Stock Returns? Comparing Ex-Dividend Pricing before and after
Decimalization' Taxation' JofF 12/03
Grandits Peter 'Frequent Hedging under Transaction Costs & a Nonlinear Fokker-Planck
PDE' SIAM J. App.Math 2001 <hedging>
Grandits Peter 'The p-Optimal Martingale Measure & its Asymptotic Relation with the
Minimal-Entropy Martingale Measure' Bernoulli 1999
Grandits Peter, Werner Schachinger 'Lelands Approach to Option Pricing:The Evolution
of a Discontinuity' MF 7/01 <option-pricing> <transaction, hedging,modified
volt.>
Grandville Olivier 'Bond Pricing & Portfolio Analysis' 2003 MIT Press
Granger Clive, R. Joyeux 'An Introduction to Long Memory Models & Fractional
Differencing' J. Time Series Analsysis 80
Grant Dwight, Gautam Vora 'An Analytical Implementation of the Hull & White Model' J.
of Deriv. Winter 01<term structure>
Graselli Martino, Claudio Tebaldi 'Impulse Response Analysis and Immunization in
Affine Term Structure Models' Bachelier Conference 2004
Grasselli Martino, Claudio Tebaldi 'Bond Price and Impulse Response Function for the
Balduzzi, Das, Foresi and Sundaram (1996) Model' Economic Notes, Vol. 33,
November 2004
Grasselli Martino, Griselda Deelstra, Pierre-François Koehl 'Optimal strategies for a
stable class of utility functions in a multi-factor framework' Bachelier
conference 2002
Grasselli Martino, Tom Hurd 'Wiener Chaos & the Cox-Ingersol-Ross Model' Proc. Royal
Society A 2/05
Grasselli Matheus, Tom Hurd 'A Monte Carlo Method for Exponential Hedging of
Contingent Claims' CAF 12/02
Grasselli Matheus, Tom Hurd 'Wiener chaos and the Cox-Ingersoll-Ross model ' Bachelier
Conference 2004
Grau Andreas 'Accelerating Monte Carlo Pricing of Path Dependent Options' Bachelier
Conference 2004
Graversen S., Albert Shiryaev 'An Extension of P. Levy's Distributional Properties to
the Case of Brownian Motion with Drift' Bernouli 2000
Gray Philip, Scott Newman 'Canonical valuation of options in the presence of
stochastic volatility' J. Futures Markets 1/05
Grcar J.F. 'John von Neuman Birthday Centennial' SIAM News 3/05
Green Edward, Ruilin Zhou' Dynamic Monetary Equilibrium in a Random Matching Economy
'Econometrica 5/02
Green T. Clifton 'Economic News and the Impact of Trading on Bond Prices' JofF 6/04
Greene William 'Econometric Analysis' 4ed Prentice-Hall 2000
Greengard Leslie, June-Yub Lee 'Accelerating the Nonuniform Fast Fourier
Transform'SIAM Review 9/04
Greenwood P., Jim Pitman 'Fluctuation Identities for Levy Processes & Splitting at the
Maximum' Adv. Appl. Prob. 1980
Gregoriou Greg, Georges Hubner, Nicolas A. Papageorgiou, Fabrice Rouah 'Dominating
Funds of Funds with Simple Hedge Fund Strategies' SSRN 2/05
Gregory Jon, Jean-Paul Laurent 'I Will Survive' RISK 6/03 , wp 2003 <credit
derivatives> <CDOs>
Gregory Jon, Jean-Paul Laurent 'In the Core of Correlation' <CDO,basket credit
derivatives,correlation skew> RISK 10/04
Gregory Koutmos 'Modeling the Dynamics of MBS Spreads' J. Fixed Income 9/02
Grenadier Steven 'Option Exercise Games: An Application to the Equilibrium Investment
Strategies of Firms' RFS Summer 02
Grieves Robin, Steven Mann 'An Overlooked Coupon Effect in Treasury Futures Contract'
Journal of Derivatives Winter 2004
Griffin James E., Mark F.H. Steel 'Inference with Non-Gaussian Ornstein-Uhlenbeck
Processes for Stochastic Volatility' <volatility> 12/01
Griffin John 'Are the Fama and French Factors Global or Country Specific? ' RFS Summer
02
Griffin John, Jeffrey Harris, Selim Topaloglu ' The Dynamics of Institutional and
Individual Trading' Taxation' JofF 12/03
Griffin John, Michael Lemmon 'Book-to-Market Equity, Distress Risk, and Stock Returns'
JofF 10/02
Griffin John, Rene Stulz 'International Competition and Exchange Rate Shocks: a Cross-
Country Industry Analysis of Stock Returns' RFS 1/2001
Griffin John, Xiuqing Ji, J. Spencer Martin 'Momentum Investing and Business Cycle
Risk: Evidence from Pole to Pole' Taxation' JofF 12/03
Griffin P. 'The Expectations Hypothesis with Non-Negative Rates' Finance and
Stochastics 4/02
Griffiths Mark, Drew B. Winters ‘The Turn of the Year in Money Markets:Tests of the
Risk-Shifting, Window Dressing, and Preferred Habitat Hypotheses’ JofB 7/05
Grigelionis Bronius 'Processes of Meixner Type' Lith. Math. J. 1999
Grigelionis Bronius 'Stochastic Non-Linear Filtering Equations & Semimartingales'
Lecture Notes in Math, 972, Springer 1982
Grigorescu Ilie 'An Infinite Dimensional Central Limit Theorem for Correlated
Martingales' Ann. de LHP March/April 04
Grigoriu Mircea 'Stochastic Calculus:Applications in Science and Engineering' 2003
Birkhauser
Grinblatt Mark, Matti Keloharju 'How Distance, Language & Culture Influence
Stockholdings & Trades' JofF 6/2001
Grinblatt Mark, Matti Keloharju 'What Makes Investors Trade?' JofF 4/2001
Grinstein Yaniv 'Institutional Holdings and Payout Policy' JofF 6/05
Gromov Mikhad 'Partial Differential Equations' Springer 86 <embedding problem, Riemann
manifold>
Grorud A., M. Pointier 'Asymmetrical Information & Incomplete Markets' Inter. J.
Theoretical & Applied Finance 4/2001
Gross Daid, Nicholas S. Souleles 'An Empirical Analysis of Personal Bankruptcy and
Delinquency 'RFS Spring 2002
Grossman Robert 'A Top-Ten List for Data Mining' SIAM Review 6/2001
Grotschel Martin, Sven Krumke, Jorg Rambau, Luis Torres 'Making the Yellow Angles
Fly:Online Dispatching of Service Vehicles in Real Time' SIAM News May 02
Grove E.A., G. Ladas 'Periodicities in Nonlinear Difference Equations' 2004 CRC Press
Grullon Gustavo, Roni Michaely 'The Information Content of Share Repurchase Programs'
JofF 4/04
Grullon Gustavo, Roni Michaely 'Dividends, Share Repurchases, and the Substitution
Hypothesis' JofF 8/02
Grullon Gustavo, Roni Michaely, Shlomo Benartzi, Richard H. Thaler ‘Dividend Changes
Do Not Signal Changes in Future Profitability’ JofB 9/05
Grundke Peter, Karl Riedel 'Pricing the Risks of Default: A Note on Madan and Unal'R.
Driv. Research 2004
Grundy Bruce 'Merton Miller: His Contribution to Financial Economics' JofF 8/01
Grundy Bruce, J. Martin 'Understanding the Nature of the Risks and the Source of the
Rewards To Momentum iNvesting' RFS 1/2001
Grundy Bruce, Younsoo Kim 'Stock Market Volatility in a Heterogeneous Information
Economy' JF&QA 3/02
Guasoni Paolo 'Risk Minimization under Transaction Costs' Finance and Stochastics Jan
02
Guasoni Paolo, Walter Scachermayer 'Necessary Conditions for the Existence of Utility
Maximizing Strategies under Transaction Costs' Bachelier Conference 2004
Guermat Cherif, Richard Harris 'Robust Conditional Variance Estimation & Value at
Risk' J. Risk Winter 02 , 12/2000 <credit risk>
Guerra Joao, David Nualart 'The 1/H-variation of the divergence integral with respect
to the fractional Brownian motion for H>1/2 and fractional Bessel processes'
SP&A 2004
Guidolin Massimo, Allan Timmermann 'Option Prices under Bayesian Learning Implied
Volatility Dynamics & Predictive Densities' 10/01
Guillaume Tristan 'Analytical Valuation of Options on Joint Minima and Maxima' App.
Math. Finance 12/01 <option-Rainbow>
Guillaume Tristin 'Window Double Barrier Options' R. Deriv. Research V.6,#1 2003
<option-Barrier>
Guinvarc'h Martial, Jacques Janssen, Jean Cordier 'AGRICULTURAL FINANCE REVENUE
FUTURES CONTRACT' IJT&AF 3/04
Gukhal Chandrasekhar Reddy Gukhal 'The Compound Option Approach to American Options on
Jump-Diffusions' J. Econ. Dyn & Control 2004 <option-compound>
Gul F. 'Unobservable Investment & the Hold-Up Problem' Econometrica 3/2001
Gulinsky O., R. Liptser 'An Example of Large Deviations for a Stationary Process' SIAM
Theor.Prob& App. v44
Gulko Les 'The Entropy Theory of Bond Option Pricing' Intern. J. Theor. & Applied
Finance 6/02 <bond>
Gulplnar Nalan, Berc Rustem, Reuben Settergren 'Simulation & Optimization Approaches
to Scenario Tree Generation' J. Econ. Dyn. & Control 4/04
Gundel Anne 'Robust utility maximization for complete and incomplete market models'
F&S 4/05
Gundel Anne 'Robust Utility Maximization for Complete and Incomplete Market Models'
Bachelier Conference 2004
Gundlach M., F. Lehrbass 'Creditrisk+ in the Banking Industry' 2004 Springer
Guntay Levent, Nagpurnanand Prabhala, Haluk Unal 'Callable Bonds & Hedging' 2/2002
Guo Chen 'The Unique Linear Solution to the Term Structure of Interest Rates'Nanyang
Tech. Univ. 11/99 <term structure>
Guo Dajiang 'Dynamic Volatility Trading Strategies in the Currency Option Market' R.
Deriv. Research V4 #2 2000 <GARCH>
Guo Dajiang 'The Information Content of Implied Volatility from Currency Options'
Canadian J. Economics 96
Guo Hui ‘On the Out-of-Sample Predictability of Stock Market Returns’ JofB 3/06
Guo Hui 'A Rational Pricing Explanation for the Failure of the CAPM' FRB St. Louis
Review May/June 04
Guo Hui 'A Simple Model of Limited Stock Market Participation' Review FRB St.Louis
May/June 2001
Guo Hui 'Stock Market Returns, Volatility & Future Output' FRB St. Louis Review
Sept/Oct 2002
Guo Hui 'Why are Stock Market Returns Correlated with Future Economic Activities?' FRB
Review St.Louis March/April 02
Guo Weiyu 'Maximum Entropy in Option Pricing:A Convex-Spline Smoothing Method'J.
Futures Markets 9/2001 <option-pricing>
Guo Wenjing, Chengming Xu 'Optimal portfolio selection when stock prices follow an
jump-diffusion' Math. Methods OR 12/04
Guo X., Q. Zhang 'Closed-Form Solutions for Perpetual American Put Options with Regime
Switching' SIAM J. App. Math 2004 <option-American>
Guo Xianping, Xi-Ren Cao 'Optimal Control of Ergodic Continuous-Time Markov Chains
with Average Sample-Path Rewards' SIAM J. Control & Opt. 6/05
Guo Xin 'When the "Bull" Meets the "Bear"---A First Passage Time Problem for a Hidden
Markov Process' 1999 <Markov>
Guo Xin, Jun Liu, Xun Yu Zhou 'A Constrained Non-Linear Regular Singular Stochastic
Control Problem with Applications' SP&A 2/04
Guo Xin, Larry Shepp 'Some Optimal Stopping Problems with Non-Trivial Boundaries for
Pricing Exotic Options' J. Appl. Prob. 2002 ,4/01 option-exotic>
Gupta Anurag, Marti Subrahmanyam 'An Empirical Examination of the Convexity Bias in
the Pricing of Interest Rate Swaps' JFE 2000
Gupta Anurag, Marti Subrahmanyam 'Pricing and hedging interest rate options: Evidence
from cap-floor markets' 3/05 J. Banking & Finance
Gupta Nandini 'Partial Privatization and Firm Performance' JofF 4/05
Gurkan Gul, A. Ozge,S. Robinson 'Sample-Path Solution of Stochastic Variational
Inequalities' Math. Prog. A 2/99 , Math.Programming 98 <optimization>
Gushchin A., Uwe Kuchler 'On Stationary Solutions of Delay Differential Equations
Driven by a Levy Process'<SDE><Ornstin-Uhlenbeck> SP&A 2000
Gushchin Alexander, Ernesto Mordecki 'Bounds on Option Prices for Semimartingale
Market Models' 12/01 <option-pricing>
Gustafsson Thomas, Houari Merabet 'A Generalized Multinomial Algorithm for Option
Pricing in Several Dimensions' J. Comp. Finance Spring 02<option-numeric>
<Green function, Gaussian quadrature,American Put,basket>
Guth A., P. Steinhardt 'Inflationary Universe' "Particle Physics in the Universe"
Freeman & Co. {Scien.Amer. articles>
Gutierrez Oscar 'Time-Changed Processes & the Cauchy's Theorem' 11/02 <option-
pricing><Fourier,Carr-Madan>
Gutierrez Pedro 'Money, Prices and Interest Rates in a Non-Aggregate Stochastic
General Equilibrium model'App. Math. Finance 12/04
Gwilym Owain Ap, Mike Buckle 'Forward/Forward Volatilities & the Term structure of
Iplied Volatility' Appl. Economics Letters 97
Gwilym Owain Ap, Stephen Thomas, Lourdes Trevino 'Bid-Ask Spreads and the Liquidity of
International Bonds' J. Fixed Income 9/02
Gyongy Istvan, N. Krylov 'On Splitting Up Method & Stochastic Partial Differential
Equations' <PDE> IMA 10/2001
Gzyl Henryk 'Maxentropic Construction of Risk Neutral Measures:Discrete Market Models'
App. Math. Finance 12/00
Gzyl Henryk, Minaya Villasana 'A Perturbative Approach to Implied Volatilities' 2002
Haaf H., Oliver Reiss, John Schoenmakers 'Numerically stable computation of Credit
Risk+' J. Risk Summer 2004
Haber Howard, Gordon Kane 'Is Nature Supersymmetric' SA 19?? <physics>
Habib M., A. Ljungqvist 'Underpricing & Entrepreneurial Wealth Losses in IPOs:Theory &
Evidence' RFS Summer 2001
Habib Michael, Alexander Ljungqvist ‘Firm Value and Managerial Incentives: A
Stochastic Frontier Approach’ JofB 11/05
Hadlock Charles, Christopher James 'Do Banks Provide Financial Slack?' JofF 6/02
Hafner Reinhold 'Stochastic Implied Volatility:A Factor-Based Model' Springer 2004
Hagan Patrick 'Stochastic Beta Models' Numerix 2000
Hagan Patrick, Deep Kumar, Adnrew Lesniewski, Diana Woodward 'Managing Smile Risk' wp
4/02, Wilmott Magazine 2003 <volatility>
Hagelin Niclas, Bengt Pramborg 'Hedging Foreign Exchange Exposure Risk Reduction from
Transaction & Translation Hedging 5/01
Hahn Jinyong, Guido Kuersteiner 'Asympotically Unbiased Inference for a Dynamic Panel
Model with Fixed Effects when Both n and T are Large' Econometrica 7/02
Hahn Jinyong, Jerry Hausman 'A New Specification Test for the Validity of Instrumental
Variables' Econometrica Jan 02
Hahn Jinyong, P. Todd, W. Van der Klaauw 'Indentification & Estimation of Treatment
Effects with a Regression-Discontinuity Design' Econometrica 1/2001
Hahn Jinyong, Whitney Newey 'Jackknife and Analytical Bias Reduction for Nonlinear
Panel Models ' Econometrica 7/04
Hahn M., M.J. Klass 'Optimal Upper and Lower Bounds for the Upper Tails of Compound
Poisson Processes ' 4/98 J. Theor. Prob.
Haigh Michael, John List 'Do Professional Traders Exhibit Myopic Loss Aversion? An
Experimental Analysis' JofF 2/05
Hakala Jurgen, Uwe Wystup 'Heston's Stochastic Volatility Model Approach to Foreign
Exchange Options' in Hakala, Wystup (ed) Foreign Exchange Risk' RISK 2002
Hall Alastair 'Generalized Method of Moments' 2004 Oxford Press
Hall Brian, Thomas Knox 'Managing Option Fragility'
Hall P. 'Bootstrap & Edgeworth Expansions' Springer 92
Hall Peter, Qiwei Yao 'Inference in Arch and Garch Models with Heavy-Tailed Errors
'Econometric 1/03

Hallerbach Winfried G. 'Decomposing Portfolio Value-at-Risk:a General Analysis' J.

Risk Winter 02/03
Halmos P. 'Measure Theory' 1997 Springer-Verlag
Halton J. 'On the Efficiency of Certain Quasi-Random Sequences of Points in Evaluating
Multi-Dimensional Integrals' Numerische Mathematik 60
Hamada Mahmoud, Michael Sherris 'Contingent Claim Pricing Using Probability Distortion
Operators:Methods from Insurance Risk Pricing & Their Relationship to Financial
Theory' App. Math Finance 3/03
Hamadene Said 'Reflected BSDE's with Discontinuous Barrier and Application' S&SR 2002
Hamadene Said, M. Hassani 'BSDEs with two reflecting barriers:the general result'
June 05 Prob. Theory & Related Fields
Hambly B., G. Kersting, Andreas Kyprianou 'Law of the Iterated Logarithm for
Oscillating Random Walks Conditioned to Stay Non-Negative' SP&A 12/03
Hameed Allaudeen Hameed, Yuanto Kusnadi ‘Stock Return Cross-Autocorrelations and
Market Conditions in Japan’ JofB tobe 2005-2006
Hamermesh Daniel ,Peter Schmidt 'The Determinants of Econometric Society Fellows
Elections 'Econometric 1/03
Hamilton D., J. James, Nick Webber 'Copula Methods & the Analysis of Credit Risk'
Warwick 2001
Hamilton David, Richard Cantor 'Rating Transition and Default Rates Conditioned on
Outlooks' Journal of Fixed Income 9/04
Hamilton James 'A Parametric Approach to Flexible Nonlinear Inference' Econometrica
5/2001
Hammersley J. 'Monte Carlo Methods for Solving Multivariable Problems' Annals of NY
Academy of Science 1960
Hammersley J., D. Hanscomb 'Monte Carlo Methods' Methuen Press 64
Han Bing 'Limits of Arbitrage, Sentiment and Pricing Kernel: Evidence from S&P 500
Index Options' SSRN 3/05
Han Bing 'Stochastic Volatility & Correlation of Bond Yields' Ohio State 2003
Han D. 'A Modified Alternating Direction Method for Variational Inequality Problems'
Applied Math. & Optimization 2002 <numeric> <large scale,non-linear>
Han Houde, Xiaonan Wu 'A Fast Numerical Method for the Black-Scholes Equation of
American Options' SIAM J. Num. Anal. 03 <option-American>
Han Yufeng 'The Economic Value of Volatility Modeling:Asset Allocation with a High
Dimensional Dynamic Latent Factor Multivariate Stochastic Volatility Model'
Washington U. 2002
Hanche-Olsen Harald 'Buckingham's Pi-Theorem' 98 <numerics><fluid dynamics, PDE
dimension reduction>
Handley John 'Variable Purchase Options' Review of Derivatives Research V4 #3 2000
<option-pricing><VPO, variable shares>
Hanke Martin, Elisabeth Rosler 'COMPUTATION OF LOCAL VOLATILITIES FROM REGULARIZED
DUPIRE EQUATIONS' IJT&AF 3/05 , 6/04 <volatility><calibrate, splines, Tikhonov
regularization, inverse problems>
Hanke Martin, O. Scherzer 'Error Analysis of an Equation Error Method for the
Identification of the Diffusion Coefficient in a Quaslinear Parabolic
Differential Equation' SIAM J. App. Math 1999
Hanke Martin, O. Scherzer 'Inverse Problems Light:Numerical Differentiation' Amer.
Math. Monthly 2001
Hanke Michael 'Pricing Options on Leveraged Equity with Default Risk & Exponentially
Increasing Finite Maturity Debt' 9/02
Hansa Iftekhar, Sudipto Sarkar 'Banks Option to Lend, Interest Rate Sensitivity &
Credit Availablility' R. Derivatives Research V.5 #3 2002
Hansen Niels, Anders Tolver Jensen 'The extremal behaviour over regenerative cycles
for Markov additive processes with heavy tails' SP&A 4/05
Hanson Floyd, John Westman 'Jump-Diffusion Stock-Return Model with Weighted Fitting of
Time-Dependent Parameters' 2002 <portfolio>
Hanson Floyd, John Westman 'Optimal Consumption & Portfolio Control for Jump-Diffusion
Stock Process with Log-Normal Jumps' 9/01 <portfolio>
Hanson Floyd, John Westman 'Optimal portfolio and consumption policies subject to
Rishel's important jump events model: computational methods' IEEE Trans.
Automated Control 3/04
Hara Chiaki 'Existence of Equilibria in Economies with Bads' Econometrica 3/05
Harding John, C.F. Sirmans, Sansanee Thebpanya 'CMBS Pricing: Evidence from Modern
Conduit Issues' J. Fixed Income 6/04
Hardle Wolfgang (ed), Torsten Kleinow (ed), Gerhard Staht (ed) 'Applied Quantitative
Finance' Springer-Verlag 2002
Hardouvelis Gikas, Dimitrios Malliaropulos, Richard Priestley ‘EMU and European Stock
Market Integration’ JofB 1/06
Hardouvelis Gikas, Panayiotis Theodossiou 'The Asymmetric Relation Between Initial
Margin Requirements and Stock Market Volatility Across Bull and Bear Markets '
RFS Winter 02
Hardy Mary 'Investment Guarantees in Equity-Linked Insurance' Fin. Eng. News Sept/Oct
03
Harris C., D. Laibson 'Dynamic Choices of Hyperbolic Consumers' Econometrica 7/01
Harris Richard, Cherif Guermat 'Robust Conditional Variance Estimation & Value at
Risk' 12/2000
Hartinger Jurgen, Martin Predota 'Pricing Asian Options in the Hyperbolic Model: A
Fast Quasi-Monte Carlo Approach' Grazer Math. Ber. 2002
Hartzell Jay, Laura Starks 'Institutional Investors and Executive Compensation'
Taxation' JofF 12/03
Hasan Mohammad 'ON THE VALIDITY OF THE RANDOM WALK HYPOTHESIS APPLIED TO THE DHAKA
STOCK EXCHANGE' IJT&AF 12/04
Hasbrouck Joel 'Intraday Price Formation in U.S. Equity Index Markets' Taxation' JofF
12/03
Haslinger J., R. Makinen 'Introduction to Shape Optimization:Theory, Approximation &
Computation' 2003 SIAM press
Hasselblatt Boris, Anatole Katok 'A First Course in Dynamics' 2003Cambridge Press
Hau Harald 'Location Matters: An Examination of Trading Profits'JofF 10/01
Haug Espen 'A Look in the Antimatter Mirror' <volatility> 1/02
Haug Espen 'Knockout Options' <option-barrier> Wilmot.com 8/01 <put/call barrier
symmetry,first-then=-barrier>
Haug Espen 'Know Your Weapons I' Wilmott Magazine 5/03
Haug Espen, Jorgen Haug 'Knock-In/Out Margrabe' <option-Barrier> Wilmott Mag. 7/03
Haug Espen, Jorgen Haug 'Whos on First Base?' <option-barrier><reset strike,time>
Wilmott public. 7/01
Haugh Martin, Leonid Kogan 'Pricing American Options:A Duality Approach' OR
March/April 2004 <option-American><high-dimension,minimization,monte carlo> OR
2004
Hauksson Hoskuldur, Michel Dacorogna, Thomas Domenig, Ulrich Muller,Gennady
Samorodnitsky 'Multivariate Extremes, Aggregation & Risk Estimation'
Hausenblas Erica 'Error Analysis for Approximation of Stochastic Differential
Equations Driven by Poisson Random Measures' SIAM J. Numer. Anal. 2002
<SDE><Euler, Poisson, Malliavin calculus, first exit time>
Hauser Shmuel, Beni Lauterbach 'The Value of Voting Rights to Majority Shareholders:
Evidence from Dual-Class Stock Unifications' RFS Winter 04
Haussmann Ulrich, Liong Yan 'Convergence of the Modified Willow Tree' <option-
numeric><binomial> 2002
Haussmann Ulrich, Liqing Yan 'The modified willow tree algorithm' J. Computational
Finance Spring 05
Haussmann Ulrich, Maria Chiarolla 'Explicit solution of a stochastic irreversible
investment problem and its moving threshold' Bachelier Conference 2004
Hauswald Robert, Robert Marquez 'Information Technology and Financial Services
Competition' RFS Fall 03
Hawkins R., B. Frieden 'Fisher Information & Equilibrium Distributions in
Econophysics' Physics A 2004 <entropy>
Hayashi Takaki, Nakahiro Yoshida 'On Covariance Estimation for High-Frequency
Financial Data' Bachelier Conference 2004
Hayashi Takaki, Per Mykland 'EVALUATING HEDGING ERRORS: AN ASYMPTOTIC APPROACH' MF
4/05
Hayre Lakhbir 'Prepayment Modeling & Valuation of Dutch Mortgages' J. Fixed Income3/03
Hazzani M., Youssef Ouknine 'On a general result for backward stochastic differential
equations'S&SR 2002
He Chang Hong, J.S. Kennedy, Thomas Coleman, Peter Forseyth, Y. Li, Kenneth Vetzal
'Calibration and hedging under jump diffusion' 4/05 <volatility> < American,
spline>
Heath David C., Stefano Herzel 'Efficient Option Valuation with Trees' App.Math.
Finance 9/02
Heath David, David Hyejin Ku 'Pareto Equilibria with coherent measures of risk'MF 4/04
Heath David, Eckhard Plasten 'Consistent Pricing & Hedging for a Modified Constant
Elasticity of Variance Model' 5/02 <hedging>
Heath David, Eckhard Platen 'A Variance Reduction Technique based on Integral
Representations' 2/02 <monte carlo>
Heath David, Eckhard Platen 'Perfect Hedging of Index Derivatives under a Locally
Arbitrage Free Minimal Market Model' 6/01 <volatility><stochastic vol.,self-
financing,risk neutral fails>
Heath David, Eckhard Platen 'Perfect Hedging of Index Derivatives under a Minimal
Market Model' Inter. J. Theoretical & App. Finance 11/02
Heath David, Eckhard Platen, Martin Schweizer 'A Comparison of Two Quadratic
Approaches to Hedging in Incomplete Markets' MF 10/01 ,12/99 <hedging> <Heston
model,stochastic volt., PDE, simulation>
Heath David, Hyejin Ku 'Market equilibrium with coherent measures of risk' Bachelier
conference 2002
Heath David, Martin Schweizer 'Martingale versus PDEs in Finance:An Equivalence Result
with Examples' J. Appl. Prob. 12 2000
Heathcote C.R. 'Probability:Elements of Mathematical Theory' Dover Press
Heckman James, Edward Vytlacil 'Structural Equations, Treatment Effects, and
Econometric Policy Evaluation' Econometrica 5/05
Hege Ulrick, Pierre Mella-Barral ‘Repeated Dilution of Diffusely Held Debt’ JofB 5/05
Heidari Massoud, Liuren Wu 'Are Interest Rate Derivatives Spanned by the Term
Structure of Interest Rates?' 9/01 <term structure>
Heidelberger Philip 'Fast Simulation of Rare Events in Queueing & Reliability Models'
ACM Trans. Model. & Comput. 95
Heidle Hans, Roger Huang 'Information-Based Trading in Dealer & Auction Markets:An
Analysis of Exchange Listings' JF&QA 9/02
Heikkinen V-P.,A. Kanto 'Value-at-Risk Estimation using Non-Interger Degrees of
Freedom from Students Distribution' J. Risk Summer 02
Heinemann Frank, Rosemarie Nagel, Peter Ockenfels 'The Theory of Global Games on Test:
Experimental Analysis of Coordination Games with Public and Private Information
'Econometrica 9/04
Heinkel Robert, Alan Kraus, Josef Zechner 'The Effect of Green Investment on Corporate
Behavior' JF&QA 12/01
Heinrich S., Fred Hickernell, R. X. Yue 'Integration of multivariate Haar wavelet
series, Wavelet Analysis and Its Applications Lecture Notes in Computer Science'
no. 2251, Springer-Verlag, New York, 2001
Heinrich S., Fred Hickernell, R. X. Yue 'Optimal quadrature for Haar wavelet spaces'
Math. Comp. 73 (2004)
Hellekalek 'On the Assessment of Random & Quasi-Random Point Sets' in Random & Quasi-
Random Point Sets 98
Hellekalek Peter, Gerhard Larcher 'Random and Quasi-Random Point Sets' 98 Springer-
Verlag
Hellman Thomas, Manju Puri 'Venture Capital and the Professionalization of Start-Up
Firms: Empirical Evidence' JofF 2/02
Hellwig Martin, Klaus Schmidt 'Discrete-Time Approximations of the Holmström-Milgrom
Brownian-Motion Model of Intertemporal Incentive Provision 'Econometrica 11/02
Helson J., Y. Sarason 'Past & Future' Mathematica Scandanavia 67
Henderson Shane, Peter Glynn 'Approximating Martingales for Variance Reduction in
Markov Process Simulation' Math. of OR May 2002 <monte carlo>
Henderson Vicky 'Analytical Comparisons of Option Prices in Stochastic Volatility
Models' MF 1/05 , 8/02 <Volatility> <incomplete market,q-optimal, minimal
measure,hedging>
Henderson Vicky 'Passport Options Outside the Black Scholes World' 2000
Henderson Vicky 'Stock Based Compensation: Firm-specific risk, Efficiency and
Incentives' Bachelier conference 2002
Henderson Vicky 'Valuation of Claims on Nontraded Assets Using Utility Maximization'
MF Oct/02 ,5/01 <option-pricing>
Henderson Vicky 'Valuing Real Options without a Perfect Spanning Asset' Bachelier
Conference 2004
Henderson Vicky 'Valuing the Option to Invest in an Incomplete Market' SSRN 7/04
Henderson Vicky, David Hobson 'Coupling & Option Price Comparisons in a Jump-Diffusion
Model' 1/31/02 <option-pricing>
Henderson Vicky, David Hobson 'Substitute Hedging' <utility, proxy assets> RISK 5/02
<hedging>
Henderson Vicky, David Hobson, G. Kentwell 'A New Class of Commodity Hedging
Strategies:A Passport Options Approach' Interna. J. Theor.& App. Finance 5/02 ,
11/2000 <option-passport>
Henderson Vicky, David Hobson, Sam Howison, Tino Kluge 'A Comparison of q-Optimal
Option Prices in a Stochastic Volatility Model with Correlation' 3/03
<volatility>
Henderson Vicky, David Hobson, William Shaw, Rafal Wojakowski 'Bounds for Floating-
Strike Asian Options using Symmetry' Ann. Oper. Res. to be 2004? ,3/03 <option-
Asian>
Henderson Vicky, Rafal Wojakowski 'On the Equivalence of Floating & Fixed-Strike Asian
Otpions' J. App. Prob. 02 , 9/01 <option-Asian>
Henitage Jon P. 'Pricing Moving Barrier Options' J. Computational Finance Summer 2002
Hennessy Christopher 'Tobin's Q, Debt Overhang, and Investment' JofF 8/04
Hennessy Christopher, Toni Whited 'Debt Dynamics' JofF 6/05
Hennessy David, Harvey Lapan 'The Use of Archimedean Copulas to Model Portfolio
Allocations' MF 4/02
Henrard Marc 'Comparison of Cashflow Maps for Value-at-Risk' J.of Risk Fall 2000
Henrard Marc 'Eurodollar Futures and Options:Convexity Adjustment in HJM One-Factor
Model' SSRN 4/05
Henrard Marc 'Explicit Bond Option Formula in Heath-Jarrow-Morton One Factor Model'
Intern. J. Theoretical & Appl. Finance 2/03 <term structure>
Henrik Jens, Eggert Christensen, Ernst Hansen, David Lando 'Confidence Sets for
Continuous-Time Rating Transition Probabilities'SSRN 2004
Henrotte Philippe 'On Pricing Kernels and Dynamic Portfolios' Bachelier conference
2002
Henry Marc, Richard Payne 'An Investigation of Long Range Dependenc in Intra-Day
Foreign Exchange Rate Volatility' London School Econ. 97
Henry Peter 'Is Disinflation Good for the Stock Market?' JofF 8/02
Henry-Labordere Pierre 'A General Asymptotic Implied Volatility for Stochastic
Volatility Models' Econophysics 4/05 <volatility> <calibration, Riemann
manifold, Abelian connection, calibration, smile SABR model with mean reversion>
Hentschel Ludger 'Errors in Implied Volatility Estimation' JF&QA 12/03
Hentschel Ludger, S. Kothari 'Are Corporations Reducing or Taking Risks with
Derivatives?' JF&QA 3/2001
Heritage J.P. 'Pricing Moving Average Barrier Options' J. Computational Finance Summer
2002 <option-Barrier>
Heritage J.P., G. Leobacher, L.C.G. Rogers `Perpetual defaultable callable convertible
bonds' 2005?
Hernandez Nicolas 'Applications of descriptive measures in Risk Management' PhD 2002
U. Toronto
Hernandez Nicolas, Luis Seco 'Non-Gaussian Univariate Distributions'U. Toronto
Hernandez Nicolas, Marcos Escobar and Luis Seco 'Modelling and Estimation of Financial
Time Series. Non-Gaussian ARMA models'U. Toronto
Hernandez Nigel 'The Brennan-Schwartz context for asset allocation' MS 2000 U. Toronto
Hernandez-Hernandez Daniel, Wendell H. Fleming 'An Optimal Consumption Problem for
Factor Dependent Models' Bachelier conference 2002
Hernandez-Hernandez Daniel, Wendell H. Fleming 'On the tradeoff between consumption
and investment in incomplete financial markets' Bachelier Conference 2004
Herold Ulf, Raimond Maurer 'How Much Credit ?' J. Fixed Income 3/03
Heron Randall, Erik Lie 'Operating Performance & the Method of Payment in Takeovers'
JF&QA 3/02
Herrmann Samuel, Michael Scheutzow 'Rate of Convergence of some Self-Attracting
Diffusions'SP&A 5/04
Hertzel Michael, Michael Lemmon, James Linck, Lynn Rees' Long-run Performance
Following Private Placements of Equity'JofF 12/02
Herwig Tobias 'Construction of Arbitrage-Free Implied Trees: A New Approach' 1/05
Herzel Stefano, Flavio Angelini 'Initial Curves for Interest Rate Models: the
Importance of Consistency' Bachelier conference 2002
Hesterberg T. 'Weighted Average Importance Sampling & Defensive Mixture Distributions'
Technometrics 95
Hesterberg T., B.L. Nelson 'Control Variates for Probability & Quantile Estimation' MS
98
Heston Steven 'Option Valuation with Infinitely Divisible Distributions' QF 10/04 ,
wp <option-Pricing> 1997 <gamma & inverse Gaussian>
Heston Steven 'The Expectations Puzzel in a Log-Linear Bond Model' CAP 01 prsentation
Heston Steven, Saikat Nandi 'Derivatives on Volatility:Some Simple Solutions Based on
Observables'FRB Atlanta 11/2000 <options-volatility>
Hetzel Robert 'How Do Central Banks Control Inflation?'FRB Richmond Economic Quarterly
Summer 04
Hetzel Robert 'Japanese Monetary Policy & Deflation' Econ. Quarterly Summer 03
Hetzel Robert, Ralph Leach 'After the Accord:Reminiscences on the Birth of the Modern
Fed' FRB Richmond Economic Quarterly Winter 2001
Hetzel Robert, Ralph Leach 'The Treasury-Fed Accord:A New Narrative Account' FRB
Richmond Economic Quarterly Winter 2001
Hey Tony, Patrick Walters 'The New Quantum Universe' 2003Cambridge Press
Hickernell Fred 'A comparison of random and quasirandom points for multidimensional
quadrature, Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing
Lecture Notes in Statistics, vol. 106, Springer-Verlag 1995
Hickernell Fred 'A generalized discrepancy and quadrature error bound, Math. Comp. 67
(1998)
Hickernell Fred 'An algorithm-driven approach to error analysis for multidimensional
integration, 2003, submitted for publication.
Hickernell Fred 'Goodness-of-fit statistics, discrepancies and robust designs,
Statist. Probab. Lett. 44 (1999)
Hickernell Fred 'Lattice rules: How well do they measure up?, Random and Quasi-Random
Point Sets Lecture Notes in Statistics, vol. 138, Springer-Verlag, New York,
1998,
Hickernell Fred 'My dream quadrature rule, J. Complexity 19 (2003),
Hickernell Fred 'Obtaining O(N-2+ epsilon ) convergence for lattice quadrature rules,
In Fang et al. <51>,
Hickernell Fred 'Quadrature error bounds with applications to lattice rules, SIAM J.
Numer. Anal. 33 (1996), (1997),
Hickernell Fred 'The mean square discrepancy of randomized nets, ACM Trans. Model.
Comput. Simul. 6 (1996),
Hickernell Fred 'What affects the accuracy of quasi-Monte Carlo quadrature?, Monte
Carlo and Quasi-Monte Carlo Methods 1998 (H. Niederreiter and J. Spanier, eds.),
Springer-Verlag, Berlin, 2000,
Hickernell Fred, Christiane Lemieux, and A. B. Owen, Control variates for quasi-Monte
Carlo, Statist. Sci. (2004)
Hickernell Fred, H. S. Hong, Computing multivariate normal probabilities using rank-1
lattice sequences, Proceedings of the Workshop on Scientific Computing (Hong
Kong) Springer-Verlag, 1997,
Hickernell Fred, H. S. Hong, P. L'Écuyer, and Christiane Lemieux, Extensible lattice
sequences for quasi-Monte Carlo quadrature, SIAM J. Sci. Comput. 22 (2000)
Hickernell Fred, H. S. Hong, Quasi-Monte Carlo methods and their randomizations,
Applied Probability, AMS/IP Studies in Advanced Mathematics, vol. 26, American
Mathematical Society, Providence, Rhode Island, 2002
Hickernell Fred, H. S. Hong, The asymptotic efficiency of randomized nets for
quadrature, Math. Comp. 68 (1999),
Hickernell Fred, H. Wozniakowski (eds.), Special issue on the complexity of
multivariate problems, J. Complexity, vol. 17, no. 4, Academic Press, Orlando,
FL, December 2001
Hickernell Fred, H. Wozniakowski 'Integration and approximation in arbitrary
dimensions' Adv. Comput. Math. 12 (2000),
Hickernell Fred, H. Wozniakowski 'The price of pessimism for multidimensional
quadrature' J. Complexity 17 (2001),
Hickernell Fred, H. Wozniakowski 'Tractability of multivariate integration for
periodic functions' J. Complexity 17 (2001),
Hickernell Fred, Harald Niederreiter, The existence of good extensible rank-1
lattices' J. Complexity 19 (2003),
Hickernell Fred, I. H. Sloan, G. W. Wasilkowski On tractability of weighted
integration for certain Banach spaces of functions' Monte Carlo and Quasi-Monte
Carlo Methods 2002 (H. Niederreiter, ed.), Springer-Verlag, Berlin, 2004,
Hickernell Fred, I. H. Sloan, G. W. Wasilkowski On tractability of weighted
integration over bounded and unbounded regions' in Rs, Math. Comp. (2004)
Hickernell Fred, I. H. Sloan, G. W. Wasilkowski The strong tractability of
multivariate integration using lattice rules' Monte Carlo and Quasi-Monte Carlo
Methods 2002 Springer-Verlag, 2004,
Hickernell Fred, I. H. Sloan, G. W. Wasilkowski, A piece-wise constant algorithm for
weighted L1 approximation over bounded or unbounded regions' 2003
Hickernell Fred, I. H. Sloan, G. W. Wasilkowski, On strong tractability of weighted
multivariate integration' Math. Comp. (2004)
Hickernell Fred, Koksma-Hlawka 'Inequality', Encyclopedia of Statistical Sciences
Wiley second ed., 2004
Hickernell Fred, M. Q. Liu, 'Uniform designs limit aliasing' Biometrika 89 (2002)
Hickernell Fred, M. Q. Liu, Y. C. Yam, 'Discrepancy measures of uniformity' J. Chinese
Statistical Association 38 (2000) (Chinese).
Hickernell Fred, R. X. Yue, The mean square discrepancy of scrambled (t,s)-sequences,
SIAM J. Numer. Anal. 38 (2000),
Hickernell Fred, X. Wang, The error bounds and tractability of quasi-Monte Carlo
algorithms in infinite dimension, Math. Comp. 71 (2002)
Hickernell Fred, Y. C. Hon, Radial basis function approximation as smoothing splines,
Appl. Math. Comput. 102 (1999), 1-24,
Hickernell Fred, Y. X. Yuan, A simple multi-start algorithm for global optimization,
Oper. Res. Trans. 1 (1997)
Hida Takeyuki 'Brownian Motion' Springer 1980
Hidalgo Javier, Peter Robinson 'Adapting to Unknown Disturbance Autocorrelation in
Regression with Long Memory' Econometrica 7/02
Higham Desmond 'An Algorithm Introduction to Numerical Simulation of Stochastic
Differential Equations'<Eurler-Maruyama> SIAM Review 9/01
Higham Desmond 'An Introduction to Financial Option Valuation' 2004 Cambridge Press
Higham Desmond 'nine Ways to Implement the Binomial Method for Option Valuation in
MATLAB' SIAM Review 12/02
Higham Desmond, Xuerong Mao 'Convergence of Monte Carlo simulations involving the
mean-reverting square root process' J. Computational Finance Spring 05
Higham Desmond, Xuerong Mao, Andrew Stuart 'Strong Convergence of Numerical Methods
for Nonlinear Stochastic Differential Equations' <SDE>
Higham Nicholas 'Computing the Nearest Correlation Matrix-A Problem from Finance'
<portfolio> IMA J. Numer. Analysis 2002 <positive semidefinite, convex, weighted
Frobenius norm,alternating projection, semidefinite programming>
Highma Desmond 'An Introduction to Financial Option Valuation:Mathematics, Stochastics
and Computation' Cambridge Press 2004?
Hilberink B., L.C.G. Rogers 'Optimal Capital Structure and Endogenous Default'
Finance and Stochastics 4/02
Hildebrand M. 'Random Lazy Random Walks on Arbitrary Finite Groups' J. Theor. Prob.
10/01
Hilfer R. (ed) 'Applications of Fractional Calculus in Physics' World Scientific
Hillairet Caroline 'EXISTENCE OF AN EQUILIBRIUM WITH DISCONTINUOUS PRICES, ASYMMETRIC
INFORMATION, AND NONTRIVIAL INITIALs-FIELDS' Mathematical Finance vol 15, #1
1/05
Hille Christian, John Ring and Hideki Shimamoto 'Modelling counterparty credit
exposure for CDSs' RISK 5/05
Hilliard Jimmy, Adam Schwartz 'Pricing European & American Derivatives under a Jump-
Diffusion Process:A Bivariate Tree Approach' 6/03 <option-pricing>
Hinz Juri 'Modelling Day-Ahead Electricity Prices' Applied Math. Fin 6/03
Hinz Juri, Lutz von Grafensein, Michel Verschuere, Martina Wilhelm 'Pricing
electricity risk by interest rate methods' Bachelier Conference 2004
Hipp Christian 'Stochastic Control with Applications in Insurance' in Stochastic
Methods in Finance Springer-Verlag July 03 conference
Hipp Christian, Michael Plum 'Optimal Investment for Investors with State Dependent
Income, and for Insurers' Finance and Stochastics 2003
Hirano Keisuke, Guido Imbens, Geert Ridder 'Efficient Estimation of Average Treatment
Effects Using the Estimated Propensity Score' Econometrica 7/03
Hirano Keisuke, Jack Porter 'Asymptotic Efficiency in Parametric Structural Models
with Parameter-Dependent Support' Econometrica 9/03
Hirsa Ali 'Exotic Option Pricing for Vanilla Calibrated Semi-Martingale Models'
Handbook Mathematical Finance (ed. D. Madan)
Hirsa Ali 'Numerical Algorithms for the Convection-Diffusion Equations and Option
Pricing' PhD U. Maryland 98 <numeric><variance-gamma,Madan,PDE>
Hirsa Ali, Dilip Madan 'Pricing of American Options under Variance Gamma Model'J.
Comp. Fin. Winter 03 , 12/02 <option-American>
Hirsa Ali, Georges Courtadon, Dilip Madan 'The Effect of Model Risk on the Valuation
of Barrier Options' J. Risk Finance Winter 03 <option-barrier>
Hirschman I., D. Widder 'The Convolution Transform' Princeton 55
Hirshleifer David 'Investor Psychology & Asset Pricing' JofF 8/01
Hirshleifer David, Tyler Shumway 'Good Day Sunshine: Stock Returns and the
Weather'JofF 6/03
Ho Jeffrey, Laurie Goodman 'Interest Rates-Normal or Lognormal' J. Fixed Income 9/03
Ho Thomas, Sang Bin Lee 'Closed-Form Multifactor Binomial Interest Rate Model' J.
Fixed Income 6/04
Ho Thomas, Sang Lee 'Oxford Guide to Fianncial Modeling' Oxford 2004
Ho Y.C., X.R. Cao 'Optimization & Perturbation Analysis of Queueing Networks' J.
Optimization Theory & Appl. 83
Hobson David 'Stochastic Volatility Models, Correlation & q-Optimal Measure'MF 10/04
, 9/02 <volatility><Heston>
Hobson David, Jeremy Penn 'Maximising the Probability of a Perfect Hedge using an
Imperfectly Correlated Instrument' 8/02
Hobson David, Peter Laurence, Tai-Ho Wang 'Arbitrage-Free bounds for basket options'
Bachelier Conference 2004
Hobson David, Peter Laurence, Tai-Ho Wang 'Static-Arbitrage Upper Bounds for the
Prices of Basket Options' <option-basket> 6/04
Hobson David, Vicky Henderson 'Option Price Comparisons in a Jump-Diffusion Model'
Bachelier conference 2002
Hodder James, Thaleia Zariphopoulou 'Default Risk with Managerial Control' Bachelier
conference 2002
Hodges Stewart 'Generalization of the Sharpe Ratio & its Application to Valuation
Bounds & Risk Measures' 98
Hodges Stewart, George Skiadopoulos 'Simulating the Evolution of the Implied
Distribution' Bachelier conference 2002
Hodges Stewart, Iliana Anagnou 'Hedging Errors and Mispecified Volatility' Bachelier
conference 2002
Hodges Stewart, Robert Tompkins 'Volatility Cones & Their Sampling Properties' J. of
Derivatives Fall 02
Hodoshima Jiro 'The effect of nonnormality on the market model in the class of
elliptical distributions' Bachelier conference 2002
Hodrick Robert 'The Empirical Evidence on the Efficiency of Forward & Futures Foreign
Exchange Markets' Academic 87
Hoel Paul 'Introduction to Mathematical Statistics' Wiley 1947
Hoel Paul, Sidney Port, Charles Stone 'Introduction to Probability Theory' 1971
Hoerfelt Per 'The integral of a geometric Brownian motion is indeterminate by its
moments' Bachelier Conference 2004
Hofbauer Josef, William Sandholm 'On the Global Convergence of Stochastic Fictitious
Play 'Econometrica 11/02
Hoffmann Marc 'Rate of Convergence for Parametric Estimation in a Stochastic
Volatility Model' SP&A Jan 02 <volatility> <markov chain>
Hog Esben, Asger 'Wavelet Estimation of Integrated Volatility' 1/03 <Volatility>
<Fourier>
Hojgaard Bjarne, Michael Taksar 'Optiomal Risk Control for a Large Corporation in the
Presence of Return on Investments' Finance & Stochastics Oct 01
Hokkanen Veli-Matti, Gheorghe Morsanu 'Functional Methods in Differential Equations'
2002 Chapman & Hall/CRC Pub.
Hol Eugene 'Empirical Studies on Volatility in International Stock Markets' Kluwer
Pub. 2003
Holden Helge, Bernt Oksendal, Jan Uboe, Tusheng Zhang 'Stochastic Partial Differential
Equations' Birkauser 1996
Hollig Klaus 'Finite Element Methods with B-Splines' 2003 SIAM press
Holmstrom BengtJean Tirole 'LAPM: A Liquidity-Based Asset Pricing Model'JofF 10/01

Holthausen Cornelia, Thomas Rønde 'Regulating Access to International Large-Value

Payment Systems ' RFS Winter 02
Hon Y.C., X.Z. Mao 'A Multiquadric Interpolation Method for Solving Initial Value
Problems' J. Scientific Computing 97
Hon Yiu-Chung 'A Quasi-Radial Basis Function Method for American Option Pricing'
Comput. Math. Applic 2002 <option-American>
Hon Yiu-Chung, Xian=Zhong Mao 'A Radial Basis Function Method for Solving Option
Pricing Models' Financial Engineering 1999 <option-numeric>
Hong Chiang Kheng 'Closed-Form Valuation of Multi-Asset Options' FE News Jan/Feb 03
Hong Gwangheon, Arthur Warga 'Municipal Marketability' Journal of Fixed Income 9/04
Hong H., Fred Hickernell 'Implementing Scrambled Digital Sequences' ACM Trans. Math.
Software 2003
Hong H.S., Fred Hickernell 'Implementing scrambled digital nets' ACM Trans. Math.
Softw. 29 (2003)
Hong H.S., Fred Hickernell 't parameter optimization for imbedded digital (t,m,s)-nets
by using the evolutionary computation' Fourth International Conference on Monte
Carlo and Quasi-Monte Carlo Methods, November 27 -- December 1, 2000, Hong Kong,
2003
Hong H.S., Fred Hickernell, G. Wei 'The distribution of the discrepancy of scrambled
digital (t,m,s)-nets' Math. Comput. Simulation 62 (2003),
Hong Han, Elie Tamer 'Inference in Censored Models with Endogenous Regressors
'Econometrica May 03
Hong Harrison, Jeffrey Kubik '.Analyzing the Analysts: Career Concerns and Biased
Earnings Forecasts' JofF 2/03
Hong Harrison, Jeffrey Kubik, Jeremy Stein 'Social Interaction & Stock-Market
Participation' JofF 2/04
Hong Harrison, Jeremy Stein 'Differences of Opinion, Short-Sales Constraints, and
Market Crashes ' RFS Summer 03
Hong Teoh Siew, T. J. Wong 'Why New Issues and High-Accrual Firms Underperform: The
Role of Analysts' Credulity ' RFS Summer 02
Hong W. 'Large Deviations for the Super-Brownian Motion with Super-Brownian
Immigration'Journal Theor. Prob. 10/03
Hong Yongmiao, Chihwa 'Wavelet-Based Testing for Serial Correlation of Unknown Form in
Panel Models 'Econometrica 9/04
Hong Yongmiao, Haitao Li 'Nonparametric Specification Testing for Continuous-Time
Models with Applications to Term Structure of Interest Rates' RFS Spring 2005
Hong Yongmiao, Halbert White 'Asymptotic Distribution Theory for Nonparametric Entropy
Measures of Serial Dependence' Econometrica 5/05
Honoe Peter 'Pitfalls in Estimating Jump-Diffusion Models' Aarhus 98
Honore Bo, Arthur Lewbel 'Semiparametric Binary Choice Panel Data Models Without
Strictly Exogeneous Regressors 'Econometrica 9/02
Hoogland Jiri, Dimitri C. Neumann, Michel Vellekoop 'Symmetries in Jump-Diffusion
Models with Application in Option Pricing & Credit Risk' Inter. J. Theoretical &
Applied Finance 3/03 , 8/01 <scale invariance>
Hoogland Jiri, Fred James, Ronald Kleiss 'Quasi-Monte Carlo, Discrepancies & Error
Estimates' 11/96 <monte carlo>
Hopkins Ed 'Two Competing Models of How People Learn in Games 'Econometrica 11/02
Hoppe R.H.W., R. Kornhuber 'Adaptive Multilevel Methods for Obstacle Problems' SIAM J.
Numer Anal. 94
Hordahl Peter, David Vestin 'Interpreting Implied Risk-Neutral Densities:The Role of
Risk Premia' 1/03
Horfelt Per 'Extension of the Corrected Barrier Approximation by Broadie, Glasserman
and Kou' Finance and Stochastics V.7,#2 2003 <option-barrier>
Horfelt Per 'ON THE ERROR IN THE MONTE CARLO PRICING OF SOME FAMILIAR EUROPEAN PATH-
DEPENDENT OPTIONS' MF 4/05
Horfelt Per 'Pricing Discrete European Barrier Options Using Lattice Random Walks' MF
10/03
Hornstein Andreas, Per Krusell 'The IT Revolution:Is it Evident in the Productivity
Numbers?' FRB Richmond Economic Quarterly Fall 2000
Horowitz Joel 'Bootstrap Methods for Markov Processes' Econometrica 7/03
Horowitz Joel 'Nonparametric Estimation of a Generalized Additive Model with an
Unknown Link Function' Econometrica 3/2001
Horowitz Joel, Vladimir Spokoinky 'An Adaptive, Rate-Optimal Test of a Parametric
Mean-Regression Model Against a Nonparametric Alternative' Econometrica 5/2001
Horst Ulrich 'Stochastic Cascades, Credit Contagion, and Large Portfolio' Bachelier
Conference 2004
Hosking Jonathan 'Fractional Differencing' Biometrika 81
Hotchkiss Edith, Deon Strickland 'Does Shareholder Composition Matter? Evidence from
the Market Reaction to Corporate Earnings Announcements' JofF 8/03
Hotchkiss Edith, Tavy Ronen 'The Informational Efficiency of the Corporate Bond
Market: An Intraday Analysis ' RFS Winter 02
Houngbedji Aurele 'Valuation of European Call Options with Transaction Costs under
Jump Diffusion Process' Bachelier Conference 2004
Houser Daniel, Michael Keane, Kevin McCabe 'Behavior in a Dynamic Decision Problem: An
Analysis of Experimental Evidence Using a Bayesian Type Classification
Algorithm' Econometrica 5/04
Houston Paul, Bill Senior, Endre Suli 'Sobolev Regularity Estimation for hp-Adaptive
Finite Element Methods' 1/02 <PDE>
Hovakimian Armen, Tim Opler, Sheridan Titman 'The Debt-Equity Choice' JF&QA 3/2001
Hovanov Nikolai, James Kolari, Mikhail Sokolov 'Computing Currency Invariant Indices
with Applications to Minimum Variance Currency Baskets' JED&Q 6/04
Howard C. Douglas 'Obtaining Distributional Information from Valuation Lattices'
Applied Math. Finance 6/2000 <option-numeric>
Howe Roger 'Very Basic Lie Theory' Amer. Math. Monthly 83 <abstract algebra><Lie
Groups>
Howison Sam 'Practical Applied Mathematics: Modelling, Analysis, Approximation'
Cambridge Press 2005?
Howison Sam, Avraam Rafailidis, Henrik Rasmussen 'On the pricing and Hedging of
Volatility Derivatives' App. Math. Finance 12/04
Howison Sam, David Lamper 'Trading Volume in Models of Financial Derivatives' Appl.
Math Finance 6/01
Howison Sam, Mario Steinberg 'Matched asymptotic expansions for discretely sampled
barrier options' Bachelier Conference 2004
Hsu David 'What Do Entrepreneurs Pay for Venture Capital Affiliation?' JofF 8/04
Hsueh L. Paul, Y. Angela Liu 'Step-Reset Options:Design and Valuation' J. Futures
Markets 2/02 <option-reset>
Hu Luojia 'Estimation of a Censored Dynamic Panel Data Model 'Econometrica 11/02
Hu Yaozhong, Bernt Oksendal 'Fractional White Noise Calculus & Applications to
Finance' Infin. Dimens. Anal. Quantum Probab. Related Top 6 1-32 2003
Hu Yaozhong, Bernt Oksendal, Donna Salopek 'Weighted Local Time for Fractional
Brownian Motion & Application to Finance' <Brownian> 5/01 <Meyer-Tanaka,stop-
loss>
Hu Yaozhong, Harri Nyrhinen 'Large Deviations View Points for Heavy-Tailed Random
Walks' J. Theor. Prob. 7/04
Hu Yen-Ting, Rudiger Kiesel, William Perraudin, 'The estimation of transition matrices
for sovereign credit ratings', Journal Of Banking And Finance (26)7 (2002)
Hu Ying 'Exponential Integratibility of Diffusion Processes ' in Adv. Stochastic
Inequal. Contemp Mth 234 AMS 1999
Hu Ying, Jin Ma, Jiongmin Yong 'On Semi-linear Degenerate Backward Stochastic Partial
Differential Equations' Probab. Theory Related Fields 2002
Hu Ying, Xun Yu Zhou 'Indefinite Stochastic Riccati Equations' SIAM J. Control & Opt.
2003
Huang F.L., Fred Hickernell 'Improved quadrature error bounds using function values,
Fourth International Conference on Monte Carlo and Quasi-Monte Carlo Methods'
November 27 -- December 1, 2000, Hong Kong, 2003
Huang F.L., Fred Hickernell 'The relationship between the nth minimal errors of two
classes of information for approximation in weighted Hilbert spaces, 2003
Huang James 'Option Bounds and Second Order Arbitrage Opportunities' 11/04
Huang James 'Option Bounds from Concurrently Expiring Options when Relative Risk
Aversion is Bounded' 11/04
Huang James 'Option Pricing Bounds & the Elasticity of the Pricing Kernal' Review of
Derivatives Research 2004
Huang Jing-Zhi Jay, Weipeng Kong 'Explaining Credit Spread Changes:Some New Evidence
from option-Adjusted Spreads on Bond Indices' SSRN 6/03
Huang Jing-Zhi, Liuren Wu 'Specification Analysis of Option Pricing Models Based on
Time-Changed Levy Processes' 5/03 <option-pricing>, to be JofF 04
Huang Jing-zhi, Liuren Wu 'Specification Analysis of Option Pricing Models Based on
Time-Changed Levy Processes' JofF 6/04
Huang Jing-Zhi, Weipeng Kong 'Explaining Credit Spread Changes:New Evidence from
Option-Adjusted Bond Indexes' J.Derivatives Fall 03
Huang Ming-Xi, C.H. Hui, C.F. Lo 'Modelling Term Structures of Default Probability by
Structural Model with Time-dependent Target Leverage Ratios' Bachelier
Conference 2004
Huang Qi, Richard Levich 'Underpricing of New Equity Offerings by Privatized Firms: An
International Test' Intern. J. Theoretical & Appl. Finance 2/03
Huang Roger 'The Quality of ECN and Nasdaq Market Maker Quotes' JofF 6/02
Huang Roger, Hans Stoll 'Tick Size, Bid-Ask Spreads & Market Structure' JF&QA 12/01
Hubalek Friedrich, Jan Kallsen, L. Krawczyk 'Variance Optimal Hedging & Markowitz-
Efficient Portfolios for Processes with Stationary Independent Increments' 2004
Hubalek Friedrich, Leszek Krawczyk 'Simple Explicit Formulae for Variance-Optimal
Hedging for Processes with Stationary Independent Increments' 10/99 <hedging>
Hubalek Friedrich, Walter Schachermayer 'Limitations of No-Arbitrage Arguments for
Real Options' Inter. J. Theoretical & Applied Finance 4/2001
Hubalek Friedrich, Walter Schachermayer 'Optimizing Expected Utility of Dividend
Payments for a Brownian Risk Process and a Peculiar Nonlinear ODE'
Insurance:Mathematics and Economics 34 2004
Hubbard J., B. West 'Differential Equations:A Dynamical Systems Approach' 1997
Springer-Verlag
Huberman Gur 'Familiarity Breeds Investment' RFS 2001
Huberman Gur, T. Regev 'Contagious Speculatiion & a Curve for Cancer:A Nonevent that
Made Stock Prices Soar' JofF 2/2001
Huberman Gur, Werner Stanzl 'Price Manipulation and Quasi-Arbitrage ' Econometrica
7/04
Hubner Georges 'Analytic Pricing of Asymmetric Defaultable Swaps' J.Banking & Finance
2/2001 <credit risk>
Hubner Georges 'The Credit Risk Components of a Swap Portfolio' J. Futures Markets Jan
04
Huddart Steve, John Hughes, Carolyn Levine 'Public Discolsure & Dissimulation of
Insider Trades' Econometrica 5/2001
Hughston Lane, Avraam Rafailidis 'A chaotic approach to interest rate modelling' F&S
1/05 <term structure>
Hugonnier Julien, Dmitry Kramkov, Walter Schachermayer 'ON UTILITY-BASED PRICING OF
CONTINGENT CLAIMS IN INCOMPLETE MARKETS' MF 4/05
Hui Cho-Hoi, Chi-Fai Lo 'Effect of Asset Value Correlation on Credit-Linked Note
Values' Int. J. Theor.& Applied Fiannce 8/2002
Hui Cho-Hoi, Chi-Fai Lo, Shun-Wai Tsang 'Pricing Corporate Bonds with Dynamic Default
Barriers' J. of Risk Spring 2003
Hui Cho-Hoi, H.C. Lee, Chi-Fai Lo 'Pricing Vulnerable Black-Scholes Options with
Dynamic Default Barriers' J. Derivatives Summer 03 , wp <credit risk>
Hull John, Alan White 'The Essentials of the LMM' RISK 12/2000 <term structure><Libor
Market Model>
Hull John, Alan White 'The Valuation of Credit Default Swap Options' J. Derivatives
Spring 2003
Hull John, Alan White 'Valuation of a CDO and an n-th to Default CDS Without Monte
Carlo Simulation' Journal of Derivatives Winter 2004
Hull John, Alan White 'Valuing Credit Default Swaps II: Modeling Default Correlations'
J.Derivatives Spring 2001 ,wp 4/2000 <credit risk>
Hull John, Izzy Nelken, Alan White 'Merton's Model, Credit Risk and Volatility Skews'
J. Credit Risk V.1 #1 2005
Hull John, Mirela Predescu, Alan White 'The Valuation of Correlation-Dependent Credit
Derivatives Using a Structural Model' SSRN 3/05
Hull John, Wulin Suo 'A Methodology for Assessing Model Risk & its Application to the
Implied Volatility Function Model' JF&QA 6/02 , 7/01 <volatility>
Hult Henrik, Filip Lindskog 'Extremal behavior of regularly varying stochastic
processes' SP&A 2/05
Humphrey Thomas 'Classical Deflation Theory' FRB Richmond Econ. Quart. Winter 04
Humphrey Thomas 'Monetary Policy Frameworks & Indicators for the Federal Reserve in
the 1920s' FRB Richmond Economic Quarterly Winter 2001
Hunag Jie 'Nonlinear Output Regulation:Theory & Applications' 2004 SIAM press
Hung Mao-Wei, Jr-Yan Wang 'Pricing Convertible Bonds Subject to Default Risk' J.of
Derivatives Winter 2002 <convertible bonds>
Hung Mao-Wei, Yu-Hong Liu 'Pricing vulnerable options in incomplete markets' J.
Futures Markets 2/05
Hunter Chris, Peter Jackel, Mark Joshi 'Drift Approximations in a Forward-Rate-Based
LIBOR Market Model' 3/2001 <term structure> <Predictor-Corrector, BGM,Monte
Carlo>
Hunter Chris, Peter Jackel, Mark Joshi 'Getting the Drift'<LIBOR,predictor-corrector
numerical> RISK 7/01
Hunter William, et al (editor) 'Asset Pricing Bubbles' 2003 MIT Press
Hurd Tom, Matheus Grasselli 'Indifference pricing for reciprocal affine stochastic
volatility models' Bachelier Conference 2004
Hurd Tom, Tahir Choulli 'The portfolio selection problem via Hellinger processes'
Bachelier conference 2002
Hurst S., Eckhard Platen, Svelozar Rachev 'Option Pricing for a Logstable Asset Price
Model' Math.& Computre Modeling 99
Huschens S., J. Kim 'A Stable CAPM in the Presence of Heavy Tailed Distributions' in
Springer Lecture Notes #147 2000
Husler J., Vladimir Piterbarg 'On the ruin probability for physical fractional
Brownian motion' SP&A 10/04
Huson Mark, Robert Parrino, Laura Starks 'Internal Monitoring Mechanism & CEO
Turnover:Long-Term Perspective' JofF 12/01
Hwang Peter ‘Managing Relational Bond: An Integrative Approach’ JofB 3/05
Hwang S. Y., Tae Yoon Kim 'Power Transformation and Threshold Modeling for ARCH
Innovations with Applications to Tests for ARCH Structure' SP&A 4/04
Hyong-chol O., Ning WAN 'Analytical Pricing of Defaultable Bond with Stochastic
Default Intensity' SSRN 5/05
Hyvarinen Aapo 'Survey on the Independent Component Analysis' <statistics><principal
component>
Hyvarinen Aapo, Erkki Oja 'Independent Component Analysis:At Tutorial' 1999
<statistics>
Iacus S. 'Statistical analysis of stochastic resonance with ergodic diffusion
noise'S&SR 2002
Ibanez Alfredo 'Valuations by Simulation of Contingent Claims with Multiple Earlier
Exercise Opportunities' from 4/2001 conference, may not be papers
Ibanez Alfredo, Fernando Zapatero 'Monte Carlo Valuation of American Options Through
Computation of the Optimal Exercise Frontier' 11/01 <option-American>
Ibenez Alfredo 'Valuation by Simulation of Contingent Claims with Multiple Early
Exercise Opportunities'MF 4/04
Ibragimov I., R. Khas'minskii 'Estimation Problems for Coefficients of Stochastic
Partial Differential Equations:II' SIAM Theor.Prob.&Appl. v44 <SDE>
Ibragimov R., Sh Sharakhmetov 'The Exact Constant in the Rosenthal Inequality for
Random Variables with Mean Zero' Theory of Probability and It's Applications V46
#1
Ignatov Avetan, Vladimir Kaishev, Rossen Krachunov 'Explicit, Finite Time Ruin
Probabilities for Discrete, Dependent Claims' 11/01 <risk><multivariate negative
binomial>
Ikeda Nobuyuki, S, Watanabe 'Stochastic Differential Equations & Diffusion Processes'
North-Holland 81
Ikenberry David, Sundaresh Ramnath 'Underreaction to Self-Selected News Events:Case of
Stock Splits', disucssion Sheridan Titman RFS v.15 #2 2002
Ilhan Aytac, Mattias Jonsson, Ronnie Sircar 'Singular Perturbrations for Boundary
Value Problems Arising from Exotic Options' SIAM App. Math 2004 <option-Barrier>
<Barrier, Lookback, Passport>
Ilhan Aytac, Ronnie Sircar 'Optimal Static-Dynamic Hedges for Barrier Options'
Bachelier Conference 2004
Il'in A. 'On a Class of UltraParbolic Equations' Dokl. Akad Nouk SSSR 64 , English
Soviet Math. Dokl 64
Ilinski Kirill 'Finding the Basket' <option-basket> Wilmot.com 8/01 <Breeden-
Litzenberger, risk neutral probability>
Ilinski Kirill, Alexander Stepanenko 'Derivative Pricing with Virtual Arbitrage' 2/99
<arbitrage>
Ilmanen Antti, Rafey Sayood 'Quantitative Forecasting Models & Active Diversification
for International Bonds' J. Fixed Income 12/02
Ilmanen Antti, Rory Byrne 'Pronounced Momentum Patterns Ahead of Major Events' J.
Fixed Income 3/03
Imai Junichi 'Evaluating the Switching Options by Simulation' Bachelier Conference
2004
Imbens Guido, Charles Manski 'Confidence Intervals for Partially Identified
Parameters'Econometrica 11/04
Imkeller P. 'Random times at which insiders can have free lunches'S&SR 2002
Imkeller Peter 'Malliavin's Calculus in Insider Models: Additional Utility and Free
Lunches' MF 1/03
In Francis, Sangbae Kim ‘The Hedge Ratio and the Empirical Relationship between the
Stock and Futures Markets: New Approach Using Wavelet Analysis’ JofB 3/06
Inderst Roman, Holger Muller 'Internal versus External Financing: An Optimal
Contracting Approach'JofF 6/03
Ingber Lester 'Statistical Mechanics of Financial Markets (SMFM):Applications to
Trading Indicators & Options' <option-numeric>
Ingber Lester 'Statistical Mechanics of Portfolios of Options' 9/01 <portfolio>
Ingber Lester, Colleen Chen, Radu Mondescu, David Muzzall, marco Renedo 'Probability
Tree Alogorithm for General Diffusion Processes' 3/2001 <option-numeric>
Ingber Lester, R. Mondescu 'Optimization of Trading Physics Models of Markets' 2000
<trading> <canonical momenta indicators>
Ingersoll Jonathan ‘The Subjective and Objective Evaluation of Incentive Stock
Options’ JofB 3/06
Ingersoll Jonathan 'Contingent Foreign Exchange Contracts with Stochastic Interest
Rates' Yale 90
Inglis Stewart, Alexander Lipton 'How to Calibrate the Heston Model' BT 8/98
Inque Atsushi, Lutz Kilian 'Bootstrapping Autoregressive Processes with Possible Unit
Roots' Econometrica Jan 02
Intriligator Michael 'Mathematical Optimization & Economic Theory' SIAM books 2002
Inui Koji, Masaaki Kijima 'On the significance of expected shortfall as a coherent
risk measure' J. Banking & Finance 4/05
Ioffe Ioulia 'Arbitrage Bounds in Markets with Noisy Prices and the Puzzle of Negative
Option Prices Implicit in Bonds' Journal Of Banking And Finance (26)6 (2002)
Ioffe Ioulia, Eliezer Prisman 'Term Structure of Interest Rates & Implied Market
Frictions:The Min-Max Approach' Management Science 7/03 <term structure>
Ipsen Ilse 'Accurate Eigenvalues for Fast Trains' SIAM News 11/04
Ishikawa Yasushi 'Optimal Control Problem Associated with Jump Processes' 2004
<portfolio,Bellmann>
Islam S.M.N., S. Watanapalachaikul 'Empirical Finance' 2004 Springer Press
Israel Robert, Jeffrey Rosenthal, Jason Wei 'Finding Generators for Markov Chains via
Empirical Transition Matrices, with Applications to Credit Ratings' MF 4/2001
,10/2000 <credit risk>
Issing Otmar 'Communication, Transparency, Accountability:Monetary Policy in the
Twenty-First Century' FRB St. Louis Review March/April 2005
Iverarity G. W. 'Fast Computation of Multidimensional Fourier Integrals' SIAM J. Sci.
Comput. 2002 <fourier><second order open quadrature>
IVKOVIÆ Zoran, SCOTT WEISBENNER 'Local Does as Local Is: Information Content of the
Geography of Individual Investors' Common Stock Investments' JofF 2/05
Iyengar Garud 'UNIVERSAL INVESTMENT IN MARKETS WITH TRANSACTION COSTS' MF 4/05
Iyengar Garud, Donald Goldfarb 'Robust portfolio selection problems' Bachelier
conference 2002
Izvorski I. 'A Nonuniform Grid Method for Solving PDEs' JED&C 98
Jacka Saul, J. Lynn 'Finite-Horizon Optimal Stopping,Obstacle Problems & Shape of
Continuation Region' Stochastics and Stochastic Reports 92
Jackel Peter 'Greeks with Monte Carlo' Wilmott Pub. 7/01 <option-numeric>
Jackel Peter 'Monte Carlo in the BGM/J Framework:Using a Non-Recombining Tree to
Design a New Pricing Method for Bermuda Swaptions' 1/2000 <term structure>
Jackel Peter 'Monte Carlo Methods in Finance' Wiley Press 2002
Jackel Peter 'Non-Recombining Trees for the Pricing of Interest Rate Derivatives in
the BGM/J Framework' 10/2000 <term structure> <bushy tree>
Jackel Peter, Ricardo Rebonato 'The Link Between Caplet & Swaption Volatilities in a
Brace-Gatarek-Musiela/Jamshidian Framework:Approximate Solutions & Empricial
Evidence' J. Comp. Finance Summer 03 <BGM/J>
Jackel Peter, Riccardo Rebonato 'Linking Caplet & Swaption Volatilities in a BGM/J
Framework:Approximate Solutions' 8/2000 <term structure>
Jackel Peter, Riccardo Rebonato 'Valuing American Options in the Presence of User-
Defined Smiles & Time-Dependent Volatility:Scenario Analysis, Model Stress &
Lower-Bound Pricing Applications' 8/2000 <volatility>
Jackson Andrew 'Trade Generation, Reputation, and Sell-Side Analysts' JofF 4/05
Jackson Andrew, Timothy Johnson ‘Unifying Underreaction Anomalies' JofB 1/06
Jackson Matthew, Jeroen Swinkels 'Existence of Equilibrium in Single and Double
Private Value Auctions' Econometrica 1/05
Jackson Matthew, Leo Simon, Jeroen, Swinkels, William Zane 'Communication and
Equilibrium in Discontinuous Games of Incomplete Information ' Econometrica
9/02
Jackwerth Jens Carsten, George Constantinides, Stylianos Perrakis 'Mispricing of S&P
500 Index Options' Bachelier Conference 2004
Jackwerth Jens, David P. Brown 'The Pricing Kernel Puzzle: Reconciling Index Option
Data and Economic Theory' Bachelier conference 2002
Jacob N. 'PseudoDifferential Operators & Markov Processes' Akademie-Verlag 96
Jacobs Kris, Kevin Wang 'Idiosyncratic Consumption Risk and the Cross Section of Asset
Returns'JofF 10/04
Jacobs Kris, Peter Christoffersen 'The Importance of the Loss Function in Option
Pricing' Bachelier conference 2002
Jacobs Thomas 'CDO Asset Selection & Structuring:Issuer Perspective' BofA 3/15/01
Jacobsen Martin 'Martingales and the Distribution of the Time to Ruin' SP&A 9/03
Jacod Jean 'Euler Scheme for Levy Driven Stochastic Differential Equatons:Limit
Theorems' Ann. of Prob. 7/04
Jacod Jean 'Sharp Estimates for the Euler Scheme for Levy Driven Stochastic
Differential Equations' <SDE> 5/01
Jacod Jean, Philip Protter 'Asymptotic Error Distributions for the Euler Method for
Stochastic Differential Equations' Annals of Prob. 98
Jacod Jean, Sebastian Raible 'Lévy term structure models: No-arbitrage and
completeness' F&S 1/05
Jacod Jean, Sylvie Melcard, Philip Protter 'Explicit Form and Robustness of Martingale
Representations' 2002 <martingale>
Jacod Jean, Thomas Kurtz, Sylvie Meleard, Philip Protter 'The Approximate Euler Method
for Levy Driven Stochastic Differential Equations' Annales de l'Institut Henri
Poincaré 2005 2003 <latest available 3/04><SDE>
Jacques Michel 'On the Hedging Portfolio of Asian Options' Asin Bulletin 96 <option-
Asian> <Geman, Laplace>
Jacquier Eric 'Generalized Stochastic Volatility (SV) Models with Leerage Effects &
Fat-Tails' RISK presentation 2002
Jaeckel Peter, Atsushi Kawi 'The Future is Convex' <Eurodollar Futures> 2004
Jafry Yusuf, Til Schuermann 'Metrics for Comparing Credit Migration Matrices' 2003
Jagannathan Ravi, Andrew Kaplin, Steve Guoqiang Sun 'An Evaluation of Multi-Factor CIR
Models using LIBOR, Swap Rates, and Cap and Swaption Prices' NBER 12/01 <term
structure>
Jagannathan Ravi, Andrew Kaplin, Steve Sun'An Evaluation of Multi-Factor CIR Models
using LIBOR, Swap rates, and Cap and Swaption Prices' J. Econometric Aug 2003
Jagannathan Ravi, Tongshu Ma 'Risk Reduction in Large Portfolios: Why Imposing the
Wrong Constraints Helps' JofF 8/03
Jagannathan Ravi, Zhenyu Wang 'Empirical Evaluation of Asset-Pricing Models: A
Comparison of the SDF and Beta Methods' JofF 10/02
Jakubenas P. 'Anyway, Can We Price European Options with Levy Processes?' CAF 9/02
Jakubenas Paulius 'On Option Pricing in Certain Incomplete Markets' Proc. Stekov Math
Instit. 2002
Jakubenas Paulius, Shlomo Levental, Michal Ryznar 'The Super-Replication Problem via
Probabilistic Methods' Annals of App. Prob. 5/03
Jamdee Sutthisit, Cornelis Los 'Long Memory Options:Valuation' 7/04 <option-pricing>
<non-Fickian neutral independence>
James Ben (?)'Calculation of QVG, CDF' <volatility> <double sided gamma,variance
gamma>
James Ben (?)'Maximum A Posteriori (MAP) Estimation of QVG Model Parameters'
<volatility> <variance gama>
James Ben 'Computation with Markov Processes' <Markov>
James Ben 'Double-Sided Gamma Random Variables & Change of Measure' <volatility>
James Ben 'Joint Double-Gamma Random Variables' BofA <numeric>
James Ben 'QF Implementation of Geometric & Mixed M3 Models' <volatility>
James Ben 'Variance Gamma vrs. Double Sided Gamma'<volatility>
James Fred, Jiri Hoogland, Ronald Kleiss 'Multidimesnional Sampling for Simulation &
Integration:Measures,Discrepancies & Quasi-Random Numbers' 8/96 <monte carlo>
<quasi-random>
James Jessica 'Simple Trend-Following strategies in Currency Trading' QF Aug. 2003
Jameson Graham 'The Prime Number Theorem' 2003 Cambridge Press
Jamshidian Farshid 'Valuation of credit default swaps and swaptions' FS 8/04
Janecek Karel, Steven Shreve 'Asymptotic Analysis for Optimal Investment & Consumption
with Transaction Costs' F&S 5/04
Janecek Karel, Steven Shreve 'Futures Trading Model with Transaction Costs' Bachelier
Conference 2004
Jang Jiwook 'Measuring default premium using the Cox process with shot noise
intensity' Bachelier Conference 2004
Janosi T., Robert Jarrow, Yildiray Yildirim 'Estimating Expected Losses & Liquidity
Discounts Implicit in Debt Prices' J. Risk Fall 2002
Jansson Michael 'The Error in Rejection Probability of Simple Autocorrelation Robust
Tests 'Econometrica 5/04
Jarrow Robert 'Capital Structure and the Present Value of a Firm's Investment
Opportunities: A Reduced Form Credit Risk Perspective' Bachelier Conference 2004
Jarrow Robert 'Default Parameter Estimation Using Market Prices' FAJ Setp/Oct 01
<credit risk>
Jarrow Robert 'Put Option Premium & Coherent Risk' MF 4/02 <option-pricing>
Jarrow Robert, David Lando, Fan Yu 'DEFAULT RISK AND DIVERSIFICATION: THEORY AND
EMPIRICAL IMPLICATIONS' Mathematical Finance vol 15, #1 1/05 , 6/03 <risk-
credit>
Jarrow Robert, Dilip Madan 'Arbitrage, Martingales & Private Monetary Value' J.of Risk
Fall 2000 , 8/2000 <martingale><frictionless market, measure>
Jarrow Robert, Dilip Madan 'Arbitrage, Rational Bubbles and Martingale Measures'
<arbitrage> 3/96
Jarrow Robert, Donald van Deventer 'Estimating Default Correlations using a Reduced-
Form Model' RISK 1/05
Jarrow Robert, Fan Yu 'Counterparty Risk and the Pricing of Defaultable
Securities'JofF 10/01
Jarrow Robert, Haitao Li, Feng Zhao 'Interest Rate Caps "Smile" Too! But Can the LIBOR
Market Models Capture It?' 1/03 <term structure>
Jarrow Robert, Philip Protter 'Structural versus Reduced Form Models:A New Information
Based Perspective' Journal of Investment Management 2004
Jarrow Robert, Yildiray Yildirim 'Pricing Treasury Inflation Protected Securities &
Related Derivatives' JF&QA 6/03
Jarrow Robert, Yildiray Yildirim 'Valuing Default Swaps under Market & Credit Risk
Correlations' J. Fixed Income March 02 <credit risk>
Jarrow Robert, Yildiray Yildirim, Arkadev Chatterjea 'How Valuable is Credit Card
Lending' J. Derivatives Winter 2003
Jaschke Stefan 'The Cornish-Fisher Expansion in the Context of Delta-Gamma Normal
Approximations' J. Risk Summer 02
Jaschke Stefan, Uwe Kuchler 'Coherent Risk Measures and Good-Deal Bounds' Finance and
Stochastics V5 #2 2001 <risk>
Javaheri Alireza, Delphine Lautier, Alain Galli 'Filtering in Finance' Wilmott
Magazine 5/03 <Kalman>
Javaheri Alireza, Paul Wilmott, Espen Haug 'GARCH & Volatility Swaps' QF 10/04 , 1/02
<swaps>
Jayaraman Narayanan, Ajay Khorana, Edward Nelling ' An Analysis of the Determinants
and Shareholder Wealth Effects of Mutual Fund Mergers' JofF 6/02
Jeanblanc Monique 'On the Starting and Stopping Problem: Application in reversible
investments' Bachelier Conference 2004
Jeanblanc Monique, Jim Pitman, Marc Yor 'Self-Similar Processes with Independent
Increments Associated With Levy and Bessel Processes' SP&A July/Aug 2002 , 1/02
<numeric>
Jeanblanc Monique, Nicole El Karoui, Shaojuan Huang 'Optimization with random horizon
' Bachelier conference 2002
Jeantheau Thierry 'A Link Between Complete Models with Stochastic Volatility & ARCH
Models' F&S 2/04
'JED&C Journal of Economic Dynamics and Control
Jeffrey Andrew, Oliver Linton, Thong Nguyen 'Flexible Term Structure Estimation:Which
Method is Preferred?' 12/2000 <term structure>
Jeffrey Andrew, Oliver Linton, Thong Nguyen, Peter Phillips 'Nonparametric Estimation
of a Multifactor Heath-Jarrow-Morton Model:An Integrated Approach' 7/2001 <term
structure>
Jegadeesh Narasimhan, Joonghyuk Kim, Susan Krische, Charles Lee 'Analyzing the
Analysts: When Do Recommendations Add Value?' JofF 6/04
Jegadeesh Narasimhan, Sheridan Titman 'Cross-Sectional and Time-Series Determinants of
Momentum Returns 'RFS Spring 2002
Jegadeesh Narasimhan, Sheridan Titman 'Profitability of Momentum Strategies: An
Evaluation of Alternative Explanations' JofF 4/2001
Jehiel Philippe, Benny Moldovanu 'Efficient Design with Interdependent Valuations'
Econometrica 9/01
Jeninson Tim, Howard Jones 'Bids and Allocations in European IPO Bookbuilding'JofF
10/04
Jensen Bjarke, Rolf Poulsen 'Transition Densities of Diffusion Processes: Numerical
Comparison of Approximation Techniques'J. of Derivatives Summer 02 <option-
numeric>
Jensen Bjarne Astrup 'On valuation before and after tax in no arbitrage models:Tax
neutrality in the continuous time model' Bachelier Conference 2004
Jensen Bjarne 'On valuation before and after tax in "no arbitrage" models - tax
neutrality in the discrete time model' Bachelier conference 2002
Jensen Malene Shin, Bent Jesper Christensen 'Invariance Tests of Forward Rate Models'
Bachelier Conference 2004
Jensen Malene Shin, Mikkel Svenstrup 'Efficient Control Variates & Strategies for
Bermudan Swaptions in a LIBOR Market Model' 2/03 <Swaption><Andersen-
Broadie,Primal-Dual>
Jensen Malene Shin, Mikkel Svenstrup 'Optimal Allocation of Simulation Paths in the
Primal-Dual Algorithm' CAF 10/04 <option-numeric>
Jensen Soren, Anders Rahbek 'Asymptotic Normality of the QMLE Estimator of ARCH in the
Nonstationary Case' Econometrica 3/04
Jewell J., M. Livingston 'The Impact of a Third Credit Rating on the Pricing of Bonds'
J. Fixed Income 12/2000
'JF&QA Journal of Financial and Quantitiative Analysis
Jiang Gang, Bob Litterman, Jacob Rosengarten 'Understanding Variations in the Risk of
Multi-Strategy Portfolios' RISK 2/05
Jiang George 'Testing Option Pricing Models with Stochastic Volatility, Random Jumps
and Stochastic Interest Rates' International Review of Finance, Vol. 3,
September 2002
Jiang George, Pieter Van Der Sluis 'Index Option Models with Stochastic Volatility &
Stochastic Interest Rates' European Financial Review V.3 #3
Jiang John, Bong-Soo Lee ‘An Empirical Test of the Accounting-Based Residual Income
Model and the Traditional Dividend Discount Model’ JofB 7/05
Jiang L.S. 'Analysis of Pricing American Options on the Maximum (Minimum) of Two Risky
Assests' Interfaces & Free Boundaries 2002
Jiang Lishang, Min Dai 'Convergence of Binomial tree Methods for European/American
Path Dependent Options' SIAM J. Control & Opt 8/04
Jiang Lishang, Qihong Chen, Lijun Wang, Jin E. Zhang 'A New Well-Posed Algorithm to
Recover Implied Local Volatility' QF 2003 <volatility>
Jiang Long 'Representation theorems for generators of backward stochastic differential
equations' C.R. Acad. Paris Sci. I Jan 2005
Jiang Thomas, James Dickey, Kun-Lin Kuo 'A New Multivariate Transform and the
Distribution of a Random Functional of a Ferguson-Dirichlet Process'SP&A 5/04
Jin Hanging, Tomasz Bielecki, Stanley Pliska, Xun Yu Zhou 'Continuous-Time Mean--
Variance Portfolio Selection with Bankruptcy' Bachelier Conference 2004
Jobert Arnaud, L.C.G. Rogers 'Option Pricing with Markov-Modulated Dynamics' 12/04
<option-pricing> <volatility,Wiener-Hopf, perpetual American Put, Barrier,
finite horizon>
Jodar L., P. Sevilla-Peris, J.C. Cortes, R. Sala 'A New Direct Method for Solving the
Black-Scholes Equation' Applied Mathematics Letters 18(2005) <Option-Pricing>
<Mellin, no variable transforms, no solving diffusion equation>
Joe H. 'Multivariate Models & Dependence Concepts' Chapman & Hall 97
Joe H., T. Hu 'Multivariate Distributions from Mixtures of Max-Infinetely Divisible
Distributions' J. Multivariate Analysis 96
Jofre-Bonet Mireia, Martin Pesendorfer 'Estimation of a Dynamic Auction Game'
Econometrica 9/03
Johannes Michael 'A Nonparametric View of the Role of Jumps to Interest Rates' 7/2000
<term structure>
Johannes Michael 'The Statistical & Economic Role of Jumps in Continuous-Time Interest
Rate Models' JofF 2/04
Johannes Michael, Nicholas Polson, Jonathan Stroud 'Nonlinear Filtering of Stochastic
Differential Equations with Jumps' 10/02 <option-pricing> <Duffie, Pan,
Singleton>
Johannes Michael, Suresh Sundaresan 'Pricing Collateralized Swaps' 5/03 <Swaps>
Johansen A., Didier Sornette 'Bubbles & Anti-Bubbles in Latin-America, Asian & Western
Stock Markets:An Empirical Study' Intern. J. of Theor. & Applied Finance 12/01
Johansen A., Didier Sornette 'Large Stock Market Price Drawdowns are Outliers' J. of
Risk Winter 01/02
Johansen A., Olivier Ledoit, Didier Sornette 'Crashes as Critical Points' Inter.J.
Theor & App. Finance 4/2000
Johansen Soren, 'Small Sample Correction for the Test of Cointegrating Rank in the
Vector Autoregressive Model 'Econometrica 9/02
John K. Wald and Holly T. Horrigan: Optimal Limit Order Choice' JofB 3/05
Johnson C. 'Adaptive Finite Element Methods for the Obstacle Problem' Math.Mod.Appl
Sci. 92
Johnson C., Y. Omar, P. Ouwehand 'Valuing risky income streams in incomplete
markets'App. Math. Fin. 9/04
Johnson Don, Alfred Menezes, Scott Vanstone 'The Elliptic Curve Digital Signature
Algorithm (ECDSA) <cryptograph> Certicom
Johnson Richard 'Rating Agency Actions Around the Investment-Grade Boundary' J. Fixed
Income 3/04
Johnson Shane 'Debt Maturity and the Effects of Growth Opportunities and Liquidity
Risk on Leverage' RFS 2003
Johnson Simon, Han Lee 'Calibrating Volatility Smile Dynamics using an Ensemble
Weighting Method' 8/02 <volatility><monte carlo,pde>
Johnson Simon, Han Lee 'Capturing the Smile' RISK 3/03 <volatility> <calibration,
barrier,cliquets,mixture/ensemble models>
Johnson Timothy 'Forecast Dispersion and the Cross Section of Expected Returns' JofF
10/04
Johnson Timothy 'Rational Momentum Effects' JofF 4/02
Johnson Timothy 'Return Dynamics when Persistence is Unobservable' MF 10/01
Johnson Woodrow 'Predictable Investment Horizons and Wealth Transfers among Mutual
Fund Shareholders'JofF 10/04
Johnston E., L. Van Drunen 'Pricing Mortgage Pools with Heterogeneouos
Mortgages:Empirical Evidence' U. Utah 88
Johnston Paul 'RSA Algorithm' <cryptography> 2001 pajhome.org.uk/crypt
Jokivuolle Esa, Samu Peura 'Regulartory Capital Volatility' RISK 5/2001
Jondeau E., M. Rockinger 'Estimating Gram-Charlier Expansions under Positivity
Constraints' HEC 98
Jondeau Eric, Michael Rockinger 'Conditional Volatility, Skewness &
Kurtosis:Existence, Persistance & Comovements' J. Econ.Dyn.& Control 2003
<volatility><GARCH, portfolio, VAR>
Jones C. Kenneth 'Digital Portfolio Theory' Computational Economics 12/02
Jones C.K. 'A Network Model for the Foreign Arbitrage, Hedging & Speculation' Intern.
J. of Theor. & Applied Finance 12/01
Jones Christoper 'Dynamics of Stochastic Volatility:Evidence from Underlying & Options
Markets' wp U. Rochester 12/2000 <volatility> <CEV,Heston>
Jones Christopher 'Nonlinear Mean Reversion in the Short-Term Interest Rate' RFS Fall
2003 <term structure>
Jones Christopher 'The Dynamics of Stochastic Volatility: Evidence from Underlying and
Options Markets' J. Econometric Aug 2003
Jones G., J. Jones 'Elementary Number Theory' 1998 Springer-Verlag
Jonsson Mattia, Jussi Keppo 'Option Pricing for Large Agents' Appl. Math. Finance
12/02
Jonsson Mattias, Ronnie Sircar 'Partial Hedging in a Stochastic Volatility
Environment' MF Oct/02 , 8/2000 <hedging>
Jordan James, Sattar Mansi 'Term Structure Estimation from On-the-Run Treasuries' J.
Banking & Finance 2003 <term structure><five estimation methods, Nelson,Siegel,
Mansi/Phillips>
Jorion Philippe 'Fallacies About the Effects of Market Risk Management Systems' J.
Risk Fall 2002
Jorion Philippe 'VaR:The New Benchmark for Managing Financial Risk' McGraw-Hill 2000
Jose Rafael, Valeria de Magalaes Iorio 'Fourier Analysis & Partial Differential
Equations'Cambridge 2001
Joshi Mark 'C++ Design Patterns & Derivatives Pricing' 2004 Cambridge Press
Joshi Mark 'Concepts & Practice of Mathematical Finance' 2004 Cambridge Press
Joshi Mark 'Log-Type Models, Homogeneity of Option Prices & Convexity' 2001 <option-
pricing>
Joshi Mark 'Pricing Discretely Sampled Path-Dependent Exotic Options Using Replication
Methods' <option-path>
Joshi Mark 'Rapid Computation of Drifts in a Reduced Factor LIBOR Market Model'
Wilmott Magazine 5/03
Joshi Mark, Dherminder Kainth 'Rapid & Accurate Development of Prices & Greeks for nth
to Default Credit Swaps in the Li Model' QF 6/04
Joshi Mark, Jochen Theis 'Bounding Bermudan Swaptions in a Swap-Rate Market Model'
11/9/01 <term structure>
Joshi Mark, Riccardo Rebonato 'A Displaced-Diffusion Stochastic Volatility LIBOR
Market Model:Motivation, Definition & Implementation' QF 2003 <term structure>
Joshi Mark, Riccardo Rebonato 'A Stochastic-Volatility, Displaced Diffusion Extension
to the LIBOR Market Model' <term structure> 5/2001
Jost Jurgen 'Partial Differential Equations' 2003 Springer-Verlag
Jostova Gergana ‘Predictability in Emerging Sovereign Debt Markets’ JofB 3/06
Jouini Elyes 'Arbitrage & Control Problems in Finance:A Presentation' J.Math. Econ.
2001 <arbitrage>
Jouini Elyes, C. Napp 'Market Models with Frictions:Arbitrage & Pricing Issues'
Handbook of Mathematical Finance ed. Jouini, Cvitanic, Musiela
Jouini Elyes, Clotilde Napp 'Aggregation of heterogeneous beliefs and adjusted CCAPM'
Bachelier conference 2002
Jouini Elyes, Clotilde Napp 'Convergence of Utility Functions & Convergence of Optimal
Strategies' F&S 2/04
Jouini Elyes, Hedi Kallal 'Efficient Trading Strategies in the Presence of Market
Frictions' RFS Summer 2001
Jouini Elyes, Hedi Kallal, Clotilde Napp 'Arbitrage & Viability in Security Markets
with Fixed Transaction Costs' J.Math. Econ. 2001 <arbitrage>
Jouini Elyes, Jaksa Cvitanic, Marek Musiela 'Handbook in Mathematical Finance:Option
Pricing:Interest Rates and Risk Management' Cambridge Press 9/01
Jouini Elyes, M. Meddeb, Nizar Touzi 'Vector-valued coherent risk measures' F&S 10/04
Ju Nengjiu 'Pricing Asian & Basket Options via Taylor Expansion' J. Comp. Finance
Spring 02 <option-basket>
Ju Nengjiu, Hui Ou-Yang ‘Capital Structure, Debt Maturity, and Stochastic Interest
Rates’ JofB tobe 2005-2006
Juang Wei-Toring 'Learning from Popularity' Econometrica 5/2001
Judd Kenneth 'Numerical Methods in Economics' 98 MIT Press
Judd Kenneth, Sevin Yeltekin, James Conklin 'Computing Supergame Equilibria'
Econometrica 7/03
Jules Sadefo Kamdem 'VaR and ES for linear Portfolios with mixture of elliptically
distributed risk factors' Bachelier Conference 2004
Juneja S., P. Shahabuddin 'Simulating Heavy Tailed Processes Using Delayed Hazard Rate
Twisting' ACM Trans. Model. & Computer Simulation 2002
Jung Alan, Cyrus Ramezani 'Insurance & Reinsurance Contracts as Complex
Derivatives:Appliction to Multiple Peril Policies' J. of Risk Summer 01
Junker Markus, Alex Szimayer, Niklas Wagner 'Nonlinear Term Structure
Dependence:Copula Functions, Empirics & Risk Implications' 5/03
Jurczenko Emmanuel, Bertrand Maillet 'Multi-Moment Kernel Asset Pricing Model
(KAPM):Some Basic Results' <option-pricing> 3/02 <Kraus,
Litzenberger,Fang,Lai,Satchell,Harvey>
Jurczenko Emmanuel, Bertrand Maillet 'The Three-Moment CAPM:Theoretical Foundations &
an Asset Pricing Models Comparison in an Unified Framework' 5/01 <CAPM> <skew>
Jurczenko Emmanuel, Bertrand Maillet, Bogdan Negrea 'A Note on Skewness & Kurtosis
Adjusted Option Pricing Models under the Martingale Restriciton' QF 10/04 <Gram-
Charlier expansion, fat tails>
Jurczenko Emmanuel, Bertrand Maillet, Bogdan Negrea 'Multi-Moment Approximate Option
Pricing Models I: A General Comparison' <option-pricing> 2/02 <Gram-Charlier,log
normal, Edgeworth>
Kabanov Yuri 'Arbitrage Theory' Handbook of Mathematical Finance ed. Jouini, Cvitanic,
Musiela
Kabanov Yuri, Caludia Kluppelberg 'A Geometric Approach to Portfolio Optimization in
Models with Transaction Costs' F&S 5/04
Kabanov Yuri, Christophe Stricker 'On the Optimal Portfolio for the Exponential
Utility Maximation:Remarks to Six-Author' MF 4/02 <hedging>
Kabanov Yuri, Christophe Stricker 'The Harrison-Pliska Arbitrage Pricing Theorem under
Transaction Costs' J.Math. Econ. 2001 <arbitrage>
Kabanov Yuri, Christophe Stricker 'To a Theory of Financial Markets with Friction'
Bachelier conference 2002
Kabanov Yuri, G. Last 'Hedging under Transaction Costs in Currency Markets:A
Continuous Time Model' MF 1/02 <hedging>

Kabanov Yuri, Miklos Rasonyi, Christophe Stricker 'No-arbitrage Criteria for Financial
Markets with Efficient Friction' Finance and Stochastics 2002 <arbitrage>
<Dalang-Morton-Willinger>
Kabanov Yuri, Miklos Rasonyi, Christophe Stricker 'On the Closedness of Sums of Convex
Cones in L^0 and the Robust No-Arbitrage Property' Finance and Stochastics 2003
<arbitrage>
Kachatov Alexander, Yaroslav Kurylev, Matti Lassas 'Inverse Boundary Spectral
Problems' 2002 Chapman & Hall/CRC Pub.
Kacperczyk Marcin, Paul Damien, Stephen Walker 'A New Class of Bayesian Semiparametric
Models with Applications to Option Pricing' 6/03 SSRN
Kagel J., D. Levin 'Behavior in Multi-Unit Demand Auctions: Experiments with Uniform
Price & Dynamci Vicrey Auctions' Econometrica 3/2001
Kagraoka Yusho 'The OAS Approach and the Martingale Measure for Mortgage Prepayment'
Bachelier conference 2002
Kahale Nabil 'An Arbitrage-Free Interpolation of Volatilities' RISK 5/04 <from
discrete surface>
Kahl Matthias 'Economic Distress, Financial Distress & Dynamic Liquidation' JofF 2/02
Kahn Charles, Andrew Winton 'Moral Hazard and Optimal Subsidiary Structure for
Financial Institutions' JofF 12/04
Kalai Ehud 'Large Robust Games'Econometrica 11/04
Kalai Gil 'Social Indeterminacy 'Econometrica 9/04
Kalai Gil, Ariel Rubinstein, Ran Spiegler 'Rationalizing Choice Functions By Multiple
Rationales 'Econometrica 11/02
Kalashnikov Vladimir, Ragnar Norberg 'Power Tailed & Runin Probabilities in the
Presence of Risky Investments' SP&A 4/02
Kalashnikov Vladimir, Ragnar Norberg 'Power Tailed Ruin Probabilities in the Presence
of Risky Investments'<negative returns> SP&A 4/02
Kalay Avner, Li Wei, Avi Wohl 'Continuous Trading or Call Auctions: Revealed
Preferences of Investors at the Tel Aviv Stock Exchange' JofF 2/02
Kalimipalli Madhu, Arthur Warga 'Bid-Ask Spread, Volatility & Volume in the Corporate
Bond Market' J. Fixed Income March 02
Kalimipalli Madhu, Peter Carayannopoulos 'CBO & ABS Underperformance:A Correlation
Story'J. Fixed Income 12/03
Kalimipalli Madhu, Peter Carayannopoulos 'Convertible Bond Prices & Inherent Biases'J.
Fixed Income 12/03
Kalkbrener Michael ‘AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION’
Kalkbrener Michael, Hans Lotter, Ludger Overbeck 'Sensible & Efficient Capital
Allocation for Credit Portfolios' RISK 1/04
Kalkbrener Michael, Jan Willing 'Risk management of non-maturing liabilities'
Bachelier conference 2002
Kalkbrener Michael, Ludger Overbeck 'The Maturity Effect on Credit Risk Capital' RISK
7/02
Kallianpur G. 'Stochastic Filtering Theory' Springer 1980
Kallianpur G., J. Xiong 'Asset Pricing with Stochastic Volatility' <App. Math & Opt
2001 <volatility><nonlinear filtering>
Kallsen Jan 'Derivative Pricing Based on Local Utility Maximization' Finance and
Stochastics Jan 2002
Kallsen Jan 'Duality Links between Portfolio Optimization & Derivative Pricing' U.
Freiburg 98
Kallsen Jan, Albert Shiryaev 'The Cumulant Process, Exponential Martingales &
Esscher's Change of Measure' U. Moscow 2000
Kallsen Jan, Albert Shiryaev 'Time Change Representation of Stochastic Integrals
'Theory Prob. & its Application' V.46 , 2000 <stochastics>
Kallsen Jan, Christoph Kuhn 'Pricing Derivatives of American and Game Type in
Incomplete Markets' F&S 5/04 <option-American>
Kallsen Jan, Thomas Goll 'Optimal portfolios for logarithmic utility' Bachelier
conference 2002
Kalotay Andrew, Deane Yang 'Coupled Lattice Efficiency Analysis of Mortgage-backed
Securities' Bachelier conference 2002
Kalotay Andrew, Deane Yang, Frank Fabozzi 'AN OPTION-THEORETIC PREPAYMENT MODEL FOR
MORTGAGES AND MORTGAGE-BACKED SECURITIES' IJT&AF 12/04
Kamath Chandrika 'Statistics & Practical Applications of Data Mining:Highlights from
SDM04' SIAM News July/Aug 04
Kami Edi, Zvi Safra 'Individual Sense of Justice: A Utility Representation'
Econometrica Jan 02
Kamihigashi T. 'Necessity of Transversality Conditions for Infinite Horizon Problems'
Econometrica 7/01
Kaminski Vince 'The Future of Energy Markets' Bachelier conference 2002
Kamizono K., H. Morimoto 'On a Variational Inequality Associated with a Stopping Game
Combined with a Control'S&SR 2002
Kampen Jorg 'On Parametric Comparison Results for Local & Global Hamilton-Jacobi-
Bellman Equations, Optimal Stochastic Control & Applications to Finance' 12/03
<optimal control><Passport, American options>
Kampen Jorg, Marco Avellaneda 'On Parabolic Equations with Gauge Function Term &
Applications to Multidimensional Leland Equation' <option-numeric> <B-S
equation> 4/03
Kampen Jorg, Nicolae Surulescu 'On Asymptotic Pricing of Securities in a Multivariate
Extension of Scotts Stochastic Volatility Model' 11/03 <volatility><mean-
variance hedge>
Kan Raymond, Guofu Zhou ‘A New Variance Bound on the Stochastic Discount Factor’ JofB
5/06
Kanas Angelos 'TESTING FOR "PURE" CONTAGION EFFECTS IN INTERNATIONAL BANKING:: THE
CASE OF BCCI'S FAILURE'IJT&AF 5/04
Kanatas George, Jianping Qi 'Integration of Lending and Underwriting:Implications of
Scope Economies'JofF 6/03
Kandel Eugene, Neil Person 'Option Value, Uncertainty & Investment Decision' JF&QA
9/02
Kandl Peter, Gerold Studer 'Factoring in Volume Risk' RISK 6/2001
Kang Jangkoo, Hwa-Sang Kim 'Pricing Credit Spread Options under a Markov Chain Model
with Stochastic Default Rate' J. Future Markets 7/04
Kang Joseph, Andrew Chen 'Evidence of Theta & Convexity in Treasury Returns' J. Fixed
Income 6/02 <bonds>
Kangro R., R. Nicolaides 'Far Field Boundary Conditions for Black-Scholes Equations'
SIAM J. Numer. Analysis 2000
Kaniel Ron, Julien Hugonnier 'Mutual Fund Portfolio Choice in the Presence of Dynamic
Flows' Bachelier conference 2002
Kannai Y. 'Off Diagonal Short Time Asymptotics for Fundamental Solutions of Diffusion
Equations' Comm. in Partail Diff. Eq. 77
Kannan D., V. Lakshmikantham 'Handbook of Stochastic Analysis & Applications' Dekker
Pub.
Kansa Edward 'Motivation for Using Radial Basis Functions to Solve PDEs' 8/99
<Numerics>
Kansa Edward 'Multiquadrics--A Scattered Data Approximation Scheme with Applications
to Computational Fluid Dynamics I and II' Journal of Computers with Mathematics
and Applications 1990
Kao Chih-Hao, Yuh-Dauh Lyuu 'Pricing of Moving Average-Type Options with Applications'
J. Futures Markets 5/03 <option-Asian><moving average lookback>
Kapadia Nikunj, Gurdip Bakshi 'Volatility Risk Premiums Embeded in Individual Equity
Options' J.Derivatives Fall 03
Kaplan Steven, Per Stromberg 'Characteristics, Contracts, and Actions: Evidence from
Venture Capitalist Analyses'JofF 10/04
Kaplanski Guy 'Analytical portfolio value-at-risk' Journal of Risk Winter 05
Kaplanski Guy, Yoram Kroll 'Value-at-Risk Measures vs. Traditional Risk Measures:an
Analysis & Survey' J. of Risk Spring 02
Karandikar Rajeeva, Svetlozar Rachev 'A Generalized Binomial Model & Option Formulae
for Subordinated Stock-Price Processes' Prob.& Math. Stat. 95
Karatzas Ioannis, Daniel Ocone 'A Leavable Bounded-Velocity Stochastic Control
Problem' 6/2000 <control><stopping,directionary stopping>
Karatzas Ioannis, Gordan Zitkovic 'Optimal Consumption from Investment & Random
Endowment in Incomplete Semimartingale Markets' 2001 <portfolio>
Karatzas Ioannis, Mona Zamfirescu 'Martingale methods for stochastic control with
discretionary stopping' 2004 <American option hedging>
Karatzas Ioannis, Mona Zamfirescu 'Optimal stopping with model-uncertainty' 2003
Karatzas Ioannis, Robert Fernholz 'Probabilistic Aspects of Portfolio Analysis and
Optimization' Bachelier conference 2002
Karceski Jason 'Returns-Chasing Behavior, Mutual Funds & Beta Death' JF&QA 12/02
Kargine Vladislav 'Spatial Interpolation for Lattice Pricing or Well Pruned Bushy
Trees' 1/03 <option-numeric> <multi-dimensional,American>
Kariya Takeaki, Fumiaki Ushiyama, Stanley Pliska 'A 3-Factor Valuation Model for
Montgage-Backed Securities (MBS)' 2002 <mortgage><prepayment>
Kariya Takeaki, Hiroshi Kurata 'Generalized Least Squares' 2004 Wiley Press
Karlin S., J. McGregor 'Classical Diffusion Processes & Total positivity' J. Math.
Analysis & Applications 1960
Kashyap Anil, Raghuram Rajan, Jeremy Stein 'Banks as Liquidity Providers:An
Explanation for the Coexistence of Lending & Deposit-Taking' JofF 2/02
Kasper Larsen, Traian Pirvu, Steven Shreve 'Satisfying convex risk limits by trading'
F&S 4/05
Kaufmann R., A. Gadmer, R. Klett 'Introduction to Dynamic Fiancial Analysis' Austin
Bulletin 2001
Kavajecz Kenneth, Elizabeth Odders-White 'An Examination of Changes in Specialists'
Posted Price Schedules 'RFS 2001
Kavajecz Kenneth, Elizabeth Odders-White 'Technical Analysis and Liquidity Provision'
RFS Winter 04
Kawai Atsushi 'A New Approximate Swaption Formula in the LIBOR Market Model:An
Asymptotic Expansion Approach'App.Math.Fin.3/03 , 7/02 <term structure> <BGM,
volatility,Andersen, Andreasen>
Kawai Atsushi 'Analytical & Monte Carlo Swaption Pricing under the Forward Swap
Measure' J. Comp. Finance 02 <term structure><LIBOR>
Kawazu K., S. Watanabe 'Branching Processes with Immigration & Related Limit Theorems'
Theory of Prob. & Appl. 1971
Kazemi Hossein, Mahnaz Mahdavi, Brett Salazar 'ESTIMATES OF THE SHORT-TERM RATE
PROCESS IN AN ARBITRAGE-FREE FRAMEWORK' IJT&AF 8/2004
Kazmerchuk Yuriy, Anatoly Swishchuk, Jianhong Wu 'Black-Scholes formula for security
markets with delayed response' Bachelier conference 2002
Kealhofer Stephen, Matthew Kurbat 'Default Prediction:Predictive Merton Models' RISK
2/02
Kearns Edward, Takaaki Kajita, Yoji Totsuka 'Detecting Massive Neutrinos' Scientific
American 'Edge of Physics' 2003
Kehoe Patrick, Fabrizio Perri 'International Business Cycles with Endogenous
Incomplete Markets 'Econometrica 5/02
Kehoe Timothy, David Levine 'Liquidity Constrained Markets versu Debt Constrained
Markets' Econometrica 5/2001
Keim Donald, Robert Staumbaugh 'Predicting Returns in Stock & Bond Markets' JFE 86
Keinert Fritz 'Wavelets & Multiwaves' Chapman 1/04
Keller Godfrey, Sven Rady, Martin Cripps 'Strategic Experimentation with Exponential
Bandits' Econometrica 1/05
Keller Ulrich 'Realistic Modelling of Financial Derivatives' Disser. Math. U. Freibur
1997
Kelley John, T. Srinivasan 'Measure & Integral' 1987 Springer-Verlag
Kellezi Evis, Nick Webber 'Numerical Methods for Levy Processes: Lattice Methods & the
Density, the Subordinator & the Time Copula' <option-pricing> 4/01
Kellezi Evis, Nick Webber 'Valuing Bermuda Options when Asset Returns are Levy
Processes' QF 2004 <Option-Bermuda>
Kelly C.T. 'Iterative Methods for Optimization' 1999 SIAM Book
Kelly C.T. 'Solving Nonlinear Equations with Newton's Method' 2003 SIAM press
Kelly Michael 'Computational Solution of the American Put using the Moving Boundary
Method' <option-American>
Kelome Djivede, Andreej Swiech 'Viscosity Solutions of an Infinite-Dimensional Black-
Scholes-Barenblatt Equation' App. Math.Optim. 2003 <option-numeric> <Haamilton-
Jacobi-Bellman, Musiel Interest Rate dynamics>
Kemsley Deen, Doron Nissim 'Valuation of the Debt Tax Shield' JofF 10/02
Kendall D.G. 'Pole-Seeking Brownian Motion & Bird Navigation' J. Royal Stats. Society
74
Kenyon Chris, Giorgos Cheliotis 'Forward Price Dynamics and Option Designs for Network
Commodities' Bachelier conference 2002
Keppo Jussi 'Pricing of Electricity Swing Options' J. Derivatives Spring 04 <option-
Swing>
Keppo Jussi, Samu Peura 'Optimal bank capital with costly recapitalization' Bachelier
Conference 2004
Kerkhof Jeroen 'Observational Equivalence of Discrete String Models & Market Models'
J. of Derivatives Fall 02 <term structure>
Kerkhof Jeroen, Bertrand Melenberg, Hans Schumacher 'Model Risk and Regulatory
Capital' Bachelier conference 2002
Kessler Mathieu, Michael Sorensen 'On Time-Reversibility & Estimating Functions for
Markov Processes' 8/02 <Markov><martingale, semiparametric>
Kevorkian J., J. Cole 'Perturbation Methods in Applied Mathematics' Springer 81
Khaliq A., D. Voss, S. Kazmi 'Linearly Implicit Penalty Methods for Pricing American
Options' Western Ill. Univ. 2003
Khanna Ajay, Dilip Madan 'Understanding Option Prices' QF 2004 <option-pricing><Levy,
no continuous martingale>
Khanna Naveen, Sheri Tice 'Bright Side of Internal Capital Markets', Discussion Paola
Sapienza JofF 8/01
Khindanova Irina, Zauresh Atakhanova, Svetlozar Rachev 'GARCH-Type Processes in
Modeling Energy Prices' in 'Handbook of Numerical Methods in Finance' ed S.
Rachev
Kholodnyi Valery 'Beliefs-Preferences Gauge Symmetry & Dynamic Replication in a
General Market Environment' <contingent claims> 11/01
Kholodnyi Valery 'Valuation & Dynamic Replication of Contingent Claim in a General
Market Enviornment Based on the Beliefs-Preferences Gauge Symmetry' <contingent
claims> 11/01
Kholodnyi Valery 'Valuation and Hedging of Power-Sensitive Contingent Claims for Power
with Spikes: a Non-Markovian Approach' Bachelier Conference 2004
Kholodnyi Vlaery 'Beliefs-Preferences, Gauge Symmetry Group & Replication of
Contingent Claims in a General Market Enviornment' IES Press 98
Khorana Ajay 'Performance Changes following Top Management Turnover:Evidence from
Open-End Mutual Funds' JF&QA 9/01
Khorana Ajay, Sunil Wahal, Marc Zenner 'Agency Conflicts in Closed-End Funds:the Case
of Rights Offerings' JF&QA 6/02
Kiefer Nicholas, Timothy 'Heteroskedasticity-Autocorrelation Robust Standard Errors
Using The Bartlett Kernel Without Truncation 'Econometrica 9/02
Kielhofer Hansjorg 'Bifurcation Theory:An Introduction with Applications to PDEs'
Springer 2004 <Reviewed SIAM News 3/05>
Kijima Masaaki 'A Consumption--Investment Problem with Production Possibilities'
Bachelier Conference 2004
Kijima Masaaki 'Markov Processes for Stochastic Modeling' 97 CRC Press
Kijima Masaaki 'Monotonicity and Convexity of Option Prices Revisited' MF Oct/02
<optin-pricing>
Kijima Masaaki 'Stochastic Processes with Applications to Finance' 2002 CRC Press
Kijima Masaaki, K. Komoribayashi, E. Suzuki 'A Multivariate Markov Model for
Simulating Correlated Defaults' J. Risk Summer 02
Kijima Masaaki, Yukio Muromachi 'Evaluation of Credit Risk of a Portfolio with
Stochastic Interest Rate & Default Processes' J.of Risk Fall 2000
Kijima Masaaki, Yukio Muromachi 'Pricing Equity Swaps in a Stochastic Interest Rate
Economy' J. of Deriv. Summer 2001 <swap>
Kilmer Misha, Carla Moravitz Martin 'Decomposing a Tensor' SIAM News 11/04
Kim Dongcheol ‘Information Uncertainty Risk and the January Effect’ JofB 9/06
Kim In Joon, Geun Hyuk Chang, Suk Joon Byun 'Valuation of Arithmetic Average Reset
Options' J.Derivatives Fall 03 <option-reset>
Kim In Joon, Kuen Chong Kim, Ross Zisking 'On the Apparent Systematic Bias of Implied
Volatility in the Black-Scholes Model' Adv. in Invest. Analysis & Portfolio
Management 94
Kim Jong Urn 'On the Stochastic Euler Equations in a Two-Dimensional Domain'SIAM J.
Math. Anal. 2002 <SDE><Brownian, pathwise, vorticity>
Kim M.Y., E-J Park, J. Park 'Mixed Finite Element Domain Decomposition for Nonlinear
Parabolic Problems'Comp. Math. Appl 2000
Kimmel Robert 'Affine Latent Variable Term Structure Models: Estimation and Empirical
Evidence' 2002
Kimmel Robert 'Interpreting Cross-Sectional Regression Tests of Asset Pricing Models'
2000
Kimmel Robert 'Modeling the Term Structure of Interest Rates: A New Approach' JFE,
2004 ,8/27/2002 <term structure>
Kimmel Robert 'Risk Premia in Linear Factor Models:Theoretical & Econometric Issues'
8/03 <term structure>
Kimmel Robert, Guillermo Sapiro 'The Mathematics of Face Recognition' SIAM News 4/03
Kimmel Robert, Patric Cheridito, Damir Filipovic 'Market Price of Risk Specifications
for Affine Models: Theory and Evidence' Bachelier Conference 2004
Kimmel Robert, Yacine Ait-Sahalia 'Estimating Affine Multifactor Term Structure Models
Using Closed-Form Likelihoods' <term structure> 10/2002
Kinderlehrer David, Guido Stampacchia 'An Introduction to Variational Inequalities'
2000 SIAM book
King A., J. Billingham, S. Otto 'Differential Equations:Linear, Nonlinear, Ordinary &
Partial' 2003 Cambridge Press
King Alan J. 'Duality & Martingales:a Stochastic Programming Perspective on Contingent
Claims' Math.Program B 2002 <contingent claim>
King Alan, Lisa Korf 'Martingale Pricing Measures in Incomplete Markets via Stochastic
Programming Duality in the Dual of L(inf)' <martingale> 9/01
King Alan, Matti Koivu, Teemu Pennanen 'CALIBRATED OPTION BOUNDS' IJT&AF 3/05
King Robert, Andre Kurmann 'Expectations & the Term Structure of Interest
Rates:Evidence & Implicatiions' FRB Richmond Economic Quarterly Fall 02 <term
structure>
King Tao-Hsien Dolly 'An Empirical Examination of Call Option Values Implicit in U.S.
Corporate Bonds' JF&QA 12/02
Kini Omesh, William Kracaw, Shehzad Mian 'The Nature of Discipline by Corporate
Takeovers' JofF 8/04
Kirch Michael 'Efficient hedging in incomplete markets under model uncertainty'
Bachelier conference 2002
Kirch Michael, R. Krutchenko, Alexander Melnikov 'Efficient Hedging for a Complete
Jump-Diffusion Model' 3/02 <hedging>
Kirch Michael, Wolfgang Runggaldier 'Efficient Hedging When Asset Prices Follow A
Geometric Poisson Process With Unknown Intensities' SIAM J. Control & Opt. 2004
Kirlenko Andrei 'Valuation and Control in Venture Finance' JofF 4/2001
Kirsten Klaus (review of) 'Spectral Functions in Mathematics and Physics' SIAM Review
6/03
Kishimoto Naoki 'Pricing Path-Dependent Securities by the Extended Tree Method' MS
9/04 <option-numeric><mortgage, CMOs, American Moving Average>
Kitamura Yuichi, Gautam Tripathi, Hyungtaik Ahn 'Empirical Likelihood-Based Inference
in Conditional Moment Restriction Models'Econometrica 11/04
Kitt Robert, Jaan Kalda 'Leptokurtic Portfolio Theory' Econophysics 4/05
Kiviluoto Kimmo, Erkki Oja 'Independent Component Analysis for Parallel Financial Time
series' Proc. ICONIP 98
Klarreich Erica 'Discovery of coupled OscillationPut 17th Century Scientist Ahead of
His Time' SIAM News 10/02
Klarreich Erica 'Sold to the Latest Bidder' <auctions, eBay> SIAM News 3/03
Klarreich Erica 'Within Every Math Problem, For This Mathematician, Lurks a Card-
Shuffling Problem' SIAM News Jan/Feb 03<Persi Diaconis>
Klassen Timothy 'Cost-Effective Variance Minimization:General Strategy for Pricing &
Hedgin in Incomplete Markets' Intern. J. Theor.& Applied Finance <hedging>
Klassen Timothy 'Simple, Fast and Flexible Pricing of Asian Options' J. Comp. Finance
Spring 2001 , wp 2001 <option-asian>
Klebaner Fima 'Correction to "Option Price When the Stock Price is a Semi-Martingale"'
Electronic Comm. in Prob. 2003 <option-pricing>
Klebaner Fima 'Introduction to Stochatic Calculus with Applications' 1998 World
Scientific Press <Imperial College Press>
Klebaner Fima 'Option Price When the Stock Price is a Semi-Martingale' Electronic
Comm. in Prob. 2002 <option-pricing>
Kleibergen Frank 'Pivotal Statistics for Testing Structural Parameters in Instrumental
Variables Regression 'Econometrica 9/02
Klein Peter 'Interest Rate Swaps: Model Reconciliation' J. Derivatives Fall 04
Kleinbergy Jon 'The Small World Phenomenon & Decentralized Search' SIAM News 4/04
Kleinert Hagen 'Fokker-Planck & Langevin Equations from Forward-Backward Path Integral
8/2000 <PDE>
Kleinert Hagen 'Option Pricing from Path Integral for Non-Gaussian Fluctuations,
Natural Martingale & Applications to Truncated Levy Distributions' 2/02 <option-
pricing>
Kleinert Hagen 'Path Integrals in Quantum Mechanics, Statistics, Polymer Physics and
Financial Markets' World Scientific 3rd ed 2002
Kleinert Hagen 'Stochastic Calculus for Assets with Non-Gaussian Price Fluctuations'
3/02 <SDE><path integral>
Kleinert Hagen, Alexander Chervyakov 'Rules for Integrals over Products of
Distributions from Coordinate Independence of Path Integrals' 2/2000 <PDE>
<curvilinear>
Kleinert Hagen, Alexander Chervyakov 'Simple Explicit Formulas for Gaussian Path
Integrals with Time-Dependent Frequencies' <PDE> 98
Kleptsyna Marina, Alain Le Breton 'A Cameron-Martin type formula for general Gaussian
processes--a filtering approach'S&SR 2002
Kliesen Kevin 'The 2001 Recession:How Was it Different & What Developments May Have
Caused It?' Review FRB St. Louis Sept/Oct 03 <Alpha>
Kliesen Kevin, Frank Schmid 'Monetary Policy Actions, Macroeconomic Data Releases, &
Inflation Expectations' FRB St. Louis Review May/June 04
Kluge Tino 'Pricing Derivatives in Stochastic Volatility Models using the Finite
Difference Method'<volatility><Heston> 9/02
Kluge Tino 'Pricing Options in Electricity Markets' Bachelier Conference 2004
Kluger Brian, Steve Wyatt 'Are Judgment Errors Reflected in Market Prices and
Allocations? Experimental Evidence Based on the Monty Hall Problem' JofF 6/04
Kluger Brian, Steve Wyatt 'Preferencing, Interalization of Order Flow, & Tackit
Collusion:Evidence from Experiments' JF&QA 9/02
Kluitman Roy, Philip Franses 'Estimating Volatility on Overlapping Returns when
Returns are Autocorrelated' App.Math. Finance 9/02
Kluppelberg Claudia 'Optimal portfolios with bounded Capital-at-Risk' Bachelier
conference 2002
Kluppelberg Claudia, Alexander Lindner, Ross Muller 'A Continuous-Time GARCH Process
Driven by Levy Process:Stationarity & Second Order Behavior' J. App. Prob. 9/04
Kluppelberg Claudia, Christophy Kuhn 'Fractional Brownian motion as a weak limit of
Poisson shot noise processes-with applications to finance' SP&A 10/04
Knabner Peter, Lutz Angerman 'Numerical Methods for Elliptic & Parabolic Partial
Differential Equations' 2003 Springer-Verlag
Knessl Charles 'Asymptotic Analysis of the American Call Option with Dividends' Eur.J.
Applied Math 2002 <option-american>
Knight John, Stephen Satchell (ed) 'Linear Factor Models in Finance' Elseviser 2005
Knight John, Stephen Satchell 'A Re-Examination of Sharpe's Ratio for Log-Normal
Prices' Applied Math. Finance 3/05
Knight John, Stephen Satchell 'Forecasting Volatility in the Financial Markets' 2nd Ed
2002 Butterworth Heinemann Press
Knight John, Stephen Satchell, Guoqiang Wang 'Value at Risk Linear Exponent (VARLINEX)
Forecasts' QF 2003
Knight John, Stephen Satchell, Jun Yu 'Estimation of the Stochastic Volatility Model
by Empirical Characteristic Function Method' 10/01 <volatility>
Knill April, Kristina Minnick, Ali Nejadmalayeri ‘Selecting Hedging, Information
Asymmetry, and Futures Prices’ JofB 7/06
Knoch H. 'The Pricing of Foreign Currency Options with Stochastic Volatility' 92 PhD
Yale
Knoche Claudia 'SPDEs in Infinite Dimensions with Poisson Noise' Comptes Rendus Math.
11/04
Knop <Muszsynki> Roberto 'Structured Products:A Complete Toolkit to Face Changing
Financial Markets' Wiley 2002
Knopf John, Jouahn Nam, John Thornton 'The Volatility & Price Sensitivites of
Managerial Stock Option Portfolios & Corporate Hedging' JofF 4/02
Kobayashi Masahito, Xiuhong Shi 'Testing for EGARCH Against Stochastic Volatility
Models' Journal of Time Series Analysis , Vol. 26, January 2005
Koblitz Neal, Alfred Menezes 'Survey of Public-Key Cryptosystems' SIAM Review 12/04
Koch Adam, Amy Sun 'Dividend Changes and the Persistence of Past Earnings Changes'JofF
10/04
Kocinski Marek 'Hedging of the European option in discrete time under proportional
transaction costs' Math. Method OR 2004
Kocinski Marek 'Pricing of the American Option in Discrete Time Under Proportional
Transaction Costs' Math. Methods of OR 2001 <option-american>
Kocis L., W. Whiten 'Computational Investigations of Low-Discrepancy Sequences' ACM
Trans. Math. Software 97
Kodera Eiji 'A Markov Chain Model with Stochastic Default Rate for Valuation of Credit
Spreads' J. of Derivatives Summer 2001 <credit>
Kodera Jan, Vaclava Pankova 'Capital Stock Assessment with Three Equation Dynamic
Model' Bachelier Conference 2004
Kodres Laura, Matthew Pritsker 'A Rational Expectations Model of Financial Cotagion'
JofF 4/02
Koehl P., Huyen Pham , Nizar Touzi 'On Super-Replication in Discrete Time under
Transaction Costs' Theory of Probability and It's Applications V45 #4
Koenker Roger, Kevin Hallock 'Quantile Regression'J. Econ. Perspectives Fall 2001
Koenker Roger, Zhijie Xiao 'Inference on the Quantile Regression Process' Econometrica
7/02
Kohatsu-Higa Arturo 'High Order Ito-Taylor Approximations to Heat Kernels' <SDE>
Kohatsu-Higa Arturo 'Weak Rate of Convergence for an Euler Scheme of Nonlinear SDEs'
<SDE>
Kohatsu-Higa Arturo, D. Márquez-Carreras, M. Sanz-Solé 'Asymptotic Behavior of the
Density in a Parabolic SPDE ' 4/01 J. Theor. Prob.
Kohatsu-Higa Arturo, Jorge Leon, David Nualart 'Stochastic Differential Equations with
Random Coefficients' <SDE>
Kohatsu-Higa Arturo, Marta Sanz-Sole 'Existence & Regularity of the Density for
Solutions to Stochastic Diiferential Equations with Boundary Conditions' <SDE>
Kohatsu-Higa Arturo, Miguel Montero 'Malliavin Calculus in Finance' in 'Handbook of
Numerical Methods in Finance' ed S. Rachev , <option-pricing> 9/04
Kohatsu-Higa Arturo, Miquel Montero 'An Application to Malliavin Calculus to Finance'
11/29/01 <option-pricing> <Greeks, Monte-Carlo>
Kohatsu-Higa Arturo, Roger Petterson 'Variance Reduction Methods for Simulation of
Densities on Wiener Space' 2002 <monte carlo>
Kohlmann Michael '(Reflected) Backward Stochastic Differential Equations & Contingent
Claims' 99 <SDE> <stopping problem>
Kohlmann Michael, Bernhard Peisl 'A Note on Mean-Variance Hedging of Non-Attainable
Claims' <hedging> 2/2000
Kohlmann Michael, Shanjian Tang 'Global Adapted Solution of One-Dimensional Backward
Stochastic Riccati Equations, with Application to the Mean-Variance Hedging'
7/00 <hedging> (Feynman-Kac>
Kohlmann Michael, Shanjian Tang 'Minimization of Risk & Linear Quadratic Optimal
Control Theory' SIAM J. Control & Opt. 2003 <control>
Kohlmann Michael, Shanjian Tang 'Multidimensional Backward Stochastic Riccati
Equations with Applications' SIAM J. Control Opt. 2003 <SDE> <linear quadratic
control, Feynman-Kac,mean-variance hedging,variance-optimal martingale>
Kohlmann Michael, Shanjian Tang 'Recent Advances in Backward Stochastic Riccati
Equations & Their Application' 10/2000 <SDE> <Backward stochastic,variance
optimal>
Kokoszka Piotr, Andrejus Parfionovas 'Bootstrap Unit Root Tests for Heavy-Tailed Time
Series' in 'Handbook of Numerical Methods in Finance' ed S. Rachev
Kokoszka Piotr, Murad Taqqu 'Infinite Variance Stable Moving Averages with Long
Memory' J. Econometric 96
Kolda Tamara 'On the Treshold of a New Era for Parallet Computing' SIAM News 6/04
Kolda Tamara, Robert Lewis, Virgina Torezon 'Optimization by Direct Search:New
Perspectives on Some Classical & Modern Methods' SIAM Review 9/03
Kolesnik A., E. Orsingher 'Analysis of a Finite-Velocity Planar Random Motion with
Reflection 'Theory of Probability and It's Applications V46 #1
Kolkiewicz Adam 'Pricing & Hedging More General Double Barrier Options' J. Comp.
Finance Spring 02 <option-barrier><generalized Levy, infinite series>
Kolkiewicz Adam 'Pricing American Style Contracts on Multiple Assets Using Simulation'
Fields lecture 2/02
Kollman C., K. Baggerly, D. Cox, R. Picard 'Adaptive Importance Sampling on Discrete
Markov Chains' Annal. App. Prob. 99
Kolmogorov A. 'Zufallige Bewegungen' Ann. of Math 34
Kolsrud Dag 'On Stochastic Simulation of Forward-Looking Models' Computational
Economics 9/04
Komornik Vilmos, Paola Loreti 'Fourier Series in Control Theory' 2005 Springer
Konikov Mikhail, Dilip Madan 'Option Pricing Using Variance Gamma Markov Chains' R.
Derivatives Research V5 2002 <volatility>
Konikov Mikhail, Dilip Madan 'Pricing Options of All Strikes & Maturities using a
Generalization of the VG Model' U. Maryland 2000
Konikov Mikhail, Dilip Madan 'Stochastic Volatility via Markov Chains'
<volatility><VG,Variance Gamma> superceeded
Konishi Hizuru, Naoki Makimoto 'Optimal Slice of a Block Trade' J. of Risk Summer 01
Konno Hiroshi 'Portfolio Optimization of Small Scale Fund Using Mean-Absolute
Deviation Model' Inter. J. Theor. & App. Finance 6/03
Konno Hiroshi, A. Wijayanayake 'Minimal Cost Index Tracking under Nonlinear
Transaction Costs & Minimal Transaction Unit Constraints' Intern. J. of Theor. &
Applied Finance 12/01
Konstantinides Dimitrios, Qi He Tang, Gurami Tsitsiashvili 'Two-sided Estimates for
Ruin Probability under Constant Interest Force: by Reduction from the Non-
interest Case' Bachelier conference 2002
Koponen Ismo 'Analytic Approach to the Problem of Convergence of Truncated Levy
Flights Towards the Gaussian Stochastic Process' Phys. Rev. E 52, 1995
Kopp P. Ekkehard 'Martingales & Stochastic Integrals' Cambridge 1984
Korajczyk Robert, Ronnie Sadka 'Are Momentum Profits Robust to Trading Costs?' JofF
6/04
Korkeamaki Timo, William Moore 'Convertible Bond Design & Capital Investment:The Role
of Call Provisions' JofF 2/04
Korn Ralf 'Realism and practicality of transaction cost approaches in continuous-time
portfolio optimisation: the scope of the Morton-Pliska approach'Math. of OR
10/04
Korn Ralf 'The Martingale Optimality Principle:The Best You Can is Good Enough'
Wilmott Magazine 2003
Korn Ralf, Holger Draft 'ON THE STABILITY OF CONTINUOUS-TIME PORTFOLIO PROBLEMS WITH
STOCHASTIC OPPORTUNITY SET'MF 7/04
Korn Ralf, Holger Kraft 'Optimal Portfolios with Defaultable Securities: A Firm Value
Approach' Inter. J. Theoretical & Applied Finance 12/03
Korn Ralf, L.C.G. Rogers `Stocks paying discrete dividends: modelling and option
pricing' 2005?
Korn Ralf, Martin Krekel 'Optimal Portfolios with fixed consumption and income
streams' Bachelier Conference 2004
Korn Ralf, Paul Wilmott 'Optimal Portfolios Under the Threat of a Crash' Inter. J.
Theo. & Applied Finance 3/02
Kornhuber Ralf 'Monotone Multigrid Methods for Elliptic Variational Inequalities II'
Numer. Math 96
Korostelev A., A. Rukhin 'Recursive Estimation of a Vector Parameter under Bahadur
Risk' Theory of Probability and It's Applications V45 #4
Kothari S., Jerold Warner 'Evaluating Mutual Fund Performance'JofF 10/01
Kotz Samuel, Saralees Nadarajah 'Extreme Value Distributions' 10/2000 Imperial College
Kou Samuel, Steve Kou 'Modeling Growth Stocks via Size Distribution' Bachelier
conference 2002
Kou Steven 'A Jump Diffusion Model for Option Pricing'<formerly '... Pricing with
Three Properties:Leoptokuric Feature, Volatility Smile & Analytical
Tractability>10/01 <volatility><perpetual American,Laplace,Barrier,Lookback>
Kou Steven 'On Pricing of Discrete Barrier Options' 2003 Statistica Sincia <option-
barrier> <Siegmund corrected diffusion,level crossing>
Kou Steven, Giovanni Petrella 'A Laplace Transform Method for Pricing Discrete Barrier
and Lookback Options' RISK Conference 11/2002
Koulisianis Minas, Theodore Papatheodorou 'A "Moving Index" Method for the Solution of
the American Options Valuation Problem' Math. & Computers in Simulation 12/2000
<options-American>
Kouritzin Michael, Hongwei Long, Wei Sun 'Markov Chain Approximations to Filtering
Equations for Reflecting Diffusion Processes' SP&A 4/04
Kouritzin Michael, Yong Zeng 'BAYESIAN MODEL SELECTION VIA FILTERING FOR A CLASS OF
MICRO-MOVEMENT MODELS OF ASSET PRICE' IJT&AF 1/05
Koutmos Gregory 'Common Volatility in MBS Returns:Factor GARCH Approach' J. Fixed
Income March 2001
Kovacic J. 'An Algorithm for Finding Second Order Linear Homogenous Differential
Equations' J. Symbolic Comp (2) 1986
Koyluoglu Ugur, Jim Stoker 'Honour Your Contribution' RISK 4/02 <risk contribution in
portfolio><portfolio>
Kozek Andrzej 'Solution of a Roulette-type Ruin Problem-a Correction to: a Rule of
Thumb (not only)for Gamblers' SP&A July/Aug 2002
Kraft Holger 'Curved Barriers & Default' Wilmott Magazine 2003
Kraft Holger 'Optimal Portfolios & Heston's Stochastic Volatility Model' SSRN 2/05
Kraft Holger 'Optimal Portfolios with Stochastic Interest Rates & Defaultable Assets'
Springer 04
Kraft Holger 'The Elasticity Approach to Portfolio Optimization' Fraunhofer
Gesellschaft, Insitute fofr Industrial Mathematics 2002
Krasa Stefan, Anne Villamil 'Optimal Contracts when Enforcement is a Decision
Variable: A Reply 'Econometric 1/03
Krause Andreas 'Crashes in Bond Markets & the Hedging of Mortgage-Backed Securities'J.
Fixed Income 12/03
Krauss L. 'Dark Matter in the Universe' "Particle Physics in the Universe" Freeman &
Co. {Scien.Amer. articles>
Kreher Donald, Douglas Stinson 'Combinational Algorithms' 99 Chapman & Hall/CRC Pub.
Kreinin Alexander, Ian Iscoe 'Default Boundary Problem' Bachelier conference 2002
Kreiss Heinz-Otto, Hedwig Burenhart 'Time Dependent Partial Differential Equations &
Their Numerical Solution' Birkhauser 2001
Kremer Ilan 'Information Aggregation in Common Value Auctions' Econometrica 7/02
Kremer Ilan, Kjell Nyborg 'Underpricing and Market Power in Uniform Price Auctions'
RFS Fall 04
Kress R. 'Numerical Analysis' 1998 Springer-Verlag
Krishna V., E. Maenner 'Convex Potentials with an Application to Mechanism Design'
Econometrica 7/01
Krishnan C., Peter Ritchken, J. Thomson 'Monitoring and Controlling Bank Risk: Does
Risky Debt Help?' JofF 2/05
Krishnan Hari, Izzy Nelken 'A Liquidity Haricut for Hedge Funds' RISK 4/03
Krishnan Hari, Izzy Nelken 'The Effect of Stock Pinning Upon Option Prices' RISK 12/01
<expire day price abnormality>
Krishnan V. 'Nonlinear Filtering & Smoothing' Wiley 84
Kritzman Mark 'Puzzles of Finance:Six Practical Problems & Their Remarkable Solutions'
Wiley 2000
Kritzman Mark, Kenneth Lowry, Anne-Sophie Van Royen 'Risk, Regimes & Overconfidenc' J.
Deriv. Spring 01
Krivodonova Lilia, Joseph Flaherty 'Error Estimation for Discontinuous Galerkin
Solutions of Multidimensional Hyperbolic Problems' <PDE>
Krokhmal P., J. Palmquist, S. Uryassev 'Portfolio Optimization with Contditional
Value-at-Risk Objectives & Constraints' J. of Risk Winter 01/02
Kruglov V., Zhang Bo 'Weak Convergence of Random Sums ' Theory of Probability and It's
Applications V46 #1
Kruk Lukasz 'Limiting Distributions for Minimum Relative Entropy Calibration' Journal
of Applied Probability 3/2004
Kruse Susanne, Ulrich Nogel 'On the pricing of forward starting options in Heston’s
model on stochastic volatility' F&S 4/05 <option-pricing><cliquet>
Krusell Per, Anthony Smith 'Consumption-Savings Decisions with Quasi-Geometric
Discounting 'Econometric 1/03
Krylov Nicolai 'Introduction to the Theory of Random Processes' 2002 Amer.Math Society
Press
Kryzanowski Lawerence, Hao Zhang 'Interday Market Price Integration for Shares Cross-
Listed Internationally' JF&QA 6/02
Kuan Grace 'Recovering Local Volatility Functions of Forward LIBOR Rates' 6/2000 <term
structure><implied,spline>
Kuan Grace, Nick Webber 'Pricing Barrier Options with One-Factor Interest Rate Models'
J. Derivatives Summer 03 <option-barrier>
Kuan Grace, Nick Webber 'Valuing Continuous Barrier Options on a Lattice Solution for
a Stochastic Dirichlet Problem' 6/03 <option-barrier>
Kuan Grace, Nick Webber 'Valuing Discrete Barrier Options on a Dirichlet Lattice' 9/03
<option-Barrier>
Kubalek Friedrich, Irene Klein, Josef Teichmann 'A General Proof of the Dybvig-
Ingersoll-Ross Theorem: Long Forward Rates Can Never Fall ' MF Oct/02 <term
structure>
Kubler Felix, Karl Schmedders 'Stationary Equilibria in Asset Pricing Models with
Incomplete Markets & Collateral' Econometrica 11/03
Kuchler Uwe, Eckhard Platen 'Weak Discrete Time Approximation of Stochastic
Differential Equations with Time Delay' 3/01 <SDE>
Kuchler Uwe, Michael Sorensen 'Exponential Familes of Stochastic Processes' Springer
97
Kudryavtsev Oleg, Sergei Levendorskii 'Comparative Study of First Touch
Digitals:Normal Inverse Gaussian vs. Gaussian Modelling' 2002 <option-barrier>
Kuehn Christoph, Jan Kallsen 'Neutral Derivative Pricing in Incomplete Markets'
Bachelier Conference 2004
Kuhn Cristoph 'Game Contingent Claims in Incomplete Markets' Bachelier conference 2002
Kuhn Harold 'Lectures on the Theory of Games' 2002 Princeton Press
Kuhn Harold, Sylvia Nasar (ed) 'The Essential John Nash' Princeton 2002
Kuhne, Ludger Ruschendorf 'On a Best Choice Problem for Discounted Sequences 'Theory
of Probability and It's Applications V45 #4
Kuksin S., N. Nadirashvili, A. Piatnitski 'Holder Estimates for Solutions of Parabolic
SPDEs' SIAM Theory Prob. Appl. V47 #1 <SDE>
Kulikova A.A. 'Estimate of the Rate of Convergence of Probability Distributions to a
Uniform Distribution' Theory Prob. & its Applications V47, #4
Kulikova A.A., Yu. V. Prokhorov 'Uniform Distributions on Convex Sets: Inequality for
Characteristic Functions' Theory Prob. & its Applications V47, #4
Kunisch K., A. Rosch 'Primal-Dual Active Set Strategy for a General Class of
Constrained Optimal Control Problems' SIAM J. Optim. 2002 <optional control>
<parabolic, Lagrangians>
Kunita H. 'Stochastic Flows & Stochastic Differential Equations' Cambridge 1990
Kunz Andreas 'Extremes of Multivariate Stationary Diffusions in Finance: A Data
Analysis' Bachelier conference 2002
Kupiec Paul 'Estimating economic capital allocations for market and credit risk'J.
Risk Summer 2004
Kupiec Paul 'What Exactly Does Credit VaR Measure?' J. of Derivatives Spring 2002
Kurbanmuradov O., K. Sabelfeld, John Schoenmakers 'Lognormal Approximations to Libor
Market Models'J.Computational Finance Fall 02
Kuroda K., H. Nagai 'Risk-sensitive portfolio optimization on infinite time
horizon'S&SR 2002
Kurth Alexandre, Dirk Tasche 'Contributions to Credit Risk' RISK 3/03 <tail measures>
Kurtz David 'Calcul du d'Une Option Barriere Multidimensionnelle via le Calcul de
Malliavin' 2002
Kurtz T., Philip Protter 'Weak Limit Theorems for Stochastic Integrals & Stochastic
Differential Equations' Ann. Prob. 91 <stochastics>
Kurz M., H. Jin 'Determinants of stock market volatility and risk premia' Annals of
Finance Jan 05
Kushner Harold, G. Yin 'Stochastic Approximation & Recursive Algorithms &
Applications' 2003 Springer-Verlag
Kusuoka Shigeo 'Approximation of Expectation of Diffusion Process & Mathematical
Finance' Taniguchi Conf. 98 Adv. Stud. Pure Math vol 31
Kusuoka Shigeo 'Term Structure and SPDE' in Kusuoka, Maruyama (eds) Advances in Math.
Econ. Springer 2000
Kutoyants Yu A., I. Negri 'On L2 Efficiency of an Empiric Distribution for Ergodic
Diffusion Processes 'Theory of Probability and It's Applications V46 #1
Kutsuna Kenji, Richard Smith 'Why Does Book Building Drive Out Auction Methods of IPO
Issuance? Evidence from Japan' RFS Winter 04
Kuttner Kenneth 'Role of Policy Rules in Inflation Targeting' FRB St. Louis Review
July/Aug 2004
Kwan Clarence 'LONG-SHORT PORTFOLIO MODELING:CRITIQUE AND EXTENSION' IJT&AF 2/04
Kwapien Stanislaw, Wojbor Woyczynski 'Random Series & Stochastic Integrals:Single &
Multiple' Birkhuser 92
Kwok Yue Kuen 'Stability Analysis of Six Point Finite Difference Schemes for the
Constant Coefficient Convective-Diffusion Equation' Computers & Math. with
Applications 92
Kwok Yue Kuen, Hoi Ying Wong 'Currency-Translated Foreign Equity Options with Path
Dependent Features & their Multi-Asset Extensions' Inter.J. Theor & App. Finance
4/2000 <option-path>
Kwok Yue Kuen, Hoi Ying Wong 'Linkage between lookback and reset features' Bachelier
Conference 2004
Kwok Yue Kuen, Ka Wo Lau 'Accuracy & Reliability Considerations of Option Pricing
Algorithms' J. Futures Markets 10/01 <option-numeric> <Lax-
Wendroff,lookback,barrier>
Kwok Yue Kuen, Ka Wo Lau 'Pricing Algorithms for Options with Exotic Path-Dependence'
J. of Derivatives Fall 01 <option-exotic><Parsian, reset,quantile,grid-shooting>
Kwok Yue Kuen, Lixin Wu 'Effects of Callable Features on Early Exercise Policy' R.
Deriv. Research V4 #2 2000 <option-american><exericse notice,convertable bond>
Kyle Albert, Wei Xiong 'Contagion as a Wealth Effect',Discussion Stephen Ross JofF
8/01
Kyprianou Andreas 'Some Calculations for Israeli Options' F&S 1/04
Kyprianou Andreas, Martijn Pistorius 'Perpetual Options & Canadization through
Fluctuation Theory' Ann. Appl. Prob 2003 , wp <Option-Perpetual>
Kyrolov N., A. Zvonkin 'On Strong Solutions of Stochastic Differential Equations' Sel.
Math. Sov 1980
Kythe Prem, Michael Schaferkotter 'Handbook of Computational Methods for Integration'
2004 CRC Press
La Porta Rafael, Florencio Lopez-De-Silanes, Andrei Shleifer 'Government Ownership of
Banks' JofF 2/02
La Porta Rafael, Florencio Lopez-De-Silanes, Robert Vishny 'Investor Protection and
Corporate Valuation' JofF 6/02
Lachal A. 'Some Martingales Related to the Integral of Brownian Motion. Applications
to the Passage Times and Transience ' 1/98 J. Theor. Prob.
Ladde G., M. Sambandham 'Stochastic vrs. Deterministic Systems of Differential
Equations' 10/03 Dekker Pub.
Lai D., X. Wang, J. Wiorkowski 'Local Asymptotic Normality for Multivariate Nonlinear
AR Processes'S&SR 2002
Lai T.L., T.W. Lim 'Efficient Valuation of American Floating-Strike Lookback Options
using a Decomposition Technique' Stanford 2003
Lai Tze Leung, S.P. Wong 'Valuation of American options via basis functions' IEEE
Trans. Automated Control 3/04 <Options-American>
Lai Zhi-bin, Yiu-Ming Cheung, Lei Xu 'Independent Component Ordering in ICA Analysis
of Financial Data' in "Computational Finance 1999" MIT
Lajeri-Chaherili Fatma 'A Note on the Valuation of Compound Options' J. Futures
Markets 11/02 <option-compound><Fourier, martingale, truncated bivariate normal>
Lakhel H., Youssef Ouknine, C. Tudor 'Besov Regularity for the Indefinite Skorohod
integral with respect to the Fractional Brownian Motion: the Singular Case'S&SR
2002
Lakner Peter, Monique Jeanblanc 'Hedging American call options with insufficient
initial funds' Bachelier conference 2002
Lakner Peter, Monique Jeanblanc 'Optimal Bankruptcy Time and Consumption/Investment
Policies on an Infinite Horizon with a Continuous Debt Repayment until
Bankruptcy' Bachelier conference 2002
Lakonishok Josef, I. Lee 'Are Insider Trades Informative?' RFS 1/2001
Lakshmikantham V. 'Theory of Difference Equations' Dekker Pub.
Lalley Steve 'A Model for Foreign Exchange' U.Chicago Lecture 9
Lalley Steve 'American Options' U.Chicago Lecture 15
Lalley Steve 'Arbitrage Pricing:The Fundamental Theorem' U.Chicago Lecture 1
Lalley Steve 'Asian Options' U.Chicago Lecture 17
Lalley Steve 'Brownian Motion' U.Chicago <Brownian>
Lalley Steve 'Brownian Motion' U.Chicago Lecture 5
Lalley Steve 'Change of Measure & Girsanov Theorem' U.Chicago Lecture 10
Lalley Steve 'Hedging Path-Dependent Options:The Martingale Representation Theorem &
Clarks Formula' U.Chicago Lecture 16
Lalley Steve 'Martingales' U.Chicago Lecture 3&4
Lalley Steve 'Multi-Factor Derivative Securities' U.Chicago Lecture 11
Lalley Steve 'Multiperiod Models & Trees' U.Chicago Lecture 2
Lalley Steve 'Stochastic Differential Equations, Diffusion Processes & the Feynman-Kac
Formula' U.Chicago Lecture 12
Lalley Steve 'The Black-Scholes Theory' U.Chicago Lecture 7
Lalley Steve 'The Cameron-martin Formula & Barrier Options' U.Chicago Lecture 8
Lalley Steve 'The Fundamental Theorem of Arbitrage Pricing' U.Chicago <arbitrage>
Lalley Steve 'The Ito Calculus' U.Chicago Lecture 6 & 6A
Lam Kin, E. Chang, M.C. Lee 'An Empirical Test of the Variance Gamma Option Pricing
Model' Pacific-Basin Finance Journal 2002
Lamberton Damien 'Brownian Optimal Stopping & Random Walks' App. Math & Optim. 2001
<Brownian> <American Options>
Lambrecht Bart 'The Impact of Debt Financing on Entry and Exit in a Duopoly' RFS 2001
Lamont Owen, Christopher Polk 'The Diversification Discount: Cash Flows Versus
Returns'JofF 10/01
Lamont Owen, Christopher Polk, Jesus Saa-Requejo 'Financial Constraints & Stock
Returns' RFS Summer 2001
Lamoureux Christopher, H. Douglas Witte 'Empirical Analysis of the Yield Curve: The
Information in the Data Viewed through the Window of Cox, Ingersoll, and Ross'
JofF 6/02
Lamper Daniel, Sam Howison 'Monte Carlo Valuation of American Options' <options-
American> March (?), 2003 <Roger's upper bound>
Lanconelli Ermanno, Andrea Pascucci, Sergio Polidoro 'Linear and Nonlinear,
Ultraparabolic Equations of Kolmogorov Type Arising in Diffusion Theory & in
Finance' in Nonlinear Problems in Math. Physics & Related Topics v.2 2002
Landau Susan 'Polynomials in the Nation's Service:Using Algebra to Design the Advanced
Encryption Standard' MAA 2004 <cryptography><Rijndael>
Landim C., M. Mourragui, S. Sellami 'Hydrodynamic Limit for a Nongradient Interacting
Particle System with Stochastic Reservoirs' Theory of Probability and It's
Applications V45 #4
Lando David 'Credit Risk Modeling' Princeton Press 7/04
Lando David, Allan Mortensen 'On the Pricing of Step-up Bonds in the European Telecom
Sector' J. Credit Risk V.1 #1 2005
Lane Allan, Dunstan Marris 'Fast Calibration of LIBOR Market Models' <term structure>
July 2002
Lane Morton 'CDOs as Self-Contained Reinsurance Structures' 12/2000 <Bonds> <CLO>
Lane Morton 'Pricing Risk Transfer Transactions' 6/2000
Lane Morton 'Whither Securitization?' 4/02 <bonds>
Lang J. 'Adaptive Multilevel Solution of Nonlinear Parabolic PDE Systems:Theory,
Algorithms & Applications' Lecture Notes Comp. Scienc & Eng Springer 2001
Langer H., W. Schenk 'Generalized Second-Order Differential Operators, Corresponding
Gap Diffusions & Superharmonic Transformations' Math. Nachr. 1990
Langsam Joseph 'American Exercise and Monte Carlo Techniques' Morgan Stanley 1994
Lanville Amy, Carl Meyer 'A survey of Eigenvector Methods for Web Information
Retrieval' SIAM Review 3/05
Lapeyre Bernard, Etienne Pardoux, R. Sentis 'Introduction to Monte Carlo Methods for
Transport & Diffusion Equations' Oxford Press 1998 <pde, parabolic, math.
finance, Boltzman>
Lapson Robert, Mary Nordstrom 'Weather Insurance: the Peoples Choice' RISK 3/2001
Larcher Gerhard, Gunther Leobacher 'Quasi-Monte Carlo & Monte Carlo Methods &
Application in Finance' Linz Univ. 2001
Larcher Gerhard, Gunther Leobacher, K. Scheicher 'On the Tractability of the Brownian
Bridge Algorithm' U. Linz 2002
Larcher Gerhard, Gunther Leobacker 'An Optimal Strategy for Hedging with Short-Term
Futures Contracts' MF 4/03
Large Jeremy 'Estimating Quadratic Variation When Quoted Prices Jump by a Constant
Increment' Oxford U 2/05
Lari-Lavassani Ali, Ali Sadeghi, Hilda Wong 'High Dimenstional Option Pricing via
Monte Carlo Simulation' 2000
Laroque Guy 'Income Maintenance and Labor Force Participation' Econometrica 3/05
Larry Fauver, Joel Houston, Andy Naranjo 'Capital Market Development, International
Integration, Legal Systems, and the Value of Corporate Diversification: A Cross-
Country Analysis ' JF&QA 3/03
Larsen Kasper 'Optimal Portfolio Delegation when Parties have different Coefficients
of Risk Aversion' Bachelier Conference 2004
Larsen Kasper, Traian Pirvu, Steven Shreve, R. Tütüncü 'Satisfying convex risk limits
by trading' to be F&S 2005
Larssen B. 'Dynamic Programming in Stochastic Control of Systems with Delay' S&SR
2002
Larsson E., B. Fornberg 'A Numerical Study of Some Radial Basis Functions Based
Solutions Methods for Elliptic PDEs' Comput. Math. Appl. 2003
LaSecco J., F. Reines, D. Sinclair 'Search for Proton Decay' "Particle Physics in the
Universe" Freeman & Co. {Scien.Amer. articles>
Lasiecka Irena 'Mathematical Control Theory of Coupled PDEs' SIAM Press 2002
Lasserre Guillaume 'Asymmetric Information & Imperfect Competition in a Continuous
Time Multivariate Security Model' F&S 5/04
Laubenbacher R., D. Pengelley 'Mathematical Expiditions' Springer 99 <orignal papers,
exposition, Fermat, Continuum Hypothesis>
Laurence Peter 'American Options in Discrete Setting' <option-American><stopping
time,Snell Envelope> 2001
Laurence Peter, Tai-Ho Wang 'Sharp Upper & Lower Bounds for Basket Options' 2003 wp
Laurence Peter, Tai-Ho Wang 'Whats a Basket Worth?' <option-basket> RISK 4/04
Laurent Jean-Paul, Jon Gregory 'Basket Default Swaps, CDOs & Factor Copulas' 10/02
<credit risk>
Lauterback B., A. Wohl 'A Note on Price Noise & Their Correction Process:Evidence from
Two Equal-Payoff Government Bonds' J.Banking & Finance 3/2001
Lawi Stephan, Claudio Albanese 'Generating Functions for Stochastic Integrals'
Bachelier Conference 2004
Lawler Gregory 'Introduction to Stochastic Processes' 1995 CRC Press
Lawson Charles, Richard Hanson 'Solving Least Squares Problems' 95 SIAM book
Lax Peter 'John von Neumann:The Early Years, the Years at Los Alamos & the Road to
Computing' SIAM News 3/05
Lax Peter, B. Wendroff 'Systems of Conservation Laws' Commun. in Prue & Applied Math.
1960
Lazrak Ali 'Information neutrality in the stochastic differential utility' Bachelier
conference 2002
Lazrak Ali, Jaksa Cvitanic, Tan Wang 'Sharpe Ratio as a Performance Measure in a
Multi-Period Setting' Bachelier Conference 2004
Le Breton A., Alexander Novikov 'On Stochastic Approximation Procedures with
Averaging' SIAM Theor.Prob.&Appl. v44 <stochastics>
Le Courtois Olivier 'Modeiling Stock Returns with Levy Processes'2003
<volatility><jump,hyperbolic, Variance Gamma, Meixner, CGMY>
LeBaron Blake 'Stochastic Volatility as a Simple Generator of Financial Power-Laws &
Long Memory' 7/01 <volatility>
Lebedev A. 'Limit Theorems for Maxima of Independent Random Sums' SIAM
Theor.Prob.&Appl. v44 <stochastics>
Lebedev N. 'Special Functions & Their Applications' Dover 72
Lebedev V.A. 'Extremes of Shot-Noise Fields in the Presence of Regularly Varying
Tails' Theory Prob. & its Applications V47, #4
Lebedev V.A. 'On the Existence of Weak Solutions for Stochastic Differential Equations
with Driving L0-Valued Measures' Theory Prob. & its Applications V47, #4
L'Ecuyer Pierre 'Combined Multiple Recursive Random Number Generators' OR 96
L'Ecuyer Pierre 'Efficient & Portable Combined Random Number Generators' Cmoom of ACM
88
L'Ecuyer Pierre 'Good Parameters & Implementations for Combined Multiple Recursive
Random Number Generators' OR 99
L'Ecuyer Pierre 'Uniform Random Number Generation' Annals of OR 94
L'Ecuyer Pierre, Christiane Lemieux 'Recent Advances in Randomized Quasi-Monte Carlo
Methods' 2001 <monte carlo>
L'Ecuyer Pierre, R. Simard, E. Chen, W. Kelton 'An Object-Oriented Random-Number
Package with Many Long Streams & Substreams' OR 2002
L'Ecuyer Pierre, R. Simard, E. J. Chen, W. D. Kelton, 'An Objected-Oriented Random-
Number Package with Many Long Streams and Substreams' 2001. To appear in
Operations Research. The code in C, C++, and Java.
L'Ecuyer Pierre, R. Simard, S. Wegenkittl 'Sparse Serial Tests of Uniformity for
Random Number Generators' SIAM J. Sci. Comp. 2002
Lee Bong-Soo ‘An Empirical Evaluation of Behavioral Models Based on Decompositions of
Stock Prices’ JofB 1/06
Lee J. 'Generating Random Binary Deviates Having Fixed Marginal Distributions &
Specified Degrees of Association' Statistical Computing 93
Lee Jason, Cheong Yi 'Trade Size & Information-Motivated Trading in the Options &
Stock Markets' JF&QA 12/01
Lee Lung-fei 'Asymptotic Distributions of Quasi-Maximum Likelihood Estimators for
Spatial Autoregressive Models'Econometrica 11/04
Lee Manjong, Neil Wallace, Tao Zhu 'Modeling Denomination Structures' Econometrica
5/05
Lee Peter, Limin Wang, Abdelkerim Karim 'Index Volatility Surfaces via Momement-
Matching Techniques'<Gram-Charlier-Edgeworth, basket> RISK 12/03
Lee Roger 'Error Control for Otpion Prcing by Transform Methods' Stanford 2001
<superceeded>
Lee Roger 'Implied Volatility:Statics, Dynamics & Probabilistic Interpretation' 11/02
<volatility>
Lee Roger 'Option Pricing by Transform Methods:Extensions, Unification & Error
Control'J. Comp. Finance Spring 04--Corrected 2/05 <option-numeric>
Lee Roger 'Robust Replication of Volatility Derivatives' Bachelier Conference 2004
Lee Roger 'THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES'MF 7/04
Lee Yuh-Jia, Chen-Chin Huang 'Ito Formula for Generalized Functionals of Brownian
Bridge' <numeric>
Lehnert Thorsten 'Explaining Smiles:GARCH Option Pricing with Conditional
Leptokurtosis & Skewness' J. Derivatives Spring 2003
Lehnert Thorsten, Cyriel De Jong 'Implied GARCH Volatility Forecasting' 12/01
Lehoczky Sandar, Richard Rusczky 'Art of Problem Solving' <book>
Lehrer Ehud 'Any Inspection is Manipulable' Econometrica 9/01
Lei Liangzhen, Liming Wu 'Large deviations of kernel density estimator in L1(Rd) for
uniformly ergodic Markov processes' SP&A 2/05
Lei V., C. Noussair, C. Plott 'Nonspeculative Bubbles in Experimental Asset
Markets:Lack of Common Knowledge of Rationality vs. Actual Irrationality'
Econometrica 7/01
Leippold Markus, Fabio Trojani, Paolo Vanini 'A Geometric Approach to Multiperiod Mean
Variance Optimization of Assets & Liabilities' JED&C 3/04
Leippold Markus, Liuren Wu 'Asset Pricing under the Quadratic Class' JF&QA 6/02 <term
structure>
Leippold Markus, Liuren Wu 'Design & Estimation of Quadratic Term Structure Models'
6/02 <term structure> <humps,GMM>
Leippold Markus, Liuren Wu 'Estimating Quadratic Term Structure Models' Fordham 2000
Leippold Markus, Zvi Wiener 'Algorithm Behind Term Structure Model of Interest Rates
II:The Hull-White Trinomial Tree of Interest Rates' 10/00 <term structure>
Leisen Dietmar, Kenneth Judd 'Equilibrium Open Interest' Bachelier conference 2002
Leitch R., A. Paulson 'Estimation of Stable Law Parameters:STock Price Behavior
Appliation' JASA 75
Leitner Johannes 'BALAYAGE MONOTONOUS RISK MEASURES' IJT&AF 11/04
Leitner Johannes 'Convergence of Arbitrage-Free Discrete Time Markovian Market Models'
<term structure> 2000
Lelievre Tony, Francois Dubois 'Efficient pricing of Asian options by the PDE
approach' J. Comp. Finance Winter 04/05 , 1/03 <option-Asian> <implement Rogers
& Shi program improvement>
Lemeke C.E. 'Bimatrix Equilibrium Points & Mathematical Programming' MS 1965
Lemieux Christiane, M. Cieslak, K. Luttmer 'RandQMC Users Guide:A Package for
Randomized Quasi-Monte Carlo methods in C' U. Calgary 2002
Lemieux Christiane, Pierre L'Ecuyer 'On Selection Criteria for Lattice Rules & Other
Quasi-Monte Carlo Point Sets' Math. & Computers in Simulation' 2001
Lemieux Christiane, Pierre L'Ecuyer 'On the Use of Quasi-Monte Carlo Methods in
Computational Finance' 2001 <monte carlo>
Lemieux Christiane, Pierre L'Ecuyer 'Randomized Polynomial Lattice Rules for
Multivariate Integration and Simulation' SIAM J.Sci.Compt 03 , <monte carlo>
2003 (with all the proofs & additional material)'
Lemmon Michael, Karl Lins 'Ownership Structure, Corporate Governance, and Firm Value:
Evidence from the East Asian Financial Crisis' JofF 8/03
Leon A., J. Peris, J. Silva, B. Subiza 'A Note on Adjusting Correlation Matrices' App.
Math. Finance 3/02
Leon Angel, Gonzalo Rubio 'Smiling under Stochastic Volatility' 9/01
<volatility><Heston>
Leon Jorge, Joseph Sole, Frederic Utzet, Josep Vives 'On Levy Processes, Malliavin
Calculus & Market Models with Jumps' Finance & Stochastics 4/02 <option-
pricing>
Leon Jorge, Reyla Navarro, David Nulart 'An Anticipating Calculus Approach to the
Utility Maximization of an Insider' MF 1/03
Leonidov Andrei 'LONG MEMORY IN STOCK TRADING' IJT&AF 11/04
Lepeltier Jean-Pierre, Jaime San Martín 'Backward SDEs with two barriers and
continuous coefficient: an existence result' Journal of Applied Probability
3/2004
Lerner Josh 'Where Does State Street Lead? A First Look at Fianance Patents 1971 to
2000' JofF 4/02
Lettau Martin, Sydney Ludvigson 'Consumption, Aggregate Wealth & Expected Stock
Returns' JofF 6/2001
Leung Seng Yuen 'A General Pricing Model for Time-changed Levy Processes' Bachelier
Conference 2004 7/04 <option-pricing>
Lev Dynkin, Yuri Greenfield, Dev Joneja 'The Lehman Brothers Swap Indexes' J. Fixed
Income 9/02
Levendorskii Sergei 'Consistency Conditions for Affine Term Structure Models' SP&A 04
<term structure>
Levendorskii Sergei 'Early Exercise Boundary & Option Prices in Levy Driven Models' QF
10/04 , <option-pricing> 2004
Levendorskii Sergei 'PRICING OF THE AMERICAN PUT UNDER LÉVY PROCESSES'IJT&AF 5/04
<option-American>
Levendorskii Sergei 'The American put and European options near expiry, under Levy
processes' Bachelier Conference 2004, <option-American>
Levendorskii Sergei, Oleg Kudryavtsev, Vadim Zherder 'A Note on Relative Efficiency of
Some Numerical Methods for Pricing of American Options Under Levy Processes'
10/04 <Options-American>
Levendorskiy see Levendorskii
Levental Shlomo 'On Coupling of Brownian Bridges' Theory of Probability and It's
Applications V46 #1
Levental Shlomo, R.V. Erickson 'On Almost Sure Convergence of the Quadratic Variation
of Brownian Motion' SP&A 2003 <Brownian>
Levin Alex 'Interest Rate Modeling:A Conscientious Choice' Andrew Davison & Co. 9/02
<term structure><normal vrs. lognormal>
Levin Alex 'Mean-Reverting and Co-Integrated Energy Futures Curve Models for Pricing
and Risk Management' Bachelier Conference 2004
Levin Alexander 'Active-Passive Decomposition in Burnout Modeling' J. Fixed Income
March 2001 <mortgage>
Levin Alexander, Alexander Tchernitser 'A Class of Multifactor Stochastic Variance VaR
Models: Maximum Entropy Approach & Jump Processes' 1st Bachelier 2000
Levin Alexander, Alexander Tchernitser 'Multifactor Stochastic Variance Models in Risk
Management: Maximum Entropy Approach & Levy Processes' 8/01 <risk><variance
gamma>
Levin Alexander, Alexander Tchernitser 'Stochastic Volatility & Jump Levy Processes in
Value at Risk Modeling' Math Week 2000
Levin Andrew, Fabio Natalucci, Jeremy Piger 'Macroeconomic Effects of Inflation
Targeting' FRB St. Louis Review July/Aug 2004
Levine David, William Zame 'Does Market Incompleteness Matter? 'Econometrica 9/02
Levine Ross 'More on Finance & Growth:More Finance, More Growth!' Review FRB St. Louis
July/Aug 03
Levitan B., I. Sargsjan 'Introduction to Spectral Theory' AMS 1975
Levy G. 'Analytic derivatives of Asymmetric GARCH Models' J. Comp. Finance Spring 03
Levy G.F. 'Computational Finance:Numerical Methods for Pricing Financial Insturments'
<book 2003>
Levy Haim, Moshe Levy, Golan Benita ‘Capital Asset Prices with Heterogeneous Beliefs’
JofB 7/06
Levy Haim, Moshe Levy 'Prospect Theory and Mean-Variance Analysis' RFS Winter 04
Levy Pierre 'Calcul Des Probabilities' Gauthier-Villars 25
Levy Pierre 'La Theorie de L'Addition des Variables Aletories' Gauthier-Villars 37
Lewellen Jonathan 'Momentum & Autocorrelation in Stock Returns' discusion Joseph Chen
Harrison Hong RFS v.15 #2 2002
Lewellen Jonathan, Jay Shanken 'Learning, Asset-Pricing Tests, and Market Efficiency'
JofF 6/02
Lewis Alan 'A Simple Option Formula for General Jump-Diffusion & Other Exponential
Levy Processes' 9/01 <option-pricing>
Lewis Alan 'Barrier Options under Jump Diffusion II' Wilmott Magazine 2003
Lewis Alan 'Barrier Options under Jump-Diffusions:Analytic Theory I' Wilmott Magazine
5/03
Lewis Alan 'Fear of Jumps' Wilmott Mag. 2003 <option-pricing>
Lewis Alan 'Option Valuation Under Stochastic Volatility' Finance Press, Calif. 2000
Lewis Alan 'The Mixing Approach to Stochastic Volatility & Jump Models' 3/02
<volatility>
Lewis Alan 'Three Expansion Regimes for Interest Rate Term Structure Models'
Li Anlong 'Effective Implementation of the Multi-Factor Heath-Jarrow-Morton Framework'
<presentation slides> <term structure> 5/96
Li D., Fred Hickernell 'Chebyshev spectral collocation methods on lattices' 2003
Li D., Fred Hickernell 'Trigonometric spectral collocation methods on lattices, Recent
Advances in Scientific Computing and Partial Differential Equations' AMS Series
in Contemporary Mathematics, vol. 330, American Mathematical Society
Li D., R.J. Tomkins 'The Law of the Logarithm for Weighted Sums of Independent Random
Variables' Journal Theor. Prob. 7/03
Li David X. 'Valuation of Basket Credit Derivatives:A Copula Funcgtion Approach' U.
Toronto 12/2000
Li H., Feng Zhao 'Unspanned Stochastic Volatility:Is it There After All:Evidence from
Hedging Interest Rate Caps' Cornell 2003
Li Haitao, Yongmiao Hong 'Nonparametric Specification Testing for Continuous-Time
Models with Application to Spot Interest Rates' Bachelier conference 2002
Li Haitao, Yuewu Xu 'Survival Bias and the Equity Premium Puzzle' JofF 10/02
Li Jing-Rebecca, Jacob White 'Low-Rank Solution of Lyapunov Equations'SIAM Review
12/04
Li Kai 'Inferring Volatility Persistence from Implied Volatility' NYU 2000
Li Kai 'Long-Memory versus Options-Implied Volatility Predictions' J. of Derivatives
Spring 2002
Li Kai, Rohit Deo, Clifford Hurvich 'On Estimation , Diagnostic Testing & Smoothing of
Long Memory Stochastic Volatility Models' NYU 2000
Li Minqiang, Neil Pearson, Allen Poteshman 'Conditional estimation of diffusion
processes' JFE 10/04
Li Qing, Maria Vassalou, Yuhang Xing ‘Sector Investments Growth Rates and the Cross-
Section of Equity Returns’ JofB 7/06
Li Wenli 'To Forgive or Not to Forgive:An Analysis of U.S. Consumer Bankruptcy
Choices' Econ. Quarterly FRB Richmond Spring 01
Li Y. 'A New Algorithm for Constructing Implied Binomial Trees:Does the Implied Model
Fit Any Volatility Smile?' J. Comp. Finance Winter 2000/2001 <volatility>
Li Yishen, Jin Zhang 'Option Pricing with Weyl-Titchmarsh Theory' QF 8/04 <options-
pricing><Schrodinger spectral, Stieltjes integral,volatility (quadratic,smile,
exponentially decreasing), Asian options>
Li Yuming 'Expected Returns and Habit Persistence' RFS 2001
Liang J.J., K. T. Fang, Fred Hickernell, R. Li, 'Testing multivariate uniformity and
its applications' Math. Comp. 70 (2001), 337-355,
Liao Ming 'Levy Processes in Lie Groups' 2004 Cambridge Press
Liao Szu-Lang, Chou-Wen Wang 'The Valuation of Reset Options with Multiple Strike
Resets & Reset Dates' J. Futures Markets 1/03 <option-reset>
Lie Erik ‘Financial Flexibility, Performance, and Corporate Payout Choice’ JofB 11/05
Lien Da-Hsiang Donald 'Cash Settlement Provisions on Futures Contracts' J. Futures
Markets 89
Lim Andrew 'Quadratic Hedging & Mean-Variance Portfolio Selection with Random
Parameters in an Incomplete Market' Math. of OR 2/04
Lim Andrew, Thaisiri Watewai 'Mean-variance hedging when there are jumps' Bachelier
Conference 2004
Lim Andrew, Thaisiri Watewai 'Optimal portfolio choice with discontinuous price
processes and multiple regimes' Bachelier Conference 2004
Lim Andrew, Xun Yu Zhou 'Mean-Variance Portfolio Selection with Random Parameters in a
Complete Market' Math.of OR 2/02
Lim J. 'Pricing & Hedging Options on Baskets of Stocks' PhD NYU 02
Lim K., S. Chang, T. Chong 'Defaultable Debt Pricing in Multi-Factor Models'
International J. Theoretical & Applied Finance 12/02
Lim Kian-Guan, Qin Xiao 'Volatility Skewness & Interest Rate Market Model' 2/01 <term
structure> <generalize BGM with CEV,Andersen,Andreasen>
Lim T. 'Rationality & Analysts Forecast Bias' JofF 2/2001
Lim Tee, Anand Vijh 'The bid-Ask Spread & the Ex-Date Behavior of Stock Splits:An
Investigation using Transaction Data' U. Berke. 86
Lim Tiong Wee 'Pricing & Hedging Asian Options:a Recursive Integration Approach'
<option-Asian><early exercise>
Lin J., Peter Ritchken 'On Pricing Derivatives in the Presence of Auxiliary State
Variables' <option-pricing> 5/01<path dependent, HJM, GARCH>
Lin William 'Computing a Multivariate Normal Integral for Valuing Compound Real
Options' R. Quant. Finance & Acct. 02 <option-compound><Drezner, Korobov filter,
Dekker method>
Linde Werner, Zhan Shi 'Evaluating the small deviation probabilities for subordinated
Lévy processes' SP&A 10/04
Lindskog Filip 'Modelling Dependence with Copulas & Applications to Risk Management'
2/2000 <risk>
Lindstrom Torn 'Hyperfinite Levy Processes' S&SR 12/04
Linetsky Vadim 'Computing Hitting Time Densities for CIR & OU Diffusions: Applications
to Mean-Reverting Models' 10/10/03 J. Comp. Finance Summer 04 , <option-
numeric><credit, stochastic volatility>
Linetsky Vadim 'Exact Pricing of Asian Options:An Application of Spectral Theory'
11/10/01 <option-Asian><spectral, Sturm-Lionville, Schrodinger,Whittaker, Morse
potential>
Linetsky Vadim 'Exotic Spectra' <option-pricing> <eigenfunction, barrier, Asian> RISK
4/02
Linetsky Vadim 'Lookback Options and Diffusion Hitting Times: A Spectral Expansion
Approach' FS 8/04 <Option Lookback>
Linetsky Vadim 'On the Transition Densities for Reflected Diffusions' 12/20/04 <same
as Adv. App. Prob. 7/05> <stochastics><reflected diffusion, Ornstein-Uhlenbeck,
affine, spectral, currency target zones>
Linetsky Vadim 'Pricing Equity Derivatives subject to Bankruptcy' 2004
Linetsky Vadim 'Spectral Expansions for Asian (Average Price) Options' 10/28/02
<option-asian>
Linetsky Vadim 'Spectral Methods in Asset Pricing' 2004 <option-Pricing>
Linetsky Vadim 'The Spectral Decomposition of the Option Value' IJT&AF 2004 <option-
pricing>
Linetsky Vadim 'The Spectral Representation of Bessel Processes with Constant Drift:
Applications in Queueing and Finance.' Journal of Applied Probability 6/2004
<numeric><CIR>
Linetsky Vadim, Liming Feng, Michael Marcozzi 'On the Valuation of Options in Jump-
diffusion Models by Variational Methods' Bachelier Conference 2004
Ling L., R. Opfer, R. Schaback 'Results on Meshless Collocation Techniques' U.
Gottingen 2004 wp
Lins Karl 'Equity Ownership and Firm Value in Emerging Markets' JF&QA 3/03
Linsley Philip, Philip Shrives 'Risk Management & Reporting Risk in the UK' J.of Risk
Fall 2000
Linton O., E. Mammen 'Estimating Semiparametric ARCH(oo) Models by Kernel Smoothing
Methods' Econometrica 5/05
Lions Pierre-Louis 'Optimal Control of Diffusion Processes & Hamilton-Jacobi-Bellman
Equations' Comm Partial Diff. Equ. 83
Lions Pierre-Louis 'Towards a self-consistent theory of stochastic volatility'
Bachelier conference 2002
Lions Pierre-Louis, Herve Regnier 'Calcul du Prix et Dees Sensibilities d'Une Option
Americaine Par Une Methode de Monte Carlo' 2001
Lions Pierre-Louis, Herve Regnier 'Monte Carlo Computations of American Options via
Malliavin Calculus' Monte Carlo 2000 Conference
Lions Pierre-Louis, Panagiotis Souganidis 'A Viscosity Solution Approach to Fully Non-
Linear Stochastic Partial Differential Equations' Cahiers du CEREMADE 98
Lions Pierre-Louis, Panagiotis Souganidis 'Fully Nonlinear Stochastic Partial
Differential Equations' C.R. Acad. Sci Serie 1 1998 v. 326 #9 <PDE>
Lions Pierre-Louis, Panagiotis Souganidis 'Fully Nonlinear Stochastic Partial
Differential Equations:Non-Smooth Equaitons and Applications' C.R. Acad. Sci
Serie 1, 1998 v 327 #8 <PDE>
Lions Pierre-Louis, Panagiotis Souganidis 'Fully Nonlinear Stochastic PDE with
Semilinear Stochastic Dependence' C.R. Acad. Sci Serie 1, 2000 v 331 #8 <PDE>
Lions Pierre-Louis, Panagiotis Souganidis 'Uniqueness of Weak Solutions of Fully
Nonlinear Stochastic Partial Differential Equations' C.R. Acad. Sci Serie 1,
2000 v 331 #10<PDE>
Lioui Abraham, Patrice Poncet 'Dynamic Asset Pricing with Non-Redundant Forwards'J.
Econ. Dynamics & Control 2003
Lipman Barton 'Finite Order Implications of Common Priors' Econometrica 7/03
Lipster R., Albert Shiryaev 'Statistics of Random Processes' 2 volumes 1977, 1978
Lipster R., Wolfgang Runggaldier, M. Taksar 'Diffusion Approximation & Optimal
Stochastic Control' 99, Theor.Prob App. v44 <stochastic>
Lipton Alexander 'Analytical Valuation of Barrier Options on Assets with Stochastic
Volatility' Banker Trust 97
Lipton Alexander 'Assets with Jumps' RISK 9/02 <option-pricing><exotic,credit default
spreads,log-exponential>
Lipton Alexander 'Exact Pricing Formula for Call and Double-No-Touch Options in the
Universal Volatility Framework' 2000
Lipton Alexander 'Interactions Between Mathematics and Finance:Past, Present and
Future' 11/2000 <option-pricing>
Lipton Alexander 'On the Log-Log Linearity of the Size Distribution for Growth Stocks'
RISK 7/02 <stocks>
Lipton Alexander 'Path-Dependent Options on Assets with Jumps & a New Approach to
Credit Default Spreads' RISK tobe 2003 ?, 4/02 (presentation) <credit risk>
Lipton Alexander 'The Joint Distribution of the Maximum & Terminal Value for a Jump-
Diffusion Process & Pricing of Path-Dependent Options' DB 2001
Lipton Alexander 'The Stochastic Volatility Model' 2001 DB <Heston>
Lipton Alexander 'The Vol Smile Problem' RISK 2/02 <volatility><universal volatility>
Lipton Alexander 'Volatility Smile Problem 1:Vanilla Options' wp DB 2001
Lipton Alexander, Dmitry Pugachevsky 'Pricing of Volatility-Sensitive Products in the
Heston Model Framework' BT 7/98
Lipton Alexander, T. Little 'A General Eigenfunction Approach ' Math Week
presentation 2000
Lipton Alexander, William McGhee 'An Efficient Implementation of the Universal
Volatility Model' 2001 <internal only per Lipton May02>
Lipton Alexander, William McGhee 'Universal Barriers' RISK 5/02 <option-barrier>
Lipton Alexander, William McGhee 'Volatility & Correlation Swaps'DB 8/99
List John 'Neoclassical Theory Versus Prospect Theory:Evidence from the Marketplace'
Econometrica 3/04
Little Thomas 'An Eigenfunction Approach in Two Dimensions' DB 2000?
Little Thomas, Vijay Pant 'A Finite Difference Method for the Valuation of Variance
Swaps' J. Comp. Finance Fall 01 <swaps>
Liu G. 'Mesh Free Methods'1/03 Chapman & Hall/CRC Pub.
Liu Hong , Mark Loewenstein 'Optimal Portfolio Selection with Transaction Costs and
Finite Horizons ' RFS Summer 02
Liu Hong 'Optimal Consumption & Investment with Transaction Costs & Multiple Risky
Assets' JofF 2/04
Liu Jun 'Portfolio Selection in Stochastic Environments' UCLA 98
Liu Jun, Francis Longstaff, Jun Pan 'Dynamic Asset Allocation with Event Risk' JofF
2/03
Liu Jun, Francis Longstaff, Ravit E. Mandell ‘The Market Price of Risk in Interest
Rate Swaps: The Roles of Default and Liquidity Risks’ Analysis’ JofB 11/06
Liu Jun, Jun Pan, Tan Wang 'An Equilibrium Model of Rare-Event Premia and Its
Implication for Option Smirks' RFS Spring 2005
Liu Liu, Francis A. Longstaff 'Losing Money on Arbitrage: Optimal Dynamic Portfolio
Choice in Markets with Arbitrage Opportunities' RFS Fall 04
Liu M.Q., Fred Hickernell 'E(s2)-optimality and minimum discrepancy in 2-level
supersaturated designs' Statist. Sinica 12 (2002)
Liu M.Q., Fred Hickernell 'The relationship between discrepancies defined on a domain
and on its subset, 2002,
Liu Sheen, Chunchi Wu 'Taxes, Default Risk, and Credit Spreads' Journal of Fixed
Income 9/04
Liu Xiaoquan, Mark Shackleton, Stephen Taylor, Gary Xinzhong Xu 'Closed-Form
Transformations from Risk-Neutral to Real World Distributions' 12/02 <option-
pricing>
Liu Xiaoquan, Mark Shackleton, Stephen Taylor, Xinzhong Xu 'Closed-Form
Transformations from Risk-Neutral to Real-World Distributions' 5/03
Liu Y., P. Gopikrishnan, P. Cizeau, C.K. Peng, M. Meyer, H.E. Stanley 'Statistical
Properties of the Volatility of Price Fluctuations' Physical Review 1999
Ljungqvist Alexander, Tim Jenkinson, William Wilhelm 'Global Integration in Primary
Equity Markets: The Role of U.S. Banks and U.S. Investors' RFS 2003
Ljungqvist Alexander, Vikram Nanda, Rajdeep Singh ‘Hot Markets, Investor Sentiment,
and IPO Pricing’ JofB 7/06
Ljungqvist Alexander, William Wilhelm 'IPO Pricing in the Dot-com Bubble' JofF 4/03
Llorente Guillermo, Roni Michaely, Gideon Saar, Jiang Wang 'Dynamic Volume-Return
Relation of Individual Stocks ' RFS Fall 2002
Lo Andrew, H. Mamaysky, J. Wang 'Foundations of Technical Analysis:Computational
Algorithms,Statistical Inference, & Empirical Implementation' discussion N.
Jegadeesh JofF 8/2000
Lo Chi-fai, C.H. Hui 'Valuation of Financial Derivatives with Time-Dependent
Parameters:Lie-Algebraic Approach' QF V1.#1 2001 <option-pricing>
Lo Chi-fai, C.H. Hui, H.C. Lee 'Valuation of corporate bonds with stochastic default
barrier' Bachelier conference 2002
Lo Chi-Fai, C.H. Hui, K.C. Ku 'Pricing Vulnerable European Options with Stochastic
Default Barriers' Bachelier Conference 2004
Lo Chi-fai, H.C. Lee, C.H. Hui 'Pricing Black-Scholes Single-Barrier Options with
Time-Dependent Parameters' 4/2001 <option-barrier>
Lo S.F.(Violet), Gareth O. Roberts 'Pricing & Hedging Barrier Options using Images'
12/2000 <option-barrier>
Lo S.F.(Violet), Gareth O. Roberts, H.E. Daniels 'Inverse Method of Images' <numerics>
<Brownian, two-sided boundaries> 12/2000
Loh W.-L. 'On the Method of Control Variates' PhD OR Stanford 97
Loh W.-L. 'On Latin Hypercube Sampling' Annals of Stats. 96
Lokka Arne 'Martingale Representation, Chaos Expansion & Clark-Ocone Formulas' 1999
<martingale>
Lokka Arne, Bent Oksendal, Frank Proske 'Stochastic Partial Differential Equations
Driven by Levy Space Time White Noise' to be Ann. App. Prob. <Brownian>
Londono Jaime 'State Tameness: A New Approach for Credit Constraints' Bachelier
conference 2002
Long Nguyen-Thanh 'Investment optimization under constraints' Math. Methods OR 11/04
Longair Malcom 'Theorectical Concepts in Physics' 2003 Cambridge Press
Longarela Inaki 'A New Approach to the Derivation of Asset Price Bounds' <arbitrage>
7/2001 <Cochrane, Saa-Requejo, Bernardo, Ledoit>
Longin Francois 'Beyond the VaR' J. of Deriv. Summer 2001
Longin Francois 'From Value at Risk to Stress Testing:The Extreme Value Approach' J.
Banking & Finance 99?
Longin Francois, Bruno Solnik 'Correlation Structure of International Equity Markets
During Extreme Volatility Periods' HEC 98
Longin Francois, Bruno Solnik 'Extreme Correlation of International Equity Markets'
JofF 4/2001
Longin Francois, Bruno Solnik 'Is the Correlation in International Equity Returns
Constant:1960-90' J. Inter. Money & Finance 95
Longstaff Francis 'Optimal Portfolio Choice & the Valuation of Illiquied Securities'
RFS Summer 2001 <portfolio><bounded variation,liquidity>
Longstaff Francis, Ashley Wang 'Electricity Forward Prices: A High-Frequency Empirical
Analysis' JofF 8/04
Longstaff Francis, Jun Liu, Ravit Mandell 'The Market Price of Credit Risk:An
Empirical Analysis of Interest Rate Swap Spreads' 2001
Longstaff Francis, Pedro Santa-Clara, Edwardo Schwartz 'The Relative Valuation of Caps
& Swaptions:Theory & Empricical Evidence' JofF 12/01
Lord Gabriel, Jacques Rougemont 'A numerical scheme for stochastic PDEs with Gevrey
regularity' IMA J.Numerical Analysis 10/04 <Parabolic, Fourier>
Lord Roger 'Partially Exact and Bounded Approximations for Arithmetic Asian Options'
SSRN 3/05
Los Cornelis 'Computational Finance:A Scienfific Perspective' 2000 World Scientific
Press
Los Cornelis 'Measuring Financial Cash Flow and Term Structure Dynamics' Bachelier
conference 2002
Loughran Tim, Jay Ritter 'Why Don't Issuers Get Upset About Leaving Money on the Table
in IPOs' discussion Kent Daniel RFS v.15 #2 2002
Louhichi Sana 'Moment Inequalities for Sums of Certain Dependent Random Variables'
Theory Prob. & its Applications V47, #4
Love Inessa 'Financial Development and Financing Constraints: International Evidence
from the Structural Investment Model' RFS Fall 03
Lowry Michelle, G. William Schwert 'IPO Market Cycles:Bubbles or Sequential Learning?'
JofF 6/02
Lucas Douglas, Laurie Goodman, Frank Fabozzi 'Default Rates on Structured Finance
Securities' Journal of Fixed Income 9/04
Lucas Robert, Esteban Rossi-Hansberg 'On the Internal Structure of Cities'
Econometrica 7/02
Lucia Julio, Edwardo Schwartz 'Electricity Prices & Power Derivatives:Evidence from
the Nordic Power Exchange' R. Derivatives Research V5 2002
Luciano Elisa, Wim Schoutens 'A Multivariate Jump-Driven Financial Asset Model' SSRN
5/05
Luck Rogelio, James Stevens 'Explicit Solutions for Transcendental Equations' SIAM
Review 6/02
Luckock H. 'A Steady-State Model of the Continuous Double Auction' QF 10/03
Luke D., James Burke, Richard Lyon 'Optical Wavefront Reconstruction:Theory &
Numerical Methods' SIAM Review 6/02
Luo Lawerence S.J. <FinancialCAD Corp> 'Various Types of Double-Barrier Options' J.
Comp. Finance Spring 2001 <option-barrier>
Lustig Hanno, Stijn, Van Nieuwerburgh 'Housing Collateral, Consumption Insurance, and
Risk Premia: An Empirical Perspective' JofF 6/05
Lutkebohmert E. 'Enlich dimensionale Darstellungen fur das erweiterte Zinsmodell von
Heath, Jarrow und Morton' Thesis U. Bonn 2000
Lutkepohl Helmut, Pentti Saikkonen, Carsten Trenkler 'Testing for the Cointegrating
Rank of a VAR Process with Level Shift at Unknown Time' Econometrica 3/04
Luus Rein 'Iterative Dynamic Programming' 2000 Chapman & Hall/CRC Pub.
Lyandres Evgeny ‘Capital Structure and Interaction among Firms in Output Markets:
Theory and Evidence’ Analysis’ JofB 11/06
Lyasoff Andrew 'Geometric Brownian Motion of Skorohod Type as a Canonical Model for
Assets with Correlated Returns and Heavy Tails' Bachelier Conference 2004
Lynch Anthony 'Portfolio Choice & Equity Characteristics:Characterizing th eHedging
Demands Induced by Return Predictability' NYU 99
Lynch Paul, Gilles Zumbach 'Market Heterogeneities & the Causal Structure of
Volatility' QF 2003
Lyons Terry, Nicolas Victoir 'Cubature on Wiener Space' Phil. Trans. Royal 1/04
<PDE><parabolic, semi-elliptic, high dimension, integration, Monte Carlo>
Lytvynov E. 'Orthogonal Decomposition for Levey Process with an Applical to the Gamma,
Pascal and Meixner Processes' Infinite Dimension Analys. Quantum Prob. Related
Topics 2003
Lyukov Alexander 'OPTION PRICING WITH FEEDBACK EFFECTS' IJT&AF 9/04
Lyuu Yuh-Dauth 'Financial Engineering & Computation' Cambridge Press 2001
Ma Jin, J. Yong 'Approximate Solvability of Forward-Backward Stochastic Differential
Equations' Applied Math. & Optimization 2002 <SDE> <FBSDE>
Ma Jin, Jianfeng Zhang 'Path Regularity for Solutions of Backward Stochastic
Differential Equations' Prob. Theory Related Fields 2002 <SDE>
Ma Jin, Jianfeng Zhang 'Representation Theorems for Backward Stochastic Differential
Equations' <SDE> <viscosity> 1999
Ma Jin, Jianfeng Zhang 'Representations & Regularities for Solutions to BSDEs with
Reflections' 2002 <SDE> <Bermuda options,Feynman-Kac>
Ma Jin, Jianfeng Zhang 'Representations and regularities for solutions to BSDEs with
reflections' SP&A 4/05
Ma Jin, Jiongmin Yong 'On Linear Degenerate Backward Stochastic PDE's' Probability
Theory and Related Fields 1999
Ma Jin, Philip Protter, Jaime San Martin, Soledan Torres 'Numerical Method for
Backward Stochastic Differential Equations. J. App. Prob. 2002 <SDE>
Ma Jin, Philip Protter, Jianfeng Zhang 'Explicit Form & Path Regularity of Martingale
Representations' 2001 <SDE><incomplete markets,hedging,Levy,Kunita-Watanabe>
Maag F., H. Zimmermann 'On Benchmarks & the Performance of DEM Bond Mutual Funds' J.
Fixed Income 12/2000
Mackenzie Dana 'Ensemble Kalman Filters Bring Weather Models Up-to-Date' SIAM News
10/03
Mackenzie Dana 'Making Sense of Stents' SIAM News 5/04
Mackenzie Dana 'Math 1, Span 0' SIAM News 11/03
Mackenzie Dana 'Mathematical Modeling Cancer' SIAM News Jan/Feb 04
Mackenzie Dana 'No Age Limits:Can Mathematical Models of Fish Shed Light on Human
Aging?' SIAM News 4/05
Mackenzie Dana 'Novel Imaging Systems Rely on Focus-Free Optics' SIAM News July/Aug 03
Mackenzie Dana 'Spinning into Posterity' <Paul Dirac> SIAM News 3/03
Mackenzie Dana 'Topologists Take Scapel to Brain Scans' <MRI> SIAM News 9/04
MacLean Leonard, William Ziemba, Yuming Li 'Time to Wealth Goals in Capital
Accumulation' Bachelier conference 2002
Madan Dilip (editor) 'Handbook of Mathematical Finance: Semi-Martingale Theory of
Options & Derivatives' Elsevier Press
Madan Dilip 'Contrasting Martingale Marginals with Martingale Measures in Exotic
Pricing' RISK conference 11/2002
Madan Dilip 'The Variance Gamma Model: Successes, Failures, Extensions and Selected
Applications' Bachelier Conference 2004
Madan Dilip 'Time Changed Levy Processes for Option Calibration' Handbook Math.
Financed (ed. D. Madan)
Madan Dilip, Ajay Khanna, Helyette Geman 'Bell Shaped Returns' 2003 ?
Madan Dilip, Ju-Yi Yen 'Asset Allocation for CARA Utility with Multivariate Levy
Returns' 2005 <portfolio><ICA, VG>
Madan Dilip, Marc Yor 'Making Markov Martingales Meet Marginals: With Explicit
Constructions' 3/02 <martingale>
Madan Dilip, Peter Carr, Alexander Lipton 'Option Pricing & Heat Transfer' 2002
Madan Dilip, Peter Carr, Helyette Geman, Marc Yor 'Pricing Options on Quadratic
Variation' 2003 ?
Madras Neal 'Lectures on Monte Carlo Methods' 2002 Amer.Math Society Press
Maenhout Pascal 'Robust Portfolio Rules and Asset Pricing' RFS Winter 04
Maenhout Pascal, Bernard Dumas 'A Central-Planning Approach to Dynamic Incomplete-
Market Equilibrium' Bachelier conference 2002
Magdon-Ismail Malik, Amir Atiya 'A Maximum Likelihood Approach to Volatility
Estimation for a Brownian Motion Using High, Low & Close Price Data' QF 10/03
Magdon-Ismail Malik, Amir Atiya 'Maximum Drawdown' <sustained losses> RISK 10/04
Maghsoodi Yoosef 'Exact Solutions & Doubly Efficient Approximations of Jump-Diffusion
Ito Equations' Stochastic Analysis & Applications 98
Maghsoodi Yoosef, C. Harris 'In-Probability Approximation & Simulation of Nonlinear
Jump-Diffusion Stochastic Differential Equations' IMA J. Math Control & Info. 87
Magnac Thierry 'Panel Binary Variables and Sufficiency: Generalizing Conditional
Logit'Econometrica 11/04
Mahayni Antje 'Effectiveness of Hedging Strategies under Model Misspecification &
Trading Restrictions' Inter. J. Theor. & Appl. Finance 8/03
Maheu John, Thomas McCurday 'News Arrival, Jump Dynamics, and Volatility Components
for Individual Stock Returns' JofF 4/04
Mahnig A. 'Modellierung der Zinsstrukturen durch ein Poisson Sheet' thesis U. Bonn
2002
Mahrt-Smith Jan ‘The Interaction of Capital Structure and Ownership Structure’ JofB
5/05
Mainardi Francesco, Marco Raberto, Enrico Scalas 'Waiting-times and returns in high-
frequency financial data: an empirical study' Bachelier conference 2002
Majidi Mohammad, Gerhard Starke 'Least-Squares Galerkin Methods for Parabolic Problems
I: Semidiscretization in Time' SIAM J. Numer. Analysis 2001 <PDE>
Majidi Mohammad, Gerhard Starke 'Least-Squares Galerkin Methods for Parabolic Problems
II:Fully Discrete Case & Adaptive Algorithms' SIAM J. Numer. Analysis 2002 <PDE>
Makasu C. 'On a problem of optimal harvesting from a stochastic system with a jump
component'S&SR 2002
Makeenko Yuri 'Methods of Contemporary Gauge Theory' 2002 Cambridge Press
Makhno S. 'Convergence of Solutions of One-Dimensional Stochastic Equations' SIAM
Theor.Prob.&Appl. v44 <SDE>
Makivic Miloje 'Numerical Pricing of Derivative Claims:Path Integral Monte Carlo
Approach' NPAC Tech Report 1994 <option-numeric>
Makivic Miloje 'Path Integral Monte Carlo for Valuation of Derivative
Securities:Algorithm and Parallel Implementation' NPAC Tech. Report 1995 (Don't
Maksimovic Vohislav, P. Pichler 'Technology Innovation & Initial Public Offerings' RFS
Summer 2001
Maksimovic Vojislav, Gordon Phillips 'Do Conglomerate Firms Allocate Resources
Inefficiently Across Industries? Theory & Evidence' JofF 4/02
Maksimovic Vojislav, Gordon Phillips 'The Market for Corporate Assets:Who Engages in
Mergers & Asset Sales & Are There Efficiency Gains?' JofF 12/01
Malevergne Yannick, Didier Sornette 'General Framework for a Portfolio Theory with
Non-Gaussian Risks & Non-Linear Correlations' 3/2001 <portfolio>
Malevergne Yannick, Didier Sornette 'Minimising Extremes' <stressed market
environments> RISK 11/02
Malevergne Yannick, Didier Sornette 'Testing the Gaussian Hypothesis for Financial
Assets Dependences' QF Aug. 2003
Malevergne Yannick, Didier Sornette 'Value-at-Risk Efficient Portfolios for a Class of
Super- & Sub-Exponentially Decaying Asset Return Distributions' QF 2/04
Maller Ross, David Solomon, Alex Szimayer 'A Multinomial Approximation of American
Option Prices in a Levy Process Model' Bachelier Conference 2004, <Option-
American>
Malliavin Paul 'Market Curvature & Importance Sampling of Ocone-Karatzas Hedging'
Conf. Stochastic Analysis Berlin 7/2001
Malliavin Paul, Maria Elvira Mancino 'Fourier Series Method for Measurement of
Multivariate Volatilities' Finance and Stochastics Jan 2002 <volatility>
Mallier Roland, A.S. Deakin 'A Green's Function for a Convertible Bond Using the
Vasicek Model' J. Applied Math. 2002
Mallier Roland, Ghada Alobaidi 'Laplace Transforms & American Options' App. Math.
Finance 12/00 <options-American>
Malloy Christoper 'Geography of Equity Analysis' JofF 4/05
Malz Allan 'Crises & Volatility' RISK 11/01
Malz Allan 'Vega Risk & the Smile' J.of Risk Winter 2000/2001
Mamontov Yevgeny, Magnus Willander 'High-Dimenstional Nonlinear Diffusion Stochastic
Processes' 2001 World Scientific Press
Man Po Kong, C.H. Hui, C.F. Lo, T.C. Wong 'Measuring Provisions for Collateralised
Retail Lending' Bachelier Conference 2004
Mancini Cecilia 'Detecting the presence of a diffusion in asset prices' Bachelier
Conference 2004
Mancini Cecilia 'Estimation of the Characteristics of Jump of a General Poisson-
Diffusion mOdel' Bachelier conference 2002
Mancini Cecilia 'Estimation of the Parameters of Jump of a General Poisson Diffusion
Model' 2001 lecture
Mancini Cecilia 'The European Options Hedge Perfectly in a Poisson-Gaussian Stock
Market Model' App. Math. Finance 6/02
Mancino Maria Elvira 'A Taylor Formula to Price & Hedge European Contingent Claims'
Inter. J. Theor & App. Finance 8/01 <option-euro><Clark-Ocone>
Mandal Pranab, Dmitri Danilov 'Nonlinear filtering and estimation of latent factors in
short rate models' Bachelier conference 2002
Mandel J. 'A Multilevel Iterative Method for Symmetric Positive Definite Linear
Complementary Problems' App. Math Optim. 84
Mandelbrot Benoit 'Fractals & Scaling in Finance:Discontinuity, Concentration, Risk'
Springer97
Mandelbrot Benoit 'New Methods in Statistical Economics JPE 63
Mandelbrot Benoit, H. Taylor 'On the Distribution of Stock Price Differences' OR 67
Mandelbrot Benoit, Richard Hudson 'The (Mis) Behavior of Markets:A Fractal View of
Risk, Ruin & Reward' Basic Books 8/04
Manfredini M. 'The Dirichlet Problem for a Class of Ultraparabolic Equations' Adv.
Dif. Eqns 35,2003
Manganelli S., Robert Engle 'Value at Risk Models in Finance' 2001
Mania Michael, Marina Santacroce, Revaz Tevzadze 'A Semimartingale Backward Equation
Related to the p-Optimal Martingale Measure & the Lower Price of a Contingent
Claim' 2001 <martingale>
Mania Michael, Marina Santacroce, Revaz Tevzadze 'A Semimartingale BSDE Related to the
Minimal Entropy Martingale Measure' Finance and Stochastics 2003 , wp 2001
<SDE>
Mania Michael, Revaz Tevzadze 'A Semimartingale Backward Equation & the Variance-
Optimal Martingale Measure under General Information Flow' SIAM J. Control &
Opt. 2003 <martingale>
Maniquet Francois, Yves Sprumont 'Fair Production & Allocation of an Excludable
Nonrival Good' Econometrica 3/04
Manoliu Mihaela 'STORAGE OPTIONS VALUATION USING MULTILEVEL TREES AND CALENDAR
SPREADS'IJT&AF 7/04
Manoliu Mihaela, Stathis Tompaidis 'Energy Futures Prices:Term Structure Models with
Kalman Filter Estimation' App. Math. Finance 3/02
Mansi Sattar 'Term Structure Estimation from On-The-Run Treasuries' J. Banking and
Finance 02
Mansi Sattar, David Reeb 'Corporate Diversification: What Gets Discounted?' JofF 10/02
Mansi Sattar, George Jabbour 'Yield Curve Smoothing Models of the Term Structure' 7/02
Manski Charles 'Measuring Expectations ' Econometrica 9/04
Manski Charles 'Statistical Treatment Rules for Heterogeneous Populations '
Econometrica 7/04
Mansuy Roger, Marc Yor 'Harnesses, Lévy bridges and Monsieur Jourdain' SP&A 2/05
Mantegna Rosario, H. Eugene Stanley 'Truncated Levy Flights ' Phys. Rev. Letters 94
Mantegna Rosario, H. Eugene Stanley 'Ultra-Slow Convergence to a Gaussian:The
Truncated Levy Flights' in Levy Flights & Related Topics in Physics Springer 95

Manzano Julian 'Mirror Options' <option-pricing> <speculators, adjust real path with
no cost>
Marangion L., M. Bernaschi, A. Ramponi 'A Review of Techniques for the Estimation of
the Term Structure' Inter. J. Theo. & Applied Finance 3/02
Marchesini Roberto, Grady Perdue, Vicki Bryan 'Applying Bankruptcy Prediction Models
to Distressed High Yield Bond Issues' J. Fixed Income 3/04
Marchuk G. 'Splitting & Alternating Direction Methods' in Ciralet, Lions 'Handbook of
Numerical Analysis 1990
Marcozzi Michael 'Continuous time option valuation with discrete hedging subject to
transaction costs and trading delays' Bachelier Conference 2004
Marcozzi Michael 'On the Approximation of Optimal Stopping Problems with Applications
to Financial Mathematics' SIAM J. Sci. Compt. 2001 <option-American><Radial
Basis Functions>
Marcozzi Michael 'On the Valuation of American Asian Options by Variational Methods'
SIAM J. Sci. Comp. 2003 <option-Asian><ultraparabolic variational
inequality,path-dependent>
Marcozzi Michael 'On the Valuation of Asian Options by Variational Methods' SIAM J.
Sci. Comp. 2003 <option-Asian>
Marcozzi Michael, S. Choi, C.S. Chen 'On the Use of Boundary Conditions for
Variational Formulations Arising in Financial Mathematatics' Applied Mathematics
& Computation 124 (2001) <option-pricing><Radial Basis Functions>
Marcozzi Michael, S. Choi, C.S. Chen 'RBF & Optimal Stopping Problems;An Application
to the Pricing of Vanilla Options on One Risky Asset' Boundary Element Tech.
XIV, ed. C. Chen 'Computational Mechanics Pub' 1999
Marcus Michael 'The Most Visited Sites of Certain Lévy Processes' 7/01 J. Theor. Prob.
Marcus Michael, Michel Talagrand 'Continuity Conditions for a Class of Gaussian Chaos
Processes Related to Continuous Additive Functionals of Lévy Processes' 1/98 J.
Theor. Prob.
Marin Pedro, Ricardo Nochetto, Kunibert Siebert 'Convergence of Adaptive Finite
Element Methods' SIAM Review 12/02
Marinelli Carlo, Svetlozar Rachev 'Heavy Tails and Long Range Dependence in
Subordinated Models' Bachelier conference 2002
Marino Anthony, John Matsusaka 'Decision Processes, Agency Problems, and Information:
An Economic Analysis of Capital Budgeting Procedures' RFS Spring 2005
Marion Martine ,J. Xu 'Error Estimates on a New Nonlinear Galerkin Method Based on
Two-Grid Finite Element' <PDE> <parabolic>
Marmol Francesc, Carlos Velasco 'Consistent Testing of Cointegrating
Relationships'Econometrica 11/04
Marquez Robert 'Competition, Adverse Selection, and Information Dispersion in the
Banking Industry ' RFS Summer 02
Marquez-Carreras D.,M. Mellouk 'Denistiy Estimates on a Parabolic SPDE' <SDE>
Marris Dunstan 'Financial Option Pricing & Skewed Volatility' M. Phil Cambridge Stat.
Lab 99 <volatility>
Marris Dunstan, Gerald Salkin, Nicos Christofides, Allan Lane 'Efficient HJM
Approximations of LIBOR Market Models' Bachelier conference 2002 <term
structure>
Marsaglia G. 'Random Numbers Fall Mainly in the Planes' Proc. NAS 68
Marsaglia G. 'The Structure of Linear Congruential Generators' App. of Number Theory
to Numerical Analysis Academic Press 72
Marsaglia G., T. Bray 'A Convenient Method for Generating Normal Variables' SIAM
REview 64
Marsdan Joseph 'Portfolio Hedging & Risk Premium' <hedging> Wilmott group 7/02
Marshall A., I. Olkin 'Familes of Multivariate Distributions' JASA 88
Marsili M., S. Maslov, Y-C. Zhang 'Dynamical Optimization Theory of a Diversified
Portfolio' Physica A 98 <portfolio>
Martellini Lionel 'Efficient Option Replication in the Presence of Transaction Costs'
R. Deriv. Research V4 #2 2000
Martellini Lionel, Philippe Priaulet 'Competing Methods for Option Hedging in the
Presence of Transaction Costs' J. of Derivatives Spring 2002
Marti Kurt, Yuri Ermoliev, Georg Pflug, (eds.) 'Dynamic Stochastic Optimization'
Springer 2004
Martimort David, Lars Stole 'Revelation & Delegation Principles in Common Agency
Games' Econometrica 7/02
Martin Richard, Kevin Thompson, Christopher Browne 'How Dependent are Defaults?'RISK
7/01 , <credit risk> <latent variable>7/2001
Martin Richard, Kevin Thompson, Christopher Browne 'Taking to the Saddle' <portfolio>
<loss distribution,default> RISK 6/2001
Martin Richard, Kevin Thompson, Christopher Browne 'VaR:Who Contributed & How Much?'
<VAR> 7/2001
Martin Richard, Tom Wilde 'Unsystematic Credit Risk' RISK 11/02
Martzoukos Spiros 'Contingent Claims on Foreign Assets Following Jump-Diffusion
Processes' R. Deriv. Research V.6,#1 2003 <option-pricing>
Martzoukos Spiros, Eleftherios Zacharias 'Real Option Games with Incomplete
Information and Spillovers' Bachelier conference 2002
Maruyama G. 'Continuous Markov Processes & Stochastic Equations' Rendiconti del
Circolo Matematico di Palermo Serie II 55
Masetti Massimo 'Hedging under the Minimal Potential Measures' Bachelier Conference
2004
Mashal R., A. Zeevi 'Beyond Correlation: Extreme Co-Movements Between Financial
Assets' Columbia wp 2002
Mashal Roy, Marco Naldi 'Extreme Events & Default Baskets' RISK June 2002
Mashal Roy, Marco naldi 'Pricing Multiname Credit Derivatives:Heavy Tailed Hybrid
Approach' 1/02 <credit>
Maslov V. 'An Equation of the Kolmogorov-Feller Type in a Factorized Probability
Space' SIAM Theor.Prob& App. v44
Maslov V. 'Quantized Entropy and Its Relation to Occupation Numbers' Theory of
Probability and It's Applications V45 #4
Masoliver Jaume, Josep Perello 'A Correlated Stochastic Volatility Model Measuring
Leverage & other Stylized Facts' Int. J. Theor.& Applied Fiannce 8/2002
Masoliver Jaume, Josep Perello 'Multiple Time Scales & the Exponential Ornstein-
Uhlenbeck Stochastic Volatility Model' 1/26/05 <volatility>
Mason J., Xiao Yimin 'Sample Path Properties of Operator-Self-Similar Gaussian Random
Fields' Theory of Probability and It's Applications V46 #1
Massa Massimo 'Financial Innovation and Information: The Role of Derivatives When a
Market for Information Exists ' RFS Summer 02
Massimiliano Adamo, Anna Amadori, MASSIMO BERNASCHI, CLAUDIA LA CHIOMA, ALESSIA
MARIGO, BENEDETTO PICCOLI, SIMONE SBARAGLIA, ADAMO UBOLDI, DAVIDE VERGNI, PAOLA
FABBRI, DAVIDE IACOVONI, FRANCESCO NATALE, STEFANO SCALERA, LUCIA SPILOTRO and
ANTONELLA VALLETTA 'OPTIMAL STRATEGIES FOR THE ISSUANCES OF PUBLIC DEBT
SECURITIES' IJT&AF 11/04
Mastinsek Miklavz 'The Discrete Black-Scholes Partial Differential Equation' Bachelier
Conference 2004
Masulis Ronald, Lakshmanan Shivakumar 'Does Market Structure Affect the Immediacy of
Stock Price Responses to News?' JF&QA 12/02
Matache Ana-Maria, Christoph Schwab, Thomas Wihler 'Fast Numerical Solution of
Parabolic Integro-Differential Equations with Applications in Finance' IMA 1/04
<option-numeric>
Matache Ana-Maria, P.-A. Nitsche, Christopher Schwab 'Wavelet Galerkin Pricing of
American Options on Levy Driven Assets' 3/04 <option-American> <integro-
differential, variational inequalities>
Matache Ana-Maria, Tobias von Petersdorff, Christoph Schwab 'Fast Deterministic
Pricing of Options on Levy Driven Assets' 2/03 <option-pricing><partial integro-
differential,VG,CGMY>
Matoussi Anis, Michael Scheutzow 'Stochastic PDEs Driven by Nonlinear Noise & Backward
Doubly SDE's' Journal Theor. Prob. 1/02 , <SDE> <Ito-Kunita, parabolic
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Matsumoto K. 'Lognormal Swap Approximation in the LIROR Market Model & Its
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Matsushima Hitoshi 'Repeated Games with Private Monitoring: Two Players 'Econometrica
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Matsuyama Kiminoir 'Financial Market Globalization, Symmetry-Breaking, and Endogenous
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Matytsin Andrew 'Modeling Volatility & Volatility Derivatives' Columbia presentation
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Matytsin Andrew 'Pertubative Analysis of Volatility Smiles' JP Morgan Presentation
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Matytsin Andrew 'Stochastic Volatility & Jump Diffusion in Equity Markets'
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Matzkin Rosa 'Nonparametric Estimation of Nonadditive Random Functions' Econometrica
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Maxwell William, Clifford Stephens 'The Wealth Effects of Repurchases on Bondholders'
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May Christopher 'Nonlinear Pricing:Theory & Applications' Wiley Trading
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Mayhew Stewart 'Competition, Market Strucutre & Bid-Ask Spread in Stock Option
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McAdams David 'Isotone Equilibrium in Games of Incomplete Information' Econometrica
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McAfee R. Preston 'Coarse Matching 'Econometrica 9/02
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McCallum Bennett, Edward Nelson 'Timeless Perspective vs. Discretionary Monetary
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McCulloch J. Huston 'Long Forward & Zero-Coupon Rates Indeed Can Never Fall, but Are
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McCulloch J. Huston 'Measuring Tail Tickness in Order to Estimate the Stable Index
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Mercurio Fabio, Eymen Errais 'Yes, Libor Models can Capture Interest Rate Skew: A
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Metwally Steve, Amir Atiya 'Fast Monte Carlo Valuation of Barrier Options for Jump
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Meyer Gunter 'On Pricing American & Asian Options with PDE Methods' 2001 <option-
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Mikkelsen Peter 'Cross-Currency LIBOR Market Models' <foreign exchange><BGM> 3/2001
Mikkelsen Peter 'MCMC Based Estimation of Term Structure Models' 6/01 <term structure>
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Mikulevicius Remigijus, Boris Rozovskii 'Martingale Problems for Stochastic PDEs'
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Milstein Grigori, Oliver Reiss, John Schoenmakers 'A NEW MONTE CARLO METHOD FOR
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Minenna Marcello 'Detecting Market Abuse' <quantitative tripwires> RISK 10/04
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Mittnik Stefan, Svetlozar Rachev 'Stable Distributions for Asset Returns' App. Math
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Mittnik Stefan, Svetlozar Rachev, Marc Paolella 'Stable Paretian Modeling in
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Miyahara Yoshio 'A Note on Esscher Transform Martingale Measures for Geometric Levy
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Miyazaki Koichi, Tsubaki Hiroe 'Panel Data Analysis of Japanese Government Bond
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MOELLER Sara, FREDERIK P. SCHLINGEMANN, RENE M. STULZ 'Wealth Destruction on a Massive
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Moerman Gerard 'How Domestic is the Fama and French Three-Factor Model? An Application
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Moller Thomas 'Indifference Pricing of Insurance Contracts in a Product Space Model'
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Moller Thomas 'Risk-Minimzing Hedging Strategies for Insurance Payment Processes'
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Moller Thomas 'Stochastic orders in dynamic reinsurance markets' F&S 10/04
Mollin Richard 'An Introduction to Cryptography' 2001 Chapman & Hall/CRC Pub.
Mollin Richard 'RSA & Public Key Cryptography' 2003 Chapman & Hall/CRC Pub.
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Moore P.K. 'An Adaptive Finite Element Method for Parabolic Differential Systems:Some
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Moyen Nathalie 'Investment-Cash Flow Sensitivities: Constrained versus Unconstrained
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Musiela Marek, Thaleia Zariphopoulou 'Pricing & Risk Management of Derivatives Written
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Nayak Suhhankar, Nagpurnanand Prabhla 'Disenting the Dividend Information in
Splits:Decomposition Using Conditional Event-Study Methods' RFS Winter 2001
Nayar Nandkumar, Michael Rozeff 'Record Date, When-Issued and Ex-Date Effects in Stock
Splits' JF&QA 3/2001
Nazareth J. 'An Optimization Primer' 2004 Springer
Ncube Mthuli 'Modeling Implied Volatility with OLS & Panel Data Models' J. Banking &
Finance 96
Neave Edwin 'A Frequency Distribution Method for Valuing Aveage Options' ASTIN
Bulletin 97 <option-average> <value bundling>
Neave Edwin, George Ye 'Pricing Asian Options Using Path Bundling' 2000 <option-Asian>
Neave Edwin, Serge Slavinsky 'A Frequency Distribution Approach to Valuing Maximum
Options' J.Derivatives Spring 2001 <option-rainbow>
Neely Christopher 'Forecasting Foreign Exchange Volatility:Is Implied Volatility the
Best We Can Do?' 8/02 FRB St. Louis <GARCH,ARIMA, high frequency>
Neely Christopher 'Practice of Central Bank Intervention:Lookin under the Hood' Review
FRB St.Louis May/June 2001
Neely Christopher 'The Federal Reserve Responds to Crises:Sept. 11 Was Not the
First'FRB St. Louis Review March/April 04
Neely Christopher 'Using Implied Volatility to Measure Uncertainty About Interest
Rates' St. Louis FRB Review May/June 05
Neely Christopher, Lucio Sarno 'How Well do Monetary Fundamentals Forecast Exchange
Rates' FRB St. Louis Review Sept/Oct 2002
Neely Christopher, Paul Weller 'Predicting Exchange Rate Volatility:Genetic
Programming verus GARCH and RiskMetrics' Review St.Louis FRB May/June 02
<volatility>
Neftci Salih 'Principles of Financial Engineering' Elsevier 11/03
Negrea Bogdan 'Evaluation des Options Par La Transformee de Fourier' 6/01 <Taylor,
Hull-White, Lamoureux-Lastrapes, Stein> superceedded by 'Option
Pricing..Fourier..'
Negrea Bogdan 'Option Pricing with Stochastic Volatility:A Closed-Form Solution Using
the Fourier Transform' 3/02 <volatility><Stein,Taylor, Hull-White,Lamoure4ux-
Lastrapes>
Nehring Klaus, Clemens Puppe 'A Theory of Diversity 'Econometrica 5/02
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Nelsen R. 'An Introduction to Copulas' Springer 99
Nelson B. 'Control Variate Remedies' OR 1990
Nelson Daniel 'Stationary & Persistence in the GARCH(1,1) Model'Econometric Theory 90
Nelson Lee 'Persistence and Reversal in Herd Behavior: Theory and Application to the
Decision to Go Public' RFS Spring 2002
Nelson R. 'An Introduction to Copulas' Springer 99
Neuberger Anthony, Stewart Hodges 'How Large are the Benefits from Using Options?'
JF&QA 6/02
Neveu J. 'Processus Potuels ' in Ecole de Probabilites de Saint Flour VI Lecutre Notes
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Nevo A. 'Measuring Market Power in the Ready to Eat Cereal Industry'Econometrica
3/2001
Newey Whitney 'Efficient Semiparametric Estimation via Moment Restrictions'
Econometrica 11/04
Newey Whitney, Fushing Hsieh, James Robins 'Twicing Kernels and a Small Bias Property
of Semiparametric Estimators' Econometrica 5/04
Newey Whitney, James Powell 'Instrumental Variable Estimation of Nonparametric Models'
Econometrica 9/03
Newey Whitney, Richard Smith 'Higher Order Properties of GMM & Generalized Empirical
Estimation' Econometrica 1/04
Newman M. 'The Structure & Function of Complex Networks' SIAM Review 6/03
Ng Chi Tim, Ngai Hang Chan 'Fractional Volatility Models and Malliavin Calculus'
Bachelier Conference 2004
Ng Kai, Qihe Tang, Jia-An Yan, Hailiang Yang 'Precise large deviations for sums of
random variables with consistently varying tails' Journal of Applied Probability
3/2004
Ng Siu-Ah 'Hypermodels in Mathematical Finance:Modelling via Infintesimal Analysis'
2003 World Scientific Press
Nguyen (Ahn) Laurent, Benjamin Jourdain 'Monte-Carlo approximation of minimum entropy
measures' Bachelier conference 2002
Nguyen-Ngoc Laurent 'Exotic options in general exponential Lévy models' 2003 U. Paris
6 Jussieu
Nguyen-Ngoc Laurent, Marc Yor 'Lookback & Barrier Options under General Levy
Processes' in to be Y. Ait-Sahalia, Lars Hansen (ed) Handbook of Financial
Econometrics'2003?
Nguyen-Ngoc Laurent, Marc Yor 'Some martingales associated to reflected Lévy
processes' U. Paris 6 Jussieu2003
Nicolae Garleanu Nicolae, Lasse Heje Pedersen 'Adverse Selection and the Required
Return' RFS Fall 04
Nicolato Elisa, Emmanouil Venardos 'Option Pricing in Stochastic Volatility Models of
the Ornstein-Uhlenbeck Type' MF 10/03 , 4/02 <option-pricing><incomplete
market, martingale>
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Niederreiter Harald, C. Xing 'Nets, (t,s)-Sequences & Algebraic Geometry' in Random &
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Nielsen Bjorn 'Asymptotic Distribution of Unit Root Tests of Unstable Autoregressive
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Nielsen Bjorn, Ola Skavhaug, Aslak Tveito 'Mathematical Models of Financial
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Nielsen Bjorn, Ola Skavhaug, Aslak Tveito 'Numerical Methods for Financial
Derivatives' in "Advanced Topics in Computational PDEs" Springer
Nielsen Bjorn, Ola Skavhaug, Aslak Tveito 'Penalty and Front-Fixing Methods for the
Numerical Solution of American Option Problems' J. Computational Finance Summer
2002 , wp 1/2002 <option-American>
Nielsen Bjorn, Ola Skavhaug, Aslak Tveito 'Penalty Methods for the Numerical Solution
of American Multi-Asset Option Problems' wp 9/2000 <option-American>
Nielsen Jorgen Aase, Klaus Sandmann 'Pricing of Asian Exchange Rate Options under
Stochastic Interest Rates as a Sum of Options' Finance and Stochastics 2002
<option-asian>
Nielsen Jorgen Aase, Kristian Miltersen, Klaus Sandmann 'The futures market model and
no-arbitrage conditions on the volatility' Bachelier Conference 2004
Nielsen Jorgen Aase, M. Vestergaard, H. Madsen 'Estimation in Continuous-Time
Stochastic Volatility Models Using Nonlinear Filters Inter.J. Theor & App.
Finance 4/2000 <volatility>
Nielsen Martin, Eduardo Schwartz 'Theory of Storage and the Pricing of Commodity
Claims' R. Driv. Research 2004
Nielsen Michael 'Simple Rules for a Complex Quantum World' Scientific American 'Edge
of Physics' 2003
Nielsen Roger 'An Introduction to Copulas' Springer-Verlag 98
Nieslony A., D. Potts, G. Steidl 'Rapid Evaluation of Radial Functions by Fast Fourier
Transforms at NonEquispaced Knots' U. Mannheim 2003
Niffikeer C., R. Hewins, R. Flavell 'A Synthetic Factor Approach to the Estimation of
Value-at_Risk of a Portfolio of Interest Rate Swaps' J.Banking & Finance 12/2000
Nigmatullin Eldar 'Bayesian model averaging when models are specified by moment
conditions' Bachelier conference 2002
Nikitopoulos Christina, Carl Chiarella 'A Jump-Diffusion Derivative Pricing Model
Arising Within the Heath-Jarrow-Morton Framework' Bachelier conference 2002
Ninomiya Syoiti 'A New Simulation Scheme of Diffusion Processes:Application of the
Kusuoka Approximation to Finance Problems' Math. & Computers in Simulation 3/03
<option-numeric><monte carlo>
Nippani Srinivas, Pu Liu, Craig Schulman 'Are Treasury Securities Free of Default?'
JF&QA 6/2001
Nishiotis George ‘Further Evidence on Closed-End Country Fund Prices and International
Capital Flows’ JofB 7/06
Nishiyama Y., P. Robinson 'Edgeworth Expansions for Semiparametric Averaged
Derivatives'Econometrica 7/00
Nishiyama Yoshihiko, Peter Robinson 'The Bootstrap and the Edgeworth Correction for
Semiparametric Averaged Derivatives' Econometrica 5/05
Nissim Doron, Amir Ziv 'Dividend Changes & Future Profitability' JofF 12/01
Nochetto R. 'Sharp l(inf) Error Estimates for Semilinear Problems with Free
Boundaries' Num Math. 88
Noe Thomas 'Investor Activism and Financial Market Structure 'RFS Spring 2002
Noe Thomas, Michael Rebello, J. Wang 'Corporate Financing: An Artificial Agent-based
Analysis'JofF 6/03
Noe, Thomas, Michael J. Rebello, Milind M. Shrikhande 'Structuring International
Cooperative Ventures ' RFS Fall 2002
Nogueiras Maria, Alfredo Bermudez, Carlos Vazquez 'Higher order numerical algorithms
for the solution of some path dependent options pricing problems' Bachelier
Conference 2004
Nolder Craig, Benoit Montin 'An agent market model using evolutionary game theory'
Bachelier Conference 2004
Norberg Ragnar 'VASICEK BEYOND THE NORMAL' MF 10/04
Norvaisa Rimas 'Asset pricing using a form of evolution' Bachelier conference 2002
Norvaisa Rimas 'Quadratic Variation, p-Variation & Integration with Applications to
Stock Price Modelling' 7/04 Inst. Math. Lithuania arxiv.org
Noubir M. 'Callcul de Prix d'Option Exotiques dans les Modeles de Marche' 2001 These
de Doctorat
Novaes Walter ' Managerial Turnover and Leverage under a Takeover Threat'JofF 12/02
Novak S. 'Generalized Kernel Density Estimator' SIAM Theor.Prob.&Appl. v44
<statistics>
Nualart David 'Malliavin Calculus & Related Topics' Springer 95
Nualart David, Boris Rozovskii 'Weighted Stochastic Sobolev Spaces & Bilinear SPDE's
Driven by Space-Time White Noise' <SDE>
Nualart David, J. Vives 'Anticiplated Calculus for the Poisson Process Based on the
Fock Space' Seminare de Probabilites XXIV Lecture Note 1426 Springer 90
Nualart David, Wim Schoutens 'BSDE's, Clark-Ocone Formula, Feynman-Kac Formula for
Levy Processes'9/2000 <SDE>
Nualart David, Youssef Ouknine 'Besov Regularity of Stochastic Integrals with Respect
to the Fractional Brownian Motion with Parameter H > 1/2'Journal Theor. Prob.
4/03
Nunes Joao Pedro Vidal 'Multi-Factor Valuation of Floating Range Notes' 2002 <term
structure>
Nunes Joao, Luis Oliverira 'Multi-Factor and Analytical Valuation of Treasury Bond
Futures with an Embedded Quality Option' SSRN 7/04
Nunno Julia, Bernt Oksendal, Frank Proske 'Malliavin Calculus for Levy Processes'
<stochastics> 5/02
Nyarko Yaw, Andrew Schotter ' An Experimental Study of Belief Learning Using Elicited
Beliefs 'Econometrica 5/02
Nystrom Kaj, Jimmy Skoglund 'Efficient filtering of financial time series and extreme
value theory' Journal of Risk Winter 05
O Hyong-chol, Ning WAN 'Higher Order Binary Option and Pricing Corporate Bond with
Discrete Expected and Unexpected Default' SSRN 5/05
O Hyong-chol, Ning WAN, Yong-hua Ro 'A Method of Reducing Dimension of Space Variables
in Multi-dimensional Black-Scholes Equations' 5/05 <option-pricing>
Oded Jacob 'Why Do Firms Announce Open-Market Repurchase Programs?' RFS Spring 2005
Odegaard Brent 'Financial Numerical Recipes' Finance Group Norwegian School Management
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Oden J.T., A. Patra, Y. Geng 'Domain Decomposition for Adaptive hp Finite Element
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Ofek Eli, Matthew Richardson 'DotCom Mania: The Rise and Fall of Internet Stock
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Officer Micah 'Collars and Renegotiation in Mergers and Acquisitions' JofF 12/04
Officer Micha 'Market Pricing of Implicit Options in Merger Collars’ JofB 1/06
Ogaki Masao, Q. Zhang 'Decreasing Relative Risk Aversion & Tests of Risk Sharing'
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O'Hara Maureen 'Presidential Address: Liquidity and Price Discovery' JofF 8/03
O'Hara Maureen, David Easley 'Microstructure and Asset Pricing' Bachelier conference
2002
Ohgren A. 'A Remark on the Pricing of Discrete Lookback Options' J. Comp. Finance
Spring 2001 <option-lookback>
Ohtsubo Yoshi, Kenji Toyonaga 'Equivalence classes for optimizing risk models in
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Oja Erkki, Aapo Hyvarinen, Juha Karhunen 'Independent Component Analysis:Adaptive &
Learning Systems for Signal Processing, Commun. & Control' book 2001
Oksendal Bernt 'Applied Stochastic Control of Jump Diffusions' 2005 Springer
Oksendal Bernt 'Fractional Brownian Motion in Finance' 7/03 <Brownian>
Oksendal Bernt 'Optimal Control of the Quasilinear Stochastic Heat Equation &
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Oksendal Bernt 'When is a Stochastic Integral a Time Change of a Diffusion?' J. of
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Oksendal Bernt, Frank Proske 'White Noise of Poisson Random Measures' to be Potential
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Oksendal Bernt, Tusheng Zhang 'On Backward Stochastic Partial Differential Equations'
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Oksendal Bernt, Yaozhong Hu, Donna Mary Salopek 'Weighted local time for fractional
Brownian motion and applications to finance' Bachelier conference 2002
Okten Girary, Warren Eastman 'Randomized Quasi-Monte Carlo Methods in Pricing
Securities' JED&C 12/04 <option-numeric> <Eorror Bounds>
Oldfield G. 'Bits, Bets & Making Book on an Index' J.of Risk Winter 2000/2001
Oliker Leonid, Xiaoye Li, Parry Husbands, Rupak Biswas 'Effects of Ordering Strategies
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Olla S., P. Siri 'Homogenization of a Bond Diffusion in a Locally Ergodic Random
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Olver Peter 'Applications of Lie Gropus to Differential Equations' Springer 93
Omran Mohammed, John Pointon 'DIVIDEND POLICY, TRADING CHARACTERISTICS AND SHARE
PRICES: EMPIRICAL EVIDENCE FROM EGYPTIAN FIRMS' IJT&AF 3/04
O'Neill T.J., Jack Penm, R. Deane Terrell 'THE SEQUENTIAL ESTIMATION OF SUBSET VAR
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Oomen Roel, George Jiang 'Hedging Derivatives Risk - A Simulation Study' 9/01 U.
Warwick
Orlandi A., Marco Rosa-Clot, S. Taddei 'Green Function Approximation & Path Integrals
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harmonic, multi-well potentials>
Ormoneit Dirk, Ralph Neuneier 'Conditional Value at Risk'"Computational Finance 1999"
MIT
Orsingher E. 'Bessel functions of third order and the distribution of cyclic planar
motions with three directions'S&SR 2002
Ortobelli Sergio, Svetlozar Rachev, Isbella Huber, Almira Biglova 'Optimal Portfolio
Selection and Risk Management: A Comparison Between the Stable Paretian Approach
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Oseledets V.I., D. Khmelev 'Stochastic Transportation Networks and Stability of
Dynamical Systems' Theory of Probability and It's Applications V46 #1
Osher Stanley 'Dynamic Visibility & the Level Set Method' SIAM News May 02
Osinga Hinke, Bernd Krauskopf 'From Computed to Crocheted Mesh' SIAM News 3/05
Ostrovskii E. 'The Anistropic Moduli of Continuity of Random Fields' Theory of
Probability and It's Applications V46 #1
Otobe Y. 'Stochastic Reaction Diffusion Equations on an Infinite Interval with
Reflection'S&SR 2002
Ottega J. 'Numerical Analysis:Second Course' 90 SIAM book
Ouahra M. B. Koufoussi, E. Lakhel 'Theorèmes limites pour certaines fonctionnelles
associées aux processus stables dans une classe d'espaces de besov'S&SR 2002
Ou-Yang Hui 'Optimal Contracts in a Continuous-Time Delegated Portfolio Management
Problem' RFS 2003
Overbecjk Ludger 'Risk Based Valuation of CDO structures' Bachelier conference 2002
Overhaus Marcus 'Himalaya Options' RISK 3/02 <option-basket><hedging>
Overhaus Marcus 'VaR Methodology for an Advanced Heston Framework' 2002 DB
Oviedo Rodolfo ‘Improving the Design of Treasury-Bond Futures Contracts’ JofB 5/06
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Owen Art 'Monte Carlo Variance of Scrambled Net Quadrature' SIAM J. Num. Anal. 97
Owen Art 'Necessity of Low Effective Dimensions' wp Stanford U. 2002
Owen Art 'Scrambled Net Variance for Integrals of Smooth Functions' Ann of Stats. 97
Owen Art 'Scrambling Sobol & Niederreiter-Xing Points' J. Complexity 98
Owen Art, Yi Zhou 'Advances in Importance Sampling'"Computational Finance 1999" MIT
Owen Mark 'On Utility Based Super Replication Prices' Bachelier Conference 2004
Owens Raymond, Roy Webb 'Using the Federal Funds Futures Market to Predict Monetary
Policy Actions' Econ. Quarterly FRB Richmond Spring 01
Owyang Michael 'Persistence, Excess Volatility & Volatility Clusters in Inflation'
Review FRB St. LouisNov/Dec 01 <inflation>
Oyer Paul 'Why Do Firms Use Incentives That Have No Incentive Effects?' JofF 8/04
Ozaksas H. 'The Fractional Fourier Transform' 2001 Wiley
Ozkan Fehmi 'Levy Processes in Credit Risk & Market Models' PhD 2002
Pablo Rincón-Zapatero Juan, Ricardo Josa-Fombellida 'Optimal management of risks in
defined-benefit pension funds' Bachelier conference 2002
Pacurar Maria, Pierre Duchesne 'On testing for duration clustering and diagnostic
checking of models for irregularly spaced transaction data' Bachelier Conference
2004
Pagano M., P. Volpin 'Managers, Workers, and Corporate Control' JofF 4/05
Pagano Marco, Ailsa Roell, Josef Zechner ' The Geography of Equity Listing: Why do
Companies List Abroad?'JofF 12/02
Pages Gilles, Huyen Pham, Jacques Printems 'Optimal Quantization Methods and
Applications to Numerical Problems in Finance' in 'Handbook of Numerical Methods
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Pages Gilles, Jacques Printems 'Numerical aspects of quadratic functional
quantization: pricing Asian options' U. Paris 6 Jussieu2004
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conference 2002
Pakes A., P. McGuire 'Stochastic Algorithms, Systematic Markov Perfect Equilibrium &
the Curse of Dimensionality' Econometrica 9/01
Pakko Michael 'Investment-Specific Technology Growth:Concepts & Recent Estimates' FRB
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Pakko Michael 'The High-Tech Investment Boom & Economic Growth in the 1990s:Accounting
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'Reconsidering the Trade-Creating Effects of a Currency Union' FRB St. Louis
Review 9/01
Pakko Michael, Patrica Pollard 'Burgernomics: A BigMac Guide to Purchasing Power
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Palacios-Huerta, Oscar Volij 'The Measurement of Intellectual Influence ' Econometrica
5/04
Palia Darius 'The Endogeneity of Managerial Compensation in Firm Valuation: A
Solution' RFS 2001
Palmer Ken 'A Note on the Boyle-Vorst Discrete-Time Option Pricing Model with
Transactions Costs' MF 7/01 <option-pricing>< binomial, bounds>
Palmer Ken 'Replicating & Super Replicating Portfolios in the Boyle-Vorst Discrete-
Time Option Pricing Model with Transaction Costs'<portfolio> 2001
Pan Enlin, Liuren Wu 'Taking Positive Interest Rates Seriously' 5/9/03 <term
structure>
Pan George 'Equity to Credit Pricing' <reduced-form, firm-value default> RISK 11/01
Pan J. 'The Jump-Risk Premia Implicit in Options:Evidence from an Intergrated Time
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Pandher Gurupdesh 'Drift Estimation of Generalized Security Price Processes from High
Frequency Derivative Prices' Review of Derivatives Research V4 #3 2000
Pandher Gurupdesh 'Valuation of Stock Options Grants under Multiple Serverage Risks'
J. Derivatives Winter 2003
Pang Tao, Wendell Fleming 'A model of investment, production and consumption'
Bachelier Conference 2004
Pani A.K., G. Fairweather 'H1-Galerkin Mixed Finite Element Methods for Parabolic
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Panigirtzoglou Nikolaos 'Using Affine Models of the Term Structure to Estimate Risk
Premia' <term structure> 2001?
Panigirtzoglou Nikolaos, Damien Lynch 'Summary Statistics of Implied Probability
Density Functions' Bachelier conference 2002
Panini Radha, Ram Srivastav 'Pricing Perpetual Options using Mellin Transforms'
Applied Mathematics Letters 18(2005) <Option-Pricing><free boundary,finite lived
option>
Pao C. 'Numerical Methods for Time-Periodic Solutions of Nonlinear Parabolic Boundary
Value Problems' SIAM J.Numer. Anal. 2001 <PDE>
Papageorgiou Anargyros 'The Brownian Bridge Does not Offer a Consistent Advantage in
Quasi-Monte Carlo Integration'J. Complexity 2000 <monte carlo><finance,digital
options,covariance decomposition>
Papageorgiou Nicolas, Frank Skinner 'Predicting the Direction of Interest Rate
Movements' J. Fixed Income March 02
Papapantoleon Antonis, Ernst Eberlein 'Symmetries and Pricing of Exotic options in
Levy Models' 1/05 <option-pricing>
Papapantoleon Antonis, Tino Senge 'Option Pricing in a Jump Diffusion Model with
Double Exponential Jumps' 6/02 <option-pricing><smile,first passage,barrier>
Paparoditis Efstathios, Dimitris Politis 'Residual-Based Block Bootstrap for Unit Root
Testing 'Econometrica May 03
Papparlardo L. 'Option Pricing & Smile Effect when Underlying Stock Prices are Driven
by a Jump Process'Warwick 96
Pardoux Etienne 'Filtrage Non-Lineaire et Equations aux Derivees Partielle
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Pardoux Etienne, A. Rascanu 'Backward Stochastic Variational Inequalities' 8/2000
<SDE>
Paris Francesco 'A Compound Option Model to Value Moral Hazard' J. of Derivatives Fall
01
Park Cheolbeom ‘Stock Return Predictability and the Dispersion in Earnings Forecasts’
JofB 11/05
Park In-Uck 'Moral Hazard Contracting and Private Credit Markets'Econometrica 5/04
Park J., P. Phillips 'Nonlinear Regression with Integrated Time Series' Econometrica
1/2001
Park S., K. Miller 'Random Number Generators:Good Ones are Hard to Find' Comm. of ACM
88
Park Sangkyun 'Put Option Values of Thrifts in the 1980s:Evidence from Thrift Stock
Reactions to th FIRREA' JF&QA 3/02
Parlour Christine, Duane J. Seppi 'Liquidity-Based Competition for Order Flow'RFS
Summer 03
Parrott Arthur Kevin, N.C. Clarke 'Parallel Solution of American Asian Options'
Proceed. 11th Domain Comp. Conf. 99
Parrott Arthur Kevin, Sweta Rout 'Semi-Lagrange Time Integration for PDE Models of
Asian Options' abstract Bachelier Conference 2004, 1/04 <option-Asian>
Parwani Ravinra 'Implied Price Processes' 12/99? <option-pricing><non-Markovian, non-
martingale,discontinuous price, non-determ. volatility>
Parzen Emanuel 'Stochastic Processes' SIAM 1962
Pasachoff J., W. Fowler 'Deuterium in the Universe' "Particle Physics in the Universe"
Freeman & Co. {Scien.Amer. articles>
Passow Alexander 'Omega Portfolio Construction with Johnson Distributions' RISK 4/05
<persistent skew & Kurtosis>
Pastor Lubos, Robert Stambaugh 'The Equity Premium & Structural Breaks',Discussion
Zhenyu Wang JofF 8/01
Patel J., C. Read 'Handbook of the Normal Distribution' Dekker 96
Patel Navoz 'Try a Little Tender Hedge' <Marek Musiela, FX Tender Hedge at Paribas>
RISK 7/01
Patel Navroz 'The Evolving Art of Pricing Cliquets' RISK 7/02 <forward starting,
rachet,resets>
Patie Pierre 'On a martingale associated to generalized Ornstein–Uhlenbeck processes
and an application to finance' SP&A 4/05
Patie Pierre 'On the First Passage Times of Generalized Ornstein-Uhlenbeck Processes'
<stochastics> <Laplace, Vasicek>4/03
Patton Andrew 'Modelling Time-Varying Exchange Rate Dependenc Using the Conditional
Copula' <FX>
Paulsen Volkert 'Bounds for the American Put on a Stock Index' J. App. Prob. 3/01 ,
wp. <option-American>
Paulsen Volkert 'The h-Transformation & Its Application to Mathematical Finance'
<options-american><perpetual, optimal stopping> 2001
Pearson Neil, Anjun Zhou 'A Nonparametric Analysis of the Forward Rate Volatilities'
10/99 <term structure><HJM>
Pedersen H., E. Shiu 'Evaluation of the GIC Rollover Option' Insurance:Math & Econ 94
Pedersen Jesper Lund 'Discounted Optimal Stopping Problems for the Maximum Process' J.
Appl. Prob. 12 2000 <optimal stopping><lookback option>
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Pedersen Jesper Lund, Goran Peskir 'The Azema-Yor Embedding in Non-Singular
Diffusions'<Brownian>
Pedersen M., Kristian Miltesen 'Dual-Currency LIBOR Market Models' SimCorp 2000
Peiro Amado 'Asymmetries & Tails in Stock Index Returns:Are Their Distributions Really
Asymmetric?' QF 2/04
Peligrad M. 'A Note on the Uniform Laws for Dependent Processes Via Coupling' J.
Theor. Prob. 10/01
Pellizzari P. 'Statically Hedging & Pricing Multivariate Derivatives' 2001 lecture
Pelsser Antoon 'Mathematical Foundation of Convexity Correction' 6/2001 <term
structure>
Pelsser Antoon, Jeron Kerkhof 'Observational Equivalence of Discrete String Models and
Market Models' Bachelier conference 2002
Pelsser Antoon, Raoul Pietersz 'Risk-Managing Bermuda Swaptions in a Libor Model' J.
Derivatives Spring 04
Pelsser Antoon, Ton Vorst 'Pricing of Flexible & Limit Caps' 98 Erasmus U.
Pelster Alex, Hagen Kleinert 'Relations Between Markov Processes via Local Time and
Coordinate Transformations' 7/01 <stochastics>
Penev Spiridon, Tenko Raykov 'A Wiener Germ Approximation of the Noncentral Chi Square
Distribution & it Quantiles' U. New South Wales 97 <statistics>
Peng Shige 'Nonlinear Expectations, Nonlinear Evaluations & Risk Measures' in
Stochastic Methods in Finance Springer-Verlag July 03 conference
Peng Shige 'Stochastic Hamilton-Jacobi-Bellman Equations' SIAM J. Control Opt 92
Peng Z., S. Nadarajah 'On the Joint Limiting Distribution of Sums and Maxima of
Stationary Normal Sequence' Theory Prob. & its Applications V47, #4
Perello Jaume, Josep Masoliver 'Random Diffusion & Leverage Effect in Financial
Markets' Physical Review 2003
Perello Jaume, Josep Masoliver, Napoleon Anento 'A Comparison Between Correlated
Stochastic Volatility Models' Physica A 2004
Perello Josep, Jaume Masoliver 'The Effect of Non-Ideal Market Conditions on Option
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Perello Josep, Jaume Masoliver, Jean-Philippe Bouchaud 'Multiple time scales in
volatility and leverage correlations: a stochastic volatility model'App. Math.
Fin. 3/04
Perera Ryle 'The Role of Index Bonds in Universal Currency Hedging' App. Math. Finance
12/00
Peress Joel 'Wealth, Information Acquisition, and Portfolio Choice' RFS Fall 04
Perez Errol, Daniel Bonzo 'Financial Market Stochastics' World Scientific
Perez Errol, Daniel Isidore, Brain Bonzo 'Financial Market Stochastics' 2002 World
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Peria Maria, Sergio Schumukler 'Do Depositors Punish Banks for Bad Behavior?Market
Discipline, Deposit Insurance, & Banking Crises' JofF 6/2001
Pérignon Christophe, Christophe Villa ‘Sources of Time Variation in the Covariance
Matrix of Interest Rates’ JofB 7/06
Perignon Christophe, Christophe Villa 'Component Proponents II' RISK 7/04 <covariance>
Perignon Christophe, Christophe Villa 'Component Proponents' RISK 9/02 <principal
components>
Peristiani Stavros 'Modeling the Instability of Mortgage-Backed Prepayments'J. Fixed
Income 12/03
Perla F. 'Parallel Monte Carlo Methods for Option Valuation' 2001 lecture
Perman M., J. Wellner 'On the Distribution of Brownian Area' Annals Appl. Prob 96
Perotti Enrico , Ernst-Ludwig von Thadden 'Strategic Transparency and Informed
Trading: Will Capital Market Integration Force Convergence of Corporate
Governance? ' JF&QA 3/03
Perrais Stylianos, Jean Lefoll 'The American Put under Transaction Costs' JED&C 2/04
Perron Benoit 'Jumps in the Volatility of the Financial Markets' U. Montreal 99
Perry Motty, Philip Reny 'An Efficient Auction' Econometrica 5/02
Persson Svein-Arne 'Choice of fixed or floating interest rate debt' Bachelier
conference 2002
Persson Torsten 'Do Political Institutions Shape Economic Policy? 'Econometrica 5/02
Peskir Goran 'A Change of Variable Formula with Local Time on Curves '<Brownian>
Peskir Goran 'A True Buyers Risk & Classification of Options'<97 <option-pricing>
Peskir Goran 'On Integral Equations Arising in First-Passage Problem for Brownian
Motion '<Brownian>
Peskir Goran 'On the American Option Problem' MF 1/05 , 3/03 <change variable, local
time,nonlinear integral, exercise>
Peskir Goran 'The Azema-Yor Embedding in Brownian Motion with Drift' 98 <Brownian>
Peskir Goran 'The Russian option: Finite horizon' F&S 4/05 <option-Russian><non-linear
integral, curved boundaries, local time-space calculus>
Peskir Goran, Albert Shiryaev 'A Note on the Call-Put Parity and a Call-Put Duality'
CAF 12/2000,Theory of Probability and It's Applications V46 #1 <option-
pricing><Merton, American, Euro>
Peters E. 'Fractal Market Analysis' Wiley 94
Peters Michael 'Common Agency & the Revelation Principle' Econometrica 9/01
Peters R. Th. 'Nonconvergence in the Variation of the Hedging Strategy of a European
Call Option' MF 10/03
Petersen Mark, Barbara Kraus, Thomas Windham 'Striving Toward Equity:Underrepresented
Minoirities & Mathematics' SIAM News 4/05
Petersen Mark, Barbara Kraus, Thomas Windham 'Striving Toward Equity:Underrepresented
Minorities & Mathematics' SIAM News 3/05
Petersen Mitchell, Raghuram Rajan 'Does Distance Still Matter? The Information
Revolution in Small Business Lending'JofF 12/02
Peterson Ivars 'Circle Game' <math> Science News 4/21/01 <packing circles>
Peterson Ivars 'Surprisingly Square' Science News 6/16/01 <number theory> <sum of
squares>
Peterson Mark, Erik R. Sirri 'Order Preferencing and Market Quality on U.S. Equity
Exchanges' RFS Summer 03
Peterson Mark, Erik Sim 'Oder Submission Strategy & the Curious Case of Marketable
Limit Orders' JF&QA 6/02
Peterson Sandra, Richard Stapleton 'The Pricing of Bermuda-Style Options on Correlated
Assets' R. Deriv. Research V5. #2 2002 ,1/3/01 <option-Bermuda>
Peterson Sandra, Richard Stapleton, Marti Subrahmanyam 'A Multifaction Spot Rate Model
for the Pricing of Interest Rate Derivatives' JF&QA 12/03
Peterson Sandra, Richard Stapleton, Marti Subrahmanyam 'The Valuation of Caps, Floors
& Swaptions in a Multi-Factor Spot-Rate Model' <term structure> 8/01
Petras Knut 'Numerical Computation of an Integral Representation for Arithmetic-
Average Asian Options' Computing 2004 v.73, #1 ,3/02 wp <option-Asian><Michael
Schroeder numerical correction>
Petrella G., Steven Kou 'Numerical pricing of discrete barrier and lookback options
via Laplace transforms' J. Comp. Finance Fall 04 <option-basket>
Petrellia Luca, Adrian Tudorascu 'Variational Principle for General Diffusion
Problems' App. Math. & Opt. 2004 <Fokker-Planck, Monge-Kantorovich>
Petrov V.V. 'Sums of Independent Random Variables' Springer 1975
Pezzo Rosanna, Maria-Cristina Uberti 'A new jump-diffusion model and performances of
affine stochastic volatility models for equity emerging markets' Bachelier
Conference 2004
Pezzo Rosanna, Maria-Cristina Uberti 'Volatility forecasting performances of SVOL and
AJD models for very volatile markets' Bachelier conference 2002
Pfingsten A., P. Wagner, C. Wolferink 'An empirical investigation of the rank
correlation between different risk measures'J. Risk Summer 2004
Pham Huyen 'A Large Deviations Approach to Optimal Long Term Investment' Finance and
Stochastics V.7,#2 2003
Pham Huyen 'A Predictable Decomposition in an Infinite Asset Model with
Jumps:Application to Hedging and Optimal Investment' S&SR 10/03
Pham Huyen 'Optimal Stopping on Controlled Jump-Diffusion Processes:A Viscosity
Solution Approach' J. of Math. Systems Estimation & Control 1998 <Diffusion>
<American Options>
Pham Huyen, Gilles Pages 'A Quantization Algorithm for Multidimensional Stochastic
Control Problems with Applications to finance' Bachelier conference 2002
Pham Huyen, M-C. Quenez 'Optimal Portfolio in Partially Observed Stochastic
Volatility' Ann. App. Prob 2/01
Pham Huyen, Wolfgang Runggaldier, Afef Sellami 'Approximation by Quantization of the
Filter Process & Applications to Optimal Stopping Problems under Partial
Observation' wp 2004?
Phelan M. 'Probability & Statistics Applied to the Practice of Financial Risk
Mangement' 97
Philipov Alexander, Gergana Jostova 'Bayesian Analysis of Stochastic Betas' Bachelier
Conference 2004
Philipson T. 'Data Markets, Missing Data & Incentive Pay' Econometrica 7/01
Phillips Peter, Jun Yu 'Jacknifing Bond Option Prices' 1/03 <CIR,bias,MLE>
Pichler Pegaret, William Wilhelm 'A Theory of the Syndicate:Form Follows Function'
JofF 12/01
Picoult E. 'Calculating Value-at-Risk with Monte Carlo Simulations' in Monte
Carlo:Methodologies & Applications for Pricing & Risk Management 1999
Pieper Gail 'New Perspectives for Spectral & Higher Order Methods' SIAM News Jan/Feb
04
Pietersz Raoul 'PDE Pricing for BGM' 2/02 <term structure> <Feynman-Kac, 1 and 2
dimension,ratchets>
Pietersz Raoul, Antoon Pelsser 'Risk Managing Bermudan Swaptions in the Libor BGM
Model' J. Comp. Finance Fall 04 , 6/03 <term structure>
Pietersz Raoul, Antoon Pelsser 'Swap Vega in BGM:Pitfalls & Alternatives' RISK 3/04
Pietersz Raoul, Antoon Pelsser, Manrcel van Regenmortel 'Fast Drift Approximation in
the BGM Model' 11/02 <term structure> <predictor-corrector>
Pietersz Raoul, Fatrick Groenen 'Rank Reduction of Correlation Matrices by
Majorization' QF 12/04 ,3/04 <Libor model, Bermuda>
Pilipovie D., J. Wengler <Edgeworth series expansions for spread options> source
unknown, referenced by M. Dempster 98
Pilotte Eugene 'Capital Gains, Dividend Yields, and Expected Inflation' JofF 2/03
Pilotte Eugene, Frederic Sterbenz ‘Sharpe and Treynor Ratios on Treasury Bonds’ JofB
1/06
Pinegar J. Michael, R. Ravichandran 'U.S. Investors' Perceptions of Corporate Control
in Mexico: Evidence from Sibling ADRs ' JF&QA 3/03
Pinkowitz Lee 'Research Dissemination and Impact: Evidence from Web Site Downloads'
JofF 2/02
Pinkowitz Lee, Rohan Williamson 'Bank Power & Cash Holdings:Evidence from Japan' RFS
Winter 2001
Pinkse Joris, Guofu Tan 'The Affiliation Effect in First-Price Auctions' Econometrica
1/05
Pinkse Joris, Margaret Slade, Craig Brett 'Spatial Price Competition: A Semiparametric
Approach 'Econometrica 5/02
Pinsky Mark 'A Generalized Kolmogorov Inequality for the Hilbert Transform' <PDE>
Pinsky Mark 'Eigenfunction Expansion with General Boundary Conditions' 6/2000 <PDE>
Pinsky Mark 'Introduction to Fourier Analysis and Wavelets' Brooks/Cole 2001
Pinsky Mark, Michael Taylor 'Pointwise Fourier Inversion:A Wave Equation Approach'
<fourier>
Pinsky Mark, Nancy Stanton, Peter Trapa 'Fourier Series of Radial Functions in Several
Variables' <fourier>
Piotrowski Edward, Jan Sladkowski 'Quantum games in finance' QF 12/04
Pirkner Chris, Andreas Weigend, Hans Zimmermann 'Extracting Risk-Neutral Densities
From Option Prices Using Mixture Binomial Trees (1999) Pirkner, C., A. S.
Weigend, and H. Zimmermann. In: Proceedings of the 1999 IEEE/IAFE/INFORMS
Conference on Computational Intelligence for Financial Engineering (CIFEr'99,
New York, March 1999), p. 135-158. New York, NY: IEEE.
Pirsic G. 'Software Implementation of Niederreiter-Xing Sequences' in Montel Carlo &
Quasi-Monte Carlo Methods 2000
Pirvu Traian, Kasper Larsen, Steven Shreve, Reha Tutuncu 'Satisfying Convex Risk
Limits by Trading' Bachelier Conference 2004
Pistorius Martijn 'American & Barrier Options under Stochastic Volatility & Jumps'
Pistorius Martijn 'On Exit and Ergodicity of the Spectrally One-Sided Lévy Process
Reflected at Its Infimum' Journal Theor. Prob. 1/04
Piterbarg Lenoid, Boris Rozovskii 'On Asymptotic Problems of Parameter Estimation in
Stochastic PDEs:Case of Discrete Time Sampling' <SDE> <perturbed, ML>
Piterbarg Vladimir 'A Note on Pricing Weakly-Path-Dependent America-Style Options by
Backward Induction' 10/02 <option-American>
Piterbarg Vladimir 'A Practitioner's Guide to Pricing & Hedging Callable Libor Exotics
in Forward LIBOR Models' 6/03 <term structure><Bermuda,range accural,inverse
floater,BGM>
Piterbarg Vladimir 'A Stochastic Volatility Forward LIBOR Model with a Term Structure
of Volatility Smiles' 10/03 <term structure> <Skew Calibration>
Piterbarg Vladimir 'A Stochastic Volatility Model with Time-Dependent Skew' 2004, App.
Math. Finance to be
Piterbarg Vladimir 'American Options in the Mixed Model' <option-American>
Piterbarg Vladimir 'Approximate State Density in the Cheyette Model' <term structure>
6/03
Piterbarg Vladimir 'Blended Mixed M3 Model' 2/2002 <volatility>,<option-pricing>
<smile>
Piterbarg Vladimir 'Calibrating Stochastic Volatility BGM Using Exponential
Approximation' 10/02 <term structure>
Piterbarg Vladimir 'Computing Deltas of Callable Libor Exotics in Forward Libor
Models' J.Comp. Fin. Spring 04 , <term structure><Bermuda,range accrual,
inverse float, LLM, BGM> 01/03
Piterbarg Vladimir 'Discrete vs. Continuous Time for Large Extremes of Gaussian
Processes' <stochastics> 2002? <finance, high-frequency>
Piterbarg Vladimir 'Joint Distribtuion of Max, Min & Value for a PII Process' <option-
barrier>
Piterbarg Vladimir 'Mixture of Models:A Simple Recipe for A.. Hangover ?' 4/03
<volatility> <ensemble models>
Piterbarg Vladimir 'On a Monte-Carlo with Smoothing for Discrete Barriers' 1/03
<option-barrier><Greems>
Piterbarg Vladimir 'One-Dimensional Rollback for the Multi-Factor BEEMIR' 4/98 <term
structure>
Piterbarg Vladimir 'Pricing and Hedging Callable Libor Exotics in Forward Libor
Models' J. Comp. Finance Winter 04/05
Piterbarg Vladimir 'Risk Sensitivities of Bermuda Swaptions' 7/04 IJT&AF , <option-
bermuda> 9/02
Piterbarg Vladimir 'Spectral Methods for the Integral Equations of DSG Dynamics'
<volatility><gammma>
Piterbarg Vladimir 'Stochastic Volatility Models at Bank of America:A Primer for the
SV and S4 Models' <volatility> 7/03
Piterbarg Vladimir 'Stochastic Volatility/Blended BGM:A Technical Paper' <term
structure> 6/03
Piterbarg Vladimir 'The CHEST (Cheyette with Extra State) Model for Single-Currency
Exotics:Theory & THOR Interface' 9/02 <term structure><TARN-Targeted Asset
Return Note>
Piterbarg Vladimir 'Time to Smile' RISK 5/05 <time-dependent parameters, effective
stochastic volatility estimation> <Volatility>
Piterbarg Vladimir 'Using Spectral Decomposition for Valuing Bermuda Swaptions in the
Hull-White Gamma Model> <swaptions><gamma>
Piterbarg Vladimir, A. M. Kozlov 'On Large Jumps of a Cramer Random Walk' Theory Prob.
& its Applications V47, #4
Piterbarg Vladimir, Marco Renedo 'Eurodollar Futures Convexity Adjustments in
Stochastic Volatility Models' 2/04 <volatility>
Pitman Jim, Marc Yor 'A Decomposition of Bessel Bridges' Z. Wahrscheinlichkeitstheorie
Verw. Gebeite 82
Pitman Jim, Marc Yor 'Bessel Processes & Infinitely Divisible Laws' in D. Williams
(ed) Stochastic Integrals Lecture Notes in Math. 851 Springer 81
Pitts Alan 'Correlated Defaults:Lets Go Back to the Data' RISK 6/04
Pivato Marcus 'Analytical methods for multivariate stable probability distributions'
PhD 2001 U. Toronto
Pivato Marcus, Luis Seco 'Estimating the spectral measure of a multivariate stable
distribution via spherical harmonic analysis' (2003)U. Toronto
Platania Alessandro, L.C.G. Rogers 'Putting the Hobson-Rogers model to the test' 2005?
Platen Eckhard 'A Class of Complete Benchmark Models with Intensity Based Jumps
'Journal of Applied Probability 3/2004
Platen Eckhard 'Arbitrage in Continuous Complete Markets' Bachelier conference 2002
Platen Eckhard 'Modelling the volatility and expected value of a diversified world
index' IJT&AF 7/04,Bachelier Conference 2004
Platen Eckhard, Wolfgang Runggaldier 'A Benchmark Approach to Filtering in Finance'
3/02 <portfolio>
Platte R., T. Driscoll 'Polynomial & Potential Theory for Gaussian Radial Basis
Function Interpolation' wp U. Delaware 2004
Platte R., T. Driscoll 'Stabilizing Radial Basis Function Methods for Time-Dependent
Problems' Comput. Math. Appl. to appear
Pliska Stanley 'Optimal Mortgage Refinancing with Endogenous Mortgage Rates' Bachelier
Conference 2004
Pliska Stanley, Tomasz Bielecki, Jean Philippe Chancelier, Agnes Sulem 'Risk Sensitive
Portfolio Optimization With Transaction Costs' Bachelier conference 2002
Ploberger Werner, Peter Phillips 'Empirical Limits for Time Series Econometric Models'
Econometrica 3/03
Pochart Benoit, Jean-Philippe Bouchaud 'Option Pricing & Hedging with Minimum Local
Expected Shortfall' QF 10/04 <monte carlo, fat tails>
Podobnik Boris, Plamen Ivanov, Yongki Lee, A. Chessa, H. Eugene Stanley 'Systems with
Correlations in the Variance:Generating Power Law Tails in Probability
Distributions' Econophysic Letter 2000 <distribution>
Polimenis Vassilis 'The Critical Kurtosis Value and Skewness Correction' Bachelier
Conference 2004
Pollard David 'A Users Guide to Measure Theoretic Probability' Cambridge Press 2002
Pollard Patrica 'The Creation of the Euro & the Role of the Dollar in International
Markets' FRB St. Louis Review 9/01
Polyanin Andrei 'Handbook of Exact Solutions for Ordinary Differential Equations'
Chapman & Hall/CRC Pub.
Polyanin Andrei, Valentin Zaitsev 'Handbook of Nonlinear Partial Differential
Equations' 2004 CRC Press
Polyn Gallagher 'The Quant Students' Quandary' RISK 12/01
Pons Vicente, Arturo Bris, Yrjo Koskinen 'Corporate Financial Policies and Performance
Around Currency Crises' Bachelier conference 2002
Poole William 'A Perspective on U.S. International Capital Flows' FRB St. Louis Review
Jan/Feb 04
Poole William 'A Perspective on U.S. International Trade' FRB St. Louis Review
March/April 04
Poole William 'Best Guesses & Surprises' FRB St. Louis Review May/June 04
Poole William 'FOMC Transparency' FRB St. Louis Review Jan/Feb.05
Poole William 'GSE Risks' FRB St. Louis Review March/April 2005
Poole William, Robert Rasche 'Flation'FRB St. Louis Review Nov/Dec 02
Pooley David, Kenneth Vetzal, Peter Forsyth 'Convergence Remedies for Non-Smooth
Payoffs in Option Pricing' J. Comp. Finance Summer 03
Pooley David, Peter Forsyth, Kenneth Vetzal 'Numerical Convergence Properties of
Option Pricing PDEs with Uncertain Volatility' 10/01 <option-numeric> <Crank-
Nicolson, stability>
Poon Ser-Huang, Michael Rockinger,Jonathan Tawn 'New Extreme Value Dependence Measures
& Finance Applications'
Popovici Stefan Alex 'Analysis of equilibrium financial markets in continuous time'
Bachelier Conference 2004
Popovici Stefan Alex 'Modelierung von Zinsstruktven mit Hilfe von stochastischen
partiellen Differentialgleichungen' thesis U. Bonn 2001
Porte Vincent, Elyes Jouini 'Efficient trading strategies with transactions costs'
Bachelier Conference 2004
Portmann T., P. Wegmann 'Lower Partial Moments & Value-at-Risk:A Synthesis' in
"Financial Makrets & Portfolio Management" 1999
Postel Vinay Fabien, Jean-March Robin 'Equilibrium Wage Dispersion with Worker and
Employer Heterogeneity 'Econometrica 11/02
Poterba J., S. Weisbenner 'Capital Gains Tax Rules, Tax-Loss Trading & the Turn-of-
the-Year Returns' JofF 2/2001
Poteshman Allen ‘ Unusual Option Market Activity and the Terrorist Attacks of
September 11, 2001’ JofB 7/06
Poteshman Allen 'Underreaction, Overreaction & Increasing Misreaction to Information
in the Options Market' JofF 6/2001
Poteshman Allen, Vitaly Serbin 'Clearly Irrational Financial Market Behavior: Evidence
from the Early Exercise of Exchange Traded Stock Options' JofF 2/03
Potscher Benedikt 'Lower Risk Bounds and Properties of Confidence Sets for Ill-Posed
Estimation Problems with Applications to Spectral Density and Persistence
Estimation, Unit Roots, and Estimation of Long Memory Parameters 'Econometrica
5/02
Potscher Benedikt 'Nonlinear Functions & Convergence to Brownian Motion:Beyond the
Continuous Mapping Theorem' U. Vienna 11/01
Potters Marc, Jean-Phillipe Bouchaud, Dragan Sestovic 'Hedge Your Monte Carlo' RISK
3/2001 <hedge>
Poulsen Rolf 'Exotic Options: Proofs without Formulas' CAP 2/04 <option-
numeric><reflection>
Powell M.J.D. 'The Theory of Radial Basis Function Approximation' Advances in
Numerical Analysis III, Oxford Press 92
Pozdnyakev Vladimir, J. Michael Steele 'On the Martingale Framework for Futures
Prices' SP&A 2003 <Futures><LIBOR, HJM>
Pozdnyakov Vladimir, J. Michael Steele 'A Bound on Libor Futures Prices for HJM Yield
Curve Models' 1/01 <term structure>
Pra Paolo Dai, Wolfgang Runggaldier, Marco Tolotti 'Pathwise optimality for benchmark
tracking' IEEE Trans. Automated Control 3/04
Praschnik Jack, Gregory Hayt, Armand Principato 'Calculating the Contribution'
<individaul transactions to portfolio> RISK 11/01
Prat Andrea, Aldo Rustichini 'Games Played Through Agents' Econometrica 7/03
Pratelli Maurizio, Marzia De Donno 'A Theory of stochastic integration for Bond
Markets' Bachelier Conference 2004
Prendergast Joseph 'Prediciting the Ten-Year LIBOR Swap Spread:Role & Limitations of
Rich/Cheap Analysis' J. Fixed Income 12/2000
Prendergast Joseph 'The Complexities of Mortgage Options' J. Fixed Income 3/03
<mortgage><convexity,gamma>
Press S. 'Multivariate Stable Distributions' J. Multivariate Analysis 72
Pressacco Flavio, Marcellino Gaudenzi 'Binomial Methods for Pricing American Options'
2001 lecture
Prieul David, Vladislav Putyatin, Tarek Nassar 'On Pricing & Reserving with Profits
Life Insuarnce Contracts' Applied Math. Finance 9/01
Prigent Jean-Luc 'Weak Convergence of Financial Markets' Springer-Verlag 2003
Prigent Jean-Luc 'Weak Convergence of Option Quantile Hedging Strategies' Bachelier
Conference 2004
Privault Nicolas 'Skorohod Stochastic Integration with Respect to Non-Adapted
Processes on Wiener Space' S&SR 2002
Privault Nicolas, Jean-Claude Zambrini 'Markovian Bridges & Reversible Diffusion
Processes with Jumps'Ann. de LHP Sept/Oct 04 <Levy, Markov-Berstein, Control>
Privault Nicolas, Jean-Claude Zambrini 'Markovian bridges and reversible diffusion
processes with jumps' Annales de L'Institut Henri Poincare Sept/Oct 2004
Privault Nicolas, Wim Schoutens 'Discrete Chaotic Calculus and Covariance Identities'
S&SR 2002
Prokhorov A., N. Ushakov 'On the Problem of Reconstructing a Summands Distribution by
the Distribution of Their Sum'Theory Prob. & its Application' V.46
Prokhorov Yurii, Albert Shiryaev 'Probabilty Theory:III Stochastic Calculus' Springer
98
Proske Frank 'The General Stochastic Transport Equation Driven by Space-Time Levy
White Noise' U. Oslo 2003
Prosser R., R. Cant 'A Wavelet Based Method for the Efficient Simulation of
Combustion' J. Comp. Phys. 98
Prosser R., R. Cant 'Evaluation of Nonlinear Terms Using Interpolating Wavelets' 98
CFD Dept Eng. Cambridge
Prosser R., R. Cant 'On the Representation of Derivatives Using Interpolating
Wavelets' CFD Dept. Eng. Cambridge 98 CFD
Prosser R., R. Cant 'On the Use of Wavelets in Computational Combustion' CFD Dept.
Eng. Cambridge 98
Protter Philip "Review of T. Bjork 'Arbitrage Theory in Continuous Time'" JofF 2/2000
Protter Philip, Denis Talay 'The Euler Scheme for Levy Driven Stochastic Differential
Equations' <SDE> 2001
Psychoyios Dimitris, George Skiadopoulos 'How useful are volatility options for
hedging vega risk' Bachelier Conference 2004
Psychoylos Dimitris, George Skiadopoulos 'Volatility Options:Hedging Effectiveness,
Pricing & Model Error' 7/04 <volatility>
Pugachevsky Dmitry 'Calibrating & Implementing LIBOR Based Models' <presentation
slides> <term structure> 5/96
Pugachevsky Dmitry 'Correlations in Multi-Credit Models' 2002 <credit risk>
Pugachevsky Dmitry 'Efficient Modeling of Default Correlations' Columiba U. CAP 2002
Conference
Pugachevsky Dmitry 'Forward CMS Rate Adjustment' RISK 3/2001 <bonds><convexity>
Purnanandam Amiyatosh, Bhaskaran Swaminathan 'Are IPOs Really Underpriced?' RFS Fall
04
Puterman Martin 'Markov Decision Processes' 1994 Wiley Press
Putyatin Vladyslav, David Prieul, Svetlana Maslova 'A Markovian approach to modelling
correlated defaults' <credit risk> RISK 5/05
Pykhtin Michael 'Multifactor Adjustment' <VAR, Merton> RISK 3/04
Pykhtin Michael, Ashish Dev 'Analytical Approach to Credit Risk Modelling' RISK 3/02
Pykhtin Michael, Ashish Dev 'Coarse-Grained CDOs' RISK 1/03
Pykhtin Michael, Ashish Dev 'Credit Risk in Asset Securitisations:an Analytical Model'
RISK 5/02
Qian Zhongmin, Weian Zheng 'A Representation Formula for Transition Probability
Densities of Diffusions and Applications'SP&A 5/04
Quah John 'The Law of Demand & Risk Aversion' Econometrica 3/03
Quarteroni A., A. Valli 'Numerical Approximation of Partial Differeential Equaitons'
Springer 1997
Quessette Richard 'New Products, New Risks' RISK 3/02 <hedge><equity>
Quinn Helen, Michael Witherall 'The Asymmetry between Matter and Antimater' Scientific
American 'Edge of Physics' 2003
Quintanilla Maite 'Asymptotic Expansion for Value at Risk' MS U. Toronto
Raahauge Peter 'Higher-Order Finite Element Solutions of Option Prices' 9/04 CAF
<Kink, Jump, grees, tensor bspline> <option-numeric>
Raahauge Peter 'Upper bounds on numerical approximation errors' <Bellman conditions>
9/04
Rachev Svetlozar (editor) 'Handbook of Heavy Tailed Distributions in Finance' Elsevier
Press
Rachev Svetlozar 'Handbook of Numerical Methods in Finance' Birhauser 2004
Rafailidis Avraam 'Volatility & Variance Swaps' Oxford 9/02
Rafailidis Avraam, Sam Howison, Henrik Rasmussen 'A Note on the Pricing and Hedging of
Volatility Derivatives' <volatility>
Rafter John, Martha Abell, James Braselton 'Multiple Comparison Methods for Means'
SIAM Review 6/02
Raghavan Prabhakar 'Finding Information in Networkds' SIAM News 4/04
Raible Sebastian 'Levy Processes in Finance:Theory, Numerics and Empirical Facts'
1/2000 <distribution> <Fourier, Esscher,hyperbolic distr.>
Rainer C. 'Backward Stochastic Differential Equations with Azima's' S&SR 2002
Rambaus Salvador, Cruz, Maria del Carment Vallas Martinez 'PROFIT-SHARING IN
TRANSACTIONS GOVERNED BY A SUBADDITIVE CAPITALIZATION FUNCTION' IJT&AF 1/05
Ramponi A. 'Adaptive & Monotone Spline estimation of the Cross-Sectional Term
Structure' Inter. J. Theoretical & Applied Finance 3/03
Randal John, Peter Thomson, Martin Lally 'Non-Parametric Estimation of Historical
Volatility' QF 8/04
Rannacher R. 'Finite Element Solution of Diffusion Problems with Irregular Data'
Numerishe Mathematik 43(1984)
Rao B.L.S. 'Nonparametric Inference for a Class of Stochastic Partial Differential
Equations Based on Discrete Observations' Indian J. Stats. 2002 <finance>
Rao B.L.S. 'Semimartingales & Their Statistical Inference' Chapman 99
Rao M., Z. Ren 'Theory of Orlicz Spaces' Dekker 91
Rapisarda Francesco, Damiano Brigo, Fabio Mercurio 'An Alternative Correlated Dynamics
for Multivariate Option Pricing' Bachelier conference 2002
Rapuch G., T. Roncalli 'Technical note: Dependence and two-asset options pricing' J.
Comp. Finance Summer 04
Rashes Michael 'Massively Confused Investors Making Conspicuously Ignorant Choices
(MCI-MCIC)'JofF 10/01
Rasmus Sebastian, Soren Asmussen, Magnus Wiktorsson 'Pricing of Some Exotic Options
with NIG-Levy Input' <option-pricing> <Barrier, Russian> 2/2004
Rasmussen Nicki 'Efficient Control Variates for Monte-Carlo Valuation of American
Options' 8/02 <options-American><Asian, Rainbow>
Rasmussen Nicki 'Hedging with a Misspecified Model' 1/2001
Rasonyi Miklos 'Arbitrage Pricing Theory and Risk-neutral Measures' Bachelier
conference 2002
Rasonyi Miklos, Lukasz Stettner 'On Utility Maximization in Discrete-Time Financial
Market Models' Annals of Appl. Prob. May 05
Rauhmeier Robert, Harald Scheule 'Rating properties and their implications for Basel
II capital' RISK 3/05
Rawal S., G. Rodgers 'Modeling Inflation as a Random Process' Inter. J. Theoretical &
Applied Finance 12/03
Ray Debraj, Jean-Yves Duclos, Joan Esteban 'Polarization: Concepts, Measurement,
Estimation'Econometrica 11/04
Raynes Sylvain, Ann Rutledge 'The Analysis of Structured Securities' Oxford Press 2003
Razin Ronny 'Signaling and Election Motivations in a Voting Model with Common Values
and Responsive Candidates' Econometrica 7/03
Realdon Marco, 'VALUATION OF EXCHANGEABLE CONVERTIBLE BONDS' IJT&AF 9/04
Rebonato Riccardo 'Accurate & Optimal Calibration to Co-Terminal European Swaptions in
a FRA-based BGM Framework' 4/2001 <term structure>
Rebonato Riccardo 'Model Risk:New Challenges, New Solutions' RISK 3/2001
Rebonato Riccardo 'Modern Pricing of Interest Rate Derivatives:LIBOR Market Model &
Beyond' Princeton Press 2003
Rebonato Riccardo 'Term-Structure Models:A Review' 2/03 <term structure>
Rebonato Riccardo 'The Stochastic Volatility Libor Market Model' <term structure> RISK
11/01
Rebonato Riccardo 'Which Process Gives Rise to the Observed Dependence of Swaption
Implied Volatility on the Underlying?' Inter. J. Theor. & App. Finance 6/03
<term structure><CEV>
Rebonato Riccardo, Dherminder Kainth 'A TWO-REGIME, STOCHASTIC-VOLATILITY EXTENSION OF
THE LIBOR MARKET MODEL' IJT&AF 8/2004
Rebonato Riccardo, M.T. Cardoso 'Unconstrained fitting of implied volatility surfaces
using a mixture of normals'J. Risk Fall 2004
Rebonato Riccardo, Mark Joshi 'A Joint Empirical & Theoretical Investigation of the
Models of Deformation of Swaption Matrices:Implications for Model Choice'
<Intern. J. Theor.& App. Finance 11/02 ,7/01 <swaption>
Rebonato Riccardo, Mark Joshi 'Assigning Future Smile Surfaces:Conditions for
Uniqueness & Absence of Arbitrage' 11/02 <volatility>
Rebonato Riccardo, Mark Joshi 'The Kolmogorov Project' <volatility>
<smile,replication> 5/01
Rebonato Riccardo, Teresa Cardoso 'Unconstrained Fitting of Non-Central Risk-Neutral
Densities Using a Mixture of Normals' 11/03 <volatility><calibration,jump
diffusion>
Redner Sidney 'A Guide to First-Passage Processes' Cambridge Press 2001
Reeb David, Sattar Mansi,John Allee 'Firm Internationalization & Cost of Debt
Financing:Evidence from Non-Provisional Publicity Traded Debt' JF&QA 9/01
Reghai Adil, Bernard Ergeron 'Everything is not lost ... The Model Control Variate
Methodology' Bachelier conference 2002
Reilly Frank, David Wright 'Unique Risk-Return Characteristics of High-Yield Bonds' J.
Fixed Income Sept 01
Reilly Frank, Sandra Gustavson 'Investing in Options on Stocks announcing Splits
Financial Review 85
Reiman M., A. Weiss 'Sensitivity Analysis for Simulations via Likelihood Ratios' OR 89
Reinsch C.H. 'Smoothing by Spline Functions' Numerische Mathematik 1967
Reisman Haim 'Black & Scholes Pricing & Markets with Transaction Costs:An Example'
Finance & Stochastics Oct 01
Reisman Haim 'Dynamics of Interpoled Term Structures' 11/01
Reisman Haim 'Quadratic Volatility Smiles' 5/01 <volatility> <function of moneyness>
Reisman Haim, Gady Zohar 'Instantaneous Mean-Variance Analysis of Bond Returns' J.
Fixed Income 6/04
Reisman Hiam, Gady Zohar 'Excess yields in bond hedging' RISK 12/04
<Litterman/Scheinkman, affine 3 factor, arbitrage>
Reiss Oliver, John Schoenmakers, Martin Schweizer 'Endogenous Interest Rate Dynamics
in Asset Markets' 4/01 <interest rates>

Reiss R., M. Thomas 'Statistical Analysis of Extreme Values' Birkhauser 2001

Reisz Alexander, Claudia Perlich ‘Temporal Resolution of Uncertainty and Corporate
Debt Yields: An Empirical Investigation’ JofB 3/06
Remacle Jean-Francois, Joseph Flaherty, Mark Shephard 'An Adaptive Discontinuous
Galerkin Technique with an Orthogonal Basis Applied to Compressible Flow
Problems' SIAM Review 3/03
Remacle Jean-Francois, Katia Pinchedez, Joseph Flaherty, Mark Shephard 'An Efficient
Local Time Stepping-Discontinuous Galerkin Scheme for Adaptive Transient
Computations' <PDE>
Remer Ralf, Reinhard Mahnke 'Application of the Heston and Hull–White models to german
dax data'QF 12/04
Ren J., X. Zhang 'Quasi-Sure Analysis of Two-Parameter Stochastic Differential
Equations'S&SR 2002
Renault Olivier, Olivier Scaillet 'On the way to recovery: A nonparametric bias free
estimation of recovery rate densities' Journal of Banking and Finance 12/04
Rendleman Richard 'A General Model for Hedging Swaps with Eurodollar Futures'J. Fixed
Income 6/04
Rendleman Richard 'Covered Call Writing from an Expected Utility Perspective'
J.Derivatives Spring 2001
Rendleman Richard 'Delivery Options in the Pricing and Hedging of Treasury Bond and
Note Futures' Journal of Fixed Income 9/04
Rendleman Richard 'Interpolating the Term Structure from Par Yield & Swap Curves' J.
Fixed Income 3/04
Renka R.J. 'Interpolatory Tension Splines with Automatic Selection of Tension Factors'
SIAM J. Sci.Stat. Comput 5/87
Rennie Craig ‘Governance Structure Changes and Product Market Competition: Evidence
from U.S. Electric Utility Deregulation’ JofB 9/06
Reno Roberto 'A Closer Look at the Epps Effect' Intern. J. Theoretical & Appl. Finance
2/03
Reno Roberto 'Nonparametric estimation of the diffusion coefficient via Fourier
analysis, with an application to short interest rates' Bachelier Conference 2004
Reny Philip, Shmuel Zamir 'On the Existence of Pure Strategy Monotone Equilibria in
Asymmetric First-Price Auctions ' Econometrica 7/04
Repetowicz Przemyslaw, Brian M. Lucey, Peter Richmond 'Modelling the Term Structure of
Interest Rates a la Heath-Jarrow-Morton but with Non-Gaussian Fluctuations' 8/04
Repetowicz Przemyslaw, Peter Richmond, Mark Meerschaert 'Pricing of Options on Stocks
Driven by Multidimensional Operator Stable Levy Processes' tobe IJT&AF 2005
Reppa Zoltan, Laszlo Gerencser, Gyorgy Michaletzky 'Calibration of heavy-tailed
economic time series' Bachelier conference 2002
Reschenhofer Erhard 'Robust tests of the random walk hypothesis' QF 12/04
Resnick Sidney 'Extreme Values, Regular Variation, & Point Processes' Springer 87
Reznikoff Maria, Eric Vanden-Eijnden 'Invariant measures of stochastic partial
differential equations and conditioned diffusions' C.R. Acad. Paris Sci. I Feb
2005
Rhodes-Kropf Matthew, S. Viswanathan 'Corporate Reorganizations & Non-Cash Auctions'
discussion R. Marquez JofF 8/2000
Rhodes-Kropf Matthew, S. Viswanathan 'Market Valuation and Merger Waves' JofF 12/04
Ribeiro Claudia, Nick Webber 'A Monte Carlo Method for the Normal Inverse Gaussian
Option Valuation Model Using an Inverse Gaussian Bridge'J. Comp. Fin. Winter 03
, <option-pricing> 11/20
Ribeiro Claudia, Nick Webber 'Correcting for Simulation Bias in Monte Carlo Methods to
Value Exotic Options in Models Driven by Levy Processes' 7/03 <option-numeric>
Ribeiro Claudia, Nick Webber 'Valuing Path Dependent Options in a Variance-Gamma Model
by Monte Carlo with a Gamma Bridge' J. Comp. Finance 2003 , <volatility> 2/03
Ribeiro Diana, Stewart Hodges 'A Two-Factor Model for Commodity Prices and Futures
Valuation' Bachelier Conference 2004
Rich Don 'Second Generation VaR & Risk-Adjusted Return on Capital' J. Derivatives
Summer 03
Richter Francisca, B. Wade Brorsen 'Estimating Fees for Managed Futures:A Continuous-
Time Model with a Knockout Feature' Applied Math. Finance 6/2000
Ridder Geert, Tiemen Woutersen 'The Singularity of the Information Matrix of the Mixed
Proportional Hazard Model' Econometrica 9/03
Riggs Henry 'Financial & Economic Analysis for Engineering & Technology Management'
2004 Wiley Press
Rigobon Roberto 'On the Measurement of the International Propagation of Shocks' MIT 99
Rigotti Luca, Chris Shannon 'Uncertainty and Risk in Financial Markets' Econometrica
1/05
Rincón-Zapatero Juan Pablo, Carlos Rodríguez-Palmero Existence and Uniqueness of
Solutions to the Bellman Equation in the Unbounded Case' Econometrica 9/03
Rindisbacher Marcel, Jerome Detemple, Rene Garcia 'Asymptotic Properties of Monte
Carlo Estimators of Diffusion Processes' Bachelier conference 2002
Rinott Y., V. Rotar 'Some Bounds on the Rate of Convergence in the CLT for
Martingales:II'SIAM Theor.Prob& App. v44
Ritchken Peter 'New Research on an Arbitrage Free Model of Pricing Interest Rate
Exotics' <presentation slides> <term structure> 5/96
Ritchken Peter, Rong Fan, Anurag Gupta 'Pricing and Hedging in the Swaption Market'
Bachelier conference 2002
Ritter Jay, Ivo Welch 'A Review of IPO Activity, Pricing, and Allocations' JofF 8/02
Ritter Jay, Richard Warr 'Decline of Inflation & the Bull Market of 1982-99' JF&QA
3/02
Rivero Victor 'A Law of Iterated Logarithm for Increasing Self-Similar Markov
Processes' S&SR 10/03
Rivkin Steven, Eric Hanusek, John Kain 'Teachers, Schools, and Academic Achievement'
Econometrica 3/05
Robinson R. Clark ' Dynamical Systems:Stability: Stability, Symbolic Dynamics & Chaos'
CRC Press 1998 2nd Ed
Robinson R. Clark 'An Introduction to Dynamicsl Systems' Prentice Hall 2004
Robinson Sara 'Beyond Reed-Solomon: New Codes for Internet Multicasting Drive Silicon
Valley Start-up' SIAM News May 02 <Luby Transform Codes,Tornado codes>
Robinson Sara 'Can Hard AI Problems Foil Internet Interlopers?' SIAM News 4/02
Robinson Sara 'Can Mathematical Tools Illuminate Artistic Style?' SIAM News 3/05
Robinson Sara 'Coding Theory Meets Theoretical Computer Science' SIAM News 12/01
Robinson Sara 'Computer Scientist Finds Small Memory Algorithm for Fundamental Graph
Problem' <Reingold Algorithm> SIAM News Jan/Feb 05
Robinson Sara 'Computer Scientists Find Unexpected Depts in Airfare Search Problem'
SIAM News July/Aug 2002
Robinson Sara 'Computer Scientists Optimize Innovative Ad Auction' SIAM News 4/05

Robinson Sara 'Emerging Insights on Limitations of Quantum Computing Shape Quest for
Fast Algorithms' SIAM News Jan/Feb 03
Robinson Sara 'For Google Investors, a Crash Course in the Mathematics of Bidding'
SIAM News 10/04 <Dutch, English, Vickrey-Clarke-Groves>
Robinson Sara 'Hookedon Meshing ...Triangulation' SIAM News 11/03
Robinson Sara 'How Much Can Mathcing Theory Improve the Lot of Medical Residents?'
SIAM News July/Aug 03
Robinson Sara 'How Real People Think in Strategic Games' SIAM News Jan/Feb 04
Robinson Sara 'M.C. Escher:More Mathematics than Meets the Eye' <"Print Gallery"> SIAM
News 10/02
Robinson Sara 'Master-Keyed Mechanical Locks Fall to Cryptographic Attack' SIAM News
3/03
Robinson Sara 'Math/Physics Collaboration Sheds New Light on Computational Hardness'
<k-SAT, Survey Propagation> SIAM News 5/05
Robinson Sara 'Researchers Devise Fast Deterministic Algorithm for Primality
Testing'<Manindra Agrawal> SIAM New Sept. 02
Robinson Sara 'Still Guarding Secrets after Years of Attacks, RSA Earns Accolades for
its Founders' SIAM News 6/03
Robinson Sara 'The Art of Election Polling' SIAM News 11/04
Robinson Sara 'The Ongoing Search for Efficient Web Search Algorithms' SIAM News 11/04
Robinson Sara 'The Power Grid as Complex System' SIAM News 12/03
Robinson Sara 'The Power Grid:Fertile Ground for Math Research' SIAM News 10/03
Robinson Sara 'The Price of Anarchy' <game theory> SIAM News 6/04
Robinson Sara 'The Problem with Blondes' <Nash Equilibrium>SIAM News 12/02
Robinson Sara 'Whats So Special About Voting?' <e-voting> SIAM News 3/04
Robinson Sara 'Works in Progress:Trustworthy Cryptographic Voting Systems' SIAM News
4/04
Robinson Stephen 'A Reduction Method for Variational Inequalities' 98
<Walrasian,general equil> Math.Programming <optimization>
Rocheteau Guillaume, Randall Wright 'Money in Search Equilibrium, in Competitive
Equilibrium, and in Competitive Search Equilibrium' Econometrica 1/05
Rockafellar R. Tyrrell, Stanislav Uryasev, 'Conditional value-at-risk for general loss
distributions' Journal Of Banking And Finance (26)7 (2002) <Risk>
Rodrigues De Almeida Caio Ibsen 'TIME-VARYING RISK PREMIA IN EMERGING MARKETS:
EXPLANATION BY A MULTI-FACTOR AFFINE TERM STRUCTURE MODEL' IJT&AF 11/04
Roelfsema M. 'Non-Linear Index Arbitrage' 2000 WBBM Report Delft Univ. Press
Rogers L.C.G. 'Monte Carlo Valuation of American Options' MF 7/02 , 4/2001 <option-
american>
Rogers L.C.G. 'One for All:The Potential Approach to Pricing and Hedging Options' 2004
Rogers L.C.G. 'Perpetual defaultable callable convertible bonds' Bachelier Conference
2004
Rogers L.C.G. 'The Relaxed Investor & Parameter Uncertainty' Finance and Stochastics
V5 #2 2001
Roman Steven 'Introduction to the Mathematics of Finance:From Risk Management to
Options Pricing' Springer 2004
Romano J., M. Wolf 'Subsampling Intervals in Autoregressive Models with Linear Time
Trend' Econometrica 9/01
Romanova T. 'Numerical Analysis of Piterbarg-Tyurin Procedures for Testing Homogeneity
and Independence ' Theory of Probability and It's Applications V45 #4
Romeo M., V. Da Costa, F. Bardou 'Broad Distribution Effects in Sum of Lognormal
Random Variables' 11/02 <option-basket> <Levy,light tailed>
Roncoroni Andrea 'A Trade-off Problem Arising in Financial Public Policies of
Developing Countries:Private Sector Credit Demand Incentives under Constrained
Debt Recovery Policy', ESSEC, 2001.
Roncoroni Andrea 'Change of Numeraire for Affine Arbitrage Pricing models Driven by
Multifactor Market Point Processes' 2001 <arbitrage><jump>
Roncoroni Andrea 'Infinite Dimensional Heath-Jarrow-Morton Model for the Term
Structure of Instantaneous Forward Rates: Construction, Pricing and
Calibration', Conferenza AMASES, Cosenza, 1999.
Roncoroni Andrea 'Infinite Dimensional HJM Dynamics for the Term Structure of Interest
Rates', ESSEC, 1999.
Roncoroni Andrea 'Interest Rate Modelling and Derivative Pricing' (Lecture Notes).
Université Paris Dauphine, 2000
Roncoroni Andrea 'Monte Carlo' (Lecture Notes). Master in Quantitative Finance,
Bocconi University, Milan, 2001
Roncoroni Andrea 'Principal Component Analysis for Finite and Infinite Dimensional
Dynamical Models', Courant Institute of Mathematical Sciences, 1997.
Roncoroni Andrea 'Shape-Volatility Risk Management: a New Methodology', ESSEC, 2001.
Roncoroni Andrea 'The S Option - an Alternative to the Surrender Option in Mortgage
Backed Securities', 2000.
Roncoroni Andrea, Helyette Geman 'A Class of Marked Point Processes for Modelling
Electricity Prices' Bachelier conference 2002
Roncoroni Andrea, P. Guiotto 'Theory & Calibration of HJM with Shape Factors'
'Mathematical Finance-Bachelier Conference' 2002 Springer
Roncoroni Andrea, Stefano Galluccio 'A synthetic measure of multivariate risk and its
empirical implications for portfolio risk management' Bachelier Conference 2004
Roncoroni Andrea, Stefano Galluccio, Steven Hutt 'Interest Rate and Credit
Derivatives'
Ronn Ehud, James Doran 'On the Market Price of Volatility' Bachelier Conference 2004
Ronn Ehud, Sergey Kolos 'Estimating the Commodity Market Price of Risk for Energy
Prices' Bachelier Conference 2004
Roorda Berend, Jacob Engwerda, Hans Schumacher 'Coherent Risk Minimization of
Derivatives in Multiperiod Models ' Bachelier conference 2002
Roos B. 'Multinomial & Krawtchouk Approximations to the Generalized Multinomial
Distribution' Theory Prob App. V46 #1 <Distributions>
Roos H.G., M. Stynes, L. Tobiska 'Numerical Methods for Singualrly Perturbed
Differential Equations:Continuous-Diffusion & Flow Problems' Springer 1996
Rosa-Clot Marco, S. Taddei 'A Path Integral Approach to Derivative Security Pricing
II:Numerical Methods' Inter. J. Theo. & Applied Finance 3/02 <SDE>
Rosenberg Joshua 'Non-Parametric Pricing of Multivariate Contingent Claims' J.
Derivatives Spring 2003 <option-pricing>
Rosenblatt M. 'A Central Limit Theorem & a Strong Mixing Condition' Proc. National
Academy Science 56
Rosinski Jan 'On a Class of Infinitely Divisble Processes Represented as Mixtures of
Gaussian Processes' in Taqqu 'Stable Processes & Related Topics' 91
Rosinski Jan 'Series Representations of Levy Processes from the Perspective of Point
Processes' in Barndorff-Nielsen 'Levy Processes-Theory & Application' 01
Rosinski Jan 'Stochastic Integral Representation of Stable Processes with Sample Paths
in Banach Spaces' J. Multivariate Analysis 86
Rosinski Jan, W. Woyczynski 'On Ito Stochastic Integration with Respect to p-Stable
Motion;Inner Clock, Integrability of Sample Paths, Double & Multiple
Integrals'Ann. Prob. 86
Ross Stephen 'Compensation, Incentives & the Duality of Risk Aversion & Riskiness'
JofF 2/04
Ross Stephen 'Neoclassical Finance' Princeton Press 12/04
Ross Steven 'A Simple Approach to Valuation of Risky Streams' J. Business 78
Ross Steven 'Comment on the Modigliani-Miller Propositions' J. Econ. Pers. Fall 88
<portfolio>
Ross Steven 'Options & Efficiency' Quart. J. Econ. 76
Rossi A. 'The Britten-Jones & Neuberger Smile-Consistent with Stochastic Volatility
Option Pricing Model:Further Analysis' Intern. J. Theor. & Applied Finance 2/02
<volatility>
Roth Alvin 'The Economist as Engineer:Game Theory, Experimentation & Computation as
Tools for Design Economics' Econometrica 7/02
Roth Benedict 'Pricing Collateralised Lending Risk' RISK 1/04
Roukes Michael 'Nanophysics:Plenty of Room, Indeed' Scientific American 'Edge of
Physics' 2003
Rousseau Peter 'Historical Perspectives on Finanical Development & Economic Growth'
Review FRB St. Louis July/Aug 03
Roux Alet, Tomasz Zastawniak 'A Note on Melnikov-Petrachenko Option Pricing in
Binomial Market with Transaction Costs' 2/05 SSRN
Rowe David 'Hedge Fund Risk & VAR Uncertainty' RISK 4/02
Rowe David 'Role of Correlation' <default probabilities> RISK 1/03
Royer Manuela 'BSDEs with Random Terminal Time Driven by a Monotone Generator and
their Link with PDEs' S&SR 12/04
Rozanov Y. 'Introduction to Random Processes' Springer 87
Rozanov Y., F. Sanso 'On the Stochastic Versions of Neumann and Oblique Derivative
problems'S&SR 2002
Rozovskii Boris 'Stochastic Evolution Systems:Linear Theory & Applications to Non-
Linear Filtering' Kluwer 1990
Rozovsky Leonid 'A Remark on the Kolmogorov Law of the Iterated Logarithm 'Theory
Prob. & its Application' V. 47
Rozovsky Leonid 'On a Feller Theorem' SIAM Theor.Prob& App. v44
Rubenthaler Sylvain 'Numerical Simulation of the Solution of a Stochastic Differential
Equation Driven by a Levy process'SP&A 2/03 <SDE><Euler,Limit Theorems,jumps>
Rubenthaler Sylvain, Magnus Wiktorsson 'Improved Convergence for the Simulation of
Stochastic Differential Equations Driven by Subordinated Levy Processes'SP&A to
appear , 2/03 <SDE>
Rubinstein Mark 'Derivatives Performance Attribution' JF&QA 3/2001
Rubinstein Mark 'Markowitz's "Portfolio Selection" A Fifty-Year Retrospective' JofF
6/02
Rubinstein R. 'Sensitivity Analysis & Performance Extrapolation for Computer
Simulation Models' OR 89
Rubinstein R., A. Shapiro 'Discrete Event Systems:Sensitivity Analysis & Stochastic
Optimization' Wiley 1993
Ruckes Martin 'Bank Competition and Credit Standards' RFS Winter 04
Rudnick Joseph, George Gaspari 'Elements of the Random Walk:Intro. for Advanced
Students & Engineers' Cambridge Press 04
Rudolph B., K. Scafer 'Derivative Finanzmarktinstrumente · Eine anwendungsbezogene
Einführung in Märkte, Strategien und Bewertung' Springer 11/04
Runggaldier Wolfgang, Paolo Dai Pra, Marco Tolotti 'Pathwise optimality for benchmark
tracking' Bachelier Conference 2004
Rupf I., Jeff Dewynne, Sam Howison, Paul Wilmott 'Some Mathematical Results in the
Pricing of American Options' Euro J. Appl. Math 93
Rust John, Joseph Traub, Henryk Wozniakowski 'Is There a Curse of Dimensionality for
Contraction Fixed Points in the Worst Case?' Econometrica Jan 02
Ruszczynski Andrezej, Robert Vanderbei 'Frontiers of Stochastically Nondominated
Portfolios' Econometrica 9/03
Rutkowski Marek 'First Passage Time Structural Models with Interest Rate Risk' 2003
<credit risk><firm value,Black, Scholes, Merton, Cox>
Rutkowski Marek, Tomasz Bielecki 'Dependent Defaults and Credit Migrations' Bachelier
conference 2002
Ryabinin A. 'On Characteristic Functions of Probability Distributions of Sums with
Random Permutations of Signs' Theory of Probability and It's Applications V45 #4
Ryan Peter 'Tighter Option Bounds from Multiple Exercise Prices' R. Deriv. Research V4
#2 2000
Rybakov A. 'On the Asymptotic Optimality of the Bayesian Decision Rule in the Problem
of Multiple Classification of Hypotheses' Theory of Probability and It's
Applications V45 #4
Rydberg Tina 'The Normal Inverse Gaussian Levy Process:Simulation & Approximations'
Comm. in Stats.:Stochastic Models 1997
'SA Scientific American
Saad Yousef 'Interactive Methods for Spare Linear Systems' 2nd ed. 2003 SIAM press
Saar Gideon 'Pricing Impact Asymmetry of Block Trades:Instituional Trading
Explanation' RFS Winter 2001
Saari Donald 'Chaotic Elections:A Mathematician Looks at Voting' AMS 01 reviewd --->
SIAM News Jan/Feb 02
Saavedra Patricia, Begoña Fernández 'Valuation and Optimal Exercise Time for the
Banxico Put Option' Bachelier conference 2002
Sabanis Sotirios 'Stochastic Volatility & the Mean Reverting Process' J.Futures
Markets 1/03 <volatility>
Sabanis Sotirios 'Stochastic Volatility' Int. J. Theor.& Applied Fiannce 8/2002
<volatility><Hull-White,change of measure>
Sachdev P.L. 'Self-Similarity & Beyond:Exact Solutions of Nonlinear Problems' 2001
Chapman & Hall/CRC Pub.
Sack Brian, Roberto Perli 'Does Mortgage Hedging Amplify Movements in Long-Term
Interest Rates?'J. Fixed Income 12/03
Sadeghi Ali, Ali Lari-Lavassani 'A Stochastic Approximation Method for Pricing
American Options' 2000
Sadjadi S.J., M.B. Aryanezhad, B.F. Moghaddam 'A dynamic programming approach to solve
efficient frontier'Math. of OR 10/04
Sadowsky J. 'On the Optimality & Stability of Exponential Twistings in Monte Carlo
Estimation' IEEE Trans. Info. Theory 93
Sagi Jacob, Mark Seasholes 'Firm-Level Momentum: Theory and Evidence'
Sahay Anupam, Ashish Dev 'A Forward-Looking Adjustment for OP Risk Quantification'
RISK 4/05
Samorodnitsky Gennady, Mircea Grigoriu 'Tails of Solutions of Certain Nonlinear
Stochastic Differential Equations Driven by Heavy Tailed Levy Motions' SP&A 5/03
Samorodnitsky Gennady, Murad Taqqu 'Stable Non-Gausssian Random Processes:Stochastic
Models with Infinite Variance' Chapman 94
Samuelson Paul 'Lifetime Portfolio Selection by Dynamic Stochastic Programming'
R.Econ.Stats 69
Sancetta Alessio, Steven Satchell 'Bernstein Approximation to the Copula Function &
Portfolio Optimization' 2001
Sancetta Alessio, Steven Satchell 'Calculating hedge fund risk: the draw down and the
maximum draw down'App. Math. Fin. 9/04
Sandås Patrik 'Adverse Selection and Competitive Market Making: Empirical Evidence
from a Limit Order Market' RFS 2001
Sanfelici Simona, Maria Elvira Mancino, Shigeyoshi Ogawa 'A numerical study of the
smile effect in implied volatilities induced by a nonlinear feedback model'
Bachelier Conference 2004
Sanfilippo Gilles 'Stocks, Bonds & the Investment Horizon:A Test of Time
Diversification on the French Market' QF 2003
Sangvinatsos Antonios, Jessica Wachter 'Does the Failure of the Expectations
Hypothesis Matter for Long-Term Investors?' JofF 2/05
Santa Clara P., Didier Sornette 'Stochastic String Shocks' UCLA 98
Sanz-Sole Marta, Monica Sarra 'Path Properties of a Class of Gaussian Processes with
Applications to SPDE's' Canadanian Math. Society <SDE>
Sapienza Paola 'The Effects of Banking Mergers on Loan Contracts' JofF 2/02
Sapiro Guillermo 'Image Inpainting' SIAM News May 02
Sapp Stephen 'Price Leadership in the Spot Foreign Exchange Market' JF&QA 9/02
Sapp Travis, Ashish Tiwari 'Does Stock Return Momentum Explain the "Smart Money"
Effect?' JofF 12/04
Sarkar S. 'Probability of Call & Likelihood of the Call Feature in a Corporate Bond'
J.Banking & Finance 3/2001
Sarkissian Sergei 'Incomplete Consumption Risk Sharing and Currency Risk Premiums' RFS
Fall 03
Sarkissian Sergei, Michael J. Schill 'The Overseas Listing Decision: New Evidence of
Proximity Preference' RFS Fall 04
Sarno Lucio 'Toward a New Paradigm in Open Economy Modeling:Where do We Stand?' Review
FRB St.Louis May/June 2001
Sarno Lucio, Daniel Thornton 'The Efficient Market Hypothesis & Identification in
Structural VARs' FRB St. Louis Review Jan/Feb 04
Sass J., Ulrich Haussmann 'Optimizing the terminal wealth under partial information:
the drift process as a continuous time markov chain' F&S 10/04
Satchell Stephen, Alan Scowcroff (ed) 'Advances in Portfolio Construction &
Implementation' Butterworth/Heinemann 2003
Sato Ken 'Levy Processes & Infinitely Divisible Distributions' Cambridge 99
Sato Ken, Toshiro Watanabe 'Moments of Last Exit Times for Levy Processes' Ann. de
l'Inst. H. Poincare 2004
Satterthwaite Mark, Steven Williams 'The Optimality of a Simple Market Mechanism
'Econometrica 9/02
Saunders David 'Applications of Optimization to Mathematical Finance' MS U. Toronto
Saunders David 'Mathematical Problems in the Theory of Incomplete Markets' PhD 2001 U.
Toronto
Savickas Robert, Arthur Wilson 'On Inferring the Direction of Option Trades' JF&QA
12/03
Savine Antoine 'A Theory of Volatility' BNP-Paribas <volatility> <Dupire, Focker-
Planck,stochastic volatility>
Sawaki Katsushige, Susumu Seko 'The Valuation of Callable Contingent Claims with
Applications' Bachelier Conference 2004
Sawyer K.R., A. Gygax 'Testing the Bounding Conditions of Arbitrage Pricing'
<arbitrage> 2/1/2001
Sayah A. 'Equations d'Hamilton, 'Jacobi du Premier Order avec Termes Integro-
Differentels: Parties I,II' Comm. Partial Diff. Equ. 1991
Sbaraglia S., M. Papi, M. Briani, M. Bernaschi, F. Gozzi 'A Model for the Optimal
Asset-Liability Management for Insurance Companies' Intern. J. Theoetical &
Applied Finance 5/03
Sbuelz Alessandro 'Analytic American Option Pricing: The Flat-Barrier Lower Bound'
Bachelier Conference 2004
Sbuelz Alessandro 'Analytical American Option Pricing: The Flat-barrier Lower Bound'
Economic Notes, Vol. 33, November 2004
Sbuelz Alessandro 'Hedging Double Barriers with Singles' U. Tilburg 4/2001 <option-
barrier>
Scagnellato C., T. Vargiolu 'Shortfall Risk Minimization in Multinomial Models' 2001
lecture
Scaillet Olivier, Michel Denuit 'Nonparametric tests for positive quadrant dependence'
Bachelier conference 2002
Scalas Enrico, Rudolf Gorenflo, Hugh Luckock, Francesco Mainardi, Maurizio Mantelli,
Marco Raberto 'Anomalous waiting times in high-frequency financial data' QF
12/04
Scandolo Giacomo 'Risk measures and capital requirements for processes' Bachelier
Conference 2004
Schaback R. 'On the Efficiency of Interpolation by Radial Basis Functions' in Surface
Fitting & Multiresolution Methods. Vanderbilt Press 97
Schachermayer Walter 'A NOTE ON ARBITRAGE AND CLOSED CONVEX CONES' Mathematical
Finance vol 15, #1 1/05
Schachermayer Walter 'The Fundamental Theorem of Asset Pricing under Proportional
Transaction Costs in Finite Discrete Time' 11/02 <asset pricing> <FX> <
Schachermayer Walter 'Utility Maximisation in Incomplete Markets' in Stochastic
Methods in Finance Springer-Verlag July 03 conference
Schaden Martin 'Quantum Finance' 3/02 <portfolio> <Hamiltonian, Hilbert>
Schal Manfred 'Markov Decision Processes in Finance & Dynamic Options' <markov> 5/2000
Schellhorn Henri 'Efficient Credit Risk Simulation by Optimal Mean-Reversion
Adjustment' 10/02
Schenk-Hoppe Klaus Reiner, Igor Evstigneev, Thorsten Hens 'Evolutionary Stable Stock
Markets' Bachelier Conference 2004
Schenk-Hoppé Klaus Reiner, Thorsten Hens 'Evolution of Portfolio Rules in Incomplete
Markets' Bachelier conference 2002
Schenone Carola 'The Effect of Banking Relationships on the Firm's IPO Underpricing'
JofF 12/04
Scherer K., Marco Avellaneda 'All for One..One for All? A Principal Component Analysis
of Lain American Brady Bond Data from 1994 to 2000' Intern. J. Theor. & Applied
Finance 2/02
Schertzer D., S. Lovejoy 'Scaling & Multifractal Process' Noninear Variability in
Geophysics 93
Schied Alexander 'Optimal investments for robust utility functionals' Bachelier
Conference 2004
Schieeser W. 'The Numerical Method of Lines' Academic Press 91
Schilling Holger 'No-Arbitrage Bounds & Static Hedging of Compound Options' 8/01
<option-compound>
Schlag Christian, Nicole Branger, Angelika Esser 'Attainablity of European Path-
Independent Claims in Incomplete Markets' <option-euro> 11/02
Schlogl Erik 'A Multicurrency Extention of the Lognormal Interest Rate Market Models'
Finance and Stochastics 4/02 <interest rate>
Schlogl Erik 'Arbitrage-Free Interpolation in Models of Market Observable Interest
Rates' Bachelier conference 2002
Schlogl Erik 'Some Remarks on Arbitrage Free Term Structure Interpolation in the
Lognormal Interest Rate Market Models' U. Tech. Sydney 99
Schlogl Erik, Lutz Schlogl 'A Square Root Inteest Rate Model Fitting Discrete Initial
Term Structure Data' App. Math Finance9/2000 <term structure><CIR>
Schlottman Frank, Detlef Seese 'Modern Heuristics for Finance Problems: A Survey of
Selected Methods and Applications' in 'Handbook of Numerical Methods in Finance'
ed S. Rachev
Schmeiser B., M. Taaffe, J. Wang 'Biased Control-Variate Estimation' IIE Transactions
2001
Schmid Bernd 'Pricing Credit Linked Financial Instruments:Theory and Empirical
Evidence' Springer 2002
Schmid Frank 'Equity Financing of the Entrepreneurial Firm' Review FRB St. Louis
Nov/Dec 01
Schmid Frank 'Stock Return & Interest Rate Risk at Fannie Mae & Freddie Mac' FRB FRB
St. Louis Review Jan/Feb.05
Schmid Frank 'Voting Rigths, Private Benefits & Takeovers ' Review St. Louis FRB Jan
02
Schmidli Hanspeter 'Distribution of the First Ladder Height of a Stationary Risk
Process Perturbed by alpha-Stable Levy Motion' Insurance:Math & Econ. 2/2001
<risk>
Schmidt Anatoly 'Quantitative Finance for Physicists:An Introduction' Academic Press
12/04
Schmidt Klaus 'Convertible Securities and Venture Capital Finance'JofF 6/03
Schmidt Thorsten 'Credit Risk in a Random Field Context' Bachelier conference 2002
Schmidt Thorsten 'Infinite Factor Model for Credit Risk' Bachelier Conference 2004
Schnitzlein Charles 'Price Formation and Market Quality When the Number and Presence
of Insiders Is Unknown ' RFS Fall 2002
Schnitzlein Charles, Cyriel de Jong, Kees Koedjik ‘Stock Market Quality in the
Presence of a Traded Option’ Analysis’ JofB 11/06
Schoar Antoinette 'Effects of Corporate Diversification on Productivity'JofF 12/02
Schoenbucher Philipp 'A Measure of Survival' RISK 8/04 <credit, CDS>
Schoenbucher Philipp 'A Tree Implementation of a Credit Spread Model for Credit
Derivatives' J. Comp. Finance Winter 02/03
Schoenbucher Philipp 'Information-Driven Default Contagion' Bachelier Conference 2004
Schoenbucher Philipp 'Taken to the Limit:Simple & Not-So.Simple Loan Loss
Distributions' wp U. Bonn 2002
Schoenbucher Philipp, D. Schubert 'Copula-Dependent Default Risk in Intensity Models'
wp U. Bonn 2001
Schoenbucher Philipp, Dirk Schubert 'Copula-Dependent Default Risk in Intensity
Models'Bachelier conference 2002
Schoenbucher Philipp, Paul Wilmott 'The Feedback Effect of Hedging in Illiquid
Markets' SIAM J. 'App. Math V61 #1 2000 <hedging>
Schoenmakers John 'Calibration of LIBOR Models to Caps & Swaptions:A Way Around
Intrinsic Instabilities via Parsimonious Structures & Collateral Market
Criterion' 4/02 <term structure>
Schoenmakers John, Brian Coffey 'Systematic Generation of Parametric Correlation
Structures for the LIBOR Market Model' Inter. J. Theor. & Appl. Finance 8/03
Schoenmakers John, Oliver Reed, Martin Schweizer 'Endogenous interest rate dynamics in
asset markets' Bachelier conference 2002
Scholz R. 'Numerical Solution of the Obstacle Problem by a Penalty Method:Part ii,
Time Dependent Problems'Num. Math 86
Schoutens Wim 'Levy Processes in Finance:Pricing Financial Derivatives' Wiley
Publisher 4/2003
Schoutens Wim 'Meixner Processes in Finance' 6/01 <option-pricing> <Levy,
distribution>
Schoutens Wim 'Moment Swaps' 1/05 <variance swaps>
Schoutens Wim 'The Meixner Process:Theory & Applications in Finance' EURANDOM Report
2002
Schoutens Wim, Erwin Simons, Jurgen Tistaert 'A Perfect Calibration ! Now What ?
'Wilmott Magazine 2004 <Heston, Stochastic Volatility>
Schoutens Wim, Jozef Teugels 'Levy Processes, Polynomials & Martingales' Comm. in
Stats:Stochastic Models 1998
Schoutens Wim, Stijn Symens 'The Pricing of Exotic Options by Monte-Carlo Simulaitons
in a Levy Market with Stochastic Volatility' Inter. J. Theoretical & Applied
Finance 12/03 , 2003 <option-exotic>
Schrager David, Antoon Pelsser 'Pricing Swaptions and Coupon Bond Options in Affine
Term Structure Models' 10/04
Schroder Mark 'An Envelope Theorem for Optimal Stopping Times & Derivatives of
American Option Prices' <option-American> SUNY Buffalo 95
Schroder Mark 'Risk-Neutral Parameter Shifts and Derivatives Pricing in Discrete
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Schroder Mark, Costis Skiadas 'An Isomorphism Between Asset Pricing Models With and
Without Linear Habit Formation ' RFS Fall 2002 <transaction cost>
Schroder Mark, Costis Skiadas 'Lifetime consumption-portfolio choice under trading
constraints, recursive preferences, and nontradeable income' SP&A 1/05
Schroder Mark, Costis Skiadas 'Optimal Lifetime Consumption-Portfolio Strategies in
Incomplete Markets under Homothetic Recursive Preferences' Bachelier conference
2002
Schroder Mark, Costis Skiadas 'Optimal Lifetime Consumption-Portfolio Strategies under
Trading Constraints & Generalized Recursive Preferences' SP&A 12/03
Schroder Mark, Costis Skiadas 'Optimality, State Pricing and Quasiarbitrage in
Constrained Financial Markets with Continuous and Discontinuous Information'
SSRN 4/05
Schroeder Michael 'Analytical Ramifications of Derivatives Valuation:Asian Options &
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Schroeder Michael 'Brownian Excursions & Parisian Barrier Options:A Note' J. Applied
Prob. 12/03 , 2002 <option-Barrier><Laplace>
Schroeder Michael 'Fact & Fantasy in Recent Applications of Transform Methods to the
Valuation of Exotic Options' 99
Schroeder Michael 'On the Valuation of Arithmetic-Average Asian Options:Explicit
Formulas' U. Mannheim 99
Schroeder Michael 'On the Valuation of Paris Options:First Standard Case'11/99
Schroeder Michael 'On the Valuation of Paris Options:Second Standard Case' 5/2000
Schroeder Michael 'Some Recent Developments in Valuing Asian Options:A Survey of
Methods' 5/01 <option-Asian>
Schroeder Michael, Peter Carr 'The Laplace Transform Approach to Valuing Exotic
Options: the Case of the Asian Option' Bachelier conference 2002
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Schuermann Til, Yusuf Jafry 'Measurement & Estimation of Credit Migration Matrices'
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Schultz Paul 'Corporate Bond Trading Costs: A Peek Behind the Curtain' JofF 4/2001
Schultz Paul 'Pseudo Market Timing and the Long-Run Underperformance of IPOs' JofF
4/03
Schultze Wolfgang 'VALUATION, TAX SHIELDS AND THE COST-OF-CAPITAL WITH PERSONAL
TAXES:: A FRAMEWORK FOR INCORPORATING TAXES' IJT&AF 9/04
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Schweizer Martin 'From Actuarial to Financial Valuation Principles' Insurance:Math &
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Schweizer Martin 'Measuring risks and valuing options' Bachelier Conference 2004
Schweizer Martin 'On Bermudan Options' in K. Sandmann, P. Schoenbucher (ed) 'Advances
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partial information' Bachelier conference 2002
Sekine Jun 'Dynamic Minimization of Worst Conditional Expectation of Shortfall' MF
10/04
Sekine Jun 'On Superhedging under Delta Constraints' App. Math. Finance 6/02
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Selmi Farhat, Jean-Philippe Bouchaud 'Hedging Large Risks Reduces the Transaction
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Logarithm' J. Theor. Prob. 10/01
Sepp Artur 'ANALYTICAL PRICING OF DOUBLE-BARRIER OPTIONS UNDER A DOUBLE-EXPONENTIAL
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Sepp Artur 'Analytical Pricing of Lookback Options under a Double-Exponential Jump-
Diffusion Process' <option-lookback><Laplace,volatility smile>
Sepp Artur 'Analytical Pricing of Path-Dependent Options under Jump-Diffusion
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Sepp Artur 'Finite-Difference Method:Theta Scheme' 8/032 <option-numeric>
Sepp Artur 'Fourier Inversion Methods for Option Pricing under Jump-Diffusion
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Sepp Artur 'Modeling of Credit Default Spreads with Jump-Diffusion Processes' 4/03
<credit risk>
Sepp Artur 'Modeling Volatility Smiles via Jump-Diffusion Stochastic Volatility & Levy
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Sepp Artur 'Numerical Implementation of Hull-White Interest Rate Model:Hull-White Tree
vrs Finite Differences'<term structure> 4/02
Sepp Artur 'Pricing Barrier Options under Local Volatility' 11/02 <option-barrier>
Sepp Artur 'Pricing Double-Barrier Options under a Double-Exponential Jump-Diffusion
Process:Applications of Laplace Transform' 5/03<option-Barrier>
Sepp Artur 'Pricing European-Style Options under Jump-Diffusion Stochastic Volatility
& Levy Processes:Application of Fourier Transform' 6/03<option-European>
Sepp Artur 'Pricing Lookback Options under a Double-Exponential Jump-Diffusion
Process' 7/03<option-Lookback> >
Sepp Artur 'The Joint Distribution of Maximum, Minimum & Terminal Value for a Double-
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Seydel Rudiger 'Tools for Computational Finance' 2004 2nd (ed) Springer Verlag
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Sfiridis James, Alan Gelfand 'A Surve of Sampling-Based Bayesian Analysis of Financial
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Shackleton Mark, Rafal Wojakowski 'Flow Options:Continuous Real Cap & Floors' 2/02
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sensitive control problem associated to an optimal investment model' Bachelier
conference 2002
Shevchenko Pavel 'Addressing the Bias in Monte Carlo Pricing of Multi-Asset Options
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Shim Gyoocheol, Hyeng Keun Koo, Sung Sub Choi, Thaleia Zariphopoulou 'A Wealth-
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Bachelier conference 2002
Shin Hyun 'Disclosures and Asset Returns 'Econometric 1/03
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Branching Process' Theory of Probability and It's Applications V45 #4
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Silvapulle P., C. Granger 'Large Returns, Conditional Portfolio Diversification:Value-
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2004
Sílvia Gonçalves, Massimo Guidolin ‘Predictable Dynamics in the S&P 500 Index Options
Implied Volatility Surface’ JofB 7/06
Simaan Yusif, Daniel Weaver, David Whitcomb 'Market Maker Quotation Behavior and
Pretrade Transparency'JofF 6/03
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Simon David, Donna Fletcher 'Sentiment, Positioning and Bond Returns:Evidence from the
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Simon Leo, Jeroen Swinkels, William Zame, Matthew Jackson 'Corrigendum to
"Communication and Equilibrium in Discontinuous Games of Incomplete
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Simon Steven 'Bermudan Guaranteed Return Contracts: Analysis and Valuation' Bachelier
Conference 2004
Simon Steven, Marc Goovaerts, Jan Dhaene 'An Easy Computable Upper Bound for the Price
of an Arithmetic Asian Option' Insur. Math Econ. 2000
Simoncini Valeria, Daniel Szyld 'On the Occurrence of Superlinear Convergence of Exact
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U. CAP 2002 Conference
Sin Carlos 'Strictly Local Martingales & Hedge Ratios on Stochastic Volatility Models'
PhD Cornell 96
Singal Vijay 'Beyond the Random Walk' Oxford Press 2003
Singh Surbjeet, L.C.G. Rogers 'The Merton Problem in an Illiquid Financial Market'
Bachelier Conference 2004
Singleton Kenneth, Len Umantsev 'Pricing Coupon-Bond Options and Swaptions in Affine
Term Structure Models 'MF Oct/02 <term structure>
Singleton Kenneth, Qiang Dai 'The Market Prices of Risks in Fixed Income Markets'
Bachelier conference 2002
Siokis Fotios, Chris Christodoulou 'LONG MEMORY AND PERSISTENCE IN DOLLAR-BASED REAL
EXCHANGE RATES 'IJT&AF 2/04
Sirbu Mihai, Igor Pikousky, Steven Shreve 'Perpetual Convertible Bonds' SIAM J.
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Sirbu Mihai, Steven Shreve 'A Two-Person Game for Pricing Convertible Bonds' 4/05
Sircar Ronnie, Thaleia Zariphopoulou 'Bounds & Asymptotic Approximations for Utility
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Siu Tak Kuen, Hailiang Yang 'A PDE Approach to Risk Measures of Derivatives' App. Math
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Siu Tak Kuen, Howell Tong, Hailiang Yang 'On Pricing Derivatives under GARCH Models:A
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Skachkov Igor 'Black-Scholes Equation in Laplace Transform Domain' 3/02 <option-
pricing>
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Theor. & Applied Finance 6/2001
Skiadopoulos George, Nikolaos Panigirtzoglou 'A New Approach to Modeling The Dynamics
of Implied Distributions: Evidence and Theory from the S&P 500 Options'
Bachelier conference 2002
Skiadopoulos George, Nikolaos Panigirtzoglou 'The Dynamics of Implied Distributions'
Bachelier conference 2002
Skinner Frank, Antonio Diaz 'The Critical Parameters' <binomial, credit risk> RISK
3/2001
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Skouras Spyros 'Decisionmetrics: A decision based approach to econometric modelling'
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Skufca Joseph 'Analysis Still Matters: A Surprising Instance of Failure of Runge--
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Smith Brian, Alasdair Turnbull, Robert White 'Upstairs Market for Principal and Agency
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Sobehard Jorge, Sean Keenan 'Default Predciton:Need for Hybrid Models' RISK 2/02
Sobehart Jorge, Ricardo Farengo 'Fat-Tailed Bulls & Bears' <behavioural finance> RISK
12/02
Sobehart Jorge, Sean Keenan 'A Paradox of Intution:Hedgin the Limit or Hedging in the
Limit?' Inter. J. Theoretical & App. Finance 11/02
Sobehart Jorge, Sean Keenan 'Measuring Default Accurately' RISK 3/2001
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Song Seongjoo 'Asymptotic Option Pricing under a Pure Jump Process' Bachelier
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Song Wei-Ling 'Competition and Coalition among Underwriters: The Decision to Join a
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Staum Jeremy 'Our Hull-White Interest Rate Model' <term structure> 1/2000
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Stojanovic Srdjan 'Optimal portfolio series formula under dynamic appreciation rate
uncertainty' J. Comp. Finance Winter 04/05
Stojanovic Srdjan 'Risk Premium & Fair Option Prices under Stochastic Voltility:the
HARA Solution' C.R. Acad. Sci. Paris Ser 1340 (2005) <volatility>
Stoll Hans 'Frictions' JofF 8/2000
Stone Charles, Anne Zissu 'Synthetic Collateralized Loan Obligations:Olan Enterprises,
PLC' J. of Derivatives Spring 2002
Stopple Jeffrey 'A Primer of Analytical Number Theory:From Pythagoras to Riemann' 2003
Cambridge Press
Stoyanov Stoyan, Borjana Racheva-Jotova 'Numerical Methods for Stable Modeling in
Financial Risk Management' in 'Handbook of Numerical Methods in Finance' ed S.
Rachev
Stradi Benito, Emmanuel Haven 'OPTIMAL INVESTMENT STRATEGY VIA INTERVAL ARITHMETIC'
IJT&AF 3/05
Strahan Philip 'The Real Effects of U.S. Banking Deregulation' Review FRB St. Louis
July/Aug 03
Strang Gilbert, Tri Nguyen 'The Interplay of Ranks of Submatrices'SIAM Review 12/04
Stricker Christope, Yuri Kabanov 'Exponential Utility Maximization' Bachelier
conference 2002
Strikwerda John 'Finite Difference Schemes & Partial Differential Equations' 2nd ed.
2004 SIAM press
Stroock Daniel 'Markov Processes from K. Ito's Perspective' Princeton Press 2003
Stroock Daniel, Srinivasa Varadhan 'Multidimensional Diffusion Proceses' Springer 79
Struzik Zbigniew 'Taking the Pulse of the Economy' QF Aug. 2003
Studer M. 'Stochastic Taylor Expansions & Saddlepoint Approximations for Risk
Mangement' PhD ETH 2001
Stummer Wolfgang 'Decision Risk Reductions for Stock Indices' Bachelier conference
2002
Stummer Wolfgang 'Exponential Diffusions, Finance, Entropy & Information' Springer
2004/2005
Stummer Wolfgang, Igor Vajda 'Optimal Statistical Decisions About Some Alternative
Financial Models' Bachelier Conference 2004
Stutzer Michael 'Endogenous Risk Aversion and Ockham's Razor' Bachelier Conference
2004
Stutzer Michael 'Portfolio Choice with Endogenous Utility: a Large Deviations
Approach' J. Econometric Aug 2003
Subrahmanyam Avanidhar, Sheridan Titman 'Feedback from Stock Prices to Cash Flows'
JofF 12/01
Subramanian Ajay 'European Option Pricing with General Transaction Costs & Short
Selling Constraints'Stochastic Models 2001
Subramanian Ajay 'Option Pricing on Stocks in Mergers and Acquisitions' JofF 4/04
Subramanian Ajay, Ping Hu, Jayant Kale 'A Bayesian Learning Model of Risk Taking by
Fund Managers' Bachelier Conference 2004
Subramanian Ajay, Robert Jarrow 'The Liquidity Discount' MF 10/01
Subramanian K. V. 'Term Structure Estimation in Illiquid Markets' J. Fixed Income
6/2001 <splines>
Suchanecki Michael 'On an Alternative Approach to Pricing General Barrier Options'
Bachelier Conference 2004
Sudler Glenn 'Asian Options:Inverse Laplace Transforms & Martingale Methods Revisted'
7/99 <option-Asian>
Sumbatyan M.A., Antonio Scalia 'Equations of Mathematical Diffraction Theory' Jan.05
CRC Press
Sun W., G. Yuan 'Stability Condition for Difference Schemes for Parabolic Systems'
SIAM J. Num. Analysis 2000 <PDE>
Sun Xiobai, Nikos Pitsians 'A Matrix Version of the Fast Multipole Method' SIAM Review
6/2001
Sundaram Rangarajan, Menachem Brenner, David Yermack ‘On Rescissions in Executive
Stock Options’ JofB 9/05
Sundaresan Suresh 'Continuous-Time Methods in Finance:Review & an Assessment' JofF
8/2000
Sundaresan Suresh, Ganlin Chang ‘Asset Prices and Default-Free Term Structure in an
Equilibrium Model of Default’ JofB 5/05
Suominen Matti 'Trading Volume & Information Revelation in Stock Markets' JF&QA 12/01
Supatgiat C., R. Q. Zhang, J. Birge 'Equilibrium Value in a Competitive Power Exchange
Market' to be Computational Economics
Surgailis Donatas 'Stable Limits of Empirical Processes of Moving Averages with
Infinite Variance' SP&A July/Aug 2002
Susskind Leonard 'Black Holes & the Informaiton Paradox' Scientific American 'Edge of
Physics' 2003
Svensson Lars 'Estimating & Interpreting Forward Interest Rates:Swedn 1992-94' IMF 94
Svensson Lars 'Estimating Forward Interest Rates with the Extended Nelson and Siegel
Method' Sveriges Riksbank Quart. Revie 95
Svenstrup Mikkel 'On the Suboptimality of Single-Factor Exercise Strategies for
Bermudan Swaptions' <option-Bermuda> <Andersen/Broadie,Longstaff> 11/02
Swarztrauber Paul 'On Computing the Points and Weights for Gauss--Legendre Quadrature'
SIAM J. Sci. Computing 12/2002
Swinkels J. 'Efficiency of Large Private Value Auctions' Econometrica 1/2001
Szatzschneider Wojciech, Monique Jeanblanc 'Environment & Financial Markets'
Bachelier Conference 2004
Szego Giorgio 'Corporate Governance & Role of Capital in the Banking Industry' 1999
Szego Giorgio 'Measures of Risk' Journal Of Banking And Finance (26)7 (2002) <Risk>
Szego Giorgio 'No More VaR (this is not a typo)', Journal Of Banking And Finance (26)7
(2002)<Risk>
Szego Giorgio 'Portfolio Theory' Academic Press 1980
Szimayer Alex 'Valation of American Options in the Presence of Event Risk' F&S 1/05 ,
4/03 <option-American>
Szu-Lang Liao, Chou-Wen Wang 'Pricing Arithmetic Average Reset Options with Control
Variates' J.of Derivatives Winter 2002 <option-reset>
Taffin E. 'Equity Allocation & Portfolio Selection in Insurance:Simplied Portfolio
Model' Interna. J. Theor.& App. Finance 5/02
Tahani Nabil 'Valuing Credit Derivatives Using Gaussian Quadrature:A Stochastic
Volatility Framework' <Heston> 11/02
Tahani Nabil 'Valuing Credit Derivatives using Gaussian Quadrature:A Stochastic
Volatility Framework' J. Futures Markets Jan 04
Takahashi Akihiko, Takao Kobayashi, Narulis Nakagawa 'Pricing Convertbile Bonds with
Default Risk' J. Fixed Income 12/01
Takamizawa Hideyuki, Isao Shoji 'Approximation of Non-Linear Term Structure Models'
J.Derivatives Spring 2001 <term structure>
Takamizawa Hideyuki, Isao Shoji 'Modeling the Term Structure of Interest Rates with
General Short-Rate Models' Finance and Stochastics 2003
Takamizawa Hideyuki, Isao Shoji 'On the Accuracy of the Local Linear Approximation for
the Term Structure of Interest Rates' QF 2004 <term structure>
Taksar Michael 'Singular Stochastic Control & Related PDE with Gradient Constraints in
Portfolio Optimization Models in Mathematical Finance' 2001
Taksar Michael, Charlotte Markussen 'Optimal Dynamic Reinsurance Policies for Large
Insurance Portfolios' Finance and Stochastics 2003
Talay Denis 'Efficient Numerical Schemes for the Approximation of Expectations of
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Talay Denis 'How to Discretize Stochastic Differential Equaitons' in Lecture Notes in
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Talay Denis 'Simulation & Numerical Analysis in Stochastic Differentia Systems:A
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Talay Denis, L. Tubaro 'Expansion of the Global Error for Numerical Scheme Solving
Stochastic Differential Equations' SP&A 90
Talay Denis, Ziyu Zheng 'Quantiles of the Euler Scheme for Diffusion Processes and
Financial Applications' MF 1/03
Talay Denis, Ziyu Zheng 'Worst Case Model Risk Management ' Finance and Stochastics
2002
Taley Denis 'Simulation D'Equations Differentielles Stochastiques Gouvernees Par Des
Processus De Levy' 10/04 <monte carlo>
Tali Turan, Salih Neftci 'The Relativity of Volatility' RISK 4/2001
<volatility><EVT,Extrem Value Theory,risk,interest rate>
Tallairin Thomas, Harold H. Zhang ‘External Habit and the Cyclicality of Expected
Stock Returns’ JofB 5/05
Tamarchenko Tanya, Rabi De 'A new fast and accurate method to calculate Value-at-Risk
and other tail risk measures' Bachelier Conference 2004
Tang Hoi-man, C.F. Lo, C.H. Hui 'Pricing CEV moving barrier options with time-
dependent parameters - Lie algebraic approach' Bachelier Conference 2004
Tang Qihe, Gurami Tsitsiashvili 'Precise Estimates for the Ruin Probability in Finite
Horizon in a Discrete-Time Model with Heavy-Tailed Insurance & Financial Risks'
SP&A 12/03
Tang Xueli, Ian King 'A Comment on Roland Benabou's "Tax and Education Policy in a
Heterogeneous-Agent Economy: What Levels of Redistribution Maximize Growth and
Efficiency?"' Econometrica 5/05
Taqqu Murad 'A Bibilographic Guide to Self-Similar Processes & Long-Rane Dependence'
Dependence in Probablity & Statistics Birkhauser 86
Tasche Dirk 'Expected shortfall and beyond' Journal Of Banking And Finance (26)7
(2002)
Tatur Tymon 'On the Trade off Between Deficit and Inefficiency and the Double Auction
with a Fixed Transaction Fee' Econometrica 3/05
Tausworthe R 'Random Numbers Generated by Linear Recurrence Modulo Two' Math. of Comp.
65
Tavella Domingo 'Alternating Direction' RISK 2/2001 <option-numeric> <ADI,multi-
dimensional>
Tavella Domingo 'Empowering Lattices' RISK 6/2001 <option-numeric>
Tavella Domingo, Wolfgang Klopfer 'Implying Local Volatility' Wilmott 8/01
<volatility> <Fokker Plank>
Taylor A. 'Potential Pitfalls for the Purchasing Power parity Puzzle? Sampling &
Specification Biases in Mean-Reversion Tests of the Law of One Price'
Econometrica 3/2001
Taylor Stephen 'Modeling Financial Time Series' Wiley 86
Tchamengo Mathias 'Static Pricing of Financial Assets' 10/01
<portfolio><utility,wealth>
Tchistiakov Viktor, Jeroen de Smet, Peter-Paul Hoobriun 'A Credit Loss Contrrol
Variable' RISK 7/04 <Monte Carlo, Vasicek distribution>
Tebaldi Claudio 'Hedging Using Simulation: a Least Squares Approach' 11/01 <Hedging>
<Malliavin Hermite,euro,American,exotic>
Tebaldi Claudio, Martino Grasselli 'Solvable affine term structure models' Bachelier
Conference 2004
Tehranchi Michael 'Explicit solutions of some utility maximization problems in
incomplete markets' SP&A 2004
Teicher Henry 'Strong Laws for Martingale Differences and Independent Random Variables
' 10/98 J. Theor. Prob.
Teichmann Josef 'A Course in Mathematical Finance' <finance>
Teichmann Josef 'A NOTE ON NONAFFINE SOLUTIONS OF TERM STRUCTURE EQUATIONS WITH
APPLICATIONS TO POWER EXCHANGES' Mathematical Finance vol 15, #1 1/05
Teichmann Josef 'Stochastic Analysis with Applications to Financial & Actuarial
Mathematics' <stochastics>
Teichmann Josef, Damir Filipovic 'On the Term Structure of Interest Rates' Bachelier
conference 2002

Teixeira Joao 'Stable Schemes for Partial Differential Equations:One Dimensional

Reaction-Diffusion Equations' Math. & Computers in Simulation 2/04
Temam Emmanuel 'Analysis of Error with Malliavin Calculus: Application to Hedging' MF
1/03
Temam Emmanuel, Bernard Lapeyre 'On the Valuation of Asiatic Options Using Monte Carlo
Methods' 98
Temple Peter 'Hedge Funds:Courtesans of Capitalism' Wiley 2001
Tempone Raul, Georgios E. Zouraris, Thomas Björk, Anders Szepessy 'Monte Carlo Euler
approximation of HJM term structure financial models' Bachelier conference 2002
Tenorio Luis 'Statistical Regularization of Inverse Problems' SIAM Review 6/2001
Tersenov S. 'On Boundary Value Problems for a Class of Ultraparabolic Equations &
Their Applications' Math. Sbornik 87, English Math USSR Sbornik 88
Testuri Carlos, Stanislav Uryasev 'On Relation Between Expected Regret and Conditional
Value-at-Risk' in 'Handbook of Numerical Methods in Finance' ed S. Rachev
Tezuka Shu 'Generalization of Faure Sequences & its Efficient Implemention' IBM 94
Tezuka Shu 'Polynomial Arithmetic Analogue of Halton Sequences' ACM Trans. Modeling &
Computer Sim 93
Tezuka Shu, T. Tokuyama 'A Note on Polynomial Arithmetic Analogue of Halton Sequences'
ACM Trans. Model. & Computer Sim. 94
Thanh Long Nguyen 'Analytical Approach to Value Options with Multivariate Driving Levy
Process' 8/02 <option-pricing><Jump-diffusion,characteristic function>
Thierbach Frank 'Mean-Variance Hedging under Additional Market Information' Bachelier
conference 2002
Thomas Lyn, David Edelman, Jonathan Crook 'Credit Scoring & its Applications' 2002
SIAM press
Thomee Vidar, Lars Wahlbin 'Convergence Rates of Parabolic Difference Schemes for Non-
Smooth Data' Math. of Computation 28,1974
Thompson Erik 'Introduction to the Finite Element Method' 2005 Wiley Press
Thompson G.W.P. 'Bounds on the Value of Barrier Options with Curved Boundaries'
<option-barrier> Cambridge
Thompson G.W.P. 'Markov Properties of Stationary Gaussian Term Structure Models' 2002
<term structure> Cambridge
Thompson Kevin, Roland Ordovas 'Credit Ensembles' RISK 4/03 <Credit Risk>
<counterparties,portfolio>
Thompson Kevin, Roland Ordovas 'The Road to Partition' <credit> RISK 5/03
Thorp Ed 'The Distribution of Stock Price Changes-II' Wilmott Magazine 5/03
Thunberg Hans 'Periodicity versus Chaos in One-Dimensional Dynamics' SIAM Review V43
#1 2001
Thurner Stefan, Rudolf Hanel, Stefan Pichler 'Risk Trading, Network Topology & Banking
Regulation' QF Aug. 2003
Tijms Henk 'A First Course in Stochastic Models' Wiley Pub.
Timmis G. 'Valuation of GNMA Mortgage-Backed Securities with Transaction Costs,
Heterogenous Households & Endogenously Generated Prepayment Rates' CMU 85
Tindel Samy, Frederi Viens 'Almost Sure Exponential Behaviour for a Parabolic SPDE on
a Manifold' SP&A July/Aug 2002
Tiplea Camelia 'On the Super-Replication Approach for American Multiasset Derivatives'
9/02 <<option-American>
Tirole J. 'Corporate Governance' Econometrica 1/2001
Tisseur Francoise, Karl Meebergen 'The Quadratic Eigenvalue Problem' SIAM Review
6/2001
Titchmarsh Edward 'Eigenfunction Expansions Associated with Second Order Differential
Equations' Oxford Press 1962
Titchmarsh Edward 'Theory of Fourier Integrals' 2ed Oxford 75
Titman Sheridan, Stathis Tompaidis, Sergey Tsyplakov 'Market Imperfections, Investment
Flexibility, and Default Spreads' JofF 2/04
Tokat Yesim, Svetlozar Rachev, Edwardo Schwartz 'The stable non-Gaussian asset
allocation: a comparison with the classical Gaussian approach'J. Econ. Dynamics
& Control 2003
Tolmatz Leonid 'Asymptotics of the Distribution of the Integral of the Exponential
(Geometric Brownian Motion for Large Arguments with Application to Asian
Options' 2002 <option-Asian>
Tome Wolfgang 'Path Integrals on Group Manifolds:Representation-Independent
Propagators for General Lie Groups' 98 World Scientific Pub.
Tompaidis Stathis 'A new algorithm for hedging large portfolios of derivative
instruments' Bachelier conference 2002
Tompaidis Stathis 'Portfolio Compression & Matching Pursuit' 98
Tompaidis Stathis, Claudio Albanese 'Calibration Risk in Interest Rate Models' 97
Tompaidis Stathis, Michael Gallmeyer, Ron Kaniel 'Tax Management Strategies with
Multiple Risky Assets' Bachelier conference 2002
Tompaidis Stathis, Mihaela Manoliu 'Term Structure Models for Energy Prices' 99'
Tompaidis Stathis, Ron Kaniel, Alexander Zemlianov 'Efficient Computation of Hedging
Parameters for Discretely Exercisable Options' Bachelier Conference 2004
Tompkins Robert 'Fixed Income Futures Markets:Stochastic Volatility Models & Smiles'
<volatility><Heston> 2000
Tompkins Robert 'Options on Bond Futures: Isolating the Risk Premium' Bachelier
conference 2002
Tompkins Robert, Friedrich Hubalek, Josef Tiechmann 'Flexible Complete Models with
Stochastic Volatility: Generalising Hobson and Rogers' Bachelier Conference 2004
Topaloglou Nikolas, Hercules Vladimirou, Stavros Zenios 'CVaR models with selective
hedging for international asset allocation' Journal Of Banking And Finance
(26)7 (2002)
Topper Juergen 'A Finite Element Implementation of Generalized Passport Options' 5/03
<option-passport>
Topper Juergen 'Financial Engineering with Finite Elements' Wiley 2/05
Topper Juergen 'Pricing PDEs & Solution Methods' <option-numeric> Wilmot.com 8/01
<Finite Element, Collocation>
Topper Juergen 'Worst Case Pricing of Rainbow Options' 10/01 <option-rainbow>
Touzi Nizar 'Direct Characterization of the Value of Super-Replication under
Stochastic Volatility & Portfolio Constraints' <hedging><control,viscosity> SP&A
2000
Touzi Nizar, Bruno Bouchard 'On the Malliavin approach to the computation of
conditional expectations' Bachelier conference 2002
Toyli Juuso, Marko Sysi-Aho, Kimmo Kaski 'Models of Asset Returns: Changes of Pattern
from High to Low Event Frequency'QF 6/04
Trabelsi Faouzi, Abdelhamid Trad 'L^2-Discrete Hedging in a Continuous-Time Model'
App.Math. Finance 9/02 <optimal hedging times>
Trefethen Lloyd 'Finite Difference & Spectral Methods for Ordinary & Partial
Differential Equations' <PDE> <Chebyshev Spectral, Fourier Spectral,finite diff.
approx.>
Trevino Lourdes, Stephen Thomas 'Local Versus Foreign Currency Ratings:What Determines
Soverign Transfer Risk?' J. Fixed Income 6/2001
Trottenberg Ulrich, Cornelis Oosterlee, Anton Schuller 'Multigrid'2000 Instit. for
Algorithms & Scientific Computing <PDE,elliptic, algebraic multigrid AMG>
Truck Stefan, Emrah Ozturkmen 'Estimation, Adjustment and Application of Transition
Matrices in Credit Risk Models 'in 'Handbook of Numerical Methods in Finance' ed
S. Rachev
Tsao Chueh-Yung, Chuang-Chang Chang, Chung-Gee Lin 'Analytic Approximation Formulae
for Pricing Forward-Starting Asian Options' J. Futures Markets 5/03 <option-
Asian>
Tsay Ruey 'Analysis of Financial Time Series' Wiley Pub.
Tse Wai Man, Leong Kwon Li, Kai Wang Ng 'Pricing Discrete Barrier & Hindsight Options
with a Tridiagonal Probability Algorithm' Management Science 3/2001 <option-
barrier><multivariate normal, lookback>
Tse Y.K., Xibin Zhang, Jun Yu 'Estimation of Hyperbolic Diffusion using the Markov
Chain Monte Carlo Method' QF 2004 <diffusion><Bayesian, Milstein>
Tsekrekos Andrianos 'First--mover advantages and the strategic exercise of real
options' Bachelier conference 2002
Tsekrekos Andrianos, Mark Shackleton, Rafal Wojakowski 'Entry, exit and activation
probability in a two-player real options game' Bachelier conference 2002
Tsibiridi C., Colin Atkinson 'A Possible way of Estimating Options with Stable
Distributed Underlying Asset Prices' App. Math. Fin. 3/04
Tsitsiklis John, Benjamin Van Roy 'Optimal Stopping of Markov Processes:Hilbert Space
Theory, Approximation Algorithms and an Application to Pricing High-Dimensional
Financial Derivatives' IEEE Transactions on Automatic Control 10/99 <options-
numeric>
Tsitsiklis John, Benjamin Van Roy 'Regression Methods for Pricing Complex American-
Style Options'IEEE Trans. Neural Networks 7/01 ,<option-american>
Tsoi A., H. Yang, S-N. Yeung 'European Option Pricing when the Risk Free Interest Rate
Follows a Jump Processes' Stochastic Models 2000
Tu Charles, Mark Eppli 'Term Default, Ballon Risk & Credit Risk in Commercial
Mortgages'J. Fixed Income 12/03
Tudor Ciprian, Mihai Tudor 'Some Properties of Solutions of Double Stochastic
Differential Equations' Journal Theor. Prob. 1/02
Tutuncu Reha, Stefano Herzel, Catalin Starica 'Modelling Multivariate Returns'
Bachelier conference 2002
Tysk Johan, Erik Ekstrom, Svante Janson 'Superreplication of options on several
underlying assets' Bachelier Conference 2004
Tysk Johan, Svante Janson 'Properties of options on several underlying assets'
Bachelier conference 2002
Tysk Johan, Svante Janson 'Volatility time and properties of option prices' Bachelier
conference 2002
Tzavalis Elias, Shijun Wang 'Pricing American Option Based on a Chebyshev
Approximation of the Early Exercise Boundary' 2/03 <option-American>
Tzavalis Elias, Shijun Wang 'Pricing American Options under Stochastic Volatility:A
New Method Using Chebyshev Polynomials to Approximate the Early Exerice
Boundary' 2/03 <options-American>
Tze Leung Lai, Marc Tiong Wee Lim 'Exercise Regions And Efficient Valuation Of
American Lookback Options'MF 4/04
Uchaikin Vladmir, Vladimir Zolotarev 'Chance & Stability:Stable Distributions & Their
Applications' VSP 99
Ueda Masako 'Banks versus Venture Capital: Project Evaluation, Screening, and
Expropriation' JofF 4/04
Uemura H. 'Tanaka Formula for Multidimentional Brownian Motion' J. Theor. Prob. 9/04
Uhlenbeck G., L. Ornstein 'On the Theory of the Brownian' Phys. Reve 30
Ui Takashi 'Robust Equilibria of Potential Games' Econometrica 9/01
Ullah Aman 'Finite Sample Econometrics' 2004 Oxford Press
Underwood Robert, Junping Wang 'An Integral Representation & Computation for the
Solution of American Options' 3rd World Conf. Nonlinear Analysis 2000 <options-
American>
Uppal Raman, Tan Wang 'Model Misspecification and Underdiversification' Taxation' JofF
12/03
Urban K. 'Wavelets in Numerical Simulation' 2002 Springer-Verlag
Urbano Anparo, Joe Vila 'Computational Complexity and Communication: Coordination in
Two-Player Games 'Econometrica 9/02
Urusov M.A. 'On a Property of the Moment at Which Brownian Motion Attains Its Maximum
and Some Optimal Stopping Problems' Theory of Prob. and Applications V49 #1 2005
Urusov Mikhail 'Some Optimal Stopping Problems Concerning Maximum Processes' Bachelier
conference 2002
Urusov Mikhail, Alexander Cherny 'Criterions for absolute continuity and singularity
of measures via separating times' Bachelier Conference 2004
Vaden Joel 'Options Trading & the CAPM' RFS Spring 04
Vaillant N. 'Convexity Adjustment Between Futures and Forward Rate Using a Martingale
Approach' 12/99 <term structure>
Valchev Stoyan 'Stochastic volatility Gaussian Heath-Jarrow-Morton Models' <HJM> App.
Math. Finance 12/04
Valkanov Rossen, Walter Torous 'Boundaries of Predictability: Noisy Predictive
Regressions' Bachelier conference 2002
Van Bommel Jos 'Rumors' JofF 8/03
van Capelleveen Huub, Jan-Willem Wijckmans 'Reducing Long-Term Foxex Transaction Risk
under Volume Uncertainity' RISK 1/05
van den Berg Imme 'Principles of Infintesimal Stochastic & Financial Analysis' 2000
World Scientific Press
van der Burgt Marco 'Calculating Transfer Risk Using Monte Carlo' RISK 1/04<emeging
market,economic capital>
van der Hoek John, Robert J. Elliott 'A General Fractional White Noise Theory and
Applications to Finance' Bachelier conference 2002
van der Nat Mattheus 'new Duration Techniques'<loan portfolios> RISK 7/01
van Lieshout M. 'Markov Point Processes & Their Applications' 7/2000 World Scientific
Press <Imperial College Press>
Van Vellen Mathijs 'An Impossibility Theorem Concerning Multilateral International
Comparison of Volumes' Econometrica Jan 02
Vande Wouwer A., Ph. Saucez, W. Schlesser 'Adaptive Method of Lines' 2001 Chapman &
Hall/CRC Pub.
Vanden Joel ‘Digital Contracts and Price Manipulation’ JofB 9/05
Vandewalle N., M. Ausloos 'Multi-Affine Analysis of Typical Currency Exchange Rates'
Euro. Phyiscal J. B. 98 <FX>
Vanmaele Michele, Griseida Deelstra, Jan Liinev, Jan Dhaene, Marc Goovaerts 'Bounds
for the Price of Discretely Sampled Arithmetic Asian Options' 2005
Vanmaele Michele, Griselda Deelstra, Jan Liinev 'Pricing of arithmetic Asian options
and basket options by conditioning on more than one variable' Bachelier
Conference 2004
Vanmaele Michele, Jan Dhaene, Griselda Deelstra, Jan Liinev, Marc Goovaerts 'Bounds
for the Price of Discretely Sampled Arithmetic Asian Options' 9/02 <option-
Asian>
Varadhan Shrinivasa 'Diffusion Processes in a Small Time Interval' Commun. on Pure &
Applied Math. 1967
Varadhan Shrinivasa 'On the Behavior of the Fundamental Solution of the Heat Equation
with Variable Coefficients' Comm in Pure & App. Math 67
Vargiolu Tiziano, Gino Favero 'Shortfall risk minimization in the binomial model'
Bachelier conference 2002
Vasicek Oldrich 'Bond Market Clearing' Bachelier conference 2002
Vasicek Oldrich 'Loan Portfolio Value' RISK 12/02
Vasilyev Oleg, Christopher Bowman 'Second-Generation Wavelet Collocation Method for
the Solution of Partial Differential Equations' 9/2000 J. Comp. Physics
<wavelet>
Vasilyev Oleg, David Yuen, Samuel Paolucci 'Wave;ets:An Alternative Approach to
Solving PDEs' <PDE> 97
Vasilyev Oleg, Samuel Paolucci 'A Dynamically Adaptive Multilevel Wavelet Collocation
Method for Solving Partial Differential Equations in a Finite Domain' J.Comp.
Physics 96 <wavelet>
Vasilyev Oleg, Samuel Paolucci 'A Fast Adaptive Wavelet Collocation Algorithm for
Multidimension PDEs'97 J. Comp. Physics <wavelet>
Vasilyev Oleg, Samuel Paolucci, Mhur Sen 'A Multilevel Wavelet Collocation Method for
Solving Partial Differential Equations in a Finite Domain' J. Comp.Physics 95
<wavelet>
Vasko Francis, Dennis Newhart 'Does Marilyn Know her Game Theory?' SIAM News 6/03
Vassalou Maria 'The Fama-French Factors as Proxies for Fundamental Economic Risk' wp
Columbia U. 1999
Vassalou Maria, Yuhang Xing 'Default Risk in Equity Returns' JofF 4/04
Vaugirard Victor 'Hitting Time and Time Change' App. Math. Fin. 3/04
Vaugirard Victor 'Monte Carlo Applied to Exotic Digital Options' Applied Math. Finance
9/01 <option-digital>
Vaugirard Victor 'Simulation of Exotic Digital Options & Application to Nature
Derivatives' 2001 Universite Paris I Sorbonne
Vaugirard Victor 'The Simulation of One-Touch Digital Options with Discontinuous
Returns Under Interest Rate Uncertainty' 2001 Universite Paris I Sorbonne
Vaugirard Victor 'Valuing Catastrophe Bonds by Monte Carlo Simulaitons' App. Math
Finance 3/03
Vaviera Roberto 'Option Prices in Presence of Transaction Costs'
Vayanos D. 'Strategic Trading in a Dynamic Noisy Market' JofF 2/2001
Vecer Jan 'A New PDE Approach for Pricing Arithmetic Average Asian Options'J. Comp.
Fin. Summer 01 , 1/2000 <option-average>
Vecer Jan 'Unified Asian Pricing' RISK June 2002 , 11/01 <option-Asian>
Vecer Jan, Mingxin Xu 'Comparison Theorem and Option Pricing in the Presence of Jumps'
Bachelier Conference 2004
Vecer Jan, Mingxin Xu 'Pricing Asian Options in a Semimartingale Model' QF 2004
<option-Asian>
Veestraeten Dirk 'The Conditional Probability Density Function for a Reflected
Brownian Motion' Computational Economics 9/04
Vehvilainen Hvo 'Basis of eletricity Derivative Pricing in Comptitive Markets' App.
Math. Finance 3/02
Veiga Carlos 'Expanding the Universe of Exotic Options Closed Pricing Formulas in the
Black and Scholes Framework' Bachelier Conference 2004
Venegas-Martinez Francisco 'BAYESIAN INFERENCE, PRIOR INFORMATION ON VOLATILITY, AND
OPTION PRICING: A MAXIMUM ENTROPY APPROACH' IJT&AF 1/05
Venkataraman Kumar 'Authomated Versus Floor Trading:Analysis of Execution Costs on the
Paris & New York Exchanges',Discussion Ananth Madhavan JofF 8/01
Venter J., P. de Jongh 'Risk Estimation Using the Normal Inverse Gaussian
Distribution' J. of Risk Winter 01/02
Veretennikov A. Yu. 'On SDE and Semigroup Approximations and Large Deviations' Theory
Prob. & its Applications V47, #4
Verhoeven Peter, Michael McAleer 'Fat Tails & Asymmetry in Financial Volatility
Models' Math. & Computers in Simulation 2/04
Vestergaard Hau Lene 'Frogen Light' Scientific American 'Edge of Physics' 2003
Vestrup Eric 'Measure Theory & Its Applications' Wiley Pub.
Vestrup Eric 'The Theory of Measures & Integration' 2003 Wiley Press
Viceira Luis 'Optimal Portfolio Choice for Long-Horizon Investors with Nontradeable
Labor Income' JofF 4/2001
Vigo Daniel, Jean-Pierre Fouque, Josselin Garnier, Andre Nachbin 'Robustness of time
reversal for waves in time-dependent random media' SP&A 10/04
Villalonga Belen 'Diversification Discount or Premium? New Evidence from the Business
Information Tracking Series' JofF 4/04
Villaplana Pablo 'Pricing Power Derivatives: a Two-Factor Jump-Diffusion Approach'
Bachelier Conference 2004
Villaverde Michael 'Hedging European & Barrier Options Using Stochastic Optimization'
QF 10/04 <variance-gamma>
Villeneuve Stephane, Antonino Zanette 'Comparison of Finite Difference Methods for
Pricing American Options on Two Stocks' 2001 lecture
Villeneuve Stephane, Antonino Zanette 'Parabolic ADI Methods for Pricing American
Options on Two Stocks' Math.of OR 2/02 <option-American>
Villeneuve Stephane, Rochet Jean-Charles 'Liquidity Risk and Corporate Demand for
Hedging and Insurance' Bachelier Conference 2004
Viswanath Divakar 'Lindstedt-Poincare Technique as an Algorithm for Computing Periodic
Orbits' SIAM Review 9/01
Vladimirov V., Ju Drozzinov 'Generalized Cauchy Problem for an Ultraparabolic
Equation' Izv. Akad. Nauk SSSR Ser. Math 67, English Math. USSR Izv 67
Vogel Curtis 'Computational Methods for Inverse Problems' SIAM 2002
Voigt Robert, David Gottlieb, M Yousuff Hussaaini (ed) 'Spectral Methods for Partial
Differential Equations' SIAM 84
Voit J. 'The Statistical Mechanism of Financial Markets' Springer Verlag 2003
Voltage Security Inc. 'Voltage Security Platform:A Technology Overview' 7/03
<cryptography> RSA variation public key
von Neumann Whitman Marina 'Life with Father' SIAM News 3/05
von Petersdorff Tobias, Christoph Schwab 'Numerical Solution of Parabolic Equations in
High Dimensions' Mat Model & Num. Analysis V.38 2004
Von Petersdorff Tobias, Christoph Schwab 'Wavelet Discretizations of Parabolic
Integrodifferential Equations' SIAM J. Num. Analysis 03 <PDE><Levy,infintesimal
generator>
Vorkink Keith 'Return Distributions and Improved Tests of Asset Pricing Models' RFS
Fall 03
Vorst Ton, Patrick Houweling, Albert Mentink 'Valuing Euro Rating-Triggered Step-Up
Telecom Bonds' J. Derivatives Spring 04
Voss D., A. Khaliq 'A Linearly Implicit Predictor-Corrector Method for Reaction-
Diffusion Equations' Comput. Math Appl. 99
Voss David A., A. Khaliq, S.H.K. Kazmi, H. He 'A Fourth Order L-Stable Method for the
Black-Scholes Model with Barrier Options' in Gavrilova, Kumar, Tan 'Lecutre
Notes in Computer Science, Springer 2003
Vuolteeaho Tuomo 'What Drives Firm-Level Stock Returns?' JofF 2/02
Vytlacil Edward 'Independence, Monotonicity, and Latent Index Models: An Equivalence
Result' Econometrica Jan 02
Wachter Jessica 'Portfolio & Consumption Decisions under Mean-Reverting Returns:an
Exact Solution for Complete Markets' JF&QA 3/02
Wagner Niklas, Markus Junker, Alex Szimayer 'Nonlinear Term Structure Dependence:
Copula Functions, Empirics, and Risk Implications' Bachelier Conference 2004
Wagner Niklas, Terry Marsh 'Measuring Tail Thickness under GARCH & an Appliction to
Extremal Exchange Rate Changes' Munich U. Tech & UC Berkeley 11/02
Wagstaff Samuel 'Cryptoanalysis of Number Theoretic Ciphers' Chapman Hall 2003
Wakeman L. 'Credit Enhancement' in Risk Management & Analysis 99
Wakker P. 'Testing & Characterizing Properties of Nonadditive Measures through
Violations of the Sure-Thing Principle' Econometrica 7/01
Wall Howard, Gylfi Zoega 'U.S. Regional Business Cycles & the Natural Rate of
Unemployment' FRB St. Louis Review Jan/Feb 04
Walnut D. 'An Introduction to Wavelet Analysis ' 2001 Birkhauser
Walsh John 'The Rate of Convergence of the Binomial Tree Scheme' Finance and
Stochastics 2003
Walter John 'Depression Era Bank Failures:The Great Contagion or the Great Shakeout?'
FRB Richmond Econ. Quart. Winter 05
Walter John 'Loan Loss Reserves; Economic Review Richmond 91
Wang Guojing 'A Decomposition of the Ruin Probability for the Risk Process Perturbed
by Diffusion' Insurance:Math & Econ. 2/2001 <risk>
Wang Jospeh 'Behavioral Econometric Interpretations of Dynamic Supply & Demand
Functions in a Market Pricing Model' Inter. J. Theor & App. Finance 8/01
Wang Kevin 'Asset Pricing with Conditioning Information: A New Test' JofF 2/03
Wang Ko, Leslie Young, Yuqing Zhou 'Nondiscriminating Foreclosure and Voluntary
Liquidating Costs ' RFS Summer 02
Wang P. 'The Economics of Foreign Exchange and Global Finance' Springer 1/05
Wang S., V. Young, H. Panjer 'Axionmatic Characterization of Insurance Risk'
Insurance:Math. & Econ. 1997
Wang Shaun 'Aggregation of Correlated Risk Portfolios:Models & Algorithms'
<risk><copula,mixture,distortion models,simulation,Fourier>
Wang Shouyang, Yusen Xia 'Portfolio Selection & Asset Pricing' Springer 2002
Wang Song 'A Novel Exponentially Fitted Triangular Finite Element Method for an
Advection-Diffusion Problem with Boundary Layers' J. Comput. Phys. 134, 1997
Wang Song 'A Novel Finitie Volume Method for the Black-Scholes Equation Governing
Option Pricing' IMA J. Num. Analysis 2004 <option-pricing><degenerate
PDE,Petrov-Galerkin>
Wang Tan, Leonid Kogan 'A Simple Theory of Asset Pricing Under Model Uncertainty'
Bachelier conference 2002
Wang X., Fred Hickernell 'Randomized Halton sequences' Math. Comput. Modelling 32
(2000),
Wang X., Fred Hickernell, K. T. Fang 'Improving quasi-Monte Carlo integration via
variance reduction techniques' 2003,
Wang Y., Fred Hickernell 'An historical overview of lattice point sets' In Fang et al.
<51>,

Wannenwetsch Jens 'Adjusting the measure change function in Levy markets' Bachelier
Conference 2004
Warachka Mitchell 'A Note on Market Prices of Default Risk in Reduced Form Credit
Risk' 3/2001 <credit risk>
Ware Antony (Tony) 'PDE Techniques for Energy Contracts' Fields lecture 3/02
Ware Antony 'Numerical Methods for Basket Options' 6/2000 <option-basket>
Ware Antony, Ali Lari-Lavassani 'Algorithms for Portfolio Options' <option-portfolio>
10/2000
Washington Lawrence 'Elliptic Curves' 5/03 Chapman & Hall/CRC Pub.
Watanabe Shuji 'On Time Inversion of One-Dimensional Diffusion Processes' Zeitschrift
fur Wahr. 1975
Watkig David 'Product Eigenvalue Products' SIAM Review 3/05
Watson Ed 'Pricing credit derivatives and credit risk' MS 2000 U. Toronto
Watson M. 'Explaining the Incrased Variability in Long-Term Interest Rates' FRB
Richmond Economic Quarterly Fall 99
Wayne Ferson 'Asset Pricing, John H. Cochrane. Princeton, NJ: Princeton University
Press,' book review RFS Spring 2002

Webb Andrew 'The Sensitivity of Vega' <volatility><Vomma, Vanna>

Webb Roy 'Which Price Index Should a Central Bank Employ?' FRB Richmond Economic
Quarterly Spring 04
Weber Hans, George Arfken 'Essential Mathematical Methods for Physicists 2004 Elsevier
Weber Stefan 'Distribution-Invariant Dynamic Risk Measures' Bachelier Conference 2004
Wehner Michael (Mike), William Wolfer 'Numerical Evaluation of Path-Integral Solutions
to Fokker-Planck Equations.I.' J. Phys. Rev A. 83 <PDE>
Wehner Michael (Mike), William Wolfer 'Numerical Evaluation of Path-Integral Solutions
to Fokker-Planck Equations.II. Restricted Stochastic Processes'83 J. Phys. Rev
A. <PDE>
Wehner Michael (Mike), William Wolfer 'Numerical Evaluation of Path-Integral Solutions
to Fokker-Planck Equations.III:Time & Functionally Dependent Coefficients' J.
Phys. Rev A. 87 <PDE>
Wei B.C., Fred Hickernell 'Regression transformation diagnostics for explanatory
variables' Statist. Sinica 6 (1996),
Wei Jason 'Rating- and Firm Value-Based Valuation of Credit Swaps' J. Fixed Income
Sept 01
Wei Steven, Chu Zhang ‘Why Did Individual Stocks Become More Volatile?’ JofB 1/06
Weigel Peter 'Optimal Calibration of LIBOR Market Models to Correlations' Journal of
Derivatives Winter 2004
Weigend Andreas, Shanming Shi 'Hidden Markov Experts' <forecasting> Quantitative
Analysis in Financial Markets Vol 2. NYU
Weinberg John 'Accounting for Corporate Behavior' Econ. Quarterly Summer 03
Weinberg John 'Competition Among Bank Regulators' FRB Richmond Economic Quarterly Fall
02
Weinberg Steven 'A Unified Physics by 2050?' Scientific American 'Edge of Physics'
2003
Weinberg Steven 'Decay of the Proton' "Particle Physics in the Universe" Freeman & Co.
{Scien.Amer. articles>
Weinberg Steven 'Interpreting the Volatility Smile:Examination of the Information
Content of Option Prices' FRB 8/01 <volatility>
Weinstein Eric, Adil Abdulali 'Hedge Fund Transparency:Quantifying Valuation Bias for
Illiquid Assets' RISK June 2002
Weisstein E. 'Edgeworth Series' Wolfram.com <distribution>
Wermers R. 'Mutual Fund Performance:An Empirical Decompostion into Stock-Picking
Talent, Style, Transaction Costs & Expenses' discusion Tobias Moskowitz JofF
8/2000
Weron Rafal 'Estimating long range dependence: finite sample properties and confidence
intervals' Bachelier conference 2002
Weronika Laukajtys, Leszek Slominski 'Penalization Methods for Reflecting Stochastic
Differential Equations with Jumps' S&SR 10/03
Westerhoff Frank 'Bubbles & Crashes:Optimism, Trend Extrapolation & Panic' Inter. J.
Theoretical & Applied Finance 12/03
Whaley Robert 'Return & Risk of CBOE Buy Write Monthly Index' J.of Derivatives Winter
2002
Wheeler Christopher 'Evidence on Wage Inequality, Worker Education & Technology' St.
Louis FRB Review May/June 05
Whelan Niall 'Sampling from Archimedean Copulas'QF 6/04
White Robert 'Computational Mathematics Models, Methods & Analysis with MATLAB & MPI'
2004 CRC Press
White W. 'Stochastic-Process Limits' 2002 Springer-Verlag
Whited Toni 'Is It Inefficient Investment that Causes the Diversification
Discount?'JofF 10/01
Wichmann B., I. Hill 'An Efficient & Portable Pseudorandom Number Generator' App.
Stats. 82
Widdicks Martin, Ari Andricopoulos, David Newton, Peter Duck 'On the Enhanced
Convergence of Standard Lattice Methods for Option Pricing' J. Future Markets
4/02 <option-numeric> <lambda normalized distance>
Widdicks Martin, Peter W. Duck, Ari D. Andricopoulos, David P. Newton 'THE BLACK-
SCHOLES EQUATION REVISITED: ASYMPTOTIC EXPANSIONS AND SINGULAR PERTURBATIONS' MF
4/05
Wiener Zvi, Dan Galai, Alon Raviv 'Liquidation Triggers and the Valuation of Equity
and Debt' Bachelier Conference 2004
Wiktorsson M. 'Joint Characteristic Function & Simultaneous Simulation of Iterated Ito
Integrals for Multiple Brownian Motions' Ann. App. Prob. 2001
Wilczek F. 'Cosmic Asymmetry between Matter & Antimatter' "Particle Physics in the
Universe" Freeman & Co. {Scien.Amer. articles>
Wilde Tom 'IRB Approach Explained'<Basel Accord> RISK 5/2001
Wiles Andrew 'The Birch & Swinnerton-Dyer Conjecture' <Math> Clay Foundation 2002
Wilkens Sascha, Carsten Erner, Klaus Roder 'The Pricing of Structured-Products in
Germany' J.Derivatives Fall 03
Willard Gregory, Mark Loewenstein 'Nonsophisticated traders in a competitive
securities market equilibrium' Bachelier conference 2002
Williams David 'Weighing the Odds' 2001 Cambridge Press
Williams Todd 'Option Pricing & Branching Processes' PhD U. Virgina 2001 <option-
pricing>
Willmot G. E. 'Poisson-Inverse Gaussian as an Alternative to the Negative Binomial'
Scandin. Actuarial J. 87
Wilmott Paul 'Clique Options & Volatility Models' Wilmott Mag. 9/03 <volatility>
Wilmott Paul 'Paul Wilmott on Quantitative Finance' Wiley 2000 2 vols
Wilmott Paul, Henric Rasmussen (ed)'New Directions in Mathematical Finance' Wiley 2002
Wilson Robert 'Architecture of Power Markets' Econometrica 7/02
Wilson Thomas 'Overcoming the Hurdle'<line of business allocation> RISK 7/03
Windcliff H., J. Wang, Peter Forsyth, Kenneth Vetzal 'Hedging with a correlated asset:
solution of a nonlinear pricing PDE' 6/05
Windcliff Heath, Kenneth Vetzal, Peter Forsyth, A. Verma, Thomas Coleman 'An object-
oriented framework for valuing shout options on high-performance computer
architectures' J. Econ. Dynamics & Control 2003
Windcliff Heath, Peter Forsyth, Kenneth Vetzal 'Analysis of the stability of the
linear Boundary condition for the Black-Scholes Equation'J. Comp. Finance Fall
04 , 1/03 <option-pricing>
Windcliff Heath, Peter Forsyth, Kenneth Vetzal 'Asymptotic Boundary Conditions for the
Black-Scholes Equation' 10/01 <option-pricing> <Dirichlet behavior, downstream
weighting,eigenvalues>
Windcliff Heath, Peter Forsyth, Kenneth Vetzal 'Numerical Methods for Valuing Cliquet
Options' 8/03 <option-numeric><PDE,grid, jump, boundary>
Windcliff Heath, Peter Forsyth, Kenneth Vetzal 'Pricing Methods & Hedging Strategies
for Volatility Derivatives' 5/03 <volatility>
Windcliff Heath, Peter Forsyth, Kenneth Vetzal 'Shout Options:A Framework for Pricing
Contracts which Can be Modified by the Investor' J. Comp.Appl. Math 99 , 11/99
<option-shout>
Windcliff Heath, Peter Forsyth, Kenneth Vetzal, W. Morland 'Simulations for Hedging
Financial Contracts with Optimal Decisions:Case Study' 2/2001 <hedging>
Windcliff Heath, Peter Forsyth, Kenneth Vetzal, W. Morland 'Stochastic Simulations for
Problems in Finance with Optimal Decisions' 2/01 <option-numeric>
Winkler Gunter 'Analytische und Numerische Untersuchung des Modells von Heston zur
Optionspreisberechnung' 3/2001 <volatility> <stochastic>
Winkler Gunter, Thomas Apel, Uwe Wystup 'Option Valuation in Heston's Stochastic
Volatility Model using Finite Element Methods' 10/24/01 <volatility>
Wise Mark, Peter Lee, Vineer Bhansali 'CORPORATE BOND RISK FROM STOCK DIVIDEND
UNCERTAINTY' IJT&AF 9/04
Wise Mark, Vineer Bhahsali 'Portfolio Allocation to Corporate Bonds with Correlated
Defaults' J. Risk Fall 2002
Wise Mark, Vineer Bhansali 'Correlated Random Walks & the Joint Survival Probability'
SSRN 2004
Wiseman Thomas 'A Partial Folk Theorem for Games with Unknown Payoff Distributions'
Econometrica 3/05
Wittman Todd 'Lost in the Supermarket:Decoding Blurry Barcodes' SIAM News 9/04
Woerner Jeannette 'Estimation of Integrated Volatility in Stochastic Volatility
Models' <volatility> 2003
Woglom Geoffrey 'More Results on the Exact Small Sample Properties of the Instrumental
Variable Estimator' Econometrica 9/01
Wojakowski Rafal 'Hedging non-tradeable risk with instantaneous forward contracts'
Bachelier conference 2002
Wolman Alexander 'The Frequency & Cost of Individual Price Adjustment' FRB Richmond
Economic Quarterly Fall 2000
Wolman Alexander, Fan Ding 'Inflation & Changing Expenditure Shares' FRB Richmond
Econ. Quart. Winter 05
Wolski Rich 'Computational Grids:Current Trends in Performance-Oriented Distributed
Computing' SIAM News 3/02
Womersley Robert, K. Lau 'Portfolio Optimisation Problems' 96 <portfolio>
Wong Bernard, Chris Heyde 'On the Martingale Properties of Stochastic Exponentials' J.
App. Prob. 9/04
Wong E. 'The Construction of a Class of Stationary Markoff <Markov> Processes' 16th
Sympos. Appl. Math. AMS 1964
Wong Hoi Ying, Ying Lok Cheung 'Geometric Asian Options:Valuation & Calibration with
Stochastic Volatility' QF 6/04 <option-Asian>
Wong Hoi Ying, Yue Kuen Kwok 'Sub-Replication and Replenishing Premium: Efficient
Pricing of Multi-State Lookbacks'Review of Derivatives Research 2003
Wong M.N., Fred Hickernell 'Low discrepancy sampling for finding traces and
determinants of sparse matrices' Fourth International Conference on Monte Carlo
and Quasi-Monte Carlo Methods, November 27 -- December 1, 2000, Hong Kong, 2003
Wong Mark, Stewart Hodges 'Pricing Defaultable Coupon Bonds under a Jump-Diffusion
Process' J. Fixed Income 6/02 <credit risk>
Wong R. 'Asymptotic Approximation of Integrals' 2001 SIAM Press
Wong W.K., K. Xu 'Refining the Quadratic Approximation Formula for an American Option'
Intern. J. Theor.App. Finance 10/01 <option-American>
Woodford Michael 'Inflation Targeting & Optimal Monetary Policy' FRB St. Louis Review
July/Aug 2004
Woodridge Jeffrey 'Applications of Generalized Method of Moments'J. Econ. Perspectives
Fall 2001
Wright Stephan 'Primal-Dual Interior-Point Methods' 1997 SIAM Book
Wu Andrew 'Arbitrage-Free Evauluation of American-Style Options on Assets with
Stochastic Variance Characteristics' 5/01 <arbitrage> <American options,
binomial, Richardson extrapolation, term structure forward rates>
Wu G., Z. Xiao 'An Analysis of Risk Measures' J. Risk Summer 02
Wu Guojun 'The Determinants of Asymmetric Volatility' RFS 2001
Wu Liuren ‘Dampened Power Law: Reconciling the Tail Behavior of Financial Security
Returns’ JofB 7/06
Wu Liuren 'Affine Levy Stable Term Structure Models' Fordham 2000
Wu Liuren 'Heston's Model & General Diffusions' 2000 Baruch College <volatility>
Wu Liuren 'Jumps & Dynamic Asset Allocation ' Fordham 99
Wu Liuren, Massoud Heidari 'Term Structure of Interest Rates, Yield Curve Residuals, &
the Consistent Pricing of Interest Rates & Interest Rate Derivatives' 9/02 <term
structure>
Wu Lixin 'Calibration of CEV Market Model' 2/02 withdrawn by author 3/03
Wu Lixin 'Fast At-the-Money Calibration of the Libor Market Model Using Lagrange
Multipliers' J. Comp. Finance Winter 02/03 , 4/02 <term structure>
Wu Lixin 'LIBOR Market Model:From Deterministic to Stochastic Volatility' 10/02
withdrawn by author <term structure> p.4,5,16 pdf damaged & missing
Wu Lixin, Fan Zhang 'LIBOR Market Model: from Deterministic to Stochastic Volatility'
Bachelier Conference 2004
Wu Lixin, Min Dai 'Pricing Jump Risk with Utility Indifference' Bachelier conference
2002
Wu Rongwen, Michael Fu 'Optimal Exercise Policies & Simulation-Based Valuation for
American-Asian Options' OR 2003 <option-average>
Wu Xiong-Hua, Xiu-Juan Feng 'A Numerical Method for Determining the Optimal Exercise
Price to American Options' J. Comp. Math 2002 <option-American><non-linear>
Wu Zhijun, George Phillips, Richard Topia, Yin Zhang 'A Fast Newton Algorithm for
Entropy Maximization in Phase Determination' SIAM Review 12/01
Wyatt Kathernine 'Decomposition & Search Techniques in Disjunctive Program for
Portfolio Selection' 1999 Quantitative Analysis in Financial Markets Vol 2. NYU
<portfolio>
Wylie Sam 'Hiring and Firing Fund Managers' Bachelier conference 2002
Wystup Uwe 'Heston's Stochastic Volatility Model Applied to Foreign Exchange Options'
Bachelier conference 2002
Wystup Uwe 'How the Greeks would Haved Hedged Correlation Risk of Foreign Exchange
Options' <FX> <n-dimensional gemometric brownian> Wilmott Publications 8/01
Wystup Uwe 'Pay-Later Options' <option-contingent>
Wystup Uwe 'Volatility Management' <volatility> <VX,Vanna,Volga>1/01
Wystup Uwe, Susanne Griebsch 'FX Instalment Options: Pricing, Applications, Risk
Management' Bachelier Conference 2004
Xia Jianming ‘MEAN-VARIANCE PORTFOLIO CHOICE: QUADRATIC PARTIAL HEDGING’
Xia Jianming 'Dividing Gains Between a Client & Her Agent' Finance and Stochastics
V.7,#2 2003
Xia Jianming 'Multi-Agent Investment in Incomplete Markets' F&S 5/04
Xia Y. 'Learning about Predictability:Effects of Parameter Uncertainity on Dynamic
Asset Allocation' JofF 2/2001
Xiaoqing Liu, Lim KianGuan 'A Parsimonious Monte Carlo Method for Pricing American-
Style Options' 6/01 <Options-American><speed-up Longstaff-Schwartz>
Xu Jin-Chao, Wei-Chang Shann 'Galerkin-Wavelet Methods for Two-Point Boundary Value
Problems' <wavelet>
Xu Mingxin '<Quadrature> Theory' 7/2000 BofA <numeric>
Xu Mingxin 'General Gaussian Quadrature' 11/2000 BofA <numeric>
Xu Mingxin 'Quadrature Method for Pricing Discrete Barrier Options under VG Processes'
10/2000 BofA <option-barrier>
Xu Mingxin, Steven Shreve 'Minimizing Shortfall Risk Using Duality Approach' Bachelier
Conference 2004
Yalovenko I. 'Modellierung des Finanzmarktes und unendlich dimensionale stochastische
Prozesse' thesis Bochum U. 98
Yam C.Y., Fred Hickernell 'Quasi-Monte Carlo resampling for bootstrap calculations'
Workshop on the Complexity of Multivariate Problems, October 4-8, 1999, Hong
Kong, 2003
Yamada Yuji, James Primbs 'Distribution-Based Option Pricing on Lattice Asset Dynamics
Models' Inter. J. Theor. & Applied Finance 9/02 <option-pricing>
Yamada Yuji, James Primbs 'Estimation of Value-at-Risk and Conditional Value-at-Risk
for Dynamic Hedging with Jumps' Bachelier Conference 2004
Yamada Yuji, James Primbs 'Value-at-Risk for Dynamic Hedging' Intern. J. Theor. &
Applied Finance 6/02
Yan L. 'The Euler Scheme with Irregular Coefficients' Annals of Prob. 2002
Yan Xuemin (Sterling) 'Valuation of Commodity Derivatives in a New Multi-Factor Model'
R. Derivatives Research V.5 #3 2002
Yang H., T. K. Siu 'Coherent Risk Measures for Derivatives Under Black-Scholes
Economy' Intern. J. Theor.App. Finance 10/01
Yang Hailiang, Ka Chun Cheung 'Asset Allocation with Regime-Switching: Discrete-Time
Case' Bachelier Conference 2004
Yang Hailiang, Lianzeng Zhang 'Spectrally Negative Levy Processes with Applications in
Risk Theory' Adv.in App. Prob. 3/01
Yang Z, C. Ma 'Optimal Trading Strategy with Partial Information and the Value of
Information: the Simplified and Generalized Models' Intern. J. Theor.App.
Finance 10/01
Yanushkyavichene O. 'Investigation of Certain Parameter Estimates for Stable
Distributions' Lithuanian Math. Journal 81
Yao David, Shazheng Zhang, Xun Yu Zhou 'Stochastic Linear-Quadratic Control via
Primal-Dual Semi-Definite Programming' SIAM Review 3/04
Yao Rui, Harold Zhang 'Optimal Consumption and Portfolio Choices with Risky Housing
and Borrowing Constraints' RFS Spring 2005
Yao Yong 'Discussion of H. U. Gerber & E.S.W. Shiu's Option Pricing by Esscher
Transforms. ' Trans. of Society of Actuaries 94
Yao Yong 'Modeling Interest Rates, Foreign Exchange Rates, & Stock Prices:An
Integrated Approach to Modeling, Valuation & Financial Risk Management' PhD U.
Groningen
Yao Yong 'Moment Generating Function Approach to Pricing Interest Rate & Foreign
Exchange Claims' U. Groningen
Yao Yong 'State Price Density, Esscher Transforms & Pricing Options on Stocks, Bonds &
Foreign Exchange Rates' <option-pricing> North American Actuarial Journal 7/01
Yasuda Ayako 'Do Bank Relationships Affect the Firm's Underwriter Choice in the
Corporate-Bond Underwriting Market?' JofF 6/05
Yasuoka Takashi 'Mathematical Pseudo-Completetion of the BGM Model' Inter. Journ.
Theor. & Applied Finance 6/2001 <term structure>
Yasuoka Takashi 'Topologically Pseudo-complete System of Bond Price Processes, and
Application to the LIBOR Market Model' Bachelier conference 2002
Ye George 'Bounds for Exotics' 9/03 <option-exotics> St. Mary U. Halifax
Yeh J. 'Martingales & Stochastic Analysis' 1995 World Scientific Press <Imperial
College Press>
Yermack David 'Remuneration, Retention, and Reputation Incentives for Outside
Directors'JofF 10/04
Yew C. Kee, Mira Tjahjapranata, Chee Meng Yap ‘Size, Leverage, Concentration, and R&D
Investment in Generating Growth Opportunities’ JofB 3/06
Yigitbasioglu Ali 'Pricing Convertible Bonds with Interest Rate, Equity, Credit and FX
Risk' Bachelier conference 2002
Yigitbasioglu Ali, Carol Alexander 'An Uncertain Volatility Explanation for Delayed
Calls of Convertible Bonds'SSRN 2004
Yildirim Yildiray 'Modeling Credit Risk' Bachelier Conference 2004
Yildirim Yildiray, Umut Cetin, Robert Jarrow, Philip Protter 'Modeling Credit Risk
with Partial Information' Bachelier conference 2002
Yildiz Muhamet 'Bargaining without a Common Prior-An Immediate Agreement Theorem
'Econometrica May 03
Yin G., R. H. Liu, Q. Zhang 'Recursive Algorithms for Stock Liquidation: A Stochastic
Optimization Approach' SIAM J. Optimization 2002

Yin G., Xun Yu Zhou 'Markowitz's mean-variance portfolio selection with regime
switching: from discrete-time models to their continuous-time limits' IEEE
Trans. Automated Control 3/04
Yin Xiangkang 'A Comparison of Centralized and Fragmented Markets with Costly Search'
JofF 6/05
Yiu K.F.C 'Optimal Portfolios under a Value-at-Risk Constraint' J. Econ. Dyn. &
Control 4/04
Yong Jiongmin (ed) 'Recent Developments in Mathematical Finance' Conference. 5/01
1/02 World Scientific Press <Imperial College Press>
Yong Jiongmin 'Completeness of Security Markets and Backward Stochastic Differential
Equations with Unbounded Coefficients' Bachelier Conference 2004
Yong Jiongmin 'Replication of American Contingent Claims in Incomplete Markets' Inter.
Journ. Theor. & Applied Finance 6/2001
Yong Jiongmin, Xun Yu Zhou 'Stochastic Controls' Springer 1999 <Hamiltonian Systems &
HJB Equations>
Yoon K. 'A Folk Theorem for Asynchronously Repeated Games' Econometrica 1/2001
Yor Marc 'Further Results on Exponential Functionals of Brownian Motion' in
Exponential Functionals of Brownian Motion & Related Processes' Springer 01
Yor Marc 'Loi d'Indice du Lacet Brownien, et Distribution de Hartman-Watson' Z.
Wahrscheinlichkeittheorie 1980
Yor Marc 'Mathematical Results on Levy Processes' Handbook Math. Financed (ed. D.
Madan)
Yor Marc 'On Square-Root Boundaries for Bessel Processes & Pole-Seeking Brownina
Motion' Lecture Notes Math. 1095 Stochastic Analysis & Applications' 93
Yossi Feinberg, Andrzej Skrzypacz 'Uncertainty about Uncertainty and Delay in
Bargaining' Econometrica 1/05
Youndahl John, Brad Stone,Hayley Boesky 'Implications of a Disappearing Treasury Debt
Market' J. Fixed Income March 2001
Young Virginia 'PRICING IN AN INCOMPLETE MARKET WITH AN AFFINE TERM STRUCTURE'MF 7/04
Yousaf F. 'Pricing a Knockdown Option' U.Bath 3/2001 <otpion-barrier>
<discrete,fourier>
Yu Fan 'Correlated Defaults in Reduced-Form Models' 11/02 UCal. Irvine
Yu Fan 'Modeling Expected Return on Defaultable Bonds' J. Fixed Income 9/02
Yu H., Y, K. Kwok, L. Wu 'Early Exercise Policies of American Floating & Fixed Strike
Lookback Options' Nonlinear Analysis 2001
Yu Jun, Peter Phillips 'Gaussian Estimation of Continuous Time Models of the Short
Term Interest Rate' Cowels Foundation Yale 7/01 <term structure>
Yu Jun, Zhenlin Yang, Xibin Zhang 'A Class of Nonlinear Stochastic Volatility Models &
Its Implications on Pricing Currency Options' 11/02 <volatility>
Yuan Chenggui, Xuerong Mao 'Asymptotic Stability in Distribution of Stochastic
Differential Equations with Markovian Switching'SP&A 2/03
Yuan Kathy 'Asymmetric Price Movements and Borrowing Constraints: A Rational
Expectations Equilibrium Model of Crises, Contagion, and Confusion' JofF 2/05
Yue R.X., Fred Hickernell 'Robust designs for fitting linear models with
misspecification, Statist. Sinica 9 (1999),
Yue R.X., Fred Hickernell 'Robust designs for smoothing spline ANOVA models, Metrika
55 (2002)
Yue R.X., Fred Hickernell 'The discrepancy and gain coefficients of scrambled digital
nets, J. Complexity 18 (2002)
Yue R.X., Fred Hickernell, Integration and approximation based on scramble sampling in
arbitrary dimensions, J. Complexity 17 (2001),
Yue R.X., Fred Hickernell, Strong tractablity of integration using scrambled
Niederreiter points, 2003
Yueh Meng-Lan 'Implied Lattice in the Markov Libor Market Model' U. Warwick 1/02 <term
structure>
Yuen Kam, Guojing Wang, Kai Ng 'Ruin Probabilities for a Risk Process with Stochastic
Return on Investments' SP&A 4/04
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Zabarankin Michael, R. Tyrrell Rockafellar, Stanislav Uryasev 'Portfolio Analysis with
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Zaffaroni Paolo, Peter Robinson 'Nonliear Time Sries with Long Memory:Model for
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Zagst R. 'Interest Rate Management' 2002 Springer-Verlag
Zaitsev A. Yu 'Multidimensional Version of a Result of Sakhanenko in the Invariance
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Zakamouline Valeri 'American option pricing and exercising with transaction costs' J.
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Zakamouline Valeri 'American Option Pricing with Transact Costs' Bachelier
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Zapart Chistopher 'Beyond Black-Scholes:A Neural Networks-Based Approach to Option
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Zariphopoulou Thaleia, Sasha Stoikov 'Optimal Investments in Markets with Stochastic
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Zastawniak Tomasz 'American Contingent Claims with Physical Delivery under Small
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Zastawniak Tomasz, Wojciech Slomczynski 'Utility Maximising Entropy and Thermodynamic
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Zazanis M. 'Statistical Properties of Pertubation Analysis Estimates for Discrete
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Zeilnger Anton 'Quantum Teleportation' Scientific American 'Edge of Physics' 2003
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Zeng Yong 'A Partially Observed Model for Micromovement of Asset Prices with Bayes
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Zenios Stavros, Andrea Consiglio, David Saunders 'Asset and Liability Management for
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Zenios Stavros, William Ziemba (editor) 'Handbook of Asset & Liability Modeling'
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Zervos Mihail, J.B. Lasserre, T. Prieto 'Pricing a class of exotic options via moments
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Zeto Samuel Yau Man 'Pricing & Hedging American Fixed-Income Derivatives with Implied
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Zhang Jin, Jinghong Shu 'Pricing S&P Index Options with Heston's Model' <volatility>
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Zhang Lu 'The Value Premium' JofF 2/05
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Zhang Zhifeng 'Simulating Correlated Default Arrival Times & Pricing Basket Default
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Zheng Ziyu 'Numerical Analysis of Stochastic Differential Systems and its Applications
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Zhou Chunsheng 'An Analysis of Default Correlations & Multiple Defaults' RFS Summer
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Zhou Xun Yu, George Yin 'Mean--Risk Portfolio Selection Models in Continuous Time
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Zhu Hongquan, Zudi Lu, Shouyang Wang, Abdol Soofi 'CAUSAL LINKAGES AMONG SHANGHAI,
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Ziemba William, Leonard MacLean, Yonggan Zhao 'Risk Control of Dynamic Investment
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Ziemba William, Leonard MacLean, Yonggan Zhao, Rafael Sanegre 'Capital Growth with
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Zitkovic Gordan 'Utility Maximization with a Stochastic Clock and an Unbounded'
Bachelier Conference 2004
Zitkovic Gordan, Ioannis Karatzas 'Optimal consumption from investment and random
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Zohar Gady 'A Generalized Cameron-Martin Formula with Application to Partially
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Zuazua Enrique 'Propagation, Observation, and Control of Waves Approximated by Finite
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Zuhlsdorff Christian 'Extended LIBOR Market Models with Affine & Quadratic Volatility'
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Zuhlsdorff Christian 'The Pricing of Derivatives on Assets with Quadratic Volatility'
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Zumbach Gilles 'Volatility Processes & Volatility Forecasts with Long Memory' QF 2/04
Zumbusch Gerhard 'Finite Difference Schemes on Sparse Grids for Time Dependent
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