Update Oct 09

Aboul-Enein Shady, Georges Dionne, Nicolas Papageorgiou 'Performance Analysis of a Collateralized Fund
Obligationn (CFO) Equity Tranche' SSRN 7/09

Acharya Viral, Lars Lochstoer, Tarun Ramadorai 'Limits to Arbitrage and Hedging: Evidence from Commodity
Markets' SSRN July 09
Adrian Tobias, Mark Westerfield 'Disagreement and Learning in a Dynamic Contracting Model' RFS V.22 #10 Oct.
2009
Aguilar Mike 'A Latent Factor Model of Multivariate Conditional Heteroscedasticity' J. of Financial Econometrics
V.7 #4 Fall 2009
Aït-Sahalia Yacine, Per Mykland 'Estimating Volatility in the Presence of Market Microstructure Noise: A Review
of the Theory and Practical Considerations' in Handbook of Financial Time Series Andersen, T.G.; Davis,
R.A.; Kreiß, J.-P.; Mikosch, Th. (Eds.) 2009 Springer
Akcoglu Karhan, Petros Drineas, Ming-Yang Kao 'Fast Universalization of Investment Strategies' SIAM Journal on
Computing 34(1) 2005
Albanese Claudio, Aleksandar Mijatovic 'A Stochastic Volatility Model for Risk-Reversals in Foreign Exchange'
IJT&AF tobe
Albanese Claudio, Harry Lo, Aleksandar Mijatovic 'Spectral Methods for Volatility Derivatives' QF V.9, #6 2009
<VIX, regime switching> <option-pricing>
Albuquerque Rui, Enrique Schroth 'Quantifying Private Benefits of Control from a Structural Model of Block
Trades' SSRN Aug. 2009
Aldrich Eric, Howard Kung 'Computational Methods for Production-Based Asset Pricing Models with Recursive
Utility' SSRN 9/09
Alexander Ljungqvist, Christopher Malloy, Felicia Marston 'Rewriting History' JofF V.64,#4
Alexopoulou Ioana, Magnus Andersson, Oana Maria Georgescu 'An Empirical Study on the Decoupling
Movements between Corporate Bond and CDS Spreads' SSRN August 2009
Alghalith Moawia 'Dynamic Portfolio Optimization with Background Risk' SSRN July 09
Alghalith Moawia 'Optimal Options Pricing and Trading: A New Approach' SSRN Aug. 2009
Alghalith Moawia 'Portfolio Optimization without the Self-Financing Assumption' SSRN 9/09
Ali Ashiq, Sandy Klasa, Eric Yeung 'The Limitations of Industry Concentration Measures Constructed with
Compustat Data: Implications for Finance Research' RFS V.22 #10 Oct. 2009
Allen David, Abhay Kumar-Singh, Robert Powell 'Asset Pricing, the Fama-French Factor Model and the
Implications of Quantile Regression Analysis' SSRN August 2009
Allen Eric, Chad Larson, Richard Sloan 'Accrual Reversals, Earnings and Stock Returns' SSRN 10/09
Allouch Nizar, Cuong Le Van, Frank Page, Jr. 'The Geometry of Arbitrage and the Existence of Competitive
Equilibrium' Journal of Mathematical Economics 38, 2002
Al-Najjar Nabil 'Decision Makers as Statisticians: Diversity, Ambiguity, and Learning' Econometrica Sept. 2009 –
V.77, #5
Alòs Elisa, Jorge León, Monique Pontier, Josep Vives 'A Hull and White Formula for a General Stochastic
Volatility Jump-Diffusion Model with Applications to the Study of the Short-Time Behavior of the Implied
Volatility' Journal of Applied Mathematics and Stochastic Analysis Volume 2009 (2008)
Alpert Karen 'The Effects of Taxation on Put-Call Parity' Accounting & Finance, V.49,#3, September 2009
Amalia Di Iorio, Emawtee Bissoondoyal-Bheenick, Hasniza Mohd Taib, Terrence Hallahan 'Does Corporate Bond
Rating Revision Announcement Matter?' SSRN August 2009
Amenc Noël, Lionel Martellini, Volker Ziemann 'Inflation-Hedging Properties of Real Assets and Implications for
Asset–Liability Management Decisions' Journal of Portfolio Management Summer 2009, V.35,# 4
Amor Jaleleddine Ben, Abdelhamid Trad 'Pricing with Non-Smooth Utility Function' Stochastics V.81,#3/4 2009
Andersen Allan Sall Tang 'Inflation Risk Premia in the Term Structure of Interest Rates: Evidence from Euro Area
Inflation Swaps' SSRN August 2009
Andersen Leif 'Option Pricing with Quadratic Volatility: A Revisit' wp 2008
Andersen Torben, Luca Benzoni 'Realized Volatility' in Handbook of Financial Time Series Andersen, T.G.; Davis,
Anderson Evan, Eric Ghysels, Jennifer Juergens 'The Impact of Risk and Uncertainty on Expected Returns' JFE
V.94,#2 Nov. 2009
Andrade Sandro, Elaine Henry, Dhananjay Nanda 'Leases, Off-Balance Sheet Leverage, and the Pricing of Credit
Risk' SSRN 10/09
Andreoni James, B. Douglas Bernheim 'Social Image and the 50–50 Norm: A Theoretical and Experimental
Analysis of Audience Effects' Econometrica Sept. 2009 V.77, #5
Andreou Elena, Eric Ghysels 'Structural Breaks in Financial Time Series' in Handbook of Financial Time Series
Andersen, T.G.; Davis, R.A.; Kreiß, J.-P.; Mikosch, Th. (Eds.) 2009 Springer
Ankirchner Stefan, Peter Imkeller, Alexandre Popier 'On Measure Solutions of Backward Stochastic Differential
Equations' SP&A V.119,#9 Sept. 2009
Anteneodo Celia, Silvio Duarte Queiros 'Statistical Mixing and Aggregation In Feller Diffusion' arXiv 10/09
Apreda Rodolfo 'An Axiomatic Treatment of Enlarged Separation Portfolios and Treasurer’s Portfolios (with
Applications to Financial Synthetics)' SSRN July 09
Arkin V.I., A. D. Slastnikov 'A Variational Approach to Optimal Stopping Problems for Diffusion Processes' Theory
of Prob. and its Applications V.53,#3 2009
Armstrong Chris, Snehal Banerjee, Carlos Corona 'Uncertainty about Betas and Expected Returns' SSRN August
2009
Arsenault Marcel, Liang Peng 'Mortgage Fund Flows, Capital Appreciation, and Real Estate Cycles' SSRN August
2009
Asai Manabu, Michael McAleer 'Alternative Asymmetric Stochastic Volatility Models' SSRN 9/09
Asai Manabu, Michael McAleer 'Dynamic Conditional Correlations for Asymmetric Processes' SSRN 9/09
Asai Manabu, Michael McAleer 'Multivariate Stochastic Volatility, Leverage and News Impact Surfaces'
Econometrics Journal, V.12,#2, July 2009
Asai Manabu, Michael McAleer 'The Structure of Dynamic Correlations In Multivariate Stochastic Volatility
Models' Journal of Econometrics V.150,#2 June 2009
Asai Manabu, Michael McAleer, Marcelo Medeiros 'Asymmetry and Leverage in Realized Volatility' SSRN 9/09
Asai Manabu, Michael McAleer, Marcelo Medeiros 'Modelling and Forecasting Noisy Realized Volatility' SSRN
9/09
Ashcraft Adam, João A.C. Santos 'Has the CDS Market Lowered the Cost of Corporate Debt?' Journal of Monetary
Economics, V. 56,# 4, 2009
Atanasov Vladimir, John Merrick 'The Impacts of Arbitrage Risk and Heterogeneity of Beliefs on the Demand
Curve for Federal Home Loan Bank Discount Notes' SSRN Aug. 2009
Aurzada Frank, Steffen Dereich 'Small Deviations of General Lévy Processes' Ann. Prob. V.37,#5 2009 <Esscher
transform>
Axelson Ulf, Per Strömberg, Michael Weisbach 'Why Are Buyouts Levered? The Financial Structure of Private
Equity Funds' JofF V.64,#4
Axelson Ulf, Sandeep Baliga 'Liquidity and Manipulation of Executive Compensation Schemes' RFS V.22 #10 Oct.
2009
Azhar A.K.M., S.I.W. Osman, R.A. Parinduri 'On Capital Market Ratios and Stock Valuation: A Geometric
Approach' SSRN August 2009
Azzimonti Marina, Pierre-Daniel Sarte, Jorge Soares 'Distortionary Taxes and Public Investment when
Government Promises are not Enforceable' JED&C V.33,#9 Sept. 2009
Baba Naohiko, Frank Packer 'Interpreting Deviations from Covered Interest Parity during the Financial Market
Turmoil of 2007–08' Journal of Banking and Finance Nov. 2009 V.33,#11
Babbel David, Geoffrey VanderPal, Jack Marrion 'Real World Index Annuity Returns' SSRN 10/09
Babenko Ilona, Yuri Tserlukevich 'Analyzing the Tax Benefits from Employee Stock Options' JofF V.64,#4
Bai Jushan 'Panel Data Models with Interactive Fixed Effects' Econometrica V.77,#4 July 2009
Bai Zhidong, Huixia Liu, Wing-Keung Wong 'Enhancement of the Applicability of Markowitz's Portfolio
Optimization by Utilizing Random Matrix Theory' Mathematical Finance V.19,#4 Oct. 2009
Bainbridge Carla, Don (Tissa) Galagedera 'Relative Performance of Equity Markets: An Assessment in the
Conventional and Downside Frameworks' International Journal of Business, V. 14,#1, 2009
Bajo Emanuele, Massimiliano Barbi 'The Risk-Shifting Effect and the Value of a Warrant' Quantitative Finance,
Forthcoming SSRN 9/09
Bakshi Gurdip, Dilip Madan, George Panayotov 'Returns of Claims on the Upside and the Viability of U-Shaped
Pricing Kernels' SSRN August 2009
Bali Turan, Armen Hovakimian 'Volatility Spreads and Expected Stock Returns' Management Science,
Forthcoming SSRN August 2009
Bali Turan, K. Ozgur Demirtas 'Predictability of Risk Measures in International Stock Markets' SSRN July 09
Bali Turan, K. Ozgur Demirtas 'Small Sample Bias in Panel Data' SSRN July 09
Bali Turan, K. Ozgur Demirtas, Armen Hovakimian 'Corporate Financing Activities and Contrarian Investment'
Review of Finance, Forthcoming
Bali Turan, K. Ozgur Demirtas, Haim Levy 'Is There an Intertemporal Relation between Downside Risk and
Expected Returns?' JF&QA V.44,#4 Aug. 09
Bali Turan, K. Ozgur Demirtas, Kishore Tandon 'Investigating ICAPM in International Futures Markets' SSRN July
09
Ballotta Laura 'Pricing and Capital Requirements for with Profit Contracts: Modelling Considerations' Profits' QF
V.9,#7 2009
Baltussen Guido 'Behavioral Finance: An Introduction' SSRN 10/09
Bamber Linda Smith, Orie Barron, Douglas Stevens 'Trading Volume Around Earnings Announcements and Other
Financial Reports: Theory, Research Design, Empirical Evidence, and Directions for Future Research'
SSRN 9/09
Bandiera Oriana, Iwan Barankay, Imran Rasul 'Social Connections and Incentives in the Workplace: Evidence
From Personnel Data' Econometrica V.77,#4 July 2009
Banerjee Snehal, Ron Kaniel, Ilan Kremer 'Price Drift as an Outcome of Differences in Higher-Order Beliefs' RFS
V.22,#9 Sept. 09
Bank Matthias, Georg Peter 'Public Attention, Adverse Selection, and the Pricing of Stocks' SSRN 10/09
Bankovsky Damien, Allan Sly 'Exact Conditions for No Ruin for the Generalised Ornstein–Uhlenbeck Process'
SP&A V.119,#8, p. 2544-2562 August 2009 <CIR processes>
Bannouh Karim, Dick van Dijk, Martin Martens 'Range-Based Covariance Estimation Using High-Frequency Data:
The Realized Co-Range' J. of Financial Econometrics V.7 #4 Fall 2009
Bansal Naresh, Robert Connolly, Christopher Stivers 'Equity Risk and Treasury Bond Pricing' SSRN 9/09
Bansal Naresh, Robert Connolly, Christopher Stivers 'Regime-Switching in Stock Index and Treasury Futures
Returns and Measures of Stock Market Stress' SSRN 10/09
Barbato Fabio, Giuseppe Garofalo 'The Credibility of the Exchange Rate Regime: An Analysis Trough
"Derivatives" of the September 1992 Crisis' SSRN 10/09
Barberis Nicholas, Ming Huang 'Preferences with Frames: a New Utility Specification that Allows for the Framing
of Risks' JED&C V.33,#8 Aug. 2009
Barinov Alexander 'Analyst Disagreement and Aggregate Volatility Risk' SSRN July 09
Barnea Amir, Henrik Cronqvist, Stephan Siegel 'Nature or Nurture: What Determines Investor Behavior?' SSRN
9/09
Barnhart Scott, Stuart Rosenstein 'Exchange-Traded Fund Introductions and Closed-End Discounts and Volume'
The Financial Review, Forthcoming 2009
Barunik Jozef, Miloslav Vosvrda 'Can a Stochastic Cusp Catastrophe Model Explain Stock Market Crashes?' JED&C
V.33,#10 Oct. 2009
Basak Suleyman, Hongjun Yan 'Equilibrium Asset Prices and Investor Behavior in the Presence of Money Illusion'
SSRN Sept. 09
Basse Andreas, Jan Pedersen 'Lévy Driven Moving Averages and Semimartingales' SP&A V.119,#9 Sept. 2009
Basso Henrique 'Delegation, Time Inconsistency and Sustainable Equilibrium' JED&C V.33,#8 Aug. 2009
Bates Thomas, Kathleen Kahle, René Stulz 'Why Do U.S. Firms Hold So Much More Cash than They Used To?' JofF
V.64,#5 Oct. 2009
Baurdoux Erik, Andreas Kyprianou 'The Shepp–Shiryaev Stochastic Game Driven by a Spectrally Negative Lévy
Process' Theory of Prob. and its Applications V.53,#3 2009
Bauwens Luc, Nikolaus Hautsch 'Modelling Financial High Frequency Data Using Point Processes' in Handbook of
Financial Time Series Andersen, T.G.; Davis, R.A.; Kreiß, J.-P.; Mikosch, Th. (Eds.) 2009 Springer
Bayraktar Erhan, Virginia Young 'Maximizing Utility of Consumption Subject to a Constraint on the Probability of
Lifetime Ruin' Finance Research Letters V.5,#4 Dec. 08
Bayraktar Erhan, Virginia Young 'Mutual Fund Theorems when Minimizing the Probability of Lifetime Ruin'
Finance Research Letters V.5,#2 June 08
Bekaert Geert, Eric Engstrom 'Asset Return Dynamics under Bad Environment-Good Environment Fundamentals'
SSRN Aug. 2009
Bekker Paul, Kees Bouwman 'Arbitrage Smoothing in Fitting a Sequence of Yield Curves' IJT&AF V.12,#5 August
2009
Belitsky Vladimir, Antonio Pereira, Fernando de Almeida Prado 'Stability Analysis with Applications of a Two-
Dimensional Dynamical System Arising from a Stochastic Model of an Asset Market' arXiv 10/09
Bellalah Mondher 'Exotic Derivatives and Risk: Theory, Extensions and Applications' EXOTIC DERIVATIVES AND
RISK: THEORY, EXTENSIONS AND APPLICATIONS, Forthcoming SSRN 9/09
Bellalah Mondher, Jean-Luc Prigent, Jean-Michel Sahut 'Risk Management and Value: Valuation and Asset
Pricing' World Scientific Studies in International Economics, V.3
Ben Sita Bernard 'Variance Transmission among Petroleum Commodities'
Ben-Ameur Hatem, Damiano Brigo, Eymen Errais 'A Dynamic Programming Approach for Pricing CDS and CDS
Options' QF V.9, #6 2009
Benchekroun Hassan, Guiomar Martín-Herrán, Sihem Taboubi 'Could Myopic Pricing be a Strategic Choice in
Marketing Channels? A Game Theoretic Analysis' JED&C V.33,#9 Sept. 2009
Bender Christian, Tina Marquardt 'Integrating Volatility Clustering into Exponential Lévy Models' J. Applied
Probability V.46,#3 Sept. 09
Benhamou Eric, Pierre Gauthier 'Impact of Stochastic Interest Rates and Stochastic Volatility on Variable
Annuities' SSRN 10/09
Berardi Andrea 'Term Structure, Inflation, and Real Activity' JF&QA V.44,#4 Aug. 09
Berger Allen, Christa Bouwman 'Bank Liquidity Creation' RFS V.22,#9 Sept. 09
Berger David, Alain Chaboud, Erik Hjalmarsson 'What Drives Volatility Persistence in the Foreign Exchange
Market?' JFE V.94,#2 Nov. 2009
Bergstresser Daniel, Jeffrey Pontiff 'Investment Taxation and Portfolio Performance' SSRN 7/09
Bergstresser Daniel, John Chalmers, Peter Tufano 'Assessing the Costs and Benefits of Brokers in the Mutual
Fund Industry' RFS V.22 #10 Oct. 2009
Bernard Carole, Phelim Boyle, William Gornall 'Fixed-Strike European Arithmetic Asian Options: A Comment'
SSRN 10/09
Bernis Guillaume 'CDO Pricing with Expected Loss Parametric Interpolation' J. Credit Risk Fall 2009 V.5,#3
Bertus Mark, Jonathan Godbey, Jimmy Hilliard 'Minimum Variance Cross Hedging under Mean-Reverting
Spreads, Stochastic Convenience Yields, and Jumps: Application to the Airline Industry' J. Futures
Markets V.29,#8 August 2009
Bessembinder Hendrik, Kathleen Kahle, William Maxwell, Danielle Xu 'Measuring Abnormal Bond Performance'
RFS V.22 #10 Oct. 2009
Beveridge Christopher 'Very Long-Stepping in the Spot Measure of the LIBOR Market Model' SSRN August 2009
Beveridge Christopher, Mark Joshi ' Interpolation Schemes in the Displaced-Diffusion LIBOR Market Model and
the Efficient Pricing and Greeks for Callable Range Accruals' SSRN August 2009
Bhandari Rishabhi, Sanjiv Das 'Options on Portfolios with Higher-Order Moments' Finance Research Letters
V.6,#3 Sept.09
Bhansali Vineer 'Market Crises-Can the Physics of Phase Transitions and Symmetry Breaking Tell Us Anything
Useful?' SSRN 10/09
Bhansali Vineer 'Market Crises—Can the Physics of Phase Transitions and Symmetry Breaking Tell Us Anything
Useful?' J. of Investment Management 3Q 2009
Bhattacharya Rabi, Edward Waymire 'Stochastic Processes with Applications' SAIM Press 2009
Bhojraj Sanjeev, Paul Hribar, Marc Picconi, John Mcinnis 'Making Sense of Cents: An Examination of Firms That
Marginally Miss or Beat Analyst Forecasts' JofF V.64,#5 Oct. 2009
Bhowmick Partho Sarathi 'A Stochastic Model for Default-Free Bond Prices and Continuously Compounding
Yield-to-Maturity' SSRN 10/09
Biagini Francesca, Alessandra Cretarola 'Local Risk Minimization for Defaultable Markets' Mathematical Finance
V.19,#4 Oct. 2009
Bielecki Tomasz, Stéphane Crépey, Monique Jeanblanc, Marek Rutkowski 'Defaultable Game Options in a Hazard
Process Model' Journal of Applied Mathematics and Stochastic Analysis Volume 2009 (2009)
Bierman Harold, Jerome Hass 'Explaining Earnings Per Share Growth' Journal of Portfolio Management Summer
2009, V.35,# 4
Bikbov Ruslan, Mikhail Chernov 'Unspanned Stochastic Volatility in Affine Models: Evidence from Eurodollar
Futures and Options' Management Science V.55,#8 August 2009
Bikker Jacob Antoon, Dirk Broeders, David Hollanders, Eduard Ponds 'Pension Funds’ Asset Allocation and
Participant Age: A Test of the Life-Cycle Model' SSRN August 2009
Bilias Yannis, Dimitris Georgarakos, Michael Haliassos 'Portfolio Inertia and Stock Market Fluctuations' Journal of
Money, Credit, and Banking, Forthcoming SSRN 10/09
Bing Cheng, Howell Tong 'Asset Pricing: A Structural Theory and Its Applications' ASSET PRICING: A STRUCTURAL
THEORY AND ITS APPLICATIONS, World Scientific, 2008
Björk Tomas 'An Overview of Interest Rate Theory' in Handbook of Financial Time Series Andersen, T.G.; Davis,
Blackburn Douglas, William Goetzmann, Andrey Ukhov 'Risk Aversion and Clientele Effects' SSRN 9/09
Blavy Rodolphe, Luciana Juvenal 'Mexico’s Integration into NAFTA Markets: A View from Sectoral Real Exchange
Rates' FRB St. Louis Sept/Oct. 2009 V.91,#5, Part 1
Blei Stefan, Hans-Jürgen Engelbert 'On Exponential Local Martingales Associated with Strong Markov Continuous
Local Martingales' SP&A V.119,#9 Sept. 2009
Blitz David, Joop Huij, Laurens Swinkels 'Dividend Withholding Taxes and the Performance of European Index
Funds and ETFs' SSRN 7/09
Bloch Daniel Alexandre 'Fast Calibration of Interest Rate Claims in the Quadratic Gaussian Model:2 the
Swaptions' SSRN Aug. 2009
Blommestein Hans 'Difficulties in the Pricing of Risks in a Fast-Moving Financial Landscape (A Methodological
Perspective)' SSRN 9/09
Blommestein Hans 'The Financial Crisis as a Symbol of the Failure of Academic Finance? (A Methodological
Digression)' SSRN 9/09
Bluman George, Stephen Anco 'Applications of Symmetry Methods to Partial Differential Equations' <Lie-
Backlund> Springer Press 2010
Boehmer Ekkehart, Eric Kelley 'Institutional Investors and the Informational Efficiency of Prices' RFS V.22,#9
Sept. 09
Böhringer Christoph, Thomos Rutherford 'Integrated Assessment of Energy Policies: Decomposing Top-Down
and Bottom-up' JED&C V.33,#9 Sept. 2009
Bollen Bernard 'The Security Market Plane' SSRN July 2009
Bollen Nicolas, Veronika Pool 'Do Hedge Fund Managers Misreport Returns? Evidence from the Pooled
Distribution' JofF V.64,#5 Oct. 2009
Bollerslev Tim, Uta Kretschmer, Christian Pigorsch, George Tauchen 'A Discrete-Time Model for Daily S & P500
Returns and Realized Variations: Jumps and Leverage Effects' Journal of Econometrics V.150,#2 June
2009
Bond Shaun, Soosung Hwang, Gianluca Marcato 'Evaluating Unsmoothing Procedures for Appraisal Data' SSRN
Aug. 2009
Bongaerts Dion, Frank de Jong, Joost Driessen 'Derivative Pricing with Liquidity Risk: Theory and Evidence from
the Credit Default Swap Market' SSRN 9/09
Borghesi Richard, William Dare 'A Test of the Widespread-Point-Shaving Theory' Finance Research Letters V.6,#3
Sept.09
Borovkov A.A. 'Large Sample Change-Point Estimation when Distributions Are Unknown' Theory of Prob. and its
Applications V.53,#3 2009
Bostic Raphael, Souphala Chomsisengphet, Kathleen Engel, Patricia McCoy, Anthony Pennington-Cross, Susan
Wachter 'Mortgage Product Substitution and State Anti-Predatory Lending Laws: Better Loans and
Better Borrowers?' SSRN August 2009
Bouchard Bruno 'A Stochastic Target Formulation for Optimal Switching Problems in Finite Horizon' Stochastics
V.81,#2 2009
Bouveret Antoine 'The CDS Market' (in French) SSRN 10/09
Bouveret Antoine 'The Credit Default Swap (CDS) Market' SSRN 10/09
Bowman Robert, Kam Fong Chan, Matthew Comer 'Diversification, Rationality and the Asian Economic Crisis'
Pacific-Basin Finance Journal, Forthcoming SSRN August 2009
Boyarchenko Mitya, Svetlana Boyarchenko 'Double Barrier Options in Regime-Switching Hyper-Exponential
Jump-Diffusion Models' SSRN Aug. 2009
Boyarchenko Svetlana, Sergei Levendorskii 'Snowball Effect of a CDS Market' SSRN Aug. 2009
Bramante Riccardo, Giampaolo Gabbi 'An Asset Allocation Model Based on a Semi Variance Adjusted Sharpe
Ratio' SSRN August 2009
Brandes Ari Joshua 'Bringing Structured Notes from Financial Bets to Managed Investments' SSRN 9/09
Brandes Ari Joshua 'Why the Lack of the 'Right, But Not the Obligation' to Exercise a Credit Default Swap Upon
the Occurrence of a Credit Event Does Not Prevent the Characterization of a Credit Default Swap as an
Option' SSRN 9/09
Brandes Institute 'Is U.S. Small Cap a Viable Alternative to U.S. Private Equity?' SSRN July 09
Brandouy Olivier, Philippe Mathieu, Iryna Veryzhenko 'Ex-Post Optimal Strategy for the Trading of a Single
Financial Asset' SSRN July 09
Brandt Michael, Pedro Santa-Clara, Rossen Valkanov 'Parametric Portfolio Policies: Exploiting Characteristics in
the Cross-Section of Equity Returns' RFS V.22,#9 Sept. 09
Branger Nicole, Holger Kraft, Christoph Meinerding 'What is the Impact of Stock Market Contagion on an
Investor’s Portfolio Choice?' Insurance:Mathematics and Economics V.45,#1 August 2009
Braouezec Yann 'Financing Constraint, Over-Investment and Market-to-Book Ratio' Finance Research Letters
V.6,#1 March 09
Bredin Don, Cal Muckley 'An Analysis of the EU Emission Trading Scheme' SSRN 9/09
Brigo Damiano, Massimo Morini 'Last Option before the Armageddon' RISK 9/09 <credit index options>
Brock William, Cars Hommes, Florian Wagener 'More Hedging Instruments May Destabilize Markets' JED&C
V.33,#1 Nov. 2009
Brockman Paul, Dennis Chung, Christophe Pérignon 'Commonality in Liquidity: A Global Perspective' JF&QA
V.44,#4 Aug. 09
Brockwell Peter 'An Overview of Asset–Price Models' in Handbook of Financial Time Series Andersen, T.G.; Davis,
Brockwell Peter 'Lévy–Driven Continuous–Time ARMA Processes' in Handbook of Financial Time Series
Brockwell Peter, Alexander Lindner 'Existence and Uniqueness of Stationary Lévy-Driven CARMA Processes'
SP&A V.119,#8, p. 2660-2681 August 2009
Broda Simon, Marc Paolella 'CHICAGO: A Fast and Accurate Method for Portfolio Risk Calculation' J. of Financial
Econometrics V.7 #4 Fall 2009
Broeders Dirk, An Chen 'Pension Regulation and the Market Value of Pension Liabilities - A Contingent Claims
Analysis Using Parisian Options' SSRN August 2009
Brown A.A., L.C.G. Rogers 'Diverse Beliefs' SSRN 10/09
Brown Angus 'A Note on Heterogeneous Beliefs with CRRA Utilities' SSRN Aug. 2009
Brown Angus 'Heterogeneous Beliefs with Partial Observations' SSRN Aug. 2009
Bruche Max, Hassan Naqvi 'A Structural Model of Debt Pricing with Creditor-Determined Liquidation' SSRN
10/09
Buch Claudia, John Driscoll, Charlotte Ostergaard 'Cross-Border Diversification in Bank Asset Portfolios'
International Finance, Forthcoming SSRN 10/09
Budiono Diana, Martin Martens 'Persistence in Mutual Fund Performance and Time-Varying Risk Exposures'
SSRN 9/09
Buehler Hans 'Delta-Hedging Works: On Market Completeness in Diffusion Models' SSRN August 2009
Bulkley George, Vivekanand Nawosah 'Can the Cross-Sectional Variation in Expected Stock Returns Explain
Momentum?' JF&QA V.44,#4 Aug. 09
Bullard James, Christopher Neely, David Wheelock 'Systemic Risk and the Financial Crisis: A Primer' FRB St. Louis
Sept/Oct. 2009 V.91,#5, Part 1
Burnaev Evgeniy, Eugene Feinberg, Albert Shiryaev 'On Asymptotic Optimality of the Second Order in the
Minimax Quickest Detection Problem of Drift Change for Brownian Motion' Theory of Prob. and its
Buttazzo Giuseppe, Filippo Santambrogio 'A Mass Transportation Model for the Optimal Planning of an Urban
Region' SIAM Review V.51,#3 Sept. 09
Caginalp Gunduz 'Nonlinear Price Evolution' Quarterly of Applied Mathematics, V.63, 2005
Cai Jie, Jacqueline Garner, Ralph Walkling 'Electing Directors' JofF V.64,#5 Oct. 2009
Cai Yijie, Ray Yeutien Chou, Dan Li 'Explaining International Stock Correlations with CPI Fluctuations and Market
Volatility' Journal of Banking and Finance Nov. 2009 V.33,#11
Camilleri Silvio John, Gabriella Galea 'The Diversification Potential Offered by Emerging Markets in Recent Years'
The FEMA Research Bulletin, V. 1,#3, pp. 21-37, 2009
Campanale Claudio 'Life-Cycle Portfolio Choice: The Role of Heterogeneous Under-Diversification' JED&C V.33,#9
Sept. 2009
Campbell John 'The Fair Value of Cash Flow Hedges, Future Profitability and Stock Returns' SSRN Aug. 2009
Campbell Rachel, Kathryn Graddy, Jonathan Hamilton 'Repeat Sales Indexes: Estimation Without Assuming that
Errors in Asset Returns are Independently Distributed' SSRN August 2009
Campello Murillo, Erasmo Giambona, John Graham, Campbell Harvey 'Liquidity Management and Corporate
Investment During a Financial Crisis' SSRN August 2009
Cao Jie, Bing Han 'Cross-Section of Stock Option Returns and Individual Stock Volatility Risk Premium' SSRN
August 2009
Caporin Massimiliano, Francesco Lisi 'A Conditional CAPM Model with Local Covariates for Detecting and
Evaluating Active Management' SSRN 9/09
Capuano Christian, Jorge Chan-Lau, Jose Giancarlo Gasha, Carlos Medeiros, Andre Oliveira Santos, Marcos Rietti
Souto 'Recent Advances in Credit Risk Modeling' SSRN August 2009
Carcano Nicola 'Yield Curve Risk Management: Adjusting Principal Component Analysis for Model errors' <PCA,
hedge> J. of Risk Fall 2009 V.12,#1
Carpentier Cecile, Douglas Cumming, Jean-Marc Suret 'The Valuation Effect of Listing Requirements: An Analysis
of Venture Capital-Backed IPOs' SSRN August 2009
Carr Peter, Christian-Oliver Ewald, Yajun Xiao 'On the Qualitative Effect of Volatility and Duration on Prices of
Asian Options' Finance Research Letters V.5,#3 Sept. 08
Carr Peter, Roger Lee 'Put-Call Symmetry: Extensions And Applications' Mathematical Finance V.19,#4 Oct. 2009
Carter Richard, Rick Dark, Travis Sapp 'Characterizing the Risk of IPO Long-Run Returns: The Impact of
Momentum, Liquidity, Skewness, and Investment' SSRN August 2009
Case James 'A Simple Predicative Model for El Nino' SIAM News V.42,#8 Oct.2009
Case John 'What Role Did Mathematical Models Play in the Financial Crisis' SIAM News September 2009
Caskey Judson 'Information in Equity Markets with Ambiguity-Averse Investors' RFS V.22,#9 Sept. 09
Cecchetti Stephen, Jacob Gyntelberg, Marc Hollanders 'Central Counterparties for Over-the-Counter Derivatives'
BIS Quarterly Review, September 2009
Cerný Alescaron, Jan Kallsen 'Hedging by Sequential Regressions Revisited' Mathematical Finance V.19,#4 Oct.
2009
Cesa Mauro, Laurie Carver 'Rehabilitating Innovation' <credit models> RISK 8/09
Chai Daniel 'Liquidity in Asset Pricing: New Evidence Using Low Frequency Data' SSRN August 2009
Chalamandaris George, Andrianos Tsekrekos 'Predictable Dynamics in Implied Volatility Surfaces from OTC
Currency Options' SSRN 10/09
Chan Jiun Hong, Mark Joshi, Robert Tang, Chao Yang 'Trinomial or Binomial: Accelerating American Put Option
Price on Trees' J. Futures Markets V.29,#9 September 2009
Chan Kam Fong, Philip Gray 'Using Extreme Value Theory to Measure Value-at-Risk for Daily Electricity Spot
Prices' International Journal of Forecasting, V. 22, #2, 2006
Chan Ngai Hang 'Time Series with Roots on or Near the Unit Circle' in Handbook of Financial Time Series
Chan Wing 'Optimal Hedge Ratios in the Presence of Common Jumps' SSRN July 09
Chan Wing, Denise Young 'A New Look at Copper Markets: A Regime-Switching Jump Model' Review of Futures
Markets, Forthcoming
Chance Don, Andrei Shynkevich, Tung-Hsiao Yang 'Experimental Evidence on Portfolio Size and Diversification:
Your Mileage May Vary' SSRN 10/09
Chang Bo Young, Peter Christoffersen, Kris Jacobs 'Market Skewness Risk and the Cross-Section of Stock Returns'
SSRN 10/09
Chang Xin, Sudipto Dasgupta 'Target Behavior and Financing: How Conclusive Is the Evidence?' JofF V.64,#4
Chang Yoosoon, J. Isaac Miller, Joon Park 'Extracting a Common Stochastic Trend: Theory with Some
Applications' Journal of Econometrics V.150,#2 June 2009
Chapman David, Valery Polkovnichenko 'First-Order Risk Aversion, Heterogeneity, and Asset Market Outcomes'
JofF V.64,#4
Chattopadhyay Subir, Antonio Jiménez-Martínez 'Dividend Paying Assets, the Unit Root Property, and
Suboptimality' J. Mathematical Economics V.45,#3-4 March 2009
Chaudhury Mo 'Issues in Operational Risk Capital Modeling' SSRN 10/09
Chen Hsiu-lang, George Pennacchi ' Does Prior Performance Affect a Mutual Fund’s Choice of Risk? Theory and
Further Empirical Evidence' JF&QA V.44,#4 Aug. 09
Chen Hsuan-Chi, Keng-Yu Ho 'Do IPO Index Portfolios Improve the Investment Opportunities for Mean–Variance
Investors?' Finance Research Letters V.6,#3 Sept.09
Chen Jing 'An Option Theory Based Yield Curve Model' SSRN July 09
Chen Long, Lu Zhang 'The Stock Market and Aggregate Employment' SSRN July 09
Chen Long, Pierre Collin-Dufresne, Robert Goldstein 'On the Relation Between the Credit Spread Puzzle and the
Equity Premium Puzzle' RFS V.22,#9 Sept. 09
Chen Tong, Duy Minh Dang, Christina Christara 'Quadratic Spline Collocation for One-Dimensional Linear
Parabolic Partial Differential Equations' Journal of Numerical Algorithms, July 2009
Chen Willa, Clifford Hurvich 'Fractional Cointegration' in Handbook of Financial Time Series Andersen, T.G.;
Davis, R.A.; Kreiß, J.-P.; Mikosch, Th. (Eds.) 2009 Springer
Chen Yong, Michael Connolly, Wenjin Tang, Tie Su 'The Value of Mortgage Prepayment and Default Options' J.
Futures Markets V.29,#9 September 2009
Chen Zhen-Qing, Masatoshi Fukushima 'On Unique Extension of Time Changed Reflecting Brownian Motions'
Annales de l'Institut Henri Poincaré V.45,#3 Aug. 2009
Cheng Shijun 'Perceived Importance of Corporate Boards in October 1987' Finance Research Letters V.5,#3 Sept.
08
Cheng Wen, Nick Costanzino, John Liechty, Anna Mazzucato, Victor Nistor 'Closed Form Asymptotics for Local
Volatility Models' arXiv 10/09
Cheong Foong Soon 'Information Flow and Stock Returns' SSRN 9/09
Cheridito Patrick, Michael Kupper 'Recursiveness of Indifference Prices and Translation-Invariant Preferences'
Mathematics and Financial Economics V.2,#3 Sept. 2009
Cheridito Patrick, Mitja Stadje 'Time-inconsistency of VaR and Time-Consistent Alternatives' Finance Research
Letters V.6,#1 March 09
Chervachidze Serguei, James Costello, William Wheaton 'The Secular and Cyclic Determinants of Capitalization
Rates: The Role of Property Fundamentals, Macroeconomic Factors, and “Structural Changes”' J.
Portfolio Management V.35,#5 Fall 2009
Cheung C. Sherman, Clarence C.Y. Kwan, Dean Mountain 'On the Nature of Mean-Variance Spanning' Finance
Research Letters V.6,#2 June 09
Cheung Ka Chun 'Applications of Conditional Comonotonicity to Some Optimization Problems'
Insurance:Mathematics and Economics V.45,#1 August 2009
Cheung Wing 'Generalised Factor View Blending: Augmented Black-Litterman in Non-Normal Financial Markets
with Non-Linear Instruments' SSRN August 2009
Chib Siddhartha, Yasuhiro Omori, Manabu Asai 'Multivariate Stochastic Volatility' in Handbook of Financial Time
Series Andersen, T.G.; Davis, R.A.; Kreiß, J.-P.; Mikosch, Th. (Eds.) 2009 Springer
Chien YiLi, Harold Cole, Hanno Lustig 'Is the Volatility of the Market Price of Risk Due to Intermittent Portfolio
Re-Balancing?' SSRN 9/09
Chin Chi-Ting, Jang-Ting Guo, Ching-Chong Lai 'Macroeconomic (in)Stability Under Real Interest Rate Targeting'
JED&C V.33,#9 Sept. 2009
Chiriac Roxana 'Nonstationary Wishart Autoregressive Model' SSRN 10/09
Chiu Hsin-Hui, Omesh Kini 'Equity Issuances, Equity Mutual Fund Flows, and Noise Trader Sentiment' SSRN
August 2009
Choi Jaehyuk, Kwangmoon Kim, Minsuk Kwak 'Numerical Approximation of the Implied Volatility under
Arithmetic Brownian Motion' Applied Math. Finance V.16,#3 2009
Choi Jaewon 'Rethinking the Conditional CAPM: The Impact of Financial Leverage' SSRN August 2009
Choi Jong-Hag, Linda Myers, Yoonseok Zang, David Ziebart 'The Effect of Management Earnings Forecasts on the
Relationship between Returns and Future Earnings and the Implications for the Continuation of
Management's Quarterly Earnings Guidance' SSRN 7/09
Choi Jongmoo Jay, Cao Jiang 'Does Multinationality Matter? Implications of Operational Hedging for the
Exchange Risk Exposure' Journal of Banking and Finance Nov. 2009 V.33,#11
Chollete Lorán, Andréas Heinen, Alfonso Valdesogo 'Modeling International Financial Returns with a Multivariate
Regime-switching Copula' J. of Financial Econometrics V.7 #4 Fall 2009
Chordia Tarun, Sahn-Wook Huh, Avanidhar Subrahmanyam 'Theory-Based Illiquidity and Asset Pricing' RFS
V.22,#9 Sept. 09
Chorvat Elizabeth 'Forcing Multinationals to Play Fair: Proposals for a Rigorous Transfer Pricing Theory' SSRN
9/09
Chou Robin, San-Lin Chung, Yu-Jen Hsiao, Yaw-Huei Wang 'The Impacts of Liquidity Risk on Option Prices' SSRN
9/09
Christiansen Charlotte, Angelo Ranaldo, Paul Söderlind 'The Time-Varying Systematic Risk of Carry Trade
Strategies' SSRN August 2009
Christoffersen Peter 'Value–at–Risk Models' in Handbook of Financial Time Series Andersen, T.G.; Davis, R.A.;
Kreiß, J.-P.; Mikosch, Th. (Eds.) 2009 Springer
Christoffersen Peter, Redouane Elkamhi, Bruno Feunou, Kris Jacobs 'Option Valuation with Conditional
Heteroskedasticity and Non-Normality' SSRN Aug. 2009
Christoffersen Peter, Steven Heston, Kris Jacobs 'The Shape and Term Structure of the Index Option Smirk: Why
Multifactor Stochastic Volatility Models Work so Well' SSRN Aug. 2009
Chung Huimin, Her-Jiun Sheu, Juo-Lien Wang 'Do Firms’ Earnings Management Practices Affect Their Equity
Liquidity?' Finance Research Letters V.6,#3 Sept.09
Chung Sang-Kuck 'Bivariate Mixed Normal GARCH Models and Out-of-Sample Hedge Performances' Finance
Research Letters V.6,#3 Sept.09
Chung San-Lin, Pai-Ta Shih 'Static Hedging and Pricing American Options' Journal of Banking and Finance Nov.
2009 V.33,#11
Cieslak Anna, Pavol Povala 'Understanding the Term Structure of Yield Curve Volatility' SSRN August 2009
Cinquegrana Piero 'The Need of Transparency in Commodity and Commodity Derivatives Markets' SSRN 10/09
Cížek Pavel, Vladimir Spokoiny 'Varying Coefficient GARCH Models' in Handbook of Financial Time Series
Claessens Stijn, Asli Demirgüç-Kunt, Fariborz Moshirian 'Global Financial Crisis, Risk Analysis and Risk
Measurement' Journal of Banking and Finance Nov. 2009 V.33,#11
Clayton Jim, S. Michael Giliberto, Jacques Gordon, Susan Hudson-Wilson, Frank J. Fabozzi, Youguo Liang 'Real
Estate’s Evolution as an Asset Class' J. Portfolio Management V.35,#5 Fall 2009
Cohen Lauren, Breno Schmidt 'Attracting Flows by Attracting Big Clients' JofF V.64,#5 Oct. 2009
Colaco Hugh, Chinmoy Ghosh, John Knopf, John Teall 'IPOs, Clustering, Indirect Learning and Filing
Independently' Journal of Banking and Finance Nov. 2009 V.33,#11
Collin-Dufresne Pierre, Robert Goldstein, Christopher Jones 'Can Interest Rate Volatility be Extracted from the
Cross Section of Bond Yields?' JFE V.94,#1 Oct. 2009
Connor Gregory, Robert Korajczyk 'Risk Management in Asset Management the Growth of Risk Management: A
History, 2003' SSRN Aug. 2009
Connor Gregory, Robert Korajczyk 'The Arbitrage Pricing Theory and Multifactor Models of Asset Returns'
Handbooks in Operations Research and Management Science, V.9 2009
Connor Gregory, Robert Korajczyk, Robert Uhlaner 'A Synthesis of Factor Estimation Methods' SSRN August 2009
Cont Rama, Romain Deguest, Yu Hang Kan 'Default Intensities implied by CDO Spreads: Inversion Formula and
Model Calibration' SSRN Aug. 2009
Cont Rama, Thomas Kokholm 'A Consistent Pricing Model for Index Options and Volatility Derivatives' SSRN 9/09
Cooper Michael, John McConnell, Alexei Ovtchinnikov 'What's the Best Way to Trade Using the January
Barometer?' SSRN July 2009
Corcoran Patrick 'Commercial Mortgage Default and Refinancing Risk: A Primer' J. Portfolio Management
V.35,#5 Fall 2009
Cornell Bradford 'Warren Buffett, Black-Scholes and Long Dated Options' SSRN July 09
Cornell Bradford, Richard Roll 'A Delegated Agent Asset-Pricing Model' SSRN July 09
Corradi Valentina, Walter Distaso, Norman Swanson 'Predictive Density Estimators for Daily Volatility Based on
the Use of Realized Measures' Journal of Econometrics V.150,#2 June 2009
Corte Pasquale Della, Lucio Sarno, Ilias Tsiakas 'An Economic Evaluation of Empirical Exchange Rate Models' RFS
V.22,#9 Sept. 09
Costello Anna, Regina Wittenberg Moerman 'The Impact of Financial Reporting Quality on Debt Contracting:
Evidence from Internal Control Weakness Reports' SSRN Aug. 2009
Costinot Arnaud 'An Elementary Theory of Comparative Advantage' Econometrica V.77,#4 July 2009
Cottle Richard, Jong-Shi, Richard Stone 'The Linear Complementary Problems' SIAM Press 2009
Cox Samuel, Gennady Medvedev 'The Market Price of Risk for Affine Interest Rate Term Structures' 6th
International AFIR-Colloquium, pp. 913-924, Nuremberg, October 1-31, 1996
Cremers K.J. Martijn, Antti Petajisto 'How Active Is Your Fund Manager? A New Measure That Predicts
Performance' RFS V.22,#9 Sept. 09
Cres Hervé, Tobias Markeprand, Mich Tvede 'Incomplete Financial Markets and Jumps in Asset Prices' SSRN 7/09
Croitoru Benjamin, Lei Lu 'Asset Pricing in a Monetary Economy with Heterogeneous Beliefs' SSRN Aug. 2009
Cronqvist Henrik, Rüdiger Fahlenbrach 'Large Shareholders and Corporate Policies' RFS V.22 #10 Oct. 2009
Cuchiero Christa, Damir Filipovi?, Eberhard Mayerhofer, Josef Teichmann 'Affine Processes on Positive
Semidefinite Matrices' arXiv 10/09
Cuchiero Christa, Damir Filipovic, Eberhard Mayerhofer, Josef Teichmann 'Affine Processes on Positive
Semidefinite Matrices' SSRN 10/09
Cullen Grant, Dominic Gasbarro, Gary Monroe, J. Kenton Zumwalt 'Systematic Risk and the Performance of
Mutual Funds Pursuing Momentum and Contrarian Trades' SSRN August 2009
Cullen Grant, Dominic Gasbarro, Gary Monroe, Kim-Song Le 'Selectivity in Mutual Fund Trades' SSRN August
2009
Culp Christopher, J. Paul Forrester 'Structured Financing Techniques in Oil & Gas Project Finance: Future Flow
Securitizations, Prepaids, Volumetric Production Payments, and Project Finance Collateralized Debt
Obligations' ENERGY & ENVIRONMENTAL PROJECT FINANCE LAW & TAXATION: NEW INVESTMENT
TECHNIQUES, A. S. Kramer & P. C. Fusaro, eds., Oxford University Press, Forthcoming
Cuoco Domenico, Ron Kaniel 'Equilibrium Prices in the Presence of Delegated Portfolio Management' SSRN
10/09
Currarini Sergio, Matthew Jackson, Paolo Pin 'An Economic Model of Friendship: Homophily, Minorities, and
Segregation' Econometrica V.77,#4 July 2009
Cvitanic Jakša, Semyon Malamud 'Equilibrium Driven by Discounted Dividend Volatility' SSRN 10/09
D’Argensio John-John, Frédéric Laurin 'The Real Estate Risk Premium: A Developed/Emerging Country Panel Data
Analysis' J. Portfolio Management V.35,#5 Fall 2009
Dai Min, Hanqing Jin, Yifei Zhong, Xun Yu Zhou 'Buy Low and Sell High' SSRN 10/09
Dai Qiang, Suresh Sundaresan 'Risk Management Framework for Hedge Funds: Role of Funding and Redemption
Options on Leverage' SSRN Aug. 2009
Dai Tian-Shyr 'Efficient Option Pricing on Stocks Paying Discrete or Path-Dependent Dividends with the Stair
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Dalgaard Carl-Johan, Martin Kaae Jensen 'Life-Cycle Savings, Bequest, And A Diminishing Impact Of Scale On
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Dalkir Mehmet 'Revisiting Stock Market Index Correlations' Finance Research Letters V.6,#1 March 09
Damodaran Aswath 'Ups and Downs: Valuing Cyclical and Commodity Companies' SSRN 9/09
Dana Rose-Anne, Cuong Le Van, François Magnien 'On the Different Notions of Arbitrage and Existence of
Equilibrium' Journal of Economic Theory 86 1999
Danielova Anna, Scott Smart, John Boquist 'What Motivates Exchangeable Debt Offerings?' Journal of Corporate
Finance, Forthcoming SSRN 9/09
Daniels Kenneth, Demissew Diro Ejara, Jayaraman Vijayakumar 'Debt Maturity, Credit Risk and Information
Asymmetry: The Case of Municipal Bonds' The Financial Review, Forthcoming SSRN 10/09
Darolles Serge, Christian Gourieroux 'The Effects of Management and Provision Accounts on Hedge Fund
Returns' SSRN 10/09
Dash Mihir 'Forex Risk Management Strategies for Indian IT Companies' SSRN 9/09
Dash Srikant, Niklas Wagner, Bernhard Brück, Christian Diller 'Tracking an Index with Narrow Baskets: Efficiency,
Costs and Tradeoffs Involved in Optimized Portfolios' SSRN 10/09
DaSilva Amadeu, Mira Farka, Christos Giannikos 'Habit Formation in an Overlapping Generations Model with
Borrowing Constraints' European Financial Management, Forthcoming
David Delphine, Nicolas Privault 'Numerical Computation of Theta in a Jump-Diffusion Model by Integration by
Parts' QF V.9, #6 2009
Davis Richard, Thomas Mikosch 'Extreme Value Theory for GARCH Processes' in Handbook of Financial Time
Davis Richard, Thomas Mikosch 'Extremes of Stochastic Volatility Models' in Handbook of Financial Time Series
Davis Richard, Thomas Mikosch 'Probabilistic Properties of Stochastic Volatility Models' in Handbook of Financial
Time Series Andersen, T.G.; Davis, R.A.; Kreiß, J.-P.; Mikosch, Th. (Eds.) 2009 Springer
Dawson Paul, Kevin Dowd, Andrew Cairns, David Blake 'Options on Normal Underlyings with an Application to
the Pricing of Survivor Swaptions' J. Futures Markets V.29,#8 August 2009
De Angelis Luca, Leonard Paas 'The Dynamic Analysis and Prediction of Stock Markets through the Latent
Markov Model' SSRN Sept. 09
De Dreui Jan, Jacob Antoon Bikker 'Pension Fund Sophistication and Investment Policy' SSRN August 2009
de Oliveira Pedro Góes Monteiro 'Financial Modeling, Valuation and Corporate Performance Management' SSRN
9/09
Deetz Marcus, Thorsten Poddig, Armin Varmaz 'Classifying Hedge Funds Using K-Means Clustering of Self-
Organizing Maps: A Return-Based Analysis of Misclassification and the Problem of Style Creep' SSRN
August 2009
Deetz Marcus, Thorsten Poddig, Irina Sidorovitch, Armin Varmaz 'An Evaluation of Conditional Multi-Factor
Models in Active Asset Allocation Strategies: An Empirical Study for the German Stock Market' Financial
Markets and Portfolio Management, V. 23, #3 2009
Dekimpe M.G., Donald Morrison, Marc Vanhuele, Sunil Sharma 'Probability Models for Duration: The Data Don't
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QF V.9,#7 2009
DeMiguel Victor, Yuliya Plyakha, Raman Uppal, Grigory Vilkov 'Improving Portfolio Selection Using Option-
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Demirtas K. Ozgur 'Nonlinear Asymmetric Models of the Short Term Interest Rate' Journal of Futures Markets,
Forthcoming
Dempster Michael, Ke Tang 'Estimating Exponential Affine Models with Correlated Measurement Errors:
Applications to Fixed Income and Commodities' SSRN August 2009
Dempster Michael, Matteo Germano, Elena Medova, James Murphy, Dermot Ryan, Francesco Sandrini 'Risk-
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Dennis Patrick, Stewart Mayhew 'Microstructural Biases in Empirical Tests of Option Pricing Models' Review of
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Dennis Richard, Kai Leitemo, Ulf Söderström 'Methods for Robust Control' JED&C V.33,#8 Aug. 2009
Denson Nick, Mark Joshi 'Fast and Accurate Greeks for the Libor Market Model' SSRN Aug. 2009
Derwall Jeroen, Joop Huij 'Global Equity Fund Performance, Portfolio Concentration, and the Fundamental Law
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Derwall Jeroen, Joop Huij, Dirk Brounen, Wessel Marquering 'REIT Momentum and the Performance of Real
Estate Mutual Funds' FAJ Sept./Oct. 2009 V.65,#5
Dhar Vasant 'Prediction in Financial Markets: The Case for Small Disjuncts' SSRN 10/09
Di Crescenzo Antonio, Barbara Martinucci 'On a First-Passage-Time Problem for the Compound Power-Law
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Dierkes Maik, Carsten Erner, Stefan Zeisberger 'Investment Horizon and the Attractiveness of Investment
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Dimitroff Georgi, Alexander Szimayer, Andreas Wagner 'Quanto Option Pricing in the Parsimonious Heston
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Dimmock Stephen, William Christopher Gerken 'Finding Bernie Madoff: Predicting Fraud by Investment
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Dionne Georges 'Structured Finance, Risk Management, and the Recent Financial Crisis' SSRN 10/09
Diris Bart, Franz Palm, Peter Schotman 'Long-Term Strategic Asset Allocation: An Out-of-Sample Evaluation'
SSRN July 09
Docherty Paul, H. Chan, Stephen Andrew Easton 'Tangibility and Investment Irreversibility in Asset Pricing' SSRN
August 2009
Doeswijk Ronald 'The Halloween Effect in US Sectors: Comment' SSRN August 2009
Domanski Dietrich, Manfred Kremer 'The Dynamics of International Asset Price Linkages and Their Effects on
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Doran James, Andy Fodor 'Firm Specific Option Risk and Implications for Asset Pricing' J. of Risk Fall 2009 V.12,#1
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Stochastics V.81,#3/4 2009
Dotsis George 'The Market Price of Risk of the Volatility Term Structure' SSRN Sept. 09
Doukas John, Constantinos Antoniou, Avanidhar Subrahmanyam 'Investor Sentiment and Momentum' SSRN
9/09
Du Du 'Macroeconomic Conditions, Competition, and Investment Cyclicality' SSRN 7/09
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du Toit Jacques, Goran Peskir 'Selling a Stock at the Ultimate Maximum' Annals of Applied Prob. June 2009
V.19,#3
Duan Jin-Chuan, Andras Fulop 'Estimating the Structural Credit Risk Model when Equity Prices are Contaminated
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Econometrica Sept. 2009 V.77, #5
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Eberlein Ernst 'Jump–Type Lévy Processes' in Handbook of Financial Time Series Andersen, T.G.; Davis, R.A.;
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Edmond Chris, Pierre-Olivier Weill 'Aggregate Implications of Micro Asset Market Segmentation' SSRN Aug. 2009
Egloff Daniel, Markus Leippold 'The Valuation of American Options with Stochastic Stopping Time Constraints'
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Ehrmann Michael, David Sondermann 'The Reception of Public Signals in Financial Markets: What if Central Bank
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Eichler Stefan, Alexander Karmann, Dominik Maltritz 'The ADR Shadow Exchange Rate as an Early Warning
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Eid William 'Options Listing and the Volatility of the Underlying Asset: A Study on the Derivative Market
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Evstigneev Igor, Klaus Reiner Schenk-Hoppé 'Growing Wealth with Fixed-Mix Strategies' SSRN 9/09
Evstigneev Igor, Thorsten Hens, Klaus Schenk-Hoppe 'Survival and Evolutionary Stability of the Kelly Rule' SSRN
9/09
Ewald Christian-Oliver 'Options on Renewable Resources: A New Version of the Black (1976) Pricing Formula for
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Ewald Christian-Oliver, Olaf Menkens 'Australian Options are Truely Asian and Some Notes on Milevsky and
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Fabozzi Frank, Robert Shiller, Radu Tunaru 'Hedging Real Estate Risk' J. Portfolio Management V.35,#5 Fall 2009
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Fang Lily, Joel Peress 'Media Coverage and the Cross-section of Stock Returns' JofF V.64,#5 Oct. 2009
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Farmer J. Doyne, John Geanakoplos 'Hyperbolic Discounting is Rational: Valuing the Far Future with Uncertain
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Fasen Vicky 'Extremes of Continuous–Time Processes' in Handbook of Financial Time Series Andersen, T.G.;
Davis, R.A.; Kreiß, J.-P.; Mikosch, Th. (Eds.) 2009 Springer
Fatone Lorella, Francesca Mariani, Maria Cristina Recchioni, Francesco Zirilli 'An Explicitly Solvable Multi-Scale
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2009
Fei Weiyin 'Optimal Portfolio Choice Based on alpha-MEU Under Ambiguity' Stochastic Models V.25,#3 2009
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Fender Ingo, Nikola Tarashev, Haibin Zhu 'Credit Fundamentals, Ratings and Value-at-Risk: CDOs versus
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Filipovic Damir, Nils Friewald, Stefan Pichler 'An Empirical Analysis of Valuation Algorithms for Pricing Callable
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Filipovic Damir, Thorsten Schmidt 'Pricing and Hedging of CDOs: A Top Down Approach' SSRN 9/09
Filippi Mirko, Harvey Stein 'Hitting the Rate Notes' SSRN 9/09
Fischer Matthias, Christian Köck, Stephan Schlüter, Florian Weigert 'An Empirical Analysis of Multivariate Copula
Models' Profits' QF V.9,#7 2009
Fleming Michael, Bruce Mizrach 'The Microstructure of a U.S. Treasury ECN: The Brokertec Platform' SSRN Aug.
2009
Floros Ioannis, Travis Sapp 'Shell Games: On the Stock Price Performance of Shell Companies' SSRN Aug. 2009
Forte Santiago, Juan Ignacio Peña 'Credit Spreads: an Empirical Analysis on the Informational Content of Stocks,
Bonds, and CDS' Journal of Banking and Finance Nov. 2009 V.33,#11
Francq Christian, Jean-Michel Zakoïan 'A Tour in the Asymptotic Theory of GARCH Estimation' in Handbook of
Franke Jürgen, Jens-Peter Kreiss, Enno Mammen 'Nonparametric Modeling in Financial Time Series' in Handbook
of Financial Time Series Andersen, T.G.; Davis, R.A.; Kreiß, J.-P.; Mikosch, Th. (Eds.) 2009 Springer
Frankfurter George 'Preface to' Theory and Reality in Financial Economics: Essays Toward a New Political
Finance: Theory and Reality in Financial Economics: Essays Toward a New Political Finance' SSRN 10/09
Frestad Dennis 'Correlations among Forward Returns in the Nordic Electricity Market' IJT&AF V.12,#5 August
2009
Friewald Nils 'Estimating Asset Correlation from CDS Spreads: An Analysis of the Hedge Effectiveness of FTD
Baskets' SSRN August 2009
Frikha Noufel, Vincent Lemaire 'Joint Modelling of Gas and Electricity Spot Prices' arXiv 10/09
Fuerst Franz, Gianluca Marcato 'Style Analysis in Real Estate Markets: Beyond the Sector and Region Dichotomy'
J. Portfolio Management V.35,#5 Fall 2009
Fujii Masaaki, Yasufumi Shimada, Akihiko Takahashi 'A Note on Construction of Multiple Swap Curves with and
without Collateral' SSRN Aug. 2009
Funahashi Hideharu 'A Cross-Currency Hull-White Model with FX Volatility Smile' SSRN Sept. 09
Fung Simon, Lixin (Nancy) Su, Xindong Kevin Zhu 'Price Divergence from Fundamental Value and the Value
Relevance of Accounting Information' SSRN July 2009
Furfine Craig 'The Liquidity of Liquid Markets During the Financial Crisis' SSRN 9/09
Gabbi Giampaolo 'Time Diversification and Financial Forecasts for Bond and Equity Markets' SSRN 9/09
Gabbi Giampaolo, Bastianina Salis 'Liquidity Risk Factors for Bonds' SSRN Aug. 2009
Gabbi Giampaolo, Massimo Matthias, Marco De Lerma 'A Reverse Engineering Approach to Price Credit Spreads
in the Qualitative Rating Process' SSRN 7/09
Gabih Abdelal, Jörn Sass, Ralf Wunderlich 'Utility Maximization under Bounded Expected Loss' Stochastic
Models, V.25, #3 2009
Gagliardini Patrick, Paolo Porchia, Fabio Trojani 'Ambiguity Aversion and the Term Structure of Interest Rates'
RFS V.22 #10 Oct. 2009
Gagnon Louis, G. Andrew Karolyi 'Information, Trading Volume, and International Stock Return Comovements:
Evidence from Cross-Listed Stocks' JF&QA V.44,#4 Aug. 09
Gallagher Donal, James Gleeson, Chris M Kenyon, Roland Lichters 'Valuation of a Cashflow CDO Without Monte
Carlo Simulation' SSRN 9/09
Galloway Mack, Craig Nolder 'Subordination, Self-Similarity, and Option Pricing' Journal of Applied Mathematics
and Decision Sciences V.2008 (2008) <Stochastics> <Variance Gamma, V-G, H-self-simipar additive,
normal inverse gamma, Sato, Hurst exponent>
Gamba Andrea, Riccardo Rigon 'The Value of Embedded Real Options: Evidence from Consumer Automobile
Lease Contracts—A Note' Finance Research Letters V.5,#4 Dec. 08
Gandre Amar, Craig Lewis 'Shareholder-Initiated Class Action Lawsuits: Shareholder Wealth Effects and Industry
Spillovers' JF&QA V.44,#4 Aug. 09
Gao Jianjun, Shouyang Wang, Duan Li 'Time Cardinality Constrained Mean-Variance Dynamic Portfolio Selection'
SSRN August 2009
Gao Jianwei 'Optimal Investment Strategy for Annuity Contracts under the Constant Elasticity of Variance (CEV)
Model' Insurance:Mathematics and Economics V.45,#1 August 2009
García-Herrero Alicia 'Emerging Countries' Sovereign Risk: Balance Sheets, Contagion and Risk Aversion' SSRN
9/09
Garleanu Nicolae 'Portfolio Choice and Pricing in Illiquid Markets' Journal of Economic Theory, 2007
Garleanu Nicolae, Lasse Heje Pedersen 'Dynamic Trading with Predictable Returns and Transaction Costs' SSRN
Sept. 09
Gârleanu Nicolae, Lasse Heje Pedersen, Allen Poteshman 'Demand-Based Option Pricing' RFS V.22 #10 Oct. 2009
Garleanu Nicolae, Stavros Panageas, Jianfeng Yu 'Technological Growth and Asset Pricing' SSRN 9/09
Garratt Rodney, Thomas Tröger, Charles Zheng 'Collusion via Resale' Econometrica V.77,#4 July 2009
Gartenberg Claudine Madras, George Serafeim 'Did Fair Valuation Depress Equity Values during the 2008
Financial Crisis?' SSRN 9/09
Gatev Evan, Philip Strahan 'Liquidity Risk and Syndicate Structure' JFE V.93,#3 Setp. 2009
Gatfaoui Hayette 'Deviation from Normality and Sharpe Ratio Behavior: A Brief Simulation Study' SSRN Aug.
2009
Gatfaoui Hayette 'Idiosyncratic Risk, Systematic Risk and Stochastic Volatility: An Implementation of Merton's
Credit Risk Valuation' ADVANCES IN RISK MANAGEMENT, Chapter 6, pp. 107-131, Palgrave-MacMillan,
Greg N. Gregoriou, ed., 2007
Gatfaoui Hayette 'Sharpe Ratios and Their Fundamental Components: An Empirical Study' SSRN 10/09
Gauthier Pierre, Dylan Possamai 'Efficient Simulation of the Double Heston Model' SSRN July 09
Gauthier Pierre, Dylan Possamai 'Prices Expansion in the Wishart Model' SSRN 9/09 SSRN 9/09
Geanakoplos John 'The Leverage Cycle' SSRN August 2009
Geanakoplos John, Stephen Zeldes 'Market Valuation of Accrued Social Security Benefits' SSRN July 2009
Genser Michael 'A Structural Framework for the Pricing of Corporate Securities: Economic and Empirical Issues'
Springer 2006
Ghijben David, Paul Lajbcygier 'Perverse Incentives in Managed Futures Funds’ Fees' SSRN 10/09
Ghosh Mrinal, Anindya Goswami, Suresh Kumar 'Portfolio Optimization in a Semi-Markov Modulated Market'
Applied Math. And Optimization V.60, #2 Oct. 2009
Gil-Bazo Javier, Pablo Ruiz-Verdú 'The Relation between Price and Performance in the Mutual Fund Industry'
JofF V.64,#5 Oct. 2009
Gilli Manfred, Enrico Schumann 'Robust Regression with Optimisation Heuristics' SSRN July 09
Gilli Manfred, Giacomo di Tollo, Gerda Cabej, Enrico Schumann 'Constructing 130/30-Portfolios with the Omega
Ratio' SSRN 9/09
Gillian Stuart, Jay Hartzell, Robert Parrino 'Explicit versus Implicit Contracts: Evidence from CEO Employment
Agreements' JofF V.64,#4
Giorgi Enrico 'Goal-Based Investing with Cumulative Prospect Theory and Satisficing Behavior' SSRN Aug. 2009
Giratis Liudas, Remigijus Leipus, Donatas Surgailis 'ARCH(infinite) Models and Long Memory Properties' in
Handbook of Financial Time Series Andersen, T.G.; Davis, R.A.; Kreiß, J.-P.; Mikosch, Th. (Eds.) 2009
Springer
Givon Dror, Ioannis Kevrekidis 'Multiscale Integration Schemes for Jump-Diffusion Systems' SIAM J. Multiscale
Modeling & Simulation V.7,#2 2008
Gneezy Uri, Kenneth Leonard, John List 'Gender Differences in Competition: Evidence from a Matrilineal and a
Patriarchal Society' Econometrica Sept. 2009 V.77, #5
Goettler Ronald, Christine Parlour, Uday Rajan 'Informed Traders and Limit Order Markets' JFE V.93,#1 July 2009
Gokhale Jagadeesh, Peter VanDoren 'Would a Stricter Fed Policy and Financial Regulation Have Averted the
Financial Crisis?' SSRN 10/09
Golts Maxim, Gregory Jones ' A Sharper Angle on Optimization' SSRN 10/09
Goltz Felix, Wan Ni Lai 'Empirical Properties of Straddle Returns' Journal of Derivatives Fall 2009 V.17,#1
Golub Bennett, Leo Tilman 'Risk Management: Approaches for Fixed Income Markets' Wiley 2000
Goncalves-Pinto Luis 'How Does Illiquidity Affect Delegated Portfolio Choice?' SSRN 10/09
Goodman Jonathan 'Integration with Respect to Brownian Motion' <Brownian>
Gorbenko Alexander, Ilya Strebulaev 'Temporary vs. Permanent Shocks: Explaining Corporate Financial Policies'
SSRN August 2009
Gorman Larry, Robert Weigand 'Measuring Alpha Based Performance: Implications for Alpha Focused,
Structured Products' SSRN 10/09
Gossner Olivier, Ehud Kalai, Robert Weber 'Information Independence and Common Knowledge' Econometrica
V.77,#4 July 2009
Gottwald Georg, Marcel Oliver 'Boltzmann's Dilemma: An Introduction to Statistical Mechanics via the Kac Ring'
SIAM Review V.51,#3 Sept. 09
Gouriéroux Christian, Joann Jasiak, Razvan Sufana 'The Wishart Autoregressive Process of Multivariate
Stochastic Volatility' Journal of Econometrics V.150,#2 June 2009
Gourio François 'Time-series Predictability in the Disaster Model' Finance Research Letters V.5,#4 Dec. 08
Goyal Amit, Alessio Saretto 'Cross-section of Option Returns and Volatility' JFE V.94,#2 Nov. 2009
Gray Wesley 'Do Hedge Fund Managers Identify and Share Profitable Trading Ideas?' SSRN 9/09
Green T. Clifton, Byoung-Hyoun Hwang 'Price-Based Return Comovement' JFE V.93,#1 July 2009
Gregoriou Greg 'Stock Market Volatility' Chapman & Hall 2009
Grigelionis Bronius 'On Subordinated Multivariate Gaussian Lévy Processes' Acta Applicandae Mathematicae
V.96, #1-3 May 2007
Grinblatt Mark, Matti Keloharju, Juhani Linnainmaa 'Do Smart Investors Outperform Dumb Investors?' SSRN
Sept. 09
Grinblatt Mark, Matti Keloharju, Juhani Linnainmaa 'IQ and Stock Market Participation' SSRN Aug. 2009
Gründl Helmut, Thomas Post 'Transparency through Financial Claims with “Fingerprints”: A Mechanism for
Preventing Financial Crises' FAJ Sept./Oct. 2009 V.65,#5
Grzelak Lech, Kees Oosterlee, Sacha van Weeren 'Efficient Option Pricing with Multi-Factor Equity-Interest Rate
Hybrid Models' SSRN July 09
Guerre Emmanuel, Isabelle Perrigne, Quang Vuong 'Nonparametric Identification of Risk Aversion in First-Price
Auctions under Exclusion Restrictions' Econometrica V.77,#4 July 2009
Gürtler Marc, Jens-Peter Kreiss, Ronald Rauh 'A Non-Stationary Approach for Financial Returns with
Nonparametric Heteroscedasticity' SSRN 10/09
Guidolin Massimo, Allan Timmermann 'Forecasts of US Short-Term Interest Rates: A Flexible Forecast
Combination Approach' Journal of Econometrics V.150,#2 June 2009
Guillaume Florence, Philippe Jacobs, Wim Schoutens 'Pricing and Hedging of CDO-Squared Tranches by using a
One Factor Lévy Model' IJT&AF V.12,#5 August 2009
Gurley-Calvez Tami 'Entrepreneurs, Financial Risk and Wealth' SSRN 9/09
Guru Anuradha 'Concerns on the Role of Credit Rating Agencies in the Evolving Financial Regime: A Policy
Perspective' SSRN 7/09
Gust Christopher, David Lopez-Salido 'Monetary Policy, Velocity, and the Equity Premium' SSRN Sept. 09
Gutfraind Alexander 'Terrorism as a Mathematical Problem' SIAM News V.42,#8 Oct.2009
Guvenen Fatih 'A Parsimonious Macroeconomic Model for Asset Pricing' SSRN 10/09
Gvozdeva Evgenia, Praveen Kumar ' Structural Uncertainty, Learning, and Asset Pricing' SSRN 9/09
Gyntelberg Jacob, Mico Loretan, Tientip Subhanij, Eric Ho Pan Chan 'Private Information, Stock Markets, and
Exchange Rates' SSRN Aug. 2009
Gyourko Joseph 'Understanding Commercial Real Estate: How Different from Housing Is It?' J. Portfolio
Management V.35,#5 Fall 2009
Hadjiliadis Olympia, H. Vincent Poor 'On the Best 2-CUSUM Stopping Rule for Quickest Detection of Two-Sided
Alternatives in a Brownian Motion Model' Theory of Prob. and its Applications V.53,#3 2009
Hale Galina, Assaf Razin, Hui Tong 'The Impact of Credit Protection on Stock Prices in the Presence of Credit
Crunches' SSRN July 2009
Halling Michael, Pamela Moulton, Marios Panayides 'Multimarket Trading and Integration' SSRN 9/09
Halperin Igor 'Implied Multi-Factor Model for Bespoke CDO Tranches and other Portfolio Credit Derivatives' arXiv
10/09
Hammoudeh Shawkat, Yuan Yuan, Michael McAleer 'Exchange Rate and Industrial Commodity Volatility
Transmissions and Hedging Strategies' SSRN 9/09
Han Jungsuk 'Information Acquisition Chains' SSRN 10/09
Hansis Alexandra, Christian Schlag, Grigory Vilkov 'The Dynamics of Risk-Neutral Implied Moments: Evidence
from Individual Options' SSRN Sept. 09
Harris Jeffrey, Bahattin Buyuksahin 'The Role of Speculators in the Crude Oil Futures Market' SSRN July 09
Hassett Stephen 'Risk Premium Factor Valuation Model for Calculating the Equity Market Risk Premium and
Estimating S&P 500 Market Values' SSRN August 2009
Hau Harald 'The Exchange Rate Effect of Multi-Currency Risk Arbitrage' SSRN August 2009
Hautsch Nikolaus, Wolfgang Härdle, Andrija Mihoci 'Modelling and Forecasting Liquidity Supply Using
Semiparametric Factor Dynamics' SSRN 9/09
Hayes Rachel, Scott Schaefer ' CEO Pay and the Lake Wobegon Effect' JFE V.94,#2 Nov. 2009
Hazen Thomas Lee 'Filling a Regulatory Gap: It is Time to Regulate Over-the-Counter Derivatives' SSRN 9/09
He Xue Dong, Xun Yu Zhou 'Behavioral Portfolio Choice: An Analytical Treatment' SSRN 10/09
Healy Alexander, Andrew Lo 'Jumping the Gates: Using Beta-Overlay Strategies to Hedge Liquidity Constraints' J.
of Investment Management 3Q 2009
Hellwig Christian, Guido Lorenzoni 'Bubbles and Self-Enforcing Debt' Econometrica V.77,#4 July 2009
Henrard Marc 'The Irony in the Derivatives Discounting Part II: The Crisis' SSRN July 09
Henry-Labordère Pierre 'Calibration of Local Stochastic Volatility Models to Market Smiles' RISK 9/09 <calibrating
local volatility extensions of arbitrary multi-factor stochastic volatility, Bergomi variance model>
Hens Thorsten, Sven Steude 'The Leverage Effect without Leverage' Finance Research Letters V.6,#2 June 09
Hess Dieter, Daniel Kreutzmann 'Earnings Expectations and Macroeconomic Conditions' SSRN 9/09
Hetzel Robert 'Monetary Policy in the 2008--2009 Recession' FRB Richmond Economic Quarterly V.95,#2 Spring
2009
Hetzel Robert 'Should Increased Regulation of Bank Risk-Taking Come from Regulators or from the Market?' FRB
Richmond Economic Quarterly V.95,#2 Spring 2009
Heyerdahl-Larsen Christian 'Asset Prices and Real Exchange Rates with Deep Habits' SSRN 10/09
Hill Joanne 'A Perspective on Liquidity Risk and Horizon Uncertainty' Journal of Portfolio Management Summer
2009, V.35,# 4
Hilscher Jens, Mungo Ivor Wilson 'Credit Ratings and Credit Risk' SSRN 9/09
Hirano Keisuke, Jack Porter 'Asymptotics for Statistical Treatment Rules' Econometrica Sept. 2009 V.77, #5
Hirshleifer David, Sonya Seongyeon Lim, Siew Hong Teoh 'Driven to Distraction: Extraneous Events and
Underreaction to Earnings News' JofF V.64,#5 Oct. 2009
Hjalmarsson Erik 'Interpreting Long-Horizon Estimates in Predictive Regressions' Finance Research Letters V.5,#2
June 08
Ho Thomas, Sang Bin Lee 'Valuation of Credit Contingent Claims: an Arbitrage-Free Credit Model' J. of
Investment Management 3Q 2009
Hoepner Andreas 'Future Scenarios of Responsible Investment Processes Across Asset Clases: A Morphologic
Analysis' SSRN 10/09
Hoepner Andreas, Stefan Zeume 'Do Mutual Fund Managers Have Asset Management Skills? Evidence from New
Measures on Crisis Management and Directional Trading' SSRN Sept. 09
Hoepner Andreas, Stefan Zeume 'The Dark Enemy of Responsible Mutual Funds: Does the Vice Fund Offer More
Financial Virtue?' SSRN 10/09
Hong Yongmiao, Yanhui Liu, Shouyang Wang 'Granger Causality in Risk and Detection of Extreme Risk Spillover
Between Financial Markets' Journal of Econometrics V.150,#2 June 2009
Hong Yongmiao, Yoon-Jin Lee, Zhaogang Song 'Is the Drift of the Interest Rate Process Linear? A New Approach
and Evidence' SSRN 10/09
Hoogerheide Lennart, Richard Kleijn, Francesco Ravazzolo, H.K. van Dijk, Marno Verbeek 'Forecast Accuracy and
Economic Gains from Bayesian Model Averaging Using Time Varying Weights' SSRN July 09
Hooper Vincent, Ah Boon Sim, Asfandyar Uppal 'Governance and Stock Market Performance' Economic Systems,
V. 33, #2, 2009
Horrigan Holly, Brad Case, David Geltner, Henry Pollakowski 'REIT-Based Property Return Indices: A New Way to
Track and Trade Commercial Real Estate' J. Portfolio Management V.35,#5 Fall 2009
Hribar Paul, John McInnis 'Investor Sentiment and Analysts' Earnings Forecast Errors' SSRN Aug. 2009
Hsieh Wen-Liang Gideon 'Expiration-day Effects on Individual Stocks and the Overall Market: Evidence from
Taiwan' J. Futures Markets V.29,#10 October 2009
Hsu Po-Hsuan 'Neighborhood Matters: The Geography of Technology Spillovers and Stock Returns' SSRN August
2009
Hsu Po-Hsuan 'Technological Innovations and Aggregate Risk Premiums' JFE V.94,#2 Nov. 2009
Hu Fannu, Charles Knessl 'Asymptotics of American Floating Strike Lookback Put Option Pricing' SSRN Aug. 2009
Hu Yaozhong, Hongwei Long 'Least Squares Estimator for Ornstein–Uhlenbeck Processes Driven by alpha-Stable
Motions' SP&A V.119,#8, p. 2465-2480 August 2009
Hua David, Heng-Chih Chou, David Wang 'A Defaultable Callable Bond Pricing Model' Investment Management
and Financial Innovations, V. 6, # 3 2009
Huang Weihong, Huanhuan Zheng, Wai-Mun Chia 'Interacting Heterogeneous Agents and Financial Crises' SSRN
July 2009
Huang Xin, Hao Zhou, Haibin Zhu 'A Framework for Assessing the Systemic Risk of Major Financial Institutions'
Journal of Banking and Finance Nov. 2009 V.33,#11
Hugonnier Julien, Semyon Malamud, Eugene Trubowitz 'Endogenous Completeness of Diffusion Driven
Equilibrium Markets' SSRN 10/09
Hui C.H., Hans Genberg, T.K. Chung 'Funding Liquidity Risk and Deviations from Interest-Rate Parity during the
Financial Crisis of 2007-2009' SSRN Aug. 2009
Humez Benoit '2 Factor Log-Normal Stochastic Volatility Model' 2003 Soc. Gen.
Humphrey Jacquelyn, Karen Benson, Timothy Brailsford 'Do Fund Flow-Return Relations Depend on the Type of
Investor?' SSRN Aug. 2009
Hurvich Clifford, Philippe Soulier 'Stochastic Volatility Models with Long Memory' in Handbook of Financial Time
Hurwitz Evan, Tshilidzi Marwala 'State of the Art Review for Applying Computational Intelligence and Machine
Learning Techniques to Portfolio Optimisation' arXiv 10/09
Hutton Amy, Alan Marcus, Hassan Tehranian 'Opaque Financial Reports, R2, and Crash Risk' JFE V.94,#1 Oct.
2009
Huu Nguyen Van, Hoang Quan Vuong 'On the Martingale Representation Theorem and Approximate Hedging a
Contingent Claim in the Minimum Mean Square Deviation Criterion' VNU Journal of Science,
Mathematics & Physics V.23, pp. 143-154, 2007
Ilhan Aytaç, Mattias Jonsson, Ronnie Sircar 'Optimal Static-Dynamic Hedges for Exotic Options under Convex Risk
Measures' SP&A Oct. 09 V.119,#10
Imbens Guido, Whitney Newey 'Identification and Estimation of Triangular Simultaneous Equations Models
without Additivity' Econometrica Sept. 2009 V.77, #5
Ioannidis Christos, Giovanni Calice 'An Empirical Analysis of the Impact of the Credit Default Swap Index Market
on Large Complex Financial Institutions' SSRN Aug. 2009
Islah Othmane 'Solving SABR in Exact Form and Unifying it with Libor Market Model' SSRN 10/09 <stochastic
volatility, CEV model, Bessel process, European option pricing, mixing approach, hypergeometric
functions, modified Bessel functions, joint density of Brownian motion and its path integral, Term
structure of skew, swaption pricing, Wiener chaos decomposition,cf. Atlan Marc, Boris Leblanc 'Time-
Changed Bessel Processes and Credit Risk' 2006>
Jacobs Heiko, Sebastian Müller, Martin Weber 'How Should Private Investors Diversify? An Empirical Evaluation
of Alternative Asset Allocation Policies to Construct a 'World Market Portfolio'' SSRN 9/09
Jaimungal Sebastian, Eddie Ng 'Kernel-Based Copula Processes' SSRN August 2009
Jakubowski Jacek, Maciej Wisniewolski 'Probabilistic Representations of the Density Function of the Asset Price
and of Vanilla Options in Linear Stochastic Volatility Models' arXiv 10/09
Jakubowski Jacek, Mariusz Nieweglowski 'Defaultable Bonds with an Infinite Number of Lévy Factors' arXiv 10/09
Jame Russell 'Organizational Structure and Fund Performance: Pension Funds vs. Mutual Funds' SSRN 9/09
Janczak Katarzyna 'Generalized Reflected Backward Stochastic Differential Equations' Stochastics V.81,#2 2009
Jang Bong-Gyu, Kum-Hwan Roh 'Valuing Qualitative Options with Stochastic Volatility' QF V.9,#7 2009
Jarrow Robert 'Financial Derivatives Pricing: Selected Works of Robert Jarrow' World Scientific 2008
Jarrow Robert, Philip Protter, Hasanjan Sayit 'No Arbitrage without Semimartingales' Annals of Applied Prob.
April 09 V.19,#2
Jensen Bjarne Astrup, Marcel Marekwica 'Optimal Portfolio Choice with Wash Sale Constraints' SSRN 9/09
Jessen Pernille 'Optimal Responsible Investment' SSRN 10/09
Jin Fangyi 'Revisiting the Composition Puzzles of the Household Portfolio: New Evidence' SSRN 9/09
Jin Sainan 'Discrete Choice Modeling with Nonstationary Panels Applied to Exchange Rate Regime Choice'
Journal of Econometrics V.150,#2 June 2009
Johannes Michael, Nicholas Polson 'Markov Chain Monte Carlo' in Handbook of Financial Time Series Andersen,
T.G.; Davis, R.A.; Kreiß, J.-P.; Mikosch, Th. (Eds.) 2009 Springer
Johannes Michael, Nicholas Polson 'Particle Filtering' in Handbook of Financial Time Series Andersen, T.G.; Davis,
Johansen Søren 'Cointegration: Overview and Development' in Handbook of Financial Time Series Andersen,
Johnson Shane, Ted Moorman, Sorin Sorescu 'Updated and Supplemental Results for 'A Reexamination of
Corporate Governance and Equity Prices' Review of Financial Studies, Forthcoming
Jordan Bradford, Mark Liu, Qun Wu 'Do Investment Banks Listen to Their Own Analysts?' SSRN Aug. 2009
Jordan Cally 'Does "F" Stand for Failure: The Legacy of the Financial Stability Forum' SSRN 9/09
Jordan Cally, Ankoor Jain 'Diversity and Resilience: Lessons from the Financial Crisis' SSRN Sept. 09
Jordan Richard, Charlie Tier 'The Variance Swap Contract under the CEV Process' IJT&AF V.12,#5 August 2009
Jorion Philippe, Gaiyan Zhang 'Credit Contagion from Counterparty Risk' JofF V.64,#5 Oct. 2009
Josephson Jens 'Stochastic Adaptation in Finite Games Played by Heterogeneous Populations' JED&C V.33,#8
Aug. 2009
Joshi Mark 'Graphical Asian Options' SSRN 9/09
Joshi Mark, Chao Yang 'Efficient Greek Estimation in Generic Market Models' SSRN 7/09
Joshi Mark, Robert Tang 'Pricing and Deltas of Discretely-Monitored Barrier Options Using Stratified Sampling on
the Hitting-Times to the Barrier' SSRN Aug. 2009
Juergens Jennifer, Laura Lindsey 'Getting Out Early: An Analysis of Market Making Activity at the Recommending
Analyst's Firm' JofF V.64,#5 Oct. 2009
Jung Boochun, Philip Shane, Yanhua Yang 'Do Financial Analysts’ Long-Term Growth Forecasts Reflect Effective
Effort Towards Informative Stock Recommendations?' SSRN 9/09
Jungbacker Borus, Siem Jan Koopman 'Parameter Estimation and Practical Aspects of Modeling Stochastic
Volatility' in Handbook of Financial Time Series Andersen, T.G.; Davis, R.A.; Kreiß, J.-P.; Mikosch, Th.
(Eds.) 2009 Springer
Kadan Ohad, Leonardo Madureira, Rong Wang, Tzachi Zach 'Conflicts of Interest and Stock Recommendations:
The Effects of the Global Settlement and Related Regulations' RFS V.22 #10 Oct. 2009
Kadoya Susumu, Takashi Namatame 'Empirical Tests on Turnover Information' SSRN August 2009
Kaido Hiroaki, Halbert White 'Inference on Risk-Neutral Measures for Incomplete Markets' J. of Financial
Econometrics V.7 #3 Summer 2009
Kallsen Jan 'Option Pricing' in Handbook of Financial Time Series Andersen, T.G.; Davis, R.A.; Kreiß, J.-P.;
Mikosch, Th. (Eds.) 2009 Springer
Kamenov Andrey 'Bachelier-Version of Russian Option with a Finite Time Horizon' Theory of Prob. and its
Kamtchueng Christian 'Uncertain Correlation Model' SSRN July 09
Kan Raymond, Cesare Robotti 'Model Comparison Using the Hansen-Jagannathan Distance' RFS V.22,#9 Sept. 09
Kapadia Nishad 'Tracking Down Distress Risk' SSRN Aug. 2009
Kapan Tumer 'Property Division Laws: The Effects on Labor Supply and Household Bargaining' SSRN July 09
Kapas Manidipa, Youguo Liang 'Sizing Up the Middle Class in Developing Countries' J. Portfolio Management
V.35,#5 Fall 2009
Kapteyn Arie, Federica Teppa 'Subjective Measures of Risk Aversion, Fixed Costs, and Portfolio Choice' SSRN
10/09
Kaul Aditya, Stephen Sapp 'Trading Activity, Dealer Concentration and Foreign Exchange Market Quality' Journal
of Banking and Finance Nov. 2009 V.33,#11
Keel Simon, David Ardia 'Generalized Marginal Risk' SSRN Sept. 09
Keswani Aneel, David Stolin 'Dollar-Weighted Returns to Stock Investors: a New Look at the Evidence' Finance
Research Letters V.5,#4 Dec. 08
Khandani Amir, Andrew Lo, Robert Merton 'Systemic Risk and the Refinancing Ratchet Effect' SSRN 9/09
Kienitz Jörg, Manuel Wittke 'Option Valuation in Multivariate SABR Models (with an application to the CMS
spread)' SSRN Sept. 09
Kijima Masaaki, Katsumasa Nishide, Atsuyuki Ohyama 'On the Environmental Kuznets Curve: A Real Options
Approach' SSRN 10/09
Kim Doseong, Isabel Ruiz, Yoon-Goo Lee 'Common Volatility between Closed-End Country Funds and Three
Comparable Return Series: An Empirical Investigation' Emerging Markets Finance and Trade,
Forthcoming
Kim Jae 'Automatic Variance Ratio Test under Conditional Heteroskedasticity' Finance Research Letters V.6,#3
Sept.09
Kim Kyounghee, Victor Goodman 'Common Forward Rate Volatility' SSRN 9/09
Kim Woo Chang, John Mulvey 'Evaluating Style Investment—Does a Fund Market Defined Along Equity Styles
Add Value?' QF V.9, #6 2009
Kimura Toshikazu 'American Continuous-Installment Options: Valuation and Premium Decomposition' SIAM J.
Appl. Math. V.70,#3, pp. 803-824 (2009)
King Tao-Hsien, David Mauer 'Determinants of Corporate Call Policy for Convertible Bonds' SSRN August 2009
Kinnebrock Silja, Mark Podolskij, Kim Christensen 'Pre-Averaging Estimators of the Ex-Post Covariance Matrix in
Noisy Diffusion Models with Non-Synchronous Data' SSRN 10/09
Kitsul Yuriy, Reza Mahani 'Aggregate Noise and Excess Comovement in the Cross-Section of Stock Returns' SSRN
9/09
Klement Joachim 'Life is Non-Linear: Structuring Retirement Portfolios for the Long Haul' SSRN 10/09
Kokholm Thomas 'Pricing of Traffic Light Options and Other Hybrid Products' IJT&AF V.12,#5 August 2009
Kolda Tamara, Brett Bader 'Tensor Decompositions and Applications' SIAM Review V.51,#3 Sept. 09
Konchitchki Yaniv, Xiaoxia Lou, Gil Sadka, Ronnie Sadka 'Do Analyst Forecasts Reflect Investor Expectations? On
the Predictability of Analyst Forecast Errors' SSRN Aug. 2009
Konte Mamadou Abdoulaye 'Switching Agent Based Models and Random Coefficient Auto-Regressive Models'
SSRN 9/09
Korapaty Praveen 'Effects of Conditional Heteroskedasticity on Estimates of Risk Aversion Coefficients' SSRN
August 2009
Korgan Leonid, Stephen Ross, Jiang Wang, Mark Westerfield 'Market Selection' SSRN August 2009
Korniotis George, Alok Kumar 'Do Portfolio Distortions Reflect Superior Information or Psychological Biases?'
SSRN July 2009
Koufopoulos Kostas 'Optimal Securities under Adverse Selection and Moral Hazard' J. Mathematical Economics
V.45,#5-6 May 2009
Koutsomanoli-Filippaki, Anastasia, Emmanuel Mamatzakis 'Performance and Merton-Type Default Risk of Listed
Banks in the EU: a Panel VaR Approach' Journal of Banking and Finance Nov. 2009 V.33,#11
Kraft Holger, Christoph Kühn 'Large Traders and Illiquid Options: Hedging Vs. Manipulation' SSRN 10/09
Kraus Johannes, Svetozar Margenov 'Robust Algebraic Multilevel Methods and Algorithms' de Gruyter Press
2009
Kring Sebastian, Svetlozar Rachev, Markus Höchstötter, Frank Fabozzi, Michele Leonardo Bianchi 'Multi-Tail
Generalized Elliptical Distributions for Asset Returns' Econometrics Journal, V.12,#2, July 2009
Kryzanowski Lawrence, Abdul Rahman 'Degrees-of-Freedom Problem and Implied Cost of Equity Capital' Finance
Kuan Chung-Ming, Jin-Huei Yeh, Yu-Chin Hsu 'Assessing Value at Risk with Care, The Conditional Autoregressive
Expectile Models' Journal of Econometrics V.150,#2 June 2009 <VaR>
Kuhnen Camelia 'Business Networks, Corporate Governance, and Contracting in the Mutual Fund Industry' JofF
V.64,#5 Oct. 2009
Kumar Alok 'Who Gambles in the Stock Market?' JofF V.64,#4
Kung James, Lung-Sheng Lee 'Option Pricing under the Merton Model of the Short Rate' Mathematics and
Computers in Simulation V. 80, #2, October 2009
Kupferman Raz, Yossi Shamai 'Optimal Choices of Correlation Operators in Brownian Simulation Methods' SIAM
J. Multiscale Modeling & Simulation V.7,#1 2008 <SPDE, semidefinite programming>
Kupper Michael, Walter Schachermayer 'Representation Results for Law Invariant Time Consistent Functions'
Mathematics and Financial Economics V.2,#3 Sept. 2009
Kurek Bartosz 'An Adjusted ROA as a Proxy for Risk Premium Estimation – S&P’s 1 500 Case' SSRN August 2009
Kwan Clarence C.Y. 'Estimation Error in the Average Correlation of Security Returns and Shrinkage Estimation of
Covariance and Correlation Matrices' Finance Research Letters V.5,#4 Dec. 08
Lai Tze Leung, Tiong Wee Lim 'Option Hedging Theory under Transaction Costs' JED&C V.33, #12 December 2009
Lando David 'Credit Risk Modeling' in Handbook of Financial Time Series Andersen, T.G.; Davis, R.A.; Kreiß, J.-P.;
Mikosch, Th. (Eds.) 2009 Springer
Lange Theis, Anders Rahbek 'An Introduction to Regime Switching Time Series Models' in Handbook of Financial
Time Series Andersen, T.G.; Davis, R.A.; Kreiß, J.-P.; Mikosch, Th. (Eds.) 2009 Springer
Lanne Markku, Jani Luoto 'Robustness of the Risk–Return Relationship in the U.S. Stock Market' Finance
Research Letters V.5,#2 June 08
Lanne Markku, Pentti Saikkonen ' Noncausal Vector Autoregression' SSRN Aug. 2009
Larocque Stephannie 'Extracting Ex Ante Analyst Forecast Bias from Implied Cost of Equity Capital Estimates'
SSRN 7/09
Laux Christian, Christian Leuz 'Did Fair-Value Accounting Contribute to the Financial Crisis?' SSRN 10/09
Le Gall Jean-François 'Mouvement Brownien et Calcul Stochastique' Master Probabilities et Statistiques U. Paris-
Sud 2008
Le Grand Hans 'Splitting the Value Gap How to Break Down Heineken’s Premium in M/B Multiple into Various
Value Drivers' SSRN 10/09
Leblanc Boris 'Modélisation de la Volatilité d'un Actif Financier et Applications' Dissertation, University Paris VII-
Ren´e-Diderot. 1997
Lee Hsiang-Tai 'A Copula-Based Regime-Switching GARCH Model for Optimal Futures Hedging' J. Futures
Markets V.29,#10 October 2009
Lee Tae-Hwy, Xiangdong Long 'Copula-Based Multivariate GARCH Model with Uncorrelated Dependent Errors'
Journal of Econometrics V.150,#2 June 2009
Leeb Hannes, Benedikt Pötscher 'Model Selection' in Handbook of Financial Time Series Andersen, T.G.; Davis,
Lehmann Bruce 'The Role Of Beliefs in Inference for Rational Expectations Models' Journal of Econometrics
V.150,#2 June 2009
Leibowitz Martin, Anthony Bova 'Return–Risk Ratios Under Taxation' Journal of Portfolio Management Summer
2009, V.35,# 4
León Carlos 'Efficient Portfolio Optimization in the Wealth Creation and Maximum Drawdown Space' SSRN 9/09
Leoni Patrick 'Managerial Methods to Control the Downside Risk of Derivatives' SSRN August 2009
Leoni Patrick 'Psychological Determinants of Occurrence and Magnitude of Market Crashes' SSRN 7/09
Levin David, Yuval Peres, Elizabeth Wilmer 'Markov Chains and Mixing Times' AMS 2009
Li Duan 'Better than Dynamic Mean-Variance: Time Inconsistency and Free Cash Flow Stream' SSRN August 2009
Li Fei, Masako Ueda 'Why do Reputable Agents Work for Safer Firms?' Finance Research Letters V.6,#a March 09
Li Minqiang 'A Damped Diffusion Framework for Financial Modeling and Closed-Form Maximum Likelihood
Estimation' SSRN 10/09
Li Minqiang 'A Quasi-Analytical Interpolation Method for Pricing American Options under General Multi-
Dimensional Diffusion Processes' SSRN 10/09
Li Minqiang 'Analytical Approximations for the Critical Stock Prices of American Options: A Performance
Comparison' SSRN 10/09
Li Yang, Donald Stokes, Stephen Taylor, Leon Wong 'Audit Quality, Accounting Attributes and the Cost of Equity
Capital' SSRN 10/09
Liao Feng-Yu, Yuh-Dauh Lyuu 'An Expanded Model for the Valuation of Employee Stock Options' J. Futures
Markets V.29,#8 August 2009
Liao Szu-Lang, Pao-Peng Hsu 'Pricing and Hedging of Quanto Range Accrual Notes under Gaussian HJM with
Cross-Currency Lévy Processes' J. Futures Markets V.29,#10 October 2009
Lim Andrew, J. George Shanthikumar, Thaisiri Watewai 'Technical Appendix: Robust Asset Allocation with
Benchmarked Objectives' SSRN 10/09
Lin Shih-Kuei, Chia-Chien Chang, Michael Powers 'The Valuation of Contingent Capital with Catastrophe Risks'
Lin Xiaoji 'Technology Adoption, Vintage Capital and Asset Prices' SSRN July 2009
Lin Yuping, Jin Ma 'Optimal Reinsurance/Investment Problems for General Insurance Models' Annals of Applied
Prob. V.19,#4 Aug. 2009
Lindberg Carl 'Portfolio Optimization When Expected Stock Returns are Determined by Exposure to Risk'
Bernoulli, V. 15,#2, 2009
Lindberg Carl 'The Estimation of the Barndorff-Nielsen and Shephard Model from Daily Data Based on Measures
of Trading Intensity' Applied Stochastic Models in Business and Industry, V. 24, 2008
Lindner Alexander 'Stationarity, Mixing, Distributional Properties and Moments of GARCH(p, q)–Processes' in
Springer
Linton Oliver 'Semiparametric and Nonparametric ARCH Modeling' in Handbook of Financial Time Series
Litty Timo, Valentin Braun 'CAPM & Co. Revisited - Modeling Risk and Return of Private Equity Funds' SSRN
August 2009
Litvak Kate 'The Relationship Among U.S. Securities Laws, Cross-Listing Premia, and Trading Volumes' SSRN
August 2009
Liu Hening 'Robust Portfolio Choice for Time-varying Investment Opportunities' SSRN Sept. 09
Liu Hening 'Robust Portfolio Choice with Recursive Preferences When Investment Opportunities Are Time
Varying' SSRN Aug. 2009
Liu Laura Xiaolei, Toni Whited, Lu Zhang 'Investment-Based Expected Stock Returns' Journal of Political
Economy, Forthcoming
Liu Wei-han 'Estimation and Testing of Portfolio Value-at-Risk Based on L-Comoment Matrices' SSRN August
2009
Liu Yuping, Jin Ma 'Optimal Reinsurance/Investment Problems for General Insurance Models' Annals of Applied
Probability' V.19,#4 Aug. 2009
Livdan Dmitry, Horacio Sapriza, Lu Zhang 'Financially Constrained Stock Returns' JofF V.64,#4
Ljungqvist Alexander, Felicia Marston, William Wilhelm, Jr. 'Scaling the Hierarchy: How and Why Investment
Banks Compete for Syndicate Co-management Appointments' RFS V.22 #10 Oct. 2009
Lo C.F., C.H. Hui 'Dynamics of Time-Varying Target Leverage Ratios' SSRN 9/09
Loeffen Ronnie 'An Optimal Dividends Problem with Transaction Costs for Spectrally Negative Lévy Processes'
Loncarski Igor, Jenke ter Horst, Chris Veld 'The Rise and Demise of the Convertible Arbitrage Strategy' FAJ
Sept./Oct. 2009 V.65,#5
Loughran Tim, Jay Wellman 'The Enterprise Multiple Factor and the Value Premium' SSRN 10/09
Lu Xinsheng, Francis Haeuck In, Mingting Kou 'The High-Frequency Responses of Australian Financial Futures to
Unexpected Cash Rate Announcements' Economic Record, V.85, #s1, September 2009
Lubik Thomas 'Estimating a Search and Matching Model of the Aggregate Labor Market' FRB Richmond
Economic Quarterly V.95,#2 Spring 2009
Ludvigson Sydney, Serena Ng 'A Factor Analysis of Bond Risk Premia' SSRN Aug. 2009
Luptacik Mikulas 'Mathematical Optimization and Economic Analysis' Springer Press 2010
Mackenzie Dana 'Power from the Oceans' SIAM News July/Aug. 2009
Mackenzie Dana 'What about Wave Energy?' SIAM News July/Aug. 2009
MacLean Leonard, Yonggan Zhao, William Ziemba 'An Endogenous Volatility Approach to Pricing and Hedging
Call Options with Transaction Costs' SSRN 10/09
Madan Dilip 'A Tale of Two Volatilities' Review of Derivatives Research V.12,#3 Oct. 2009
Madan Dilip 'Capital Requirements, Acceptable Risks and Profits' QF V.9,#7 2009
Madan Dilip 'Structured Products' RISK Books 2008 <RISK papers on Equity Product Designs, Volatility Products,
Options on Baskets, Calibrations>
Madan Dilip, Bernard Roynette, Marc Yor 'Option Prices as Probabilities' Finance Research Letters V.5,#2 June 08
Magni Carlo Alberto 'A Logical Umbrella for Firm Evaluation: The Fundamental Relation' SSRN 7/09
Magni Carlo Alberto 'A Proposal for Modeling Real Options through Fuzzy Expert Systems' 16th ACM Symposium
on Applied Computing (SAC) March 2001
Magni Carlo Alberto 'Decomposition of a Certain Cash Flow Stream: Systemic Value Added and Net Final Value'
Bulletin of Economic Research, V. 55,#2, pp.149-176, 2003
Magni Carlo Alberto 'Modelling Excess Profit' SSRN 7/09
Maheswaran Srinivasan, G. Balasubramanian, Chirackel Ahammed Yoonus 'Opening Jump and Noise Trading'
SSRN August 2009
Mai Jan-Frederik, Mathias Scherer 'Pricing kth-to-Default Swaps in a Lévy-Time Framework' J. Credit Risk Fall
2009 V.5,#3
Malevergne Yannick, Pedro Santa-Clara, Didier Sornette 'Professor Zipf Goes to Wall Street' SSRN August 2009
Maller Ross, Gernot Müller, Alex Szimayer 'Ornstein–Uhlenbeck Processes and Extensions' in Handbook of
Mancini Loriano, Angelo Ranaldo, Jan Wrampelmeyer 'Liquidity in the Foreign Exchange Market: Measurement,
Commonality, and Risk Premiums' SSRN Aug. 2009
Marciukaityte Dalia, Samuel Szewczyk, Raj Varma 'Voluntary vs. Forced Financial Restatements: The Role of
Board Independence' FAJ Sept./Oct. 2009 V.65,#5
Marckhoff Jan, Matthias Muck 'Jump Risk Premia in Short-Term Spread Options: Evidence from the German
Electricity Market' SSRN July 09
Marinelli Carlo, Svetlozar Rachev, Richard Roll 'Subordinated Exchange Rate Models: Evidence for Heavy Tailed
Distributions and Long-Range Dependence' Mathematical and Computer Modelling, V. 34, #9-11,2001
Markwat Thijs, Erik Kole, Dick van Dijk 'Contagion as a Domino Effect in Global Stock Markets' Journal of Banking
and Finance Nov. 2009 V.33,#11
Marmi Stefano, Claudio Pacati, Wiston Adrián Risso, Roberto Renò 'A Quantitative Approach to Faber's Tactical
Asset Allocation' SSRN 9/09
Martin Richard 'Credit Spread Shocks: How Big and How Often?' <CDS, Lévy-based structural model, market
implied VaR> RISK 8/09
Maruhn Jan 'Robust Static Super-Replication of Barrier Options' de Gruyter Press 2009
Massa Massimo, Alminas Zaldokas 'Can Corporate Issuers Earn from Conformity Among Institutional Investors?
Evidence from International Bonds' SSRN 10/09
Massa Massimo, Andrei Simonov 'Experimentation in Financial Markets' Management Science V.55,#8 August
2009
Masulis Ronald, Cong Wang, Fei Xie 'Agency Problems at Dual-Class Companies' JofF V.64,#4
Maurer Raimond, Olivia Mitchell, Ralph Rogalla 'Managing Contribution and Capital Market Risk in a Funded
Public Defined Benefit Plan: Impact Of CVaR Cost Constraints' Insurance:Mathematics and Economics
V.45,#1 August 2009
Mauro Alessandro, Rosario Sgarioto 'An Evaluation of Italian Electricity Generation Assets Using a Spark Spread
Option Model' SSRN August 2009
McAleer Michael, Juan-Angel Jiménez-Martin, Teodosio Perez Amaral 'Optimal Risk Management Before, During
and After the 2008-09 Financial Crisis' SSRN 9/09
McAleer Michael, Juan-Angel Jiménez-Martin, Teodosio Perez Amaral 'What Happened to Risk Management
during the 2008-09 Financial Crisis?' SSRN Aug. 2009
McCown James, Ron Shaw 'Measuring the Inflation Risk Premium on U.S. Treasury Securities: Does the Federal
Government Have a Risk Premium?' SSRN 9/09
McLean R. David 'Fooled by Compounding' SSRN 10/09
McPherron Pat 'Pricing a Macro Security' SSRN 10/09
Medvedev Gennady 'Financial Safety Inequalities Based on Expected Risks for Credit Institutions' 5th
International AFIR (Approach for FInancial Risks) Symposium, V. 2. 1995
Medvedev Gennady 'On Fitting the Autoregressive Investment Models to Real Financial Data' 26th International
Congress of Actuaries, Investment, V. 7, June 1998
Medvedev Gennady 'Properties of Yield Curves and Forward Curves for Affine Term Structure Models' 13th
Annual International AFIR Symposium, V. 1, Maastricht, 2003
Medvedev Gennady 'The Explicit Form of No Arbitrage Condition When the Term Structure Model is Multi-
Factor' EURO Working Group on Financial Modelling, Trondheim, 2000
Medvedev Gennady 'The Forward Rates for Multifactor Model of Term Structure “With Square Root”' SSRN 9/09
Medvedev Gennady 'The Processes with Dependent Increments as Mathematical Models of the Interest Rate
Processes' SSRN 9/09
Meitner Matthias 'Beware of the Beta Flip! Pitfalls in DCF-Valuations of Temporarily and Sustainably Distressed
Companies and How to Avoid Them' SSRN 9/09
Mellios Constantin, Pierre Six 'The Traditional Hedging Model Revisited with a Non Observable Convenience
Yield' SSRN August 2009
Mendes R. Vilela 'Stochastic Solutions of Some Nonlinear Partial Differential Equations' Stochastics V.81,#3/4
2009
Meucci Attilio 'Exercises in Advanced Risk and Portfolio Management - With Step-by-Step Solutions and Fully
Documented Code' SSRN Aug. 2009
Michayluk David, Lucy Zhao 'Stock Splits and Bond Yields: Isolating the Signaling Hypothesis' SSRN August 2009
Mijatovic Aleksandar 'Spectral Properties of Trinomial Trees' Proceedings of the Royal Society A 463 (2007), no.
2083
Mikhed Vyacheslav, Petr Zemcik 'Do House Prices Reflect Fundamentals? Aggregate and Panel Data Evidence'
SSRN 10/09
Miller Brian 'The Effects of Reporting Complexity on Small and Large Investor Trading' SSRN 9/09
Miller Warren 'Comparing Models of Corporate Bankruptcy Prediction: Distance to Default Vs. Z-Score' SSRN
August 2009
Min ByoungKyu, Tong Suk Kim, Dongcheol Kim 'Future Labor Income Growth and the Cross Section of Equity
Returns' SSRN 10/09
Mitchell John 'Withdrawal Rate Strategies for Retirement Portfolios: Preventive Reductions and Risk
Management' SSRN 10/09
Mixon Scott 'Model Risk: Lessons from Past Catastrophes' in MODEL RISK: LESSONS FROM PAST CATASTROPHES
SSRN 9/09
Mixon Scott 'Option Markets and Implied Volatility: Past Versus Present' JFE V.94,#2 Nov. 2009
Mohammed Salah, Tusheng Zhang 'Anticipating Stochastic Differential Systems with Memory' SP&A V.119,#9
Sept. 2009
Mola Simona, Massimo Guidolin 'Affiliated Mutual Funds and Analyst Optimism' JFE V.93,#1 July 2009
Molenkamp Jan Bertus 'Effective Measures to Improve Alignment in Manager Fees; Moral Hazard Can Be
Decreased' SSRN 9/09
Møller Stig Vinther 'Consumption Growth and Time-Varying Expected Stock Returns' Finance Research Letters
V.5,#3 Sept. 08
Muendler Marc-Andreas 'Risk-neutral Investors Do Not Acquire Information' Finance Research Letters V.5,#3
Sept. 08
Mughal Hammad Ul Haq, Yasir Kamal 'Modeling the Exchange Rate Volatility Using GARCH-Type Models:
Evidence from Pakistan' SSRN August 2009
Mukhtar Wasif, Ravi Agarwal 'Valuation of a Closely-Held Firm: A Comprehensive and Closer Look' SSRN 10/09
Muller Aline, Willem Verschoor 'The Effect of Exchange Rate Variability on US Shareholder Wealth' Journal of
Banking and Finance Nov. 2009 V.33,#11
Mundhra Neelam, Ravi Agarwal 'Mispricing in Indian Derivatives Markets: An Analytical Study of Options
Contracts' SSRN 9/09
Murphy David 'The Causes of the Credit Crunch: A Backwards Look?' Profits' QF V.9,#7 2009
Mykland Per, Lan Zhang 'Inference for Continuous Semimartingales Observed at High Frequency' Econometrica
Sept. 2009 V.77, #5
Nakajima Katsushi, Kazuhiko Ohashi 'Cointegrated Commodity Pricing Model' SSRN July 2009
Nakatani Tomoaki, Timo Teräsvirta 'Positivity Constraints on the Conditional Variances in the Family Of
Conditional Correlation GARCH Models' Finance Research Letters V.5,#2 June 08
Nawalkha Sanjay, Gloria Soto 'Managing Interest Rate Risk: the Next Challenge?' J. of Investment Management
3Q 2009
Necir Abdelhakim, Djamel Meraghni 'Empirical Estimation of the Proportional Hazard Premium for Heavy-Tailed
Claim Amounts' Insurance:Mathematics and Economics V.45,#1 August 2009
Newton Paul, George Chamoun 'Vortex Lattice Theory: A Particle Interaction Perspective' SIAM Review V.51,#3
Sept. 09
Nguyena Manh-Hung, Thai Ha-Huyb 'No Unbounded Arbitrage, Weak No Market Arbitrage and No Arbitrage
Price System Conditions: Equivalent Conditions' 2008
Nishide Katsumasa, Ernesto Kazuhiro Nomi 'Regime Uncertainty And Optimal Investment Timing' JED&C
V.33,#10 Oct. 2009
Nocetti Diego 'Markowitz Meets Kahneman: Portfolio Selection Under Divided Attention' Finance Research
Letters, V.3,#2, pp. 106-113, June 2006
Nocetti Diego 'Stock-Market Prices with Forgetful Investors' SSRN 9/09
Nordén Lars 'A Brighter Future with Lower Transactions Costs?' J. Futures Markets V.29,#8 August 2009
Norden Lars 'Asymmetric Futures Price Distribution and Bid-Ask Quotes' SSRN August 2009
Norden Lars, Caihong Xu 'Option Happiness and Liquidity: Is the Dynamics of the Volatility Smirk Affected by
Relative Option Liquidity?' SSRN 9/09
Norets Andriy 'Inference in Dynamic Discrete Choice Models with Serially orrelated Unobserved State Variables'
Econometrica Sept. 2009 V.77, #5
Novikov A.A. 'On Distributions of First Passage Times and Optimal Stopping of AR(1) Sequences' Theory of Prob.
and its Applications V.53,#3 2009
Nowak Sylwia, Jochen Andritzky, Andreas Jobst, Natalia Tamirisa 'Macroeconomic Fundamentals, Price Discovery
and Volatility Dynamics in Emerging Markets' SSRN August 2009
Nualart David 'Malliavin Calculus and its Applications' AMS 2009
Nyberg Peter, Anders Wilhelmsson 'Measuring Event Risk' J. of Financial Econometrics V.7 #3 Summer 2009
Ødegaard Bernt Arne 'The Diversification Cost of Large, Concentrated Equity Stakes. How big is it? Is it justified?'
Finance Research Letters V.6,#2 June 09
Ohashi Alberto 'Fractional Term Structure Models: No-Arbitrage and Consistency' Annals of Applied Probability'
V.19,#4 Aug. 2009
Øksendal Bernt, Agnès Sulem 'Risk Indifference Pricing In Jump Diffusion Markets' Mathematical Finance V.19,#4
Oct. 2009
Onatski Alexei 'Testing Hypotheses About the Number of Factors in Large Factor Models' Econometrica Sept.
2009 V.77, #5
Orlowski Lucjan 'Stages of the Ongoing Global Financial Crisis: Is There a Wandering Asset-Price Bubble?' SSRN
July 2009
Orrillo Jaime 'Making Promises in Infinite-Horizon Economies with Default and Collateral' Mathematics and
Computers in Simulation V. 79, #10, June 2009
Ou-Yang Hui, Zhen Wei, Haochuan Zhang 'Predictive Signals and Asset Allocation' SSRN 9/09
Oviedo Rodolfo, Domingo Tarzia 'Theory of Rational Futures-Style Option Pricing' SSRN Sept. 09
Owen Anthony, Alistair McLeod, Kevin Thompson 'The Hybrid Saddlepoint Method for Credit Portfolios' RISK
8/09
Oxley Joanne, Rachelle Sampson, Brian Silverman 'Arms Race or Détente? How Interfirm Alliance
Announcements Change the Stock Market Valuation of Rivals' Management Science V.55,#8 August
2009
Packham Natalie, Wolfgang Schmidt, Lutz Schlögl 'Credit Dynamics in a First Passage Time Model with Jumps'
SSRN 9/09
Paganopoulos Stylianos 'Market Equilibrium Implied Risk Aversion and Utility' SSRN Sept. 09
Pakos Michal 'Robust Pricing with Uncertain Income Growth' SSRN 9/09
Pal Soumik, Philip Protter 'Analysis of Continuous Strict Local Martingales via h-Transforms' arXiv 10/09
Palkar Darshana, Stephen Wilcox 'Adjusted Earnings Yields and Real Rates of Return' FAJ Sept./Oct. 2009 V.65,#5
Palmiter Alan 'Staying Public: Institutional Investors in U.S. Capital Markets' Brooklyn Journal International Law,
V. 3 2009
Paparoditis Efstathios, Dimitris Politis 'Resampling and Subsampling for Financial Time Series' in Handbook of
Park Sung, Anil Bera 'Maximum Entropy Autoregressive Conditional Heteroskedasticity Model' Journal of
Econometrics V.150,#2 June 2009
Parsons John 'Black Gold & Fool’s Gold: Speculation in the Oil Futures Market' SSRN 9/09
Paschke Raphael, Marcel Prokopczuk 'Commodity Derivatives Valuation with Autoregression and Moving
Average in the Price Dynamics' SSRN July 2009
Pástor Lubos, Robert Stambaugh 'Predictive Systems: Living with Imperfect Predictors' JofF V.64,#4
Patton Andrew 'Copula–Based Models for Financial Time Series' in Handbook of Financial Time Series Andersen,
Patton Andrew, Kevin Sheppard 'Evaluating Volatility and Correlation Forecasts' in Handbook of Financial Time
Pavlov Andrey, Susan Wachter 'Systemic Risk and Market Institutions' Yale Journal on Regulation, V. 26, # 2,
2009 SSRN August 2009
Pedersen Christian 'Valuation of Portfolio Credit Default Swaptions' Lehman 2003
Pedersen Lasse Heje 'When Everyone Runs for the Exit' SSRN 10/09
Peiris Shelton, David Allen, Wenling Joey Yang 'An Examination of the Role of Time and its Impact on Price
Revision' SSRN August 2009
Pellerin Sabrina, John Walter, Patricia Wescott 'The Consolidation of Financial Regulation: Pros, Cons, and
Implications for the United States' FRB Richmond Economic Quarterly V.95,#2 Spring 2009
Peng Jingjiang, Kwai Sun Leung, Yue Kuen Kwok 'Pricing Guaranteed Minimum Withdrawal Benefits under
Stochastic Interest Rates' SSRN July 09
Peng Shige, Xiaoming Xu 'BSDEs with Random Default Time and their Applications to Default Risk' arXiv 10/09
Peppet Scott 'Smart Mortgages, Privacy and the Regulatory Possibility of Infomediation' SSRN August 2009
Perez Maria Teresa Gonzalez, David Guerrero, Arthur Treadway 'The Daily Closing VIX Data for 2008 Reveal
Unrecognized Properties' SSRN July 09
Peroni Chiara 'Testing Linearity in Term Structures' SSRN 7/09
Peskir Goran 'Optimal Stopping Games and Nash Equilibrium' Theory of Prob. and its Applications V.53,#3 2009
Peyton Martha 'Capital Markets Impact on Commercial Real Estate Cap Rates: A Practitioner’s View' J. Portfolio
Management V.35,#5 Fall 2009
Pfau Wade 'An Optimizing Framework for the Glide Paths of Lifecyle Asset Allocation Funds' SSRN 10/09
Phillips Peter, Jun Yu 'A Two-Stage Realized Volatility Approach to Estimation of Diffusion Processes with
Discrete Data' Journal of Econometrics V.150,#2 June 2009
Phillips Peter, Jun Yu 'Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance' in
Springer
Phillips Peter, Jun Yu 'Simulation-Based Estimation of Contingent-Claims Prices' RFS V.22,#9 Sept. 09
Pierre Patie 'Infinite Divisibility of Solutions to Some Self-Similar Integro-Differential Equations and Exponential
Functionals of Lévy Processes' Annales de l'Institut Henri Poincaré V.45,#3 Aug. 2009
Pinheiro Marcelo 'Short-Selling Restrictions, Takeovers and The Wealth of Long-Run Shareholders' J.
Mathematical Economics V.45,#5-6 May 2009
Pissarides Christopher 'The Unemployment Volatility Puzzle: Is Wage Stickiness the Answer?' Econometrica Sept.
2009 V.77, #5
Pistorius Martijn, Aleksandar Mijatovic 'Continuously Monitored Barrier Options Under Markov Processes' SSRN
August 2009
Platen Eckhard, Willi Semmler 'Asset Markets and Monetary Policy' SSRN 10/09
Pollak Moshe, Alexander Tartakovsky 'Asymptotic Exponentiality of the Distribution of First Exit Times for a Class
of Markov Processes with Applications to Quickest Change Detection' Theory of Prob. and its
Pospisil Libor, Jan Vecer, Olympia Hadjiliadis 'Formulas for Stopped Diffusion Processes with Stopping Times
Based on Drawdowns and Drawups' SP&A V.119,#8, p. 2563-2578 August 2009
Post Thomas, Joan Schmit 'Measuring the Performance of Life-Cycle Asset Allocation' SSRN August 2009
Poulsen Rof, Klaus Reiner Schenk-Hoppé, Christian-Oliver Ewald 'Risk Minimization in Stochastic Volatility
Models: Model Risk and Empirical Performance' QF V.9, #6 2009
Pra Paolo Dai, Marco Tolotti 'Heterogeneous Credit Portfolios and the Dynamics Of The Aggregate Losses' SP&A
V.119,#9 Sept. 2009
Pukthuanthong Kuntara, Richard Roll 'Global Market Integration: An Alternative Measure and its Application' JFE
V.94,#2 Nov. 2009
Puopolo Giovanni Walter 'Firm Migration and Stock Returns' SSRN Sept. 09
Qiu Jiaping, Fan Yu 'The Market for Corporate Control and the Cost of Debt' JFE V.93,#3 Sept. 2009
Rajan Raghuram 'The Credit Crisis and Cycle-Proof Regulation' FRB St. Louis Sept/Oct. 2009 V.91,#5, Part 1
Raje Pradeep 'Optimal Investment Horizons for S&P CNX Nifty and Its Components' SSRN August 2009
Rangvid Jesper, Maik Schmeling, Andreas Schrimpf 'Higher-Order Beliefs among Professional Stock Market
Forecasters: Some First Empirical Tests' SSRN 9/09
Rausser Gordon, William Balson, Reid Stevens 'Centralized Clearing for Over-the-Counter Derivatives' SSRN 9/09
Ray Sugata 'The Downside of High Water Marks: An Empirical Study' SSRN 9/09
Remenik Daniel 'Limit Theorems for Individual-Based Models in Economics and Finance' SP&A V.119,#8, p. 2401-
2724 August 2009
Renault Eric 'Moment–Based Estimation of Stochastic Volatility Models' in Handbook of Financial Time Series
Ricci Roberto Ghiselli, Carlo Alberto Magni 'Economic Value Added and Systemic Value Added: Symmetry,
Additive Coherence and Differences in Performance' Applied Financial Economics Letters, V.2,#3,pp.
151-154, May 2006
Ridder Adri se 'Share Repurchases and Firm Behavior' IJT&AF V.12,#5 August 2009
Riddick Leigh, Toni Whited 'The Corporate Propensity to Save' JofF V.64,#4
Riedl Edward, George Serafeim 'Information Risk and Fair Value: An Examination of Equity Betas and Bid-Ask
Spreads' SSRN 7/09
Roache Shaun, Marco Rossi 'The Effects of Economic News on Commodity Prices: Is Gold Just Another
Commodity?' SSRN August 2009
Roberts Michael, Amir Sufi 'Control Rights and Capital Structure: An Empirical Investigation' JofF V.64,#4
Rogers L.C.G. 'Optimal and Robust Contracts for a Risk-Constrained Principal' Mathematics and Financial
Economics V.2,#3 Sept. 2009
Rogers L.C.G., Angus Brown 'Heterogeneous Beliefs with Finite-Lived Agents' SSRN Aug. 2009
Rombouts Jeroen, Marno Verbeek 'Evaluating Portfolio Value-at-Risk Using Semi-Parametric GARCH Models' QF
V.9, #6 2009
Ronn Ehud 'Modeling the Correlation Function in the Crude-Oil Futures Market' SSRN Aug. 2009
Ronn Ehud, Jens Wimschulte 'Intra-Day Risk Premia in European Electricity Forward Markets' SSRN July 09
Rosch Daniel, Harald Scheule 'Rating Performance and Agency Incentives of Structured Finance Transactions'
SSRN August 2009
Rosen Dan, David Saunders 'Valuing CDOs of Bespoke Portfolios with Implied Multi-Factor Models' J. Credit Risk
Fall 2009 V.5,#3
Rosenthal Dale 'Performance Metrics for Algorithmic Traders' SSRN Aug. 2009
Rossi Eduardo 'A No Arbitrage Fractional Cointegration Analysis of the Range Based Volatility' SSRN July 09
Rossi Eduardo, Dean Fantazzini 'Long Memory and Periodicity in Intraday Volatility of Stock Index Futures' SSRN
August 2009
Rossi Eduardo, Paolo Santucci de Magistris 'Long Memory and Tail Dependence in Trading Volume and Volatility'
SSRN July 09
Rubino Gerardo, Bruno Tuffin (eds) 'Rare Event Simulation using Monte Carlo Methods' Wiley Press 2009
<importance sampling, splitting, counting problems>
Rubio Fernando 'Simple Trading Rules: Trading on IBEX at MEFF' SSRN 7/09
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10/09
Schoutens Wims, Jef Teugels 'Lévy Processes, Polynomials and Martingales' Communications in Statistics -
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July 09
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Steinbacher Matjaz 'Artificial Portfolio Simulator' SSRN 9/09
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10/09
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Subrahmanyam Marti, Nils Friewald, Rainer Jankowitsch 'Illiquidity or Credit Deterioration: A Study of Liquidity
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2009 Selected Papers in Prob. and Stats. <Malliavin>
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Takahashi Akihiko, Yukihiro Tsuzuki, Akira Yamazaki 'Hedging European Derivatives with the Polynomial Variance
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2009
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